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An Evaluation of Asymmetric and Symmetric Effects of Oil Exports Shocks on Non-Tradable Sector of Iranian Economy

Author

Listed:
  • Shirinbakhsh, Shamsollah

    (University of Azahra, Iran)

  • Moghaddas Bayat, Maryam

Abstract

This 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.

Suggested Citation

  • Shirinbakhsh, Shamsollah & Moghaddas Bayat, Maryam, 2011. "An Evaluation of Asymmetric and Symmetric Effects of Oil Exports Shocks on Non-Tradable Sector of Iranian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 106-124, March.
    • Handle: RePEc:rjr:romjef:v::y:2011:i:1:p:106-124
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    References listed on IDEAS

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    Cited by:

    1. Delavari, Majid & Baranpour, Naghmeh & Abdeshahi, Abbas, 2014. "Analyzing the Effect of Real Exchange Rate on Petrochemicals Exporting," MPRA Paper 60360, University Library of Munich, Germany.
    2. Rafik Nazarian & Ashkan Amiri, 2014. "Asymmetry of the Oil Price Pass Through to Inflation in Iran," International Journal of Energy Economics and Policy, Econjournals, vol. 4(3), pages 457-464.

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    More about this item

    Keywords

    non-tradable sector; Dutch Disease; oil shocks; rolling regression; VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space 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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