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Paper Information

Journal:   JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW)   SUMMER 2014 , Volume 11 , Number 2 (41); Page(s) 115 To 143.
 
Paper: 

INVESTIGATING ON THE IMPACT OF FINANCIAL MARKET ON THE PRICE OF HEAVY CRUDE OIL OF IRAN

 
 
Author(s):  RAZAVI SEYYED ABDOLLAH, SALIMIFAR MOSTAFA*, MOSTAFAVI SAYYED MAHDI, BAKI HASKUEE MORTAZA
 
* ECONOMICS DEPARTMENT, FERDOWSI UNIVERSITY OF MASHHAD
 
Abstract: 

Due to the importance of oil revenue, studying the causes of oil price changes and attempt to produce predicting models is one of the most important issues in Iran’s economy. On the other hand, oil price volatility leads to difficulties in development planning. Empirical studies show that volatilities in oil prices have made structural bottlenecks in all aspects of Iran’s economy. Thus, understanding the mechanism of oil price formation can reduce the risk of oil price volatility and its negative impacts on Iran's economy. With the development of oil stock and oil futures market, the crude oil price formation has been changed in oil market. Thus, in short-term by changing the interest rate, the cash flow between financial markets and oil markets, diverts the crude oil price in its long term direction. In this paper, having the relationship between mentioned markets in short-term, the crude oil price diversion from its long-term direction is investigated. Using daily time series data of Iran's heavy crude oil for the period of 2005-13 and employing Fisher price jump model, Frankel theory, and multivariate GARCH technique, the relationship between different markets are estimated. The results show that using Urals crude oil price, in pricing strategy, gives a false signal in determining crude oil price in the Mediterranean and North West Europe markets.

 
Keyword(s): IRAN'S HEAVY CRUDE OIL, ICE, URALS CRUDE OIL, STOCK MARKET INDEX AND INTEREST RATE
 
References: 
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  Persian Abstract Yearly Visit 99
 
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