Volume 12, Issue 43 (3-2021)
jemr 2021, 12(43): 237-270 |
Back to browse issues page
Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
Daliri H. Factors Affecting on the Business Cycles in OPEC Countries: Evidence from the Quantile Panel Regressions Model. jemr 2021; 12 (43) :237-270
URL: http://jemr.khu.ac.ir/article-1-2129-en.html
URL: http://jemr.khu.ac.ir/article-1-2129-en.html
Golestan University , eco.hassan.daliri@gmail.com
Abstract: (3331 Views)
Identifying the behavior of business cycles and factors affecting business cycles has always been one of the most important issues in macroeconomics. Importance of business cycles and the unique economic structure of OPEC member countries, so, this article identifies the behavior of business cycles in these countries. This study uses Quantile Panel Regressions Model to examine the impact of variables such as government expenditure, trade openness, liquidity growth, oil prices and two dummy variables of the global recession and the Joint Comprehensive Plan of Action (JCPOA) agreement on the formation of business cycles in OPEC countries in the period 2000-2019. The results show that the values of the coefficients of each variable in different quantiles were significantly different from each other. Government expenditure and trade openness in the initial quantile has been in the agreed direction to the cycles and the End quantile opposite direction. The results of the effect of liquidity growth show that in the initial and end quantile has been agreed with direction to the cycles and in the middle quantile opposite direction to the cycles. Oil prices have also been agreed with the direction of the business cycles. The Joint Comprehensive Plan of Action (JCPOA) agreement variable in the first quantile has a significant impact on business cycles and the global financial recession has also acted against cycles.
Keywords: Business Cycles, OPEC, Quantile Panel Regressions, Joint Comprehensive Plan of Action (JCPOA), Monetary Policy
Type of Study: Applicable |
Subject:
رشد و توسعه و سیاست های کلان
Received: 2021/01/2 | Accepted: 2021/06/8 | Published: 2021/09/12
Received: 2021/01/2 | Accepted: 2021/06/8 | Published: 2021/09/12
References
1. Adarov, A. (2021). Dynamic interactions between financial cycles, business cycles and macroeconomic imbalances: A panel VAR analysis, International Review of Economics & Finance Volume 74, Pages 434-451. [DOI:10.1016/j.iref.2021.03.021]
2. Afshari, Z., Javan, M., Shirinbakhsh, S. (2012). The Automatic Stabilization Effect of Fiscal Policy on Business Cycle in Selected OPEC Member Countries. Economics Research, 12(47), 21-50. (in Persian).
3. Akin, C. (2007). Multiple determinants of business cycle synchronization. George Washington University, Department of Economics. [DOI:10.2139/ssrn.1022648]
4. Arman, S. (2014). Asymmetric Effects of Oil Shocks on Business Cycles in Iran's Economy. Quarterly Journal of Quantitative Economics, 10(4), 113-146. doi: 10.22055/jqe.2014.11626 (in Persian)
5. Baharvand, N., Farzam, V., Nademi, Y. (2018). Effect of Oil Shocks on Business Cycle in the Iran's Economic Using the Markov-Switching model (1988: 2-2014: 4). The Journal of Economic Studies and Policies, 5(1), 3-22. (in Persian)
6. Barro, R.J. (1993), Macroeconomics, 4th edn, New York: John Wiley.
7. Berger, T. a. & Gerdie Everaert b. & Lorenzo Pozzi c. (2021). Testing for international business cycles: A multilevel factor model with stochastic factor selection, Journal of Economic Dynamics and Control, Volume 128, doi.org/10.1016/j.jedc.2021.104134 . [DOI:10.1016/j.jedc.2021.104134]
8. Berger, T. and G. Everaert and L. Pozzi (2021), Testing for international business cycles: A multilevel factor model with stochastic factor selection, Journal of Economic Dynamics and Control, Volume 128, 104134. [DOI:10.1016/j.jedc.2021.104134]
9. Blanchard, O.J. and Quah, D. (1989), 'The Dynamic Effects of Aggregate Demand and Supply Disturbances', American Economic Review, September. [DOI:10.3386/w2737]
10. Calderón, C., & Chong, A., & Stein, E. (2007). Trade intensity and business cycle synchronization: Are developing countries any different? Journal of International Economics, 71 (1): 2-21. [DOI:10.1016/j.jinteco.2006.06.001]
11. Dargahi, H., Parkhide, A. (2006). The Impacts of Aggregate and Sectoral Shocks on Business Cycles in the Iranian Manufacturing Sector. Iranian Journal of Economic Research, 8(27), 1-31. (in Persian).
12. Dornbush, R., S. Fisher & R. Startz. (1998). Macroeconomics. International Edition, Boston: Irwin/ Mc Graw Hill, Seventh Edition.
13. Dzhambova, Krastina (2021). "When it rains, it pours": Fiscal policy, credit constraints and business cycles in emerging and developed economies, Journal of Macroeconomics, Volume 69, September 2021, 103319 [DOI:10.1016/j.jmacro.2021.103319]
14. Emamimibodi M, Sameti M, sharifirenani H. (2020). The Role of Financial Policies on the Selection of Commovment among Macroeconomic Variables in Business cycles Deviations under Commitment Conditions. Qjerp, 27 (92) :297-335. (in Persian)
15. Fakhrehoseini F. (2011). The Dynamic Stochastic General Equilibrium Model of Monetary Business Cycle for Iran. jemr. 1 (3) :1-28 (in Persian)
16. Fazel, M., Tavakoli, A., Rajabi, M. (2013). Comparing the Performance of ARIMA and MS-AR Models to Forecast Business Cycles in Iran. Economic Modeling, 7(22), 63-81. (in Persian)
17. Fernández-Villaverde, Jesús and Pablo A.Guerrón-Quintana (2020). Uncertainty shocks and business cycle research, Review of Economic Dynamics, Volume 37, Supplement 1, Pages S118-S146 [DOI:10.1016/j.red.2020.06.005]
18. Garcia, R., Schaller, H., (2002). Are the effects of monetary policy asymmetric? Econ. Inq. 40 (1), 102-119. [DOI:10.1093/ei/40.1.102]
19. Ghobadi, S. Gozari, M. (2017). Assessing the Factors Affecting the Simultaneity of Business Cycles, A Case Study Comparing Iran with Selected Countries of Mena, Strategic and Macro Policies, 5 (20), 91-67. (in Persian)
20. Golestani, S., Jogheini, A., Khorasani, M. (2012). Evaluation of Business Cycle Synchronization by the Oil Revenues-OPEC Member Countries. Quarterly Journal of Economic Growth and Development Research, 2(8), 68-51. (in Persian)
21. Granado J., Gupta S. and A. Hajdenberg (2013), "Is Social Spending Procyclical? Evidence for Developing Countrie", World Development, 42S(C), pp.16-27. [DOI:10.1016/j.worlddev.2012.07.003]
22. Hamilton, J. D. (1989). A new approach to the economic analysis of non -stationary time series and the business cycle. Econometrica 57(2):357-384. [DOI:10.2307/1912559]
23. Hang Y. and Xue, W. (2020). The asymmetric effects of monetary policy on the business cycle: Evidence from the panel smoothed quantile regression model, Economics Letters, 195,109450. [DOI:10.1016/j.econlet.2020.109450]
24. Hang, Y. & Wenjun Xue (2020). The asymmetric effects of monetary policy on the business cycle: Evidence from the panel smoothed quantile regression model, Economics Letters 195, 109450. [DOI:10.1016/j.econlet.2020.109450]
25. hojabr kiani, K., moradi, A. (2011). Detecting of Turning Points in Business Cycles of Iranian Economy Through Autoregressive Markov Switching Model. Economic Modeling, 5(14), 1-25. (in Persian)
26. Hozhabr Kiani, K., Moradi, A. (2012). Timing and Business Cycle Analysis in OPEC Member Countries Through Markov Switching Autoregressive Model. Iranian Energy Economics, 1(3), 171-199. (in Persian)
27. Jalaei Esfand Abadi, A. and Ansari Nasab, M. (2016). Study real business cycles In Economy of Iran emphasize Production Gap. Quarterly Journal of Quantitative Economics, 13(3), 85-109. doi: 10.22055/jqe.2016.12538. (in Persian)
28. Jiang Mingming (2017). On demand shocks and international business cycle puzzles, Economics Letters, Volume 160, Pages 29-32,
https://doi.org/10.1016/j.econlet.2017.08.024 [DOI:10.1016/j.econlet.2017.08.024.]
29. Kuhn, Florian and Chacko George. (2019). Business cycle implications of capacity constraints under demand shocks, Review of Economic Dynamics, Volume 32, April 2019, Pages 94-121, [DOI:10.1016/j.red.2019.01.001]
30. Li, Xiao-Lin & Jing Yan and Xiaohui Wei (2021). Dynamic connectedness among monetary policy cycle, financial cycle and business cycle in China, Economic Analysis and Policy, Vol 69, pp. 640-652. [DOI:10.1016/j.eap.2021.01.014]
31. Litterman, B. and Weiss, L. (1985), Money, Real Interest Rates and Output: A Reinterpretation of Postwar U.S. Data, Econometrica, January. [DOI:10.21034/sr.89]
32. Lo, M.C., Piger, J., (2005). Is the response of output to monetary policy asymmetric? Evidence from a regime-switching coefficients model. J. Money Credit Bank. 37 (5), 865-886. [DOI:10.1353/mcb.2005.0054]
33. Lucas, R.E. (1997). Understanding Business Cycles. in Brunner, K. and Meltzer,A. H. (Eds), Stabilization of the Domestic International Economy, Vol. 5 of Carnegie Rochester Series on Public Policy, North. Holland, Amsterdam
34. Lucas, R.E. Jr (1972), Econometric Testing of the Natural Rate Hypothesis, in O. Eckstein (ed.), The Econometrics of Price Determination Conference, Washington Board of Governors: Federal Reserve System.
35. Lucas, R.E. Jr (1973), Some International Evidence on Output-Inflation Tradeoffs', American Economic Review, June.
36. Luk, P. and T. xiaoZheng (2021). Dynamics of secured and unsecured debt over the business cycle, Review of Economic Dynamics, [DOI:10.1016/j.red.2021.01.004]
37. Mamipour, S., Jafari, S., Sasanian Asl, Z. (2018). The Effects of Fiscal and Monetary Policies on Iranian Business Cycle Dynamics with Time Varying Markov Switching Models. Iranian Journal of Economic Research, 23(75), 167-203. doi: 10.22054/ijer.2018.9125 (in Persian).
38. Milani, Fabio and Ashish Rajbhandari (2020). Observed expectations, news shocks, and the business cycle, Research in Economics, Volume 74, Issue 2, Pages 95-118. [DOI:10.1016/j.rie.2020.02.003]
39. Mowlaei M, Golkhandan A. (2015). American Economic Business Cycles and Compared with the Case of Iranian Economy. QJER. 14 (4) :229-253 (in Persian).
40. Otto, G., & Voss, G., & Willard, L. (2001). Understanding OECD output correlations. Reserve Bank of Australia Research Discussion Paper NO 2001/05.
41. Papageorgiou T.P.G. Michaelides and G.T. Efthymios (2016), "Business Cycle Determinants and Fiscal Policy: A Panel ARDL approach for EMU", The Journal of Economic Asymmetries, vol. 13, issue C, pp. 57-68. [DOI:10.1016/j.jeca.2015.12.001]
42. Pritchett (2000). The Tyranny of Concepts: CUDIE (Cumulated, Depreciated, Investment Effort) is not Capital, Journal of Economic Growth 5(4):361-84. [DOI:10.1596/1813-9450-2341]
43. Rasekhi, S., Jafari Samimi, A., Sadeghi, S. (2015). Trade Integration, Specialization and Synchronization of Business cycles in ECO: Evidences of a Dynamic Correlation Index. Economic Modeling, 7(21), 1-19. (in Persian)
44. Salas G.J. (2014), "The Reaction of Government Spending to the Business Cycle: Some International Evidence", Fordham University Department of Economics Discussion Paper No. 2014.2.
45. Salmanpor, A. and Jahandideh, F. and Bohloli, P. (2011). The Relationship Between Investment in Housing Sector and Business Cycles During 1959-2006 in Iran. Economic Modeling, 5(13), 125-144. (in Persian)
46. Serletis Apostolos and Libo Xu (2020). Functional monetary aggregates, monetary policy, and business cycles, Journal of Economic Dynamics and Control, Volume 121, 103994.
https://doi.org/10.1016/j.jedc.2020.103994 [DOI:10.1016/j.jedc.2020.103994.]
47. Shaygani B, Abolhasani A, salami A B, Khochiani R. (2014). To Asses Symmetry Of Business Cycle Using Wavelet Analysis Approach. jemr. 5 (17) :171-195 (in Persian)
48. Sims, C.A. (1980), Comparisons of Interwar and Postwar Business Cycles: Monetarism Reconsidered, American Economic Review, May. [DOI:10.3386/w0430]
49. Sims, C.A. (1983), Is There a Monetary Business Cycle?, American Economic Review, May
50. Snowdon Brian, Howard Vane, and Peter Wynarczyk (1994) A Modern Guide to Macroeconomics: An Introduction to Competing Schools of Thought Brookfield, VT and Aldershot, UK: Edward Elgar, . ISBN 1-8527-888-28.
51. Sulliran, A., & Sheffrin, S. M. (2006). Economics: Principles Inaction, Pearson Prentice Hall, California.
52. Taghipour, A. And Isfahanians, H. (2016). Analysis of Business Cycles of Oil Shocks and Government Expenditures and Their Impact Mechanism on Macroeconomic Variables DSGE Approach, Financial Economics, 10 (35), 75-102. (in Persian).
53. Th.Konstantinou , Panagiotis And romachi Partheniou (2021). The Effects of Government Spending Over the Business Cycle: A Disaggregated Analysis for OECD and Non-OECD Countries, The Quarterly Review of Economics and Finance, Volume 80, Pages 809-822. [DOI:10.1016/j.qref.2019.09.017]
Send email to the article author
| Rights and permissions | |
 | This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License. |
