Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4

This is the latest version of the Global VAR (GVAR) dataset. The GVAR is a global modelling framework for analyzing the international macroeconomic transmission of shocks, taking into account drivers of economic activity, interlinkages and spillovers between different countries, and the effects of unobserved or observed common factors. This dataset includes quarterly macroeconomic variables for 33 economies (log real GDP, y, the rate of inflation, dp, short-term interest rate, r, long-term interest rate, lr, the log deflated exchange rate, ep, and log real equity prices, eq), as well as quarterly data on commodity prices (oil prices, poil, agricultural raw material, pmat, and metals prices, pmetal), over the 1979Q2 to 2019Q4 period. These 33 countries cover more than 90% of world GDP. You can download the data, as well as a description of the compilation, revision and updating of the GVAR Database, from here: https://www.mohaddes.org/gvar $$\$$ It would be appreciated if use of the updated dataset could be acknowledged as: “Mohaddes, K. and M. Raissi (2020). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4. University of Cambridge: Judge Business School (mimeo)”

Global VAR (GVAR) Database, 1979Q2-2019Q4

This is the latest version of the Global VAR (GVAR) dataset. The GVAR is a global modelling framework for analyzing the international macroeconomic transmission of shocks, taking into account drivers of economic activity, interlinkages and spillovers between different countries, and the effects of unobserved or observed common factors. This dataset includes quarterly macroeconomic variables for 33 economies (log real GDP, y, the rate of inflation, dp, short-term interest rate, r, long-term interest rate, lr, the log deflated exchange rate, ep, and log real equity prices, eq), as well as quarterly data on commodity prices (oil prices, poil, agricultural raw material, pmat, and metals prices, pmetal), over the 1979Q2 to 2019Q4 period. These 33 countries cover more than 90% of world GDP. $$\$$ It would be appreciated if use of the updated dataset could be acknowledged as: “Mohaddes, K. and M. Raissi (2020). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4. University of Cambridge: Judge Business School (mimeo)”

Oil Exports and the Iranian Economy

This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focus on short run implications of a temporary resource discovery. Under certain regularity conditions and assuming a Cobb Douglas production function, it is shown that (log) oil exports enter the long run output equation with a coefficient equal to the share of capital. The long run theory is tested using a new quarterly data set on the Iranian economy over the period 1979Q1-2006Q4. Building an error correction specification in real output, real money balances, inflation, real exchange rate, oil exports, and foreign real output, the paper finds clear evidence for two long run relations: an output equation as predicted by the theory and a standard real money demand equation with inflation acting as a proxy for the (missing) market interest rate. Real output in the long run is shaped by oil exports through their impact on capital accumulation, and the foreign output as the main channel of technological transfer. The results also show a significant negative long run association between inflation and real GDP, which is suggestive of economic inefficiencies. Once the effects of oil exports are taken into account, the estimates support output growth convergence between Iran and the rest of the world. We also find that the Iranian economy adjusts quite quickly to the shocks in foreign output and oil exports, which could be partly due to the relatively underdeveloped nature of Iran’s financial markets

Oil Exports and the Iranian Economy

This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focus on short run implications of a temporary resource discovery. Under certain regularity conditions and assuming a Cobb Douglas production function, it is shown that (log) oil exports enter the long run output equation with a coefficient equal to the share of capital. The long run theory is tested using a new quarterly data set on the Iranian economy over the period 1979Q1-2006Q4. Building an error correction specification in real output, real money balances, inflation, real exchange rate, oil exports, and foreign real output, the paper finds clear evidence for two long run relations: an output equation as predicted by the theory and a standard real money demand equation with inflation acting as a proxy for the (missing) market interest rate. Real output in the long run is shaped by oil exports through their impact on capital accumulation, and the foreign output as the main channel of technological transfer. The results also show a significant negative long run association between inflation and real GDP, which is suggestive of economic inefficiencies. Once the effects of oil exports are taken into account, the estimates support output growth convergence between Iran and the rest of the world. We also find that the Iranian economy adjusts quite quickly to the shocks in foreign output and oil exports, which could be partly due to the relatively underdeveloped nature of Iran's financial markets.growth models, long run relations, Iranian economy, oil price, foreign output shocks, error correcting relations

Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2016Q4

This is the latest version of the Global VAR (GVAR) dataset. The GVAR is a global modelling framework for analyzing the international macroeconomic transmission of shocks, taking into account drivers of economic activity, interlinkages and spillovers between different countries, and the effects of unobserved or observed common factors. This dataset includes quarterly macroeconomic variables for 33 economies (log real GDP, y, the rate of inflation, dp, short-term interest rate, r, long-term interest rate, lr, the log deflated exchange rate, ep, and log real equity prices, eq), as well as quarterly data on commodity prices (oil prices, poil, agricultural raw material, pmat, and metals prices, pmetal), over the 1979Q2 to 2016Q4 period. These 33 countries cover more than 90% of world GDP. It would be appreciated if use of the updated dataset could be acknowledged as: “Mohaddes, K. and M. Raissi (2018). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2016Q4. University of Cambridge: Faculty of Economics (mimeo)”

One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing

This paper examines the impact of oil revenues on the Iranian economy over the past hundred years, spanning the period 1908-2010. It is shown that although oil has been produced in Iran over a very long period, its importance in the Iranian economy was relatively small up until the early 1960s. It is argued that oil income has been both a blessing and a curse. Oil revenues when managed appropriately are a blessing, but their volatility (which in Iran is much higher than oil price volatility) can have adverse effects on real output, through excessively high and persistent levels of inflation. Lack of appropriate institutions and policy mechanisms which act as shock absorbers in the face of high levels of oil revenue volatility have also become a drag on real output. In order to promote growth, policies should be devised to control inflation; to serve as shock absorbers negating the adverse effects of oil revenue volatility; to reduce rent seeking activities; and to prevent excessive dependence of government finances on oil income

Oil Exports and the Iranian Economy

This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focus on short run implications of a temporary resource discovery. Under certain regularity conditions and assuming a Cobb Douglas production function, it is shown that (log) oil exports enter the long run output equation with a coefficient equal to the share of capital. The long run theory is tested using a new quarterly data set on the Iranian economy over the period 1979Q1-2006Q4. Building an error correction specification in real output, real money balances, inflation, real exchange rate, oil exports, and foreign real output, the paper finds clear evidence for two long run relations: an output equation as predicted by the theory and a standard real money demand equation with inflation acting as a proxy for the (missing) market interest rate. Real output in the long run is shaped by oil exports through their impact on capital accumulation, and the foreign output as the main channel of technological transfer. The results also show a significant negative long run association between inflation and real GDP, which is suggestive of economic inefficiencies. Once the effects of oil exports are taken into account, the estimates support output growth convergence between Iran and the rest of the world. We also find that the Iranian economy adjusts quite quickly to the shocks in foreign output and oil exports, which could be partly due to the relatively underdeveloped nature of Iran’s financial markets.growth models, long run relations, Iranian economy, oil price and foreign output shocks, and error correcting relations

China's Slowdown and Global Financial Market Volatility: Is World Growth Losing Out?

China's GDP growth slowdown and a surge in global financial market volatility could both adversely affect an already weak global economic recovery. To quantify the global macroeconomic consequences of these shocks, we employ a GVAR model estimated for 26 countries/regions over the period 1981Q1 to 2013Q1. Our results indicate that (i) a one percent permanent negative GDP shock in China (equivalent to a one-off one percent growth shock) could have significant global macroeconomic repercussions, with world growth reducing by 0:23 percentage points in the short-run; and (ii) a surge in global financial market volatility could translate into a fall in world economic growth of around 0:29 percentage points, but it could also have negative short-run impacts on global equity markets, oil prices and long-term interest rates