Omolbanin Jalali; Madjid Hatefi Madjumerd
Abstract
The government budget dependency on oil revenues, in Iranian economy, make the oil price important; so the oil price is one of the most important pillars of the policy for policymakers. The existence of bubble in the oil market makes oil prices more important than before because in these conditions, ...
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The government budget dependency on oil revenues, in Iranian economy, make the oil price important; so the oil price is one of the most important pillars of the policy for policymakers. The existence of bubble in the oil market makes oil prices more important than before because in these conditions, decision-making is difficult for policy makers. The purpose of this study is applying a recursive unit root tests (GSADF, RADF, SADF) to investigate whether there exist multiple bubbles in Iranian crude oil market. The method delivers a consistent date stamping strategy for origination and termination of bubbles. Our results indicate that these tests are approximately overlapped and their results are relatively the same. The results of GSADF test indicate that there exists 7 bubbles in the period of 01/1980 to 03/2014, in which an average of the bubbles period (almost 15 months) is from 06/2007 to 09/2008 and the lowest bubble period (approximately 1 month) is from 02/2012 to 03/2012. Specifically, the results show that oil price contains the fundamentals and bubble components; the dates of the bubbles correspond to specific events in the politics and financial markets. These findings have important implications to recognize the cause of bubbles and take corresponding measures to reduce the impact on the real sector of economy.
Shahram Golestani; Majid Hatefi Majomard Majid Hatefi Majomard; Umm al-Banin Jalali
Volume 2, Issue 6 , April 2013, , Pages 151-182
Abstract
The study has calculated the price path, extraction path and discounted profit for GECF and fringe group with use of genetic algorithm on the basis of Price leadership and collusion models. In this regard, members of "Gas Exporting Countries Forum" have been considered as a pricing cartel and other producers ...
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The study has calculated the price path, extraction path and discounted profit for GECF and fringe group with use of genetic algorithm on the basis of Price leadership and collusion models. In this regard, members of "Gas Exporting Countries Forum" have been considered as a pricing cartel and other producers as the fringe group. For this purpose, annual data (1980-2010) is used for forecasting of studied trends up to year 2070.the result from price leadership model show that world gas demand Increases linearly over the time and it Increases exponentially. On this basis the supply of fringe group also grows increasingly, and the cartels supply (that is the margin between world demand and fringe supply) grows decreasingly. The results from collusion solution indicates that extraction trend is slower in compared with the price leadership solution and the price and profit in collusion solution is more than price leadership solution.
