بازار سرمایه
Mahboubeh Jafari
Abstract
Using Markov Switching model, this paper studies the nonlinear effect of oil price volatility on investment in Iran as an oil-rich country for the period 1984:1-2015:4. More specifically, it examines whether the oil price volatility has asymmetric effect on investment. To approach this goal, volatility ...
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Using Markov Switching model, this paper studies the nonlinear effect of oil price volatility on investment in Iran as an oil-rich country for the period 1984:1-2015:4. More specifically, it examines whether the oil price volatility has asymmetric effect on investment. To approach this goal, volatility of OPEC oil price is estimated by Exponential GARCH (EGARCH) model.The results of Markov-switching model with FTP approach indicate that the effects of oil shocks on investment behavior are separable into two regimes. In other words, the impacts of oil shocks on investment in Iran economy over the booms and recessions are asymmetric. Moreover, our finding shows sanctions imposed by the US against Iran affect investment behavior negatively. We also find that 2008 financial crisis doesn’t affect investment decision. Furthermore, we find out that an improvement in the institutional quality enhances the investment demand. Our findings might have important policy implications for government in Iran. It also provide essential information for companies.
