The effect of monetary and real shocks on oil investment in Iran with Bayesian vector Auto-regression approach (BVAR)

اقتصاد پولی مالی

Article 4, Volume 29, Issue 24, September 2022, Pages 86-115   

Document Type: Original Article

DOI: 10.22067/mfe.2023.75127.1162

Authors

Zarir Negintaji^{* 1}; samira nouralidokht²

¹Assistant Professor, Faculty of Economics and Political Science, Shahid Beheshti University

²Master of Fiscal Mathematics

Abstract

The oil sector, as the most important economic sector of the country, has played a significant role in the economic growth and development of the country and, therefore, has always been given special attention by managers and decision makers. Investing in this sector makes its capacity and potentials real and causes its effects on other economic sectors of the country. In a general division, the factors affecting investment can be divided into real and monetary categories. In this study, the effect of exchange rate and oil price shocks as monetary shocks and GDP shocks and value added of the oil sector as real shocks on investment in the oil sector has been investigated. To do this, the Bayesian self-regression approach (BVAR) and the data of 1357-99 years have been used. The results of the instantaneous reaction function show that the shocks of GDP, value added and oil prices have a positive effect on investment in the oil sector, among which, the shock of GDP has the greatest effect. Also, the exchange rate shock initially has a contractionary effect on investment in this sector, and after two periods, the amount of investment increases.

Keywords

monetary shocks; Real shocks; Investment; Oil sector; Bayesian vector auto regression

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