Assessment of Asymmetric Oil Price Shock, Tax Revenues, Resource Curse, Stock Market, and Business Cycles of Iran using Structural Vector Autoregression (SVAR) Model

Modiri, Hamid Reza; Daman Keshideh, Marjan; Momeni, Hooshang; Keyghobadi, Amirreza; Esmailzadeh Maghari, Ali

doi:10.22050/pbr.2021.275884.1177

Assessment of Asymmetric Oil Price Shock, Tax Revenues, Resource Curse, Stock Market, and Business Cycles of Iran using Structural Vector Autoregression (SVAR) Model

Document Type : Original Article

Authors

Hamid Reza Modiri ¹

Marjan Daman keshideh ²

Hooshang Momeni ³

Amirreza Keyghobadi ⁴

Ali Esmailzadeh Maghari ⁴

¹ M.S. Student, Department of economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran

² Assistant Professor, Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran, Iran, Email:m.damankeshideh@yahoo.com

³ Assistant Professor, Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran, Iran

⁴ Assistant Professor, Department of Accounting, Central Tehran Branch , Islamic Azad University , Tehran , Iran

https://doi.org/10.22050/pbr.2021.275884.1177

Abstract

This study was conducted to determine the effect of the asymmetric oil price shock, tax revenues, resource curse, stock market, and business cycles of Iran by using the structural vector auto regression model (SVAR) for the 1984-2018 period. According to results of the estimated SVAR model, an impulse imposed by the duration of sanctions on oil exports led to an 89% increase in production gap, and impulses caused by liquidity and stock price led to 86% and 53% rises in production gap, respectively. Variation in oil and foreign exchange earnings results in different and even conflicting changes in foreign and domestic sectors of the economy, which subsequently affect the economic performance positively or negatively. Regarding economic structure and principles, a constant increased exchange rate leads to economic growth while a cross-sectional increment in exchange rate does not lead to any economic prosperity. Increased exchange rate and decreased domestic money weakness will increase foreign debt, which in turn causes liquidity shortage. Overall, the liquidity shortage of economic firms has a negative impact on the return of stock and business cycles. Hence, policymakers must pay considerable attention to macroeconomic indicators.

Keywords

Asymmetric Oil Price Shock

Tax Revenues

Exchange Rate

Business Cycle

SVAR Model

20.1001.1.26454726.2022.6.2.1.4

Subjects

Oil and Gas Economics and Management

Afshari, Z., Mahmmodi, N., Boostani, R. (2014). Evaluation of neoclassical growth model in explaining Iranian business cycles, Iranian Journal of Applied Economics Studies, Article 11, Vol. III, Issue 9, Spring 2014, Pp. 189-204.

Barani, J. (2014). Study of the asymmetric impact of monetary shocks on the real sector of the economy, MA dissertation in Economics, Shaheed Beheshti University.

Darabi, R. (2018). Effects of oil price volatility on GDP in Iran, Journal of Energy Economics Review.

Darbani, F. (2011). Iran's macro-econometric model, structure, simulation and seasonal forecasts, Institute for Management and Planning Studies, Management and Planning Organization.

Ebrahimi, M., Salarian, M. (2009). An analysis of natural resource curse in oil-exporting countries and the effect of being OPEC presence on the member's growth rate, Journal of Quantitative Economics (Former Economic Studies), Vol. 6, Issue 1, spring 2009, Pp.77-100.

Emami, K., Adibpour, M. (2009). The asymmetric effects of oil shocks on output in Iran, Journal of Economic Modeling, Vol. III, Issue 4 (10), winter 2009, Pp. 1-26.

Haghdoost, S. (2017). The impact of the oil shock on economic variables, MA dissertation, Institute for Management and Planning studies

Hassanzadeh, S., Kianvand, F. (2014). The impact of symmetric and asymmetric oil shocks on the total price index in the Tehran Stock Exchange Market, Journal of Monetary and Financial Economics.

Hooshmand, M., Jamali, H. (2008). Analyzing the impact of oil price on the economic growth of Iran using asymmetric conintegration, Journal of Energy Economics Review, Vol. 5, Issue 17.

Mahdavi Adeli, M., Shamsaie, F. (2012). The relationship between oil shocks and economic growth in OPEC countries: is the relationship asymmetric? Journal of Energy Economics Review, Vol. 6, Issue 21.

Samadi, S., Jalali, S. A. (2004). Analysis of business cycles in the Iranian economy, Journal of Economic Research, Issue 66, Pp. 139-153.

Shakeri, S. (2017). Study of asymmetric effects of nominal shocks on the output and asymmetry test of economic cycles in Iran, Ph.D. Dissertation, Economics College of Allameh Tabatabaei University

Tooraji, Sh. (2014). Investigation of asymmetric impacts of oil price shocks on the stock price index of Tehran Stock Exchange, Monetary-Financial Economics.