نوع مقاله : علمی - پژوهشی
نویسندگان
1 1. استادیار، دانشکده علوم اقتصادی و اداری، دانشگاه لرستان، خرم آباد، ایران
2 دانشجوی دکتری، دانشکده علوم اقتصادی و اداری، دانشگاه لرستان، خرم آباد، ایران
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Empirical studies show that asymmetric the effects of oil shocks on macroeconomic variables can review in oil-exporting countries like oil-importing countries. In this regard, this paper tries to investigate the asymmetric effects of oil shocks on inflation in OPEC member countries (including Iran) using hidden panel co-integration approach during the period 1990-2014. To achieve the purpose, first, the variables of crude oil prices and consumer price index for these countries are decomposed to cumulative positive and negative components. then, according to the cross-sectional dependence in the models, used the Pesaran unit root test (2007) and Westerlund co-integration test (2007) and shown that does not exist long-run relationship between crude oil prices and the consumer price index (not support linear co-integration); but there is a long-term relationship between positive components this variables and between positive components of consumer price index and negative components of oil prices (support hidden co-integration). Finally, these long-term relationships estimated by using the continuously-updated and fully-modified (Cup-FM). The results show that both positive and negative oil price shock increase the inflation in the OPEC member countries, so that the impact of negative shocks is more than positive shocks (support asymmetry).
کلیدواژهها [English]
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