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۱Reinvestigation of Oil Price–Stock Market Nexus in Iran: A SVAR Approach
نویسنده(ها): ،
اطلاعات انتشار: Iranian Economic Review، نوزدهم،شماره۳۹، ۲۰۱۵، سال
تعداد صفحات: ۱۰
In this paper we investigate the effect of oil price shocks on stock market index in Iran, by using of a structural VAR (SVAR) approach. We used four variables in the model namely Kilian index, global oil supply, real oil price and real stock market index. The data are monthly and spanning the period 1997M10–2014M12. We identify the effect of four different shocks on stock market including oil supply shock, aggregate demand shock, other oil–specific shock and other stock–specific shock. Empirical evidences from impulse response functions (IRFs) indicate that oil supply shock is not significant, and the impact of other three shocks persists for about 3, 6 and 2 months respectively. Variance decomposition (VD) of stock market index indicates “other stock–specific shock” is the most important explainer of its variations. These findings are consistent with the findings of other oil–exporting countries including Saudi Arabia, Kuwait, Mexico, Norway, Russia, Venezuela and Canada except the effect of oil supply shock in variance decomposition of stock market index.

۲Aggregate and Disaggregate Energy Consumption Relation with GDP: Evidence for Iran
نویسنده(ها): ،
اطلاعات انتشار: Iranian Economic Review، بيستم،شماره۴۳، ۲۰۱۶، سال
تعداد صفحات: ۱۲
In this paper we investigated total energy consumption and its individual forms (oil, natural gas, electricity, renewable energies and coal) relationship with real gross domestic product (GDP) in Iran. We employed Hsiao’s (1981) methodology and annual data which cover 1967–2010 for investigation. The empirical findings indicate there is bidirectional causality effect with real GDP and total energy consumption as well as its three individual forms including, oil, natural gas and electricity. Therefore we can accept feedback hypothesis about total energy consumption–GDP linkage. There is not any causality effect with other individual forms of energy such as renewable energies and coal with GDP. These results are not too surprising for Iran, because share of oil, natural gas and electricity is higher than other forms of energy.
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