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بررسی اثرگذاری واردات کالاهای مصرفی، واسطه‌ای و سرمایه‌ای در روند انتقال نوسانات قیمت نفت خام به بخش صنعت و معدن در ایران
[Effects of the Import of Consumption, Intermediate and Capital Goods on Transmission of Crude Oil Price Volatility to the Industry and Mining Sector in Iran]

Author

Listed:
  • Heidari, Hassan
  • Babaei Balderlou, Saharnaz
  • Ebrahimi Torki, Mahyar

Abstract

In this research, the DCC model is estimated to calculate dynamic correlation series between crude oil price and growth of Industry and Mine sector during 1367:1-1392:4. Then, Macroeconomic variables which can explain the dynamic correlation are analyzed as variables of contagion. So, the import, as an effective and affected variable from crude oil price, is separated to real import of consumption, capital and intermediate goods. We apply an MSIXH (2)-ARX (0,0) model to investigate the effects of explaining variables. Our results show that imports of intermediate goods have a positive effect and imports of consumption goods have a negative effect on correlation series. These results suggest that in order to increase Industry and Mine sector growth, increase in import of intermediate goods, reduction in government consumption expenditure and implementing policies to stabilize the general price level and government consumption expenditure against changes in oil prices are necessary.

Suggested Citation

  • Heidari, Hassan & Babaei Balderlou, Saharnaz & Ebrahimi Torki, Mahyar, 2016. "بررسی اثرگذاری واردات کالاهای مصرفی، واسطه‌ای و سرمایه‌ای در روند انتقال نوسانات قیمت نفت خام به بخش صنعت و معدن در ایران [Effects of the Import of Consumption, Intermediate and Capital Goods on Tr," MPRA Paper 79236, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:79236
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    References listed on IDEAS

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    More about this item

    Keywords

    Crude Oil Price; Industry and Mine Sector Growth; Imports of Consumption Goods; Imports of Intermediate Goods; Imports of Capital Goods; DCC-MGARCH; Markov Switching Model.;
    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
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models

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