An Evaluation of Asymmetric and Symmetric Effects of Oil Exports Shocks on Non-Tradable Sector of Iranian Economy
AbstractThis study analyzes the relationship between changes in crude oil exports and nontradable and tradable sections to investigate Dutch Disease syndrome in Iran by applying a rolling linear regression and a VAR approach. We find a co-movement of oil exports with construction and service variables from the rolling regression. The non-linear model reveals that oil exports movements cause asymmetric reaction of construction, service and other variables under study. The variance decomposition shows that crude oil exports contribute to the variability of the key variables. We find a strong relationship between oil exports changes and tradable sector. Decreases in oil exports appear to play a greater role in construction variation than oil exports increases. For variable of service, positive oil shock plays a considerable role as a source of variable fluctuations. Moreover, we observe Dutch Disease through reactions of key variables to oil exports changes.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2011)
Issue (Month): 1 (March)
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More information through EDIRC
non-tradable sector; Dutch Disease; oil shocks; rolling regression; VAR;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- N60 - Economic History - - Manufacturing and Construction - - - General, International, or Comparative
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