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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

Saharnaz Babaei Balderlou, Mahyar Ebrahimi Torki and Hassan Heidari

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Aggregate demand-side oil price shock; Supply-side oil price shock; Precautionary demand oil price shock; Industry and Mine sector; Dynamic correlation (search for similar items in EconPapers)
JEL-codes: C32 E32 O41 Q32 Q4 (search for similar items in EconPapers)
Date: 2013-04
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