• سیاستگذاریهای اقتصادی و مالی در حوزههای فوقالذکر در سطوح ملی، منطقهای و جهانی
Mohsen Eslami; Alireza Najjarpour
Abstract
There is good reason to expect crude oil prices to follow nonlinear models. However, previous research has considered the linear assumption to investigate the existence of a unit root. Unit root linear tests such as ADF, PP, and KPSS are provided for linear models. These tests are not suitable for nonlinear ...
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There is good reason to expect crude oil prices to follow nonlinear models. However, previous research has considered the linear assumption to investigate the existence of a unit root. Unit root linear tests such as ADF, PP, and KPSS are provided for linear models. These tests are not suitable for nonlinear time series. Because the model deviation from the linear state may be considered as a random permanent deviation. The purpose of this article is to test the nonlinear unit root of crude oil prices, specifically Brent and WTI oil in the period 2019-2020 daily. For several decades now, various classes of nonlinear models have been introduced. These models introduce a wider range of dynamics than linear models in time series. A special type of these models that economists pay attention to are TAR models. In these models, as in linear models, valid statistical analysis requires distinguishing between the deterministic trend and the stochastic trend. In this study, the Bayesian unit root test for the general SETAR (1) model has been used with respect to the necessary and sufficient conditions for the maintenance of SETAR processes based on the article by Petrocyl and Wolford (1984). A nonlinear unit root test was performed using Bayesian validity interval. The results show that Brent crude oil prices in both regimes contain a unit root that is consistent with similar findings for the production or consumption of crude oil..
• سیاستگذاریهای اقتصادی و مالی در حوزههای فوقالذکر در سطوح ملی، منطقهای و جهانی
mojtaba rostami; Alireza Najjarpour
Abstract
The price of crude oil is one of the most important indicators of the global economy, which is monitored by policymakers, producers, consumers, and participants in financial markets. Oil prices are changing course depending on economic conditions, which is why it is so volatile. The knowledge of researchers, ...
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The price of crude oil is one of the most important indicators of the global economy, which is monitored by policymakers, producers, consumers, and participants in financial markets. Oil prices are changing course depending on economic conditions, which is why it is so volatile. The knowledge of researchers, policymakers, and stakeholders about the impact of crises on the oil market provides better control over its negative consequences. Studies show that as a result of various crises, the Volatility Persistence of the oil market is very high. Therefore, it makes sense to consider the hypothesis of a unit root in the Volatility shocks of this market. In the present study, the long-term Volatility Persistence shocks due to the Covid-19 epidemic crisis in the Brent and WTI oil markets, which are the two criteria for determining global oil prices, are investigated using a test proposed by Lee and Yu (2010). The results of this study indicate the existence of a unit root in oil market turbulence. Therefore, the oil market and the economic climate are long-term affected by the effects of this crisis. This can have a significant impact on the revenues of exporting countries and investors in the crude oil sector. Thus, market players and governments need to assess the consequences of this crisis more carefully
