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Evaluating the Effect of Oil Revenue Shocks on the Stock Market Index in Iran: Application of Markov Switching Vector Autoregressive Model
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Soheil Roudari1   , Amirmansour Tehranchian * 2, Pegah Zarei3 , Hamid Kakaei4 |
1- Ferdowsi University
2- university of mazandaran , m.tehranchian@umz.ac.ir
3- university of mazandaran
4- ISLAMIC AZAD UNIVERSITY OF SOUTH TEHRAN |
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Abstract: (2003 Views) |
| The results show that if the stock index be in the low regime, the positive shock of oil revenues, liquidity, inflation, exchange rate and government debt to the banking network will lead to an increase in the stock index and the shock of economic growth will lead to a decrease in the stock index over time. when the stock index be in the high regime, the shock of the research variables has different behavior in different time periods. Given the high share of oil revenues in the countrychr('39')s budget and also its high share in explaining changes in the stock index, the dependence of the countrychr('39')s economy on oil revenues should be reduced as much as possible, while external shocks such as changes in oil revenues and oil sanctions happened, liquidity, inflation, exchange rate and government debt to the banking network and ultimately the countrychr('39')s economic growth are not so affected that the outcome can be effective in shaping the real behavior of the stock market and if stock market index increased for external shocks, high liquidity that created in the stock market do not lead to harmful economic effects. |
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| Keywords: Stock Market Index, Oil Revenues, Budget Deficit, Exchange rate, MS-VAR Model. |
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Full-Text [PDF 1240 kb]
(827 Downloads)
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Type of Study: Research |
Subject:
Energy Economic
Received: 2020/12/7 | Accepted: 2021/05/23 | Published: 2021/09/1 | ePublished: 2021/09/1
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