Volume 10, Issue 38 (12-2019)                   jemr 2019, 10(38): 7-44 | Back to browse issues page

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Kiani A, Eslamloueyan K, Shahnazi R, Rostamzadeh P. The Effect of the Origin of Oil Price Shocks on Macroeconomic Dynamics in an Oil-Exporting Country: An Open DSGE Model. jemr 2019; 10 (38) :7-44
URL: http://jemr.khu.ac.ir/article-1-1900-en.html
1- Shiraz Universiy
2- Shiraz Universiy , keslamlo@shirazu.ac.ir
3- Shiraz University
Abstract:   (2607 Views)
In recent years, some research has focused on the importance of the origin of an oil shock for macroeconomic dynamics in both oil-exporting and importing countries. The existing literature lacks a proper open Stochastic Dynamic General Equilibrium (DSGE) framework to investigate the effect of the origins of oil shocks on macro variables in a two-country model consisting of an oil-exporting county and an oil-importing country. To this end, we develop and solve a new Keynesian DSGE model to show how the different oil shocks originating from oil supply or oil demand, might have diverse impacts on key macroeconomic variables in oil-exporting and importing counties. For the case study, we use data from Iran as an example of an oil-exporting country that trades with the rest of the world. Our DSGE model is estimated by using the Bayesian method for the period 1986:1-2017:4. The result shows that an oil shock originated from the shortage of oil supply (an exogenous decrease in Iran's oil production) decreases total production, non-oil trade, employment, inflation and consumption in this oil-exporting country. While a negative oil supply shock increases production costs and reduces production and consumption in Iran. However, an oil shock originated from an increase in the demand for oil raises output, non-oil trade, employment, consumption, and inflation in Iran as an oil-exporting country while a demand-side oil shock boosts production and increases inflation in this country.
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Type of Study: Applicable | Subject: انرژی، منابع و محیط زیست
Received: 2019/08/19 | Accepted: 2020/03/5 | Published: 2020/04/23

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