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تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران

Babaei Balderlou, Saharnaz and Ebrahimi Torki, Mahyar and Heidari, Hassan (2013): تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران.

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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.

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