fa بررسی اثر بی ثباتی قیمت نفت بر رشد اقتصادی ایران قيمت گذاري قيمت گذاري پژوهشي Research <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span lang="AR-SA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">در این مقاله به بررسی اثر نوسانات قیمت نفت بر رشد اقتصادی ایران می‌پردازیم. داده های پژوهش فصلی و از سال 1370:1 الی 1400:۴ میباشند. بـه ایـن منظـور ابتـدا شـاخص بی ثباتی قیمت نفت از طریق مدل</span></span></span><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%"> GARCH </span></span><span lang="AR-SA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">برآورد، سپس روابط متقابل متغیرهای مـدل بـا استفاده از روش خودرگرسیون بـرداری</span></span></span> <a href="#_ftn1" name="_ftnref1" title=""><span class="MsoFootnoteReference" style="vertical-align:super"><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%"><span class="MsoFootnoteReference" style="vertical-align:super"><span style="font-size:14.0pt"><span style="line-height:107%"><span calibri="" style="font-family:">[1]</span></span></span></span></span></span></span></a><span lang="AR-SA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">بررسـی و در ادامـه رابطـه ی بلندمـدت بـین متغیرها نیز با استفاده از روش هم‌انباشتگی جوهانسن- جوسیلیوس استخراج شده است</span></span></span><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%">. </span></span><span lang="AR-SA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">بر اساس توابع عکس العمل آنی، تکانه ی قیمت نفت تأثیر منفی بر تولیـد داشـته است . هـمچنـین بـا توجـه بـه رابطه ی بلندمدت برآورد شده طی دوره ی زمانی مورد مطالعه، متغیرهای مخارج مصرفی بخـش خصوصی، سرمایه گذاری و خالص صادرات، تأثیر مثبت و معنی داری بر تولیـد ناخـالص داخلـی داشته اند که این نتایج با مبانی نظری تحقیق سازگارند. در بلندمدت متغیر قیمت نفت تأثیر مثبت و بی ثباتی قیمـت نفت تأثیر منفی بر تولید ناخالص داخلی داشته اند. با توجه به وابستگی شدید اقتصاد کـشور بـه نفت و درآمدهای نفتی، نتایج مذکور قابل قبول میباشند.</span></span></span> <span lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">همچنین از نتایج دیگر تحقیق این است که اثر افزایش قیمت نفت در تمام موارد معنی دار و بیشتر از اثر کاهش قیمت نفت بوده است. همچنین نتایج نشان میدهند که شوک پولی در کنار شوک قیمتی نفت اثر قابل توجهی بر تولید ناخالص داخلی دارند.</span></span></span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span style="font-family:"B Nazanin""></span></span></span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">واژگان کلیدی:</span></span></span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span lang="AR-SA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">بی ثباتی قیمت نفت، تولید ناخـالص داخلـی، هـم انباشـتگی جوهانـسن</span></span></span> <span lang="AR-SA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">جوسیلیوس، </span></span></span>&nbsp;<span lang="AR-SA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">، مدل</span></span></span><span lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:"> گارچ</span></span></span><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%"></span></span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span style="font-family:"B Nazanin""></span></span></span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="line-height:107%"><span calibri="" style="font-family:"><span dir="RTL" lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">:</span></span></span> <span style="font-size:14.0pt"><span style="line-height:107%">JEL</span></span><span dir="RTL" lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:"> طبقه بندی</span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">32</span></span></span><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%"> , Q</span></span><span lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span b="" nazanin="" style="font-family:">43</span></span></span><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%">E</span></span><span lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span style="font-family:"B Nazanin""></span></span></span></span></span></span></span></span> <div>&nbsp; <hr align="left" size="1" width="33%" > <div id="ftn1"><span style="font-size:10pt"><span calibri="" style="font-family:"><a href="#_ftnref1" name="_ftn1" title=""><span class="MsoFootnoteReference" style="vertical-align:super"><span class="MsoFootnoteReference" style="vertical-align:super"><span style="font-size:10.0pt"><span style="line-height:107%"><span calibri="" style="font-family:">[1]</span></span></span></span></span></a> VAR<span dir="RTL" style="font-family:"Arial","sans-serif"" lang="FA"></span></span></span></div> </div> <span style="font-size:11pt"><span style="line-height:normal"><span calibri="" style="font-family:"><span style="font-size:14.0pt"><span style="font-family:" var="">This article examines the effect of oil price fluctuations on Iran&#39;s economic growth. The research data are quarterly and cover the period from 1991:1 to 2021:4. For this purpose, first the oil price instability index is estimated using the GARCH model, then the mutual relationships between the model variables are examined using the vector autoregressive (VAR) method, and finally the long-term relationship between the variables is extracted using the Johansen cointegration method.</span></span></span></span></span><br> <span style="font-size:11pt"><span style="line-height:normal"><span calibri="" style="font-family:"><span style="font-size:14.0pt"><span style="font-family:" var="">Based on the impulse response functions, the oil price shock has had a negative impact on production. Also, according to the estimated long-term relationship during the study period, the variables of private consumption expenditure, investment, and net exports have had a positive and significant impact on GDP, which is consistent with the theoretical basis of the research.</span></span></span></span></span><br> <span style="font-size:11pt"><span style="line-height:normal"><span calibri="" style="font-family:"><span style="font-size:14.0pt"><span style="font-family:" var="">In the long run, the oil price variable has had a positive effect and the oil price instability has had a negative effect on GDP. Given the country&#39;s strong dependence on oil and oil revenues, the above results are acceptable. Another finding of the study is that the effect of an increase in oil prices has been significant in all cases and greater than the effect of a decrease in oil prices. The results also show that monetary shocks, along with oil price shocks, have a significant effect on GDP.</span></span></span></span></span><br> <span style="font-size:11pt"><span style="line-height:107%"><span calibri="" style="font-family:"><span dir="RTL" lang="FA" style="font-size:14.0pt"><span style="line-height:107%"><span style="font-family:"B Nazanin""></span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%">Keywords: GDP ,&nbsp; GARCH Model, oil price volatility , Johansen cointegration test</span></span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%"></span></span></span></span></span></span></span><br> <span style="font-size:11pt"><span style="direction:rtl"><span style="unicode-bidi:embed"><span style="line-height:107%"><span calibri="" style="font-family:"><span dir="LTR" style="font-size:14.0pt"><span style="line-height:107%">Jel classification:Q32, E43</span></span></span></span></span></span></span><br> &nbsp; بی ثباتی قیمت نفت, تولید ناخـالص داخلـی, هـم انباشـتگی جوهانـسن جوسیلیوس, , مدل گارچ GDP , GARCH Model, oil price volatility , Johansen cointegration test 243 257 http://iiesj.ir/browse.php?a_code=A-10-1-47&slc_lang=fa&sid=1 Gh. Ali Rahimi غلامعلی رحیمی alirahimigh2000@yahoo.com 10031947532846007821 10031947532846007821 Yes موسسه مطالعات بین المللی انرژی،تهران،ایران Melika Ashoori ملیکا آشوری melika.ashoori8160@gmail.com 10031947532846007822 10031947532846007822 No موسسه مطالعات بین المللی انرژی،تهران،ایران