6907

6449

كارشناسي ارشد

برنامه ريري سيستم هاي اقتصادي

اصفهان: دانشگاه صنعتي اصفهان، دانشكده صنايع و سيستم ها

1390

سيزده، 140ص.: مصور، جدول، نمودار

ص.ع. به فارسي و انگليسي

غلامعلي رئسي اردلي

نادر شتاب بوشهري

11/5/91

اكبر توكلي،فريماه مخاطب رفيعي

1396/09/14

كتابنامه

صنايع و سيستم ها

مهندسي صنايع و سيستم ها

ID6449

به فارسي و انگليسي: قابل رويت در نسخه ديجيتالي

The asymmetric effects of oil Price on Iranian Business Cycles A Markov Switching Approach Morteza Salehi Sarbijan m salehisarbijan@in iut ac ir Date of Submission 2011 09 05 Department of Industrial Systems Engineering Isfahan University of Technology Isfahan 84156 83111 Iran Degree M Sc Language FarsiSupervisor Gholam Ali Raisi Ardali raissi@cc iut ac irAbstractBusiness cycles in every country explain fluctuations in national production so that these fluctuations playimportant roles in performance of each country The reason of importance of studying business cycles arethat economic planning without understanding of how fluctuations in GDP and cause of these fluctuations is not seem effective So the roles of oil shock as an effective factor in recognizing of these cycles are veryimportant Also economic dependence of Iran to oil causes in volatility of oil price the economy meetcrisis Purpose of this thesis is determining and solving of Iran cycles and effect of oil price fluctuation on thesecycles using Markov switching model In this case Markov switching model MSM ARMA are proposedfor determining business cycles The result of model for US GNP shows that the above model explains theUS business cycles better than Hamilton model In line with the main objective of research proposed model for Iran business cycle is estimated by using ofquarterly data 1367 1 1387 2 and result of this estimation showed that economic of Iran despite ofhaving two periods of recession 1371 3 1371 4 and 1374 1 1374 2 is out of recession with moderategrowth and also experienced growth with high rate in early period of studying Also the possibility ofresistance of recession regimes with moderate and high growth is 0 3 0 92 and 0 5 respectively The resultsshow the economic tend to stay in moderate growth regime For analyzing effects of oil price shocks on production and business cycles was done by using twomethods The first method was extracting of oil price shocks by using Markov switching model andestimation long run relation by using the pattern accumulation Johansen Juselius The results suggest thathypothesis of symmetry of positive and negative oil shocks on production is been rejected so we can inferthat the effects of negative and positive shocks on production are different Asymmetry in effects ofnegative and positive shocks of oil price is verified in recession and boom periods Furthermore the effectsof negative oil shocks in recession or boom periods are more than positive shocks Second method implies the effect of oil price fluctuation on average business cycles and probability of thetransition by using Markov switching model The results showed that the increasing the price of oil decrease the probability of resistance of recession regime and increase transition from this regime toanother regime with moderate growth But when negative oil shock variables in model is used averagerecession regime decrease and also increase the possibility of resistance of recession regime and decreasethe possibility of transition from this regime to the regimes with high and moderate growth According tothese results when the oil price shock with the difference of first degree is used they will have a goodexplanation Keywords Business cycle Markov switching Transition probability Johansen Juselius Oil price shocks

غلامعلي رئسي اردلي

نادر شتاب بوشهري

اكبر توكلي،فريماه مخاطب رفيعي