Document Type : Original Research


Faculty Member in School of Engineering, Department of Mechanics, Zabol University, Zabol, Iran


The role of oil shocks as factors in economic growth of a country is important. With little reflection on the Iran economic structure and other major oil exporter countries that have a strong bond to the proceeds of oil sales، this is a strong suspicion that the origin of the oil shock is caused by economic shocks. Purpose of this article is determining and solving of Iran cycles and effect of oil price fluctuation on these cycles using Markov switching model. In line with the main objective of research, extracting of oil price shocks by using Markov switching model and estimation long run relation by using the pattern accumulation Johansen Juselius estimated by using of quarterly data 1988(1) - 2008(2). The results suggest that hypothesis of symmetry of positive and negative oil shocks on production have been rejected. So we can infer that the effects of negative and positive shocks on production are different.


Brown, S.P.A., Yucel, M.K. (2002). Energy prices and aggregate economic activity: an interpretative survey. Quarterly Review of Economics and Finance, 193–208.
Cunado, J., de Gracia, F.P. (2003). Do oil price shocks matter? Evidence for some European countries. Energy Economics, 137–154.
Clements, M.P., & Krolzig, H.M.,(2002). Can oil shocks explain asymmetries in the U.S. business cycle? Empirical Economics, 185-204.
Cologni, A., & Manera, M. (2009). The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries. Economic Modelling, 1-29.
Farzanegan, M.R., & Markwardt, G. (2009). The effects of oil price shocks on the Iranian economy, Energy Economics, 134-151
Hamilton, J. D. (2003). What is an oil shock?, Journal of Econometrics, 363-398.
Hamilton, J. D. (1983). Oil and the macro economy since World War II. Journal of Political Economy, 228–24.
Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 357–384.
Holmes, M. J., & Wang, P. (2003). Oil and the asymmetric adjustment of U.K. Output: a Markov–Switching approach. International Review of Applied Economics, 181-192.
Ivanova, D., Lahiri, K., & Seitz, F. (2000). Interest rate spreads as predictors of German inflation and business cycles. Int. J. Forecasting,. 39-58.
Krolzig, H.-M., & Hendry, D. F. (2000). Computer automation of general-to-specific model selection procedures. Journal of Economic Dynamics and Control, 120-132.
Kirchgässner, G & Wolters, J. (2007). Introduction to Modern Time Series Analysis, Berlin :Springer.
Krolzig. M, (1997). Markov- Switching Vector Auto regressions. Modelling, Statistical Inference and Application to Business Cycle Analysis., Berlin: Springer
Mashayekhi, A. (2001). Dynamics of oil Price in the world Market, International System Dynamics Conference , system Dynamic Society, 1012-1020
Mork, K.A. (1989). Oil shocks and the macro economy when prices go up and down: an extension of Hamilton's results. Journal of Political Economy, 740–744.
Raymond, J. E., & Rich, R.W. (1997). Oil and the macro economy: a Markov State–Switching Approach. Journal of Money, Credit and Banking, 193-213.
Sadorsky, P. (1999). Oil price shocks and stock market activity. Journal of Energy Economics, 449-469.
Wijnbergen, S. V. (1984). Inflation, Employment and Dutch Disease in Oil Exporting Countries,a Short-Run Equilibrium. Quarterly Journal of Economics, 110-119.
Zhang, D. (2008). Oil shock and economic growth in Japan: A nonlinear approach. Energy Economics, 2374–2390.