بررسی نقش آستانه¬ای تحریم بر اثرگذاری درآمدهای نفتی بر نقدینگی در ایران: شواهدی جدید از الگوی TSVAR

Roudari, Soheil and Tehranchian, Amirmansour and Arabi, Seyed Hadi and Adeli, OmidAli (2022): بررسی نقش آستانه¬ای تحریم بر اثرگذاری درآمدهای نفتی بر نقدینگی در ایران: شواهدی جدید از الگوی TSVAR. Published in: Quarterly Energy Economics Review , Vol. 19, No. 76 (31 May 2023): pp. 1-27.

Abstract

In the years after the Islamic Revolution of Iran, for various reasons, Iran's economy has always been under the economic sanctions of the United States, the United Nations, or the European Union, sometimes by the United States alone, and in some periods by all three. In the present research, the impact of positive and negative shocks on the sanctions index through two paths of impact on the budget deficit and also the impact on the exchange rate and inflation on liquidity in the period of 1979-2020 has been investigated using the Threshold Structural Vector Autoregressive model (TSVAR). According to the research results, the threshold of sanctions growth through the path of exchange rate and inflation was 5.162 % and through the government budget deficit channel was 3.057%, which shows that the threshold of sanction growth in the exchange rate channel and inflation is greater. Also, the difference in the country's liquidity response to oil revenues is related to the sanctions threshold. Based on this, and to reduce the effects of exogenous oil shocks on liquidity, the stabilizing role of the National Development Fund should be considered along with the management of inflationary expectations. Because in such a situation, the foreign exchange reserves of the Central Bank will also increase. It can prevent the high growth of the exchange rate and inflation in the conditions of the tightening of sanctions through the ability to supply higher currency, which will prevent the further growth of liquidity in the country.

• Item Type: MPRA Paper
• English Title: Investigating the threshold role of sanctions on the effect of oil revenues on liquidity in Iran: new evidence from the TSVAR model
• Language: Persian
• Keywords: Sanctions, Budget Deficit, Exchange rate, Oil Revenues, TSVAR Model
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C24 - Truncated and Censored Models ; Switching Regression Models ; Threshold Regression Models; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; F - International Economics > F5 - International Relations, National Security, and International Political Economy > F51 - International Conflicts ; Negotiations ; Sanctions; G - Financial Economics > G2 - Financial Institutions and Services > G29 - Other

References

Dizaji, S. F., & Farzanegan, M. R. (2018). Do sanctions reduce the military spending in Iran? (No. 31-2018). MAGKS Joint Discussion Paper Series in Economics.

Dizaji, S. F., & Van Bergeijk, P. A. (2013). Potential early phase success and ultimate failure of economic sanctions: A VAR approach with an application to Iran. Journal of Peace Research, 50(6), 721-736.

Dizaji, S., & van Bergeijk, P. A. (2012). Early phase success and long run failure of economic sanctions: With an application to Iran. Institute of Social Studies Working Paper, (544).

Greenwald, J. (Ed.) (2020). Iran Under Sanctions. John Hopkins University School of Advanced International Studies report.

Gurvich, E., & Prilepskiy, I. (2015). The impact of financial sanctions on the Russian economy. Russian Journal of Economics, 1(4), 359-385.

Ha, L.T. & Hoang, D.P. (2021). Economic Sanctions and Environmental Performance: The Moderating Role of Financial Market Development and Institutional Quality, Environmental Science and Pollution Research, 29, 19657-19678.

Ha, L.T. & Nam, P.X. (2021). An Investigation of Relationship between Global Economic Sanction and Life Expectancy: Do Financial and Institutional System Matter?, Development Studies Research, 9.

Hadinejad, M., Mohammadi, T., & Shearkhani, S. (2010). Examine the Sanctions' Efficiency on Iran's Non-Oil Trade (Gravity Model). Available at SSRN 1661723.

Hansen, B. E. (1999). Threshold effects in non-dynamic panels: Estimation, testing, and inference. Journal of econometrics, 93(2), 345-368.

Hatipoglu, E., Considine, J., & AlDayel, A. (2022). Unintended Transnational Effects of Sanctions: A Global Vector Autoregression Simulation. Defence and Peace Economics, 1-17.

Iranmanesh, S., Salehi, N., & abdolmajid Jalaee, S. (2021). Using the fuzzy logic approach to extract the index of economic sanctions in the Islamic Republic of Iran. MethodsX, 8, 101301.

Ismail, A., & Amjad, S. (2014). Determinants of terrorism in Pakistan: An empirical investigation. Economic Modelling, 37, 320-331.

Laudati, D., & Pesaran, M. H. (2021). Identifying the Effects of Sanctions on the Iranian Economy Using Newspaper Coverage.

Mallick, A., & Sethi, N. (2019). What Causes India’s High Inflation? A Threshold Structural Vector Autoregression Analysis. Institutions and Economies, 23-43.

Moeeni, S., Sharifi, A., Mozafari Shamsi, H., & Mohammadi, V. (2021). The Impact of Iran Oil Sanctions on the Exchange Rates: An Analysis Using Google Search Index. Iranian Economic Review, 25(3), 397-417.

Sadeghi, A., & Roudari, S. (2022). Heterogeneous effects of oil structure and oil shocks on stock prices in different regimes: Evidence from oil-exporting and oil-importing countries. Resources Policy, 76, 102596.

Shahrestani, H., & Anaraki, N. K. (2008). How would a possible UN sanction affect the Iranian economy?. Global Journal of Business Research, 2(1), 111-123.

Zamani, O., Farzanegan, M., Loy, J. P., & Einian, M. (2021). The Impacts of Energy Sanctions on the Black-Market Premium: Evidence from Iran. Economics Bulletin, 41(2), 432-443.