Oil Price Changes and Total Productivity Fluctuations in an Oil‐Exporting Country

17 Pages Posted: 7 Jun 2011

See all articles by Hossein Kavand

Hossein Kavand

affiliation not provided to SSRN

Asghar Shahmoradi

University of Calgary - Department of Economics; International Monetary Fund (IMF)

Date Written: June 2011

Abstract

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.

Suggested Citation

Kavand, Hossein and Shahmoradi, Asghar, Oil Price Changes and Total Productivity Fluctuations in an Oil‐Exporting Country (June 2011). OPEC Energy Review, Vol. 35, Issue 2, pp. 157-173, 2011. Available at SSRN: https://ssrn.com/abstract=1859130 or http://dx.doi.org/10.1111/j.1753-0237.2011.00188.x

Hossein Kavand

affiliation not provided to SSRN

No Address Available

Asghar Shahmoradi (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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