Examine Dutch disease phenomena and oil shock influence on the Iran's macroeconomic variables by copula approach

Mehrgan, Nader; Daneshkhah, Alireza; Chatrabgoun, Omid; Ahmadi, Rouhollah; Tishekani, Faribourz

doi:10.22059/jte.2014.51800

Examine Dutch disease phenomena and oil shock influence on the Iran's macroeconomic variables by copula approach

Document Type : Research Paper

Authors

Nader Mehrgan ¹

Alireza Daneshkhah ²

Omid Chatrabgoun ³

Rouhollah Ahmadi ⁴

Faribourz Tishekani ⁵

¹ Associate Professor, Department of Economics, Bu-Ali Sina University, Hamedan, Iran

² Assistance Professor, Cranﬁeld Water Science Institute, School of Applied Sciences, Cranﬁeld University, Cranﬁeld, MK43 0AL, UK.

³ Assistance Professor, Faculty of Mathematics and statistic science, University of Malayer, Iran

⁴ MA., Islamic Azad University of Science and Research of Ahvaz, Iran

⁵ Payamnour University, Harsin, Kermanshah, Iran

10.22059/jte.2014.51800

Abstract

In this paper, we examine influence oil shocks on macroeconomic variables and Dutch disease phenomena when these variables encountered positive oil revenue shocks. Statistical model which is copula approach is used to show when Iran's macroeconomic variables encountered positive oil revenue casus Dutch disease and oil revenue has non-symmetric influence on the growth economic. In another word, growth economic is independent of positive and negative oil revenue shocks.

Keywords

Asymmetric Effect

Copula

Dutch diseases

Economic Growth

tail dependency