• سیاستگذاریهای اقتصادی و مالی در حوزههای فوقالذکر در سطوح ملی، منطقهای و جهانی
Sarah Akbari; Teymour Mohamadi; Hamid Reza Arbab; Reza Taleblou
Abstract
Oil prices and other oil-products prices are connected to each other and their price volatilities are parallel. Firms which are using crude oil in their products are facing a risk of price volatility which has different reactions in each era and is known under different oil regimes. For example lubricant ...
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Oil prices and other oil-products prices are connected to each other and their price volatilities are parallel. Firms which are using crude oil in their products are facing a risk of price volatility which has different reactions in each era and is known under different oil regimes. For example lubricant industry is completely connected to the oil price. With this philosophy when the economy faced volatility the market players faced loss and so to overcome this issue they began to hedge themselves with another commodity. This hedging process in different regimes has different rates. So there is a need to introduce a new model. From the work of Hamiltonian (1989) oil price has its own volatility and regimes so to this attitude there is an effort to calculate an efficient hedging ratio with regime switching dynamic constant correlation. In this article, monthly data of oil and gold prices for about 10 years from 2010 till 2020 is used and the model is programed with MATLAB. The result showed that the efficient hedge ratio for the first regime (first major change in price of two markets) is 66 percent and the second (second major change in price of two markets) one is 26 percent.
mahtab mehrasa; Teymour Mohamadi
Abstract
Regarding the role of the energy market, especially oil, on the economy of countries, it is important to identify the future evolution of the market. In this respect, predicting the changeable extreme evolution of the oil price is crucial for decision and policy makers. This study attempts to investigate ...
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Regarding the role of the energy market, especially oil, on the economy of countries, it is important to identify the future evolution of the market. In this respect, predicting the changeable extreme evolution of the oil price is crucial for decision and policy makers. This study attempts to investigate the maximum changes of OPEC’s oil price by employing the concept of Value at Risk. To this end, GARCH family models based on the normal and extreme distribution were used, and it is expected that the focus on the latter in forecasting Value at Risk, especially in the face of extreme events, may end up in more realistic results. The results of the backtesting of models show that the ARMA-GARCH-EVT model predicts better than the other ones.
Shahryar Zaroki; Mani Motameni; Amirhossein Fathollahzadeh
Abstract
Assessing the value of petrochemical industries on the one hand as strategic industries in the provision of raw materials of other parts and on the other hand, given the high weight of the formation of the stock market in Tehran, it is important. This industry, while influencing developments in other ...
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Assessing the value of petrochemical industries on the one hand as strategic industries in the provision of raw materials of other parts and on the other hand, given the high weight of the formation of the stock market in Tehran, it is important. This industry, while influencing developments in other markets, especially the oil market, which has a significant impact on other markets, in particular the financial market. The stock prices of the petrochemicals in the stock market are heavily dependent on the price of petrochemical products, as well as the high dependence on oil price changes on global markets. Therefore, the analysis of the relationship between petrochemical price and oil price requires an asymmetrical model. In this study, the effect of oil price on value of the petrochemical industry in asymmetric shape in 2008-2017 periods daily basis has been analyzed using model Shin et al (2014). For this purpose, a nonlinear autoregressive distributed lag (NARDL) approach has been used. The findings indicate that these industries could be the channel for transferring global oil price fluctuations to the total stock market in Tehran. In the short term, anonymity is confirmed by the impact of the oil price on the value of the petrochemical industry. As oil prices decline, the value of petrochemicals decreases, but with increasing oil prices there will not be an increase in the value of petrochemicals. In the long run, oil prices are ............
Fatemeh Hajisami; Mohammod Hossin Mahdavi Adeli; Narges Salehnia
Abstract
Among energy carriers, the role of oil is more remarkable in economic development of developed and developing countries. But the fluctuations in oil price, existence of constant challenges between suppliers and demanders, the beginning of descending trend of production and promoting the energy security ...
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Among energy carriers, the role of oil is more remarkable in economic development of developed and developing countries. But the fluctuations in oil price, existence of constant challenges between suppliers and demanders, the beginning of descending trend of production and promoting the energy security in its consuming countries have caused besides oil, its substitutes find specific importance. Development and extraction of unconventional resources on one hand have made changes in reservoirs ranking in different areas of the world and has weakened the dependency of consuming countries and on the other hand, it has affected the changing trend of oil price. In this respect, the present study investigates the causal relationship between oil price and supplying unconventional oil and gas during time period of 2000-2015. Two techniques named Granger technique and Toda and Yamamoto technique have been used to investigate the causal relationship. The results of the research show that in all studying period (2000-2015) the unconventional supply is the strong and direct cause for oil price and the indirect and weak price are introduced as the causes of unconventional supply. Also, based on the results, the strong impact of financial markets on the supply of unconventional resources and oil prices has been achieved. On the other hands the results show that unconventional supply will affect the supply of OPEC in the long term (2000-2015). Therefore, this achievement for OPEC countries, as well as Iran, can be used as a result of a strategic change in production policy.
Mohammadhossein Mahdavi Adeli; Azam Ghezalbash; Mohammad Daneshnia
Volume 1, Issue 3 , July 2012, , Pages 131-170
Abstract
Iran is one of major oil producers and exporters in the world. Since the crude oil export is a major source of Iran’s income, it indirectly influences the country’s other economic activities. The aim of this paper is to investigate the effect of oil price changes on major macroeconomic ...
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Iran is one of major oil producers and exporters in the world. Since the crude oil export is a major source of Iran’s income, it indirectly influences the country’s other economic activities. The aim of this paper is to investigate the effect of oil price changes on major macroeconomic variables including gross domestic product, government capital expenditures, money supply and inflation rate in Iran during 1971-2007 period. A vector Autoregression (VAR) model is estimated for this purpose. Impulse Response Function (IRF), the Forecast Error Variance Decomposition (FEVD) are then utilized to analyze the results. The major findings are as follows: 1-Gross domestic product, government capital expenditures, money supply and inflation rate are positively affected by oil price fluctuations. 2-Forecast Error Variance Decomposition analysis, indicates that oil price plays a major role in explaining inflation rate and money supply, but it’s role with regard to gross domestic product and government capital expenditures is secondary.
