چکیده:
Oil price shocks are the major source of economic instability in oil exporting developing countries, including Iran. In this paper a Multi Sector Dynamic Stochastic General Equilibrium model, with emphasis on optimization of oil sector as a producing sector is designed. Furthermore, an optimizing import sector is introduced into the model by considering the price rigidity in imported goods as a source of inefficiency in a New Keynesian open economy. The impact of oil price shocks on the dynamics of the economic variables is considered during 1988:1-2011:1. For this purpose, the Bayesian approach is used to estimate the model. The impulse response functions show that immediately after an oil price shock, output increases in the oil sector, while in the non-oil sector the result is reverse. Furthermore, GDP, consumption and inflation increase, while the employment and real exchange rate decreases immediatelyand finally, all the variables converge to their steady state values.
خلاصه ماشینی:
"Conclusion In this paper, by using the Bayesian approach, a New Keynesian Multi sector DSGE model for Iran is designed to investigate the impact of a real oil price shock on the dynamics of economic variables.
Appendix The log-linearized equations of the model: Optimizing representative household in the form of log-linearized ~t c~t ~t h~t ~wt Et(~t1~t)Et[(1(1))q~t1j(k~j,t22k~j,t1k~j,t)] 0 i~j,t1 1[~kj,t1 (1)~kj,t] Et(~Rt ~t1 ~t ~t1) 0 Et[(~t1~t)(~st1s~t)~t1~Rt ~t] 0 f f Rt ~Rtf ~t Et~st1 Et~t1 s~t Et~tf1 ~ R~f ~Rf t f t 1Rf,t ~tf f~tf1 f,t Optimizing oil sector in the form of log-linearized ~yo,t ~Ao,t o~ko,t oh~o,t ~ ko,t ~st p~of,t~yo,t ~qt h~ot s~t p~oft ~yot ~wt , , , p~of,t p fp~of,t 1 pf,t o o Ao,t A ~Ao,t 1 A ,t ~ o o Optimizing non-oil sector in the form of log-linearized ~yno,t ~Ano,t no~Kno,t noh~no,t no~yIo,t ~ kno,t ~yno,t ~qt ~mcno,t ~ hno,t ~yno,t ~wt ~mcno,t ~yIo,t ~yno,t p~o,t ~mcno,t ~mcno,t no~qt now~t nop~o,t ~no,t Et~no,t1 (1no)(1no)~mcno,t Ano,t Ano,t 1 no ~ no no,t Optimizing import sector in the form of log-linearized ~I,t Et~I,t 1 (1I)(1I)~mcI,t I mcI,t s~t p~I,t ~ ~t no~no,t I~I,t Government sector in the form of log-linearized f g~t wh (w~t h~t)spoyo (s~t p~of,t ~yo,t) g g p~o,t (1)p~o,t 1 s~t p~of,t Monetary policy in the form of log-linearized i~t ii~t 1 (1i)y~yt (1i)no~no,t (1i)~t (1i)s~st The market clearing conditions ~yt c~ct i i~t g~gt x~xt m~mt y y y y y ht ho h~o,t hno h~no,t ~ h h kt ko ~ko,t kno ~kno,t ~ k k f f Rf (b~t R~t ~t) bf (b~t ~t) poyo(p~o,t ~yo,t) yI~yI,t b f f pofyIo(p~of,t ~yIo,t) Oil Price Shocks and Economic Fluctuations in Iran as a Small Open Oil Exporting Economy Faraji, Maryam and Afshari, Zahra Received: 5/19/2015 Approved: 5/24/2015 Abstract Oil price shocks are the major source of economic instability in oil exporting developing countries, including Iran."