Paper Information

Journal:   INTERNATIONAL ECONOMICS STUDIES (RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES))   2015 , Volume 45 , Number 1; Page(s) 21 To 38.
 
Paper: 

DATING BUSINESS CYCLE IN OIL EXPORTING COUNTRIES

 
 
Author(s):  BACCHIOCCHI EMANUELE, SARZAEEM ALI*
 
* FACULTY OF ECONOMICS, ALLAMEH TABATABAEI UNIVERSITY, TEHRAN, IRAN
 
Abstract: 

In this paper, we empirically investigate the relationship between oil price changes and output in a group of oil exporting countries. The dynamics of business cycles in Libya, Saudi Arabia, Nigeria, Kuwait, Venezuela and Qatar are modeled by alternative regime switching models. We show that the extension of uni-variate Markov Switching model in order to include oil revenue improves dating business cycles in these economies. For all countries, the optimal specification suggested by the data is to consider three cycles or regimes, namely, high growth, mild growth, and recession. These three regimes can be associated to high positive oil shock, mild positive oil shock and negative oil price shock. An interesting finding of the paper is that there is a variety of relationships between oil price shocks and business cycles.
Thus, in order to see the effects of an oil price shock one should take into consideration the economic regime when the oil price shock hits the economy. Therefore, it is not possible to talk about a general relationship between oil price shocks and macroeconomic variables for all the main oil exporting countries.

 
Keyword(s): BUSINESS CYCLE, OIL EXPORTING COUNTRIES, MARKOV SWITCHING MODEL, OIL PRICE SHOCK
 
References: 
  • ندارد
 
  pdf-File tarjomyar Yearly Visit 27
 
Latest on Blog
Enter SID Blog