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تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران
[Separation of the Effects of Oil Price Shocks Origin on Dynamic Correlation between Growth of Industry and Mine Sector and Crude Oil Price in Iran]

Author

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

Abstract

This paper evaluates dynamic correlation between growth of Industry and Mine sector and crude oil price in Iran over the period of 1367:1 to 1389:4, with emphasis on the origin of oil price shocks. We apply Dynamic Conditional Correlation (DCC) model to estimate dynamic correlation. Our results show that demand-side shocks have increasing effects on the correlation between two variables. Also, precautionary demand shocks, except September 11 terrorist attack, have positive effect on the growth of Industry and Mine sector and effecton the correlation between growth of Industry and Mine sectorin the same direction with oil price shocks. Supply-side shocks have positive effect on growth of Industry and Mine sector and the same direction with oil price changes on correlation between two variables.

Suggested Citation

  • Babaei Balderlou, Saharnaz & Ebrahimi Torki, Mahyar & Heidari, Hassan, 2013. "تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران [Separation of the Effects of Oil Price Shocks Origin on Dynamic Correlation between Growth of Industr," MPRA Paper 79257, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:79257
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    References listed on IDEAS

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    More about this item

    Keywords

    Aggregate demand-side oil price shock; Supply-side oil price shock; Precautionary demand oil price shock; Industry and Mine sector; Dynamic correlation;
    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
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
    • Q32 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Exhaustible Resources and Economic Development
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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