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The impact of global oil supply and demand shocks on the exchange rate of oil exporting countries with an emphasis on Iran's special situation: MS and SVAR Approaches
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Zeynab Asadian *   1 |
| 1- University of allameh tabataba , shokoh62@gmail.com |
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Abstract: (236 Views) |
For policymakers, researchers and investors, the price of crude oil is one of the most important factors affecting all economic factors such as inflation rate, economic growth rate, gross domestic product, foreign exchange income, etc. The exchange rate is not simple. Based on this, in the present study, the impact of global oil supply and demand impulses on the exchange rate of oil exporting countries has been investigated, emphasizing the special situation of Iran. The statistical population of the present research is 8 countries of Saudi Arabia, Russia, America, Kuwait, Nigeria, Libya, Iran and Oman, which have the highest oil export ranking in 2022, during the period of 2001 to 2022. In order to analyze the data, SVAR structural vector autoregression method and MS Markov switching model method were used. it was found that in all the studied countries, the impact of oil supply shocks on the exchange rate in the selected oil exporting countries was significant. Also, the impact of oil demand shocks and specific oil demand on the exchange rate was significant. Finally, it was observed that in the studied countries, the impact of total demand shocks on the exchange rate was greater than the total supply.
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| Keywords: Oil supply shocks, Oil demand shocks, Exchange rate, Markov Switching and svar Model |
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Full-Text [PDF 6002 kb]
(92 Downloads)
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Type of Study: Thesis(PhD.) |
Subject:
Oil-Market
Received: 2024/02/25 | Accepted: 2024/07/24 | Published: 2024/07/31 | ePublished: 2024/07/31
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