The Impact of Oil Price Volatility on the Economic Growth in Iran: An Application of a Threshold Regression Model

Oil price volatility is one of the main reasons for the economic crisis in the world. Therefore, investigate the relationship between volatility in oil prices and economic growth in an oilexporting country has special significance. In the present paper, the impact of oil price volatility on the economic growth in Iran has been tested by using the Threshold Regression (TR) model on time series data 1980-2014 extracted from the Central Bank of Iran (CBI). Findings of this study show that the oil price volatility equal to 1147.77 acts as a threshold value. Also, due to the fact that the coefficient of oil price volatility has decreased in the second regime compared to the first one, the effectiveness amount of the oil price volatility on economic growth has decreased over time. Keywords: Oil Price Volatility, Economic Growth, Threshold Regression Method, Economy of Iran. JEL Classifications: C51; E20; O40

El impacto de las fluctuaciones del precio del petróleo en el poder de préstamo bancario en Irán: una aplicación del enfoque GMM

The abundance of oil resources and the dependence of the state budget on crude oil exports have exposed Iran's single-product economy to oil price fluctuations and its consequences. On the other hand, according to the country's financial system and its being bank-centric, one of the sectors that are constantly affected by oil price fluctuations is the banking system and its performance. To this end, the present study investigated the impact of oil price fluctuations on lending power of specialized banks in Iran using seasonal data from 1999 to 2018 using by Generalized Method of Moments (GMM). The results of this study indicate that during the period under review, oil price fluctuations has been a negative and significant effect (coefficient of -0.01) on the credit growth of specialized banks. In addition, GDP growth and inflation have been, respectively, a positive and negative effect (coefficients of 0.09 and -0.09) on the lending power of specialized banks during the period under review.La abundancia de recursos petroleros y la dependencia del presupuesto estatal de las exportaciones de petróleo crudo han expuesto la economía de un solo producto de Irán a las fluctuaciones del precio del petróleo y sus consecuencias. Por otro lado, de acuerdo con el sistema financiero del país y su bancarización, uno de los sectores que se ve constantemente afectado por las fluctuaciones del precio del petróleo es el sistema bancario y su desempeño. Con este fin, el presente estudio investigó el impacto de las fluctuaciones del precio del petróleo en el poder de préstamo de los bancos especializados en Irán utilizando datos estacionales de 1999 a 2018 utilizando el Método Generalizado de Momentos (GMM). Los resultados de este estudio indican que durante el período bajo revisión, las fluctuaciones del precio del petróleo han tenido un efecto negativo y significativo (coeficiente de -0.01) en el crecimiento del crédito de los bancos especializados. Asimismo, el crecimiento del PIB y la inflación han tenido, respectivamente, un efecto positivo y negativo (coeficientes de 0,09 y -0,09) sobre el poder crediticio de los bancos especializados durante el período analizado

Non-linear Response of Inflation: A Real Effective Exchange Rate in Iran

Exchange rate is a variable transferring international economic shocks to domestic economy. In countries like Iran who are experiencing a high inflation and whose GDP as well as consumption expenditures are mostly dependent on imports and foreign capital flows, exchange rate changes and its effects needs to be carefully monitored by policy makers and economic researchers. The purpose of the present paper is to measure a nonlinear model estimating the response of inflation to Real Effective Exchange Rate (REER) in Iran. The finding based on the time series data for the period 1971-2017 and a Threshold Regression (TR) model indicates that a Real Effective Exchange Rate (REER) of 6160.27 Rials has been applied as a threshold value. In other words, based on the above threshold value, the estimated model shows exchange rate coefficient has increased somewhat from the first to the second regime