بررسی و تحلیل اثرات شوک‌های قیمت نفت بر بخش صنعت و معدن در اقتصاد ایران (کاربرد الگوی خودرگرسیون برداریVAR)
محورهای موضوعی : مدیریت صنعتیkamran kasraei 1 , Majid Sameti 2 , Homayoun Ranjbar 3 , Sara Ghobadi 4
1 - Department of economics, faculty of Humanity, Islamic Azad University, Sanandaj Branch
2 - Department of Economics, Islamic Azad University, Isfahan( khorasgan) Branch, Isfahan, Iran
3 - Department of Economics, Islamic Azad University, Isfahan( khorasgan) Branch, Isfahan, Iran
4 - Department of Economics, Islamic Azad University, Isfahan( khorasgan) Branch, Isfahan, Iran
کلید واژه: ایران, نفرین منابع, مدل خودرگرسیون برداری, بیماری هلندی, شوک‌های قیمت نفت,
چکیده مقاله :
در طول چند دهه‌ی گذشته، بازارها شاهد نوسان‌های چشمگیر در قیمت نفت بوده‌اند و بسیاری از اقتصاددانان تغییرات شدید قیمت نفت را به عنوان منشاء اصلی بی‌ثباتی (نوسانات) اقتصاد کلان در کشورهای صادر کننده و وارد کننده نفت، مطرح کرده‌اند. کشور ایران هم به عنوان یک کشور صادر کننده‌ی نفت، از این قاعده مستثنی نمی‌باشد و با توجه به اهمیت نفت در اقتصاد ایران، بررسی دقیق شوک‌های بازار نفت بر روی شاخص‌های اقتصاد کلان ایران، از اهمیت بالایی برخوردار است.بر این اساس، در این پژوهش، با استفاده از مدل‌های خود رگرسیون برداری (VAR)، اقدام به بررسی توابع واکنش آنی متغیر در طول زمان، برای شاخص‌های رشد ارزش افزوده بخش صنعت و معدن، نرخ ارز غیررسمی، تورم، رشد مخارج مصرف دولتی واقعی، رشد واردات واقعی و رشد درآمدهای نفت واقعی به شوک‌های درآمدهای نفتی و برای دوره زمانی 94-1367 شده است. شایان ذکر است که استفاده از چنین مدلی امکان بررسی اثرات متغیر زمانی شوک‌های درآمدهای نفتی بر متغیرهای کلان اقتصادی ایران را فراهم می‌کند. نتایج این پژوهش حاکی از اثرگذاری غیرخطی شوک‌های مثبت درآمدهای نفتی بر روی متغیرهای مدل می‌باشد.
In recent decades, there are many bold oil price volatilities in markets and most of economists has propose oil price severe variations as the main reason of macroeconomic volatilities in both oil export and import countries, such as Iran. Because of oil rule in Iran’s economic, analyzing the effects of oil market shocks on macroeconomic indicators is very important.So, in this paper we use Vector auto regression model to investigate time- variant impulse functionsfor industry and mine value added growth, informal exchange rate, inflation, real consumption expenditures of government, real import growth and real oil revenues growth on oil revenues shocks for 1988- 2015 period. The results show that, there is a linear effectiveness of positive oil revenues shocks on macroeconomic variables.The results show that, there is a linear effectiveness of positive oil revenues shocks on macroeconomic variables.The results show that, there is a linear effectiveness of positive oil revenues shocks on macroeconomic variables.
10. Bruno, Michael & Sachs, Jeffrey (1982). Energy and Resource Allocation: A Dynamic Model of the Dutch Disease. The Review of Economic Studies, 49(5), Special Issue on Unemployment, 845-859.
11. Cologni, A. and M. Manera. (2008). Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for G7 Countries. Energy Policy, 30, 856-888.
12. Cunado, J., de Gracia, F.P., (2003). Do Oil Price Shocks Matter? Evidence for Some European countries. Energy Economics 25, 137–154.
13. Davis, J. M., Ossowski, R. & Fedelino, A. (2003). Fiscal Policy Formulation and Implementation in Oil-Producing Countries, International Monetary Fund.
14. Golub, S. (1983), "Oil prices and exchange rates. The Economic Journal, 93(371), 576-593.
15. Imami, Karim, Shahriari, Samaneh, and Darbani, Saman. (2011). The effect of oil shocks on economic growth of some importing and exporting countries. Economics Quarterly, 5 (16), 27-62.
16. Jayaraman, T.K. and Choong, Ghee-Keong. (2009). Growth and oil price: A study of causal relationships in small pacific Island countries. Energy Policy, 37(6), 2182-2189.
17. Katib Semnani, Mohammad Ali, Ismailnia, Ali Asghar and Deh Abadi, Marjan. (2017). Investigating the Impact of Non-Opp's Oil Supply on Crude Oil Prices. Financial Economics Quarterly, 5 (15), 111- 130.
18. Korhonen, I. and Ledyaeva, S. (2010), "Trade linkages and macroeconomic effects of the price of oil". Energy Economics, 32(4), 848-856.
19. Krugman, P. (1983). Oil and the dollar in Bhandari, J. and Putnam, B. (eds), Economic interdependence and flexible exchange rates, MIT Press.
20. Le, T. and Youngho, C. (2013), "Oil price shocks and trade imbalance", Energy Economics, 36, 78-96.
21. Mehrara, M. (2008). The asymmetric relationship between oil revenues and economic activates: The case of oil-exporting countries". Energy Policy, 36, 1164-1168.
22. Mehrara, Mohsen and Niki-Sakouei, Kamran. (2006). Oil impacts and its dynamic effects on macroeconomic variables. Quarterly Journal of Commercial Research, 40, 1-32.
23. Moallemi, Noushin. (2009). Analysis of the Effect of Oil Price Shocks on Selected Variables of Macroeconomics in the Years 1965-2005. Master's Degree Thesis, Faculty of Humanities, Islamic Azad University, Khomeini Shahr Branch.
24. Parvin, Manoucher; Dezhbakhsh, Hashem (1988). Trade, Technology Transfer and Hyper Dutch Disease in Opec: Theory and Evidence. International Journal of Middle East Studies, 20(4), 469-477.
25. Pashayyfam, Ramin, Pazoki, Mohammad Reza and Amirkhani, Patris (2013).Analysis of the effect of OPEC oil price volatility on inflation of selected OECD oil importer countries. Quarterly Journal of Economic Development Research, 9, 89-116.
26. Pindyck, R.S.,(1979). Interfuel substitution & industrial demand for energy. The Review of Economic & Statics.
27. Pishbahar, Ayatollah, Ramezani, Seyyed Hamid and Raufipour, Mahmou. (2014). Analysis of Oil Price Shocks on Iran's Economic Growth during the Period of 2007-2009. The 2nd National Conference on Accounting, Management and Economics. Islamic Azad University of Fomen and Shaft Branch.
28. Rafiq, S., Pasquale, S., and Apergis, N. (2016). Asymmetric oil shocks on the Philippine Economy: A VAR Approch, Working paper, university of the Philippines, School of economics.
29. Research Center of the Parliament, Expert’s Report. (2001). Damage to Crude Oil Prices in World Markets. Infrastructure Studies Office, 2001.
30. Rezazadeh, Ali and Jahangiri, Khalil. (2016). The effects of oil price instability on the economic growth of major oil producing countries: the vector-based self-regression approach in panel data (PVAR). Quarterly Journal of Energy Economics, 13 (52), 153-180.
31. Samadi, Saeed, Yahya Abadi, Abolfazl and Moallemi, Nooshin. (2009). Analysis of the effect of oil price shocks on macroeconomic variables in Iran". Quarterly journal of Economic Research and Policy, 17 (52), 26-50.
32. Samadi, Saeed. (2011). Analysis of the effect of oil price volatility on the economies of exporting and importing countries. Weekly News-analytical Journal issued by the Ministry of Economic Affairs and Finance, 10 (363), 15-17.
33. Shafiee, Saeidah. (2008). A Comparison of the Effects of Crude Oil Prices on Economic Growth and Inflation in OECD Countries. Institute for the Study of Religion and Economy.
34. Shahnazi, Rohollah, and Afranishfar, Saeedeh. (2016). Investigating the Impact of Oil Price Volatility on the Value Added of Different Economic Sectors in Iran. Quarterly Journal of Energy Economics, 12 (48), 143-172.
35. Sooru, Amir Reza, Sabouri Deylami, Mohammad Hassan and Attaran, Javad. (2011). Analysis of the Relationship between Crude Oil Demand and Economic Growth in Middle Eastern Countries. Quarterly Journal of Economic Modeling, 5 (2), 111-129.
_||_10. Bruno, Michael & Sachs, Jeffrey (1982). Energy and Resource Allocation: A Dynamic Model of the Dutch Disease. The Review of Economic Studies, 49(5), Special Issue on Unemployment, 845-859.
11. Cologni, A. and M. Manera. (2008). Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for G7 Countries. Energy Policy, 30, 856-888.
12. Cunado, J., de Gracia, F.P., (2003). Do Oil Price Shocks Matter? Evidence for Some European countries. Energy Economics 25, 137–154.
13. Davis, J. M., Ossowski, R. & Fedelino, A. (2003). Fiscal Policy Formulation and Implementation in Oil-Producing Countries, International Monetary Fund.
14. Golub, S. (1983), "Oil prices and exchange rates. The Economic Journal, 93(371), 576-593.
15. Imami, Karim, Shahriari, Samaneh, and Darbani, Saman. (2011). The effect of oil shocks on economic growth of some importing and exporting countries. Economics Quarterly, 5 (16), 27-62.
16. Jayaraman, T.K. and Choong, Ghee-Keong. (2009). Growth and oil price: A study of causal relationships in small pacific Island countries. Energy Policy, 37(6), 2182-2189.
17. Katib Semnani, Mohammad Ali, Ismailnia, Ali Asghar and Deh Abadi, Marjan. (2017). Investigating the Impact of Non-Opp's Oil Supply on Crude Oil Prices. Financial Economics Quarterly, 5 (15), 111- 130.
18. Korhonen, I. and Ledyaeva, S. (2010), "Trade linkages and macroeconomic effects of the price of oil". Energy Economics, 32(4), 848-856.
19. Krugman, P. (1983). Oil and the dollar in Bhandari, J. and Putnam, B. (eds), Economic interdependence and flexible exchange rates, MIT Press.
20. Le, T. and Youngho, C. (2013), "Oil price shocks and trade imbalance", Energy Economics, 36, 78-96.
21. Mehrara, M. (2008). The asymmetric relationship between oil revenues and economic activates: The case of oil-exporting countries". Energy Policy, 36, 1164-1168.
22. Mehrara, Mohsen and Niki-Sakouei, Kamran. (2006). Oil impacts and its dynamic effects on macroeconomic variables. Quarterly Journal of Commercial Research, 40, 1-32.
23. Moallemi, Noushin. (2009). Analysis of the Effect of Oil Price Shocks on Selected Variables of Macroeconomics in the Years 1965-2005. Master's Degree Thesis, Faculty of Humanities, Islamic Azad University, Khomeini Shahr Branch.
24. Parvin, Manoucher; Dezhbakhsh, Hashem (1988). Trade, Technology Transfer and Hyper Dutch Disease in Opec: Theory and Evidence. International Journal of Middle East Studies, 20(4), 469-477.
25. Pashayyfam, Ramin, Pazoki, Mohammad Reza and Amirkhani, Patris (2013).Analysis of the effect of OPEC oil price volatility on inflation of selected OECD oil importer countries. Quarterly Journal of Economic Development Research, 9, 89-116.
26. Pindyck, R.S.,(1979). Interfuel substitution & industrial demand for energy. The Review of Economic & Statics.
27. Pishbahar, Ayatollah, Ramezani, Seyyed Hamid and Raufipour, Mahmou. (2014). Analysis of Oil Price Shocks on Iran's Economic Growth during the Period of 2007-2009. The 2nd National Conference on Accounting, Management and Economics. Islamic Azad University of Fomen and Shaft Branch.
28. Rafiq, S., Pasquale, S., and Apergis, N. (2016). Asymmetric oil shocks on the Philippine Economy: A VAR Approch, Working paper, university of the Philippines, School of economics.
29. Research Center of the Parliament, Expert’s Report. (2001). Damage to Crude Oil Prices in World Markets. Infrastructure Studies Office, 2001.
30. Rezazadeh, Ali and Jahangiri, Khalil. (2016). The effects of oil price instability on the economic growth of major oil producing countries: the vector-based self-regression approach in panel data (PVAR). Quarterly Journal of Energy Economics, 13 (52), 153-180.
31. Samadi, Saeed, Yahya Abadi, Abolfazl and Moallemi, Nooshin. (2009). Analysis of the effect of oil price shocks on macroeconomic variables in Iran". Quarterly journal of Economic Research and Policy, 17 (52), 26-50.
32. Samadi, Saeed. (2011). Analysis of the effect of oil price volatility on the economies of exporting and importing countries. Weekly News-analytical Journal issued by the Ministry of Economic Affairs and Finance, 10 (363), 15-17.
33. Shafiee, Saeidah. (2008). A Comparison of the Effects of Crude Oil Prices on Economic Growth and Inflation in OECD Countries. Institute for the Study of Religion and Economy.
34. Shahnazi, Rohollah, and Afranishfar, Saeedeh. (2016). Investigating the Impact of Oil Price Volatility on the Value Added of Different Economic Sectors in Iran. Quarterly Journal of Energy Economics, 12 (48), 143-172.
35. Sooru, Amir Reza, Sabouri Deylami, Mohammad Hassan and Attaran, Javad. (2011). Analysis of the Relationship between Crude Oil Demand and Economic Growth in Middle Eastern Countries. Quarterly Journal of Economic Modeling, 5 (2), 111-129.