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Maboudian, Eisa, Seyyed Shokri, Khashayar. (1393). Reinvestigation of Oil Price-Stock Market Nexus in Iran: A SVAR Approach. , 19(1), 81-90. doi: 10.22059/ier.2015.55163
Eisa Maboudian; Khashayar Seyyed Shokri. "Reinvestigation of Oil Price-Stock Market Nexus in Iran: A SVAR Approach". , 19, 1, 1393, 81-90. doi: 10.22059/ier.2015.55163
Maboudian, Eisa, Seyyed Shokri, Khashayar. (1393). 'Reinvestigation of Oil Price-Stock Market Nexus in Iran: A SVAR Approach', , 19(1), pp. 81-90. doi: 10.22059/ier.2015.55163
Maboudian, Eisa, Seyyed Shokri, Khashayar. Reinvestigation of Oil Price-Stock Market Nexus in Iran: A SVAR Approach. , 1393; 19(1): 81-90. doi: 10.22059/ier.2015.55163

Reinvestigation of Oil Price-Stock Market Nexus in Iran: A SVAR Approach

Iranian Economic Review
مقاله 6، دوره 19، شماره 1، فروردین 2015، صفحه 81-90    اصل مقاله (542.87 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ier.2015.55163
نویسندگان
Eisa Maboudian* 1؛ Khashayar Seyyed Shokri2
1M.A in Economics, Islamic Azad University, Central Tehran Branch, Iran
2Assistant Professor, Islamic Azad University, Central Tehran Branch, Iran
چکیده
In this paper we investigate the effect of oil price shocks on stock market index in Iran, by using of a structural VAR (SVAR) approach. We used four variables in the model namely Kilian index, global oil supply, real oil price and real stock market index. The data are monthly and spanning the period 1997M10-2014M12. We identify the effect of four different shocks on stock market including oil supply shock, aggregate demand shock, other oil-specific shock and other stock-specific shock. Empirical evidences from impulse response functions (IRFs) indicate that oil supply shock is not significant, and the impact of other three shocks persists for about 3, 6 and 2 months respectively. Variance decomposition (VD) of stock market index indicates “other stock-specific shock” is the most important explainer of its variations. These findings are consistent with the findings of other oil-exporting countries including Saudi Arabia, Kuwait, Mexico, Norway, Russia, Venezuela and Canada except the effect of oil supply shock in variance decomposition of stock market index.
کلیدواژه‌ها
Iran؛ Oil Price؛ Stock market؛ Structural VAR
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