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Oil Revenue Shocks and Value-Added of Different Sectors, A TVP- VAR Approach (in Persian)

Author

Listed:
  • Mehrara, Mohsen

    (Iran)

  • Jebelameli, Farkhondeh

    (Iran)

  • Mojab, Ramin

    (Iran)

Abstract

In this paper, we analyze the effects of oil revenue shocks on different sectors of Iranian economy using the quarterly data of the Iranian economy and a time varying parameter VAR model. Oil revenue is modeled to be an exogenous variable and the parameters are estimated in Bayesian context using Gibbs sampling. The results show that the value-added of industry and mining, and services increase after a positive oil revenue shock. The response of agriculture, and oil and gas sectors is not significant. The results also show that after the war, the response of industry and mining, and oil and gas sectors are higher, relatively.

Suggested Citation

  • Mehrara, Mohsen & Jebelameli, Farkhondeh & Mojab, Ramin, 2015. "Oil Revenue Shocks and Value-Added of Different Sectors, A TVP- VAR Approach (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 8(23), pages 39-58, April.
    • Handle: RePEc:mbr:jmbres:v:8:y:2015:i:23:p:39-58
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    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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