International Journal of Management, Accounting and Economics
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Volume 1, No. 2, September 2014 Pages: 113 - 125
Asymmetric Effects of Oil Price Shocks on Gross Domestic Product in Iran Using the Markov Switching Model
Morteza Salehi Sarbijan
Corresponding author:
m[dot]salehisarbijan[at]uoz[dot]ac[dot]ir
Abstract:
The role of oil shocks as factors in economic growth of a country is important. With little reflection on the Iran economic structure and other major oil exporter countries that have a strong bond to the proceeds of oil sales، this is a strong suspicion that the origin of the oil shock is caused by economic shocks. Purpose of this article is determining and solving of Iran cycles and effect of oil price fluctuation on these cycles using Markov switching model. In line with the main objective of research, extracting of oil price shocks by using Markov switching model and estimation long run relation by using the pattern accumulation Johansen Juselius estimated by using of quarterly data 1988(1) - 2008(2). The results suggest that hypothesis of symmetry of positive and negative oil shocks on production have been rejected. So we can infer that the effects of negative and positive shocks on production are different.
Keywords:
Oil Price Shocks, Gross Domestic Product in Iran, Markov Switching Model, Johansen Juselius
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