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:: Volume 2, Issue 1 (Quarterly Journal Of Energy Policy and Planning Research 2016) ::
2016, 2(1): 195-234 Back to browse issues page
08 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
Abstract:   (4869 Views)

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.

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.
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Type of Study: Applicable | Subject: Special
Received: 2015/08/12 | Accepted: 2016/11/22 | Published: 2016/11/22
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08 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. Quarterly Journal of Energy Policy and Planning Research. 2016; 2 (1) :195-234
URL: http://epprjournal.ir/article-1-93-en.html


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Volume 2, Issue 1 (Quarterly Journal Of Energy Policy and Planning Research 2016) Back to browse issues page
مجله پژوهش های برنامه ریزی و سیاستگذاری انرژی Journal of Energy Planning And Policy Research
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