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

Shamsollah Shirinbakhsh and Maryam Moghaddas Bayat ()
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Shamsollah Shirinbakhsh: University of Azahra, Iran

Journal for Economic Forecasting, 2011, issue 1, 106-124

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.

Keywords: non-tradable sector; Dutch Disease; oil shocks; rolling regression; VAR (search for similar items in EconPapers)
JEL-codes: C32 N60 Q43 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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