Oil Price Changes and Total Productivity Fluctuations in an Oil‐Exporting Country
affiliation not provided to SSRN
University of Calgary - Economics
OPEC Energy Review, Vol. 35, Issue 2, pp. 157-173, 2011
This paper estimates a dynamic stochastic general equilibrium model to investigate how oil price changes can affect the technological fluctuations in an oil‐exporting country like Iran. Focusing on Iran as an example of a resource‐intensive emerging economy, the paper uses the Blanchard–Kahn approach and the Kalman filter method to estimate unobservable technological deviations from its steady state. The estimated model simulates the stylised facts of the comovement, standard deviation and persistence of the cyclical components of macroeconomic variables. Based on these results, there is a positive correlation between oil price changes and the estimated technological fluctuations. In addition, this positive relationship is stronger in the period of accumulated positive oil price shocks, such as during the March 2003 to April 2007 period. The results show that oil price changes can be used as an indicator to predict the technological fluctuations in this economy.
Number of Pages in PDF File: 17Accepted Paper Series
Date posted: June 7, 2011
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