Document Type : Research Paper
Authors
Central Tehran Branch, Islamic Azad University, Tehran, Iran
Abstract
The diversity and complexity of the export portfolio is one of the requirements for upgrading the production structure. But since Iran's economy depends on oil revenues, it has little diversification. Therefore, it is always exposed to adverse external shocks, and it becomes important to study the structure of dependence between oil rents and the non-oil economy. In order to model the dependence, data on oil rents, GDP, services value added, manufacturing value added, merchandise trade, and bank credit from 1970 to2020 were used. Also, due to the dependence of government expenditures on oil revenues, non-linearity, asymmetry in the data and asymmetric distributions, univariate and bivariate Vine copula functions were used. The research results show that in the first tree of the C-Vine model, there is a strong and asymmetric association, especially in the upper tail, between oil rents, GDP, merchandise trade and bank credit. In other words, the impact of a positive shock is greater than a negative shock. In addition, a positive Symmetric correlation was observed between oil rents and the services added value. A stronger correlation at left tail between oil rents and manufacturing value added a greater effect of the negative shock. Therefore, macroeconomic stabilization policies did not succeed in protecting the Iranian economy in the event of oil shocks, and the diversification model did not lead to a flexible structure.
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