Elham Kheirandish; Saeed Moshiri; Naser Khiabani; Ahmadreza Jalali-Naini
Abstract
Oil price shocks have direct and indirect impacts on the economies of oil-exporting and oil-importing countries. The direct impacts are through demand and supply channels and the indirect (spillover) impacts are through interaction between the countries. Most studies have focused on the direct effects ...
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Oil price shocks have direct and indirect impacts on the economies of oil-exporting and oil-importing countries. The direct impacts are through demand and supply channels and the indirect (spillover) impacts are through interaction between the countries. Most studies have focused on the direct effects of the oil price shocks in a specific country or a region and research works on indirect impacts are limited. In this research, the direct and indirect effects (spillover) of oil shocks on both groups of oil-exporting and oil-importing countries are estimated using a dynamic system model. The spillover effects are defined and measured by the “Trade Ratio” and “Weighted Average Economic Growth” indicators. The sample includes 30 oil-exporting and oil-importing countries with a share of 73 percent of the world’s economy. The results show that a positive oil price shock reduces economic growth in oil-importing countries and increases it in oil-exporting countries, but international trade between the oil- exporting and oil-importing countries mitigates the impact of oil shocks on economic growth of both groups.
Naser Khiabani; ehsan mohammadian nikpey
Abstract
This study examines the impact of a negative shock-attributed to a systemic risk-on the industrial indexes of the Tehran stock market using daily data form 21 January, 2008 to 22 September, 2017. Using a Vector Autoregressive for Value at Risk (VAR-VaR) and a quantile Impulse-response function that was ...
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This study examines the impact of a negative shock-attributed to a systemic risk-on the industrial indexes of the Tehran stock market using daily data form 21 January, 2008 to 22 September, 2017. Using a Vector Autoregressive for Value at Risk (VAR-VaR) and a quantile Impulse-response function that was newly proposed by White et al 2015, we focus on the tail interdependence between industrial index returns (financial institutions) and the market shock index and show how each industrial stock risks contemporaneously and dynamically response to systemic market shocks. Our finding show that there is a significant volatility spillover from a systemic shock to financial institutions in Tehran stock market. However as expected the magnitude of its impact is not the same for all industrial index risks. For examples, the impact of its shock on the bank and metal industrial volatilities is more sizable compared to its impact on the others. And finally, the stock market index has a strong and persistence tail dependency with the chemical and petroleum product industries.
Nasser Khiabani
Abstract
This paper develops a dynamic general equilibrium model (DGEMI) for evaluating energy policies in Iran’s economy. DGEMI provides a detailed multisector framework for analyzing economic transition, removal of energy subsidy, and technological change policies. The results show that eliminating ...
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This paper develops a dynamic general equilibrium model (DGEMI) for evaluating energy policies in Iran’s economy. DGEMI provides a detailed multisector framework for analyzing economic transition, removal of energy subsidy, and technological change policies. The results show that eliminating energy subsidies (once- for -all or gradually) in the absence of technological progress is in itself insufficient to stimulate the investment and economic growth. Although the energy intensity along with this policy declines over time, its decline can not be attributed to the energy efficiency, since the economy falls into the lower level of new steady state after removing the energy subsidies. On the other hand, the combination of eliminating energy subsidies and technological progress policies provide a strong growth stimulus accompanied by a pronounced increase in productive efficiency and a decline in intensive energy.
