پویایی‌های شوک‌های بازار نفت، تقاضای کل جهان و بازار سهام ایران: رویکرد مدل خودرگرسیون برداری ساختاری با پارامترهای متغیر در طول زمان (TVP-SVAR)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری، گروه اقتصاد، دانشکده اقتصاد و علوم اجتماعی، دانشگاه الزهرا، تهران، ایران

2 دانشیار، گروه اقتصاد، دانشکده اقتصاد و علوم اجتماعی، دانشگاه الزهرا، تهران، ایران

چکیده

با افزایش عدم قطعیت در بازار جهانی نفت به دلیل آشفتگی‌های سیاسی و اقتصادی، درک چگونگی و میزان اثرپذیری بازار سهام حائز اهمیت است. این مقاله به بررسی پویایی‌های شوک‌های ساختاری بازار نفت، تقاضای کل جهان و بازار سهام ایران می‌پردازد. مطابق رویکرد کیلیان (2009)، با استفاده از مدل SVAR شوک‌های ساختاری شامل شوک‌های عرضه نفت، تقاضای کل و  تقاضای احتیاطی شناسایی شده­اند و اثرات این شوک­ها بر بازار سهام ایران با استفاده از مدل خودتوضیح برداری با پارامترهای متغیر در طول زمان مورد بررسی قرار گرفته است. برای این منظور از داده­های سری زمانی ماهانه در بازه زمانی آذر 1387 تا شهریور 1404 استفاده شده است. نتایج نشان داد شوک عرضه نفت اثر منفی و کوتاه‌مدت، شوک تقاضای کل اثر نوسانی و عمدتاً نزدیک به صفر و شوک تقاضای احتیاطی اثر منفی و گذرا بر بازده سهام ایران دارد. همچنین، شوک‌های بازده بر خود بازار واکنش مثبت اما محدود ایجاد می‌کنند که نشان‌دهنده وابستگی کوتاه‌مدت بازده است. شدت و دامنه اثرات شوک‌ها در دوره‌های بی‌ثباتی سیاسی–اقتصادی از جمله جنگ دوازده روزه ایران و اسرائیل و فعال شدن طرح مکانیسم ماشه تشدید می‌شود. یافته‌ها بر اهمیت تفکیک انواع شوک‌های نفتی و توجه به پویایی‌های درونی بازار سهام برای درک واکنش بازار و طراحی سیاست‌های اقتصادی و سرمایه‌گذاری بهینه تأکید دارد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Dynamics of Oil Market Shocks, Global Aggregate Demand, and the Iranian Stock Market: A Time-Varying Parameter Structural Vector Autoregression (TVP-SVAR) Approach

نویسندگان [English]

  • Masoumeh Azizkhani 1
  • Hassan Ghalibaf-asl 2
  • Mir Hossein Mousavi 2
1 PhD student of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
2 Associate Professor, Department of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
چکیده [English]

With increasing uncertainty in the global oil market due to political and economic turmoil, understanding how and to what extent the stock market is affected has become important. This paper examines the dynamics of structural shocks in the oil market, global aggregate demand, and the Iranian stock market. Following the Kilian (2009) approach, structural shocks, including oil supply shocks, aggregate demand shocks, and precautionary demand shocks, are identified using the SVAR model, and the effects of these shocks on the Iranian stock market are examined using a Vector Autoregression model with time-varying parameters. For this purpose, monthly time-series data covering the period from December 2008 to September 2025 are used. The results show that oil supply shocks have a negative and short-term effect, aggregate demand shocks have a fluctuating effect that is predominantly close to zero, and precautionary demand shocks have a negative and transitory effect on Iranian stock returns. In addition, return shocks generate a positive but limited response in the market itself, indicating short-term return dependence. The intensity and magnitude of the effects of the shocks increase during periods of political and economic instability, including the twelve-day war between Iran and Israel and the activation of the snapback mechanism. The findings emphasize the importance of distinguishing between different types of oil shocks and taking into account the internal dynamics of the stock market to understand market responses and design optimal economic and investment policies.

کلیدواژه‌ها [English]

  • Oil price shock
  • Iran stock return
  • Impulse Response
  • SVAR
  • TVP-VAR

مراجع

  1. Adedokun, A. (2018). The effects of oil shocks on government expenditures and government revenues nexus in Nigeria (with exogeneity restrictions). Future Business Journal, 4(2), 219-232.‏
  2. Al-Fayoumi, N., Bouri, E., & Abuzayed, B. (2023). Decomposed oil price shocks and GCC stock market sector returns and volatility. Energy Economics, 126, 106930.‏
  3. Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84.‏
  4. Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?. Energy economics, 31(4), 569-575.‏
  5. Arampatzidis, I., Dergiades, T., Kaufmann, R. K., & Panagiotidis, T. (2021). Oil and the US stock market: Implications for low carbon policies. Energy Economics, 103, 105588.‏
  6. Arouri, M., Tiwari, A., & Teulon, F. (2014). Oil prices and trade balance: A frequency domain analysis for India. Economics Bulletin, 34(2), 663-680.‏
  7. Arouri, M. E. H., & Rault, C. (2010). Oil prices and stock markets: what drives what in the Gulf Corporation Council countries? (No. 2934). Cesifo working paper.‏
  8. Baba, B., & Sevil, G. (2021). Bayesian analysis of time-varying interactions between stock returns and foreign equity flows. Financial Innovation, 7(1), 51.‏
  9. Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics, 34(1), 227-240.
  10. Basher, S. A., Haug, A. A., & Sadorsky, P. (2017). The impact of oil-market shocks on stock returns in major oil-exporting countries: a Markov switching approach. Available at SSRN 3046052.‏
  11. Basher, S. A., Haug, A. A., & Sadorsky, P. (2018). The impact of oil-market shocks on stock returns in major oil-exporting countries. Journal of International Money and Finance, 86, 264-280.‏
  12. Baumeister, C., & Kilian, L. (2016). Forty years of oil price fluctuations: Why the price of oil may still surprise us. Journal of Economic Perspectives, 30(1), 139-160.‏
  13. Castro, C., Jiménez-Rodríguez, R., & Kizys, R. (2023). Time-varying relation between oil shocks and European stock market returns. Journal of Risk and Financial Management, 16(3), 174.‏
  14. Christou, C., Gabauer, D., & Gupta, R. (2020). Time-varying impact of uncertainty shocks on macroeconomic variables of the United Kingdom: Evidence from over 150 years of monthly data. Finance Research Letters, 37, 101363.‏
  15. Clements, A., Shield, C., & Thiele, S. (2019). Which oil shocks really matter in equity markets?. Energy Economics, 81, 134-141.‏
  16. Das, D., Kannadhasan, M., & Bhattacharyya, M. (2022). Oil price shocks and emerging stock markets revisited. International Journal of Emerging Markets, 17(6), 1583-1614.‏
  17. Degiannakis, S., Filis, G., & Arora, V. (2017). Oil prices and stock markets. Washington, US: Energy Information Administration.
  18. Dehn, J. (2000). The effects on growth of commodity price uncertainty and shocks: World Bank Publications.
  19. Demirer, R., Ferrer, R., & Shahzad, S. J. H. (2020). Oil price shocks, global financial markets and their connectedness. Energy Economics, 88, 104771.‏
  20. Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of forecasting, 28(1), 57-66.‏
  21. Enders, W. (1996). RATS handbook for ecomometric time series: John Wiley & Sons, Inc.
  22. Escobari, D., & Sharma, S. (2020). Explaining the nonlinear response of stock markets to oil price shocks. Energy, 213, 118778.‏
  23. Filis, G., Degiannakis, S., & Floros, C. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International review of financial analysis, 20(3), 152-164.‏
  24. Hung, N. T., & Vo, X. V. (2021). Directional spillover effects and time-frequency nexus between oil, gold and stock markets: evidence from pre and during COVID-19 outbreak. International Review of Financial Analysis, 76, 101730.‏
  25. Jiang, Z., & Yoon, S. M. (2020). Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis. Energy Economics, 90, 104835.‏
  26. Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The impact of oil price shocks on the stock market return and volatility relationship. Journal of International Financial Markets, Institutions and Money, 34, 41-54.‏
  27. Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American economic review, 99(3), 1053-1069.‏
  28. Kilian, L., & Hicks, B. (2013). Did unexpectedly strong economic growth cause the oil price shock of 2003–2008?. Journal of Forecasting, 32(5), 385-394.‏
  29. Kilian, L., & Lee, T. K. (2014). Quantifying the speculative component in the real price of oil: The role of global oil inventories. Journal of International Money and Finance, 42, 71-87.‏
  30. Kilian, L., & Murphy, D. P. (2014). The role of inventories and speculative trading in the global market for crude oil. Journal of Applied econometrics, 29(3), 454-478.‏
  31. Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International economic review, 50(4), 1267-1287.‏
  32. Koop, G., & Korobilis, D. (2012). Forecasting inflation using dynamic model averaging. International Economic Review, 53(3), 867-886.‏
  33. Le, T. H., & Chang, Y. (2013). Oil price shocks and trade imbalances. Energy economics, 36, 78-96.‏
  34. Lu, X., Ma, F., Wang, J., & Zhu, B. (2021). Oil shocks and stock market volatility: New evidence. Energy Economics, 103, 105567.‏
  35. Mamipour, S., Yazdani, S., & Sepehri, E. (2022). Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model. Journal of Economics and Finance, 46(4), 785-801.‏
  36. Mokni, K. (2020). Time-varying effect of oil price shocks on the stock market returns: Evidence from oil-importing and oil-exporting countries. Energy Reports, 6, 605-619.‏
  37. Nakajima, J., Kasuya, M., & Watanabe, T. (2011). Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy. Journal of the Japanese and International Economies, 25(3), 225-245.‏
  38. Pfaff, B. (2008). VAR, SVAR and SVEC models: Implementation within R package vars. Journal of statistical software, 27, 1-32.‏
  39. Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of economic studies, 72(3), 821-852.‏
  40. Rafiq, S., Sgro, P., & Apergis, N. (2016). Asymmetric oil shocks and external balances of major oil exporting and importing countries. Energy Economics, 56, 42-50.‏
  41. Ready, R. C. (2018). Oil prices and the stock market. Review of Finance, 22(1), 155-176.‏
  42. Roudari, S., Mensi, W., Al Kharusi, S., & Ahmadian-Yazdi, F. (2023). Impacts of oil shocks on stock markets in Norway and Japan: Does monetary policy's effectiveness matter?. International Economics, 173, 343-358.‏
  43. Sadeghi, A., & Roudari, S. (2022). Heterogeneous effects of oil structure and oil shocks on stock prices in different regimes: Evidence from oil-exporting and oil-importing countries. Resources Policy, 76, 102596.‏
  44. Sevillano, M. C., Jareño, F., López, R., & Esparcia, C. (2024). Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition. Energy Economics, 131, 107398.‏
  45. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48.‏
  46. Taghizadeh-Hesary, F., Yoshino, N., Rasoulinezhad, E., & Chang, Y. (2019). Trade linkages and transmission of oil price fluctuations. Energy Policy, 133, 110872.‏
  47. Ueda, R. M., Souza, A. M., & Menezes, R. M. C. P. (2020). How macroeconomic variables affect admission and dismissal in the Brazilian electro-electronic sector: A VAR-based model and cluster analysis. Physica A: Statistical Mechanics and its Applications, 557, 124872.‏
  48. Umar, Z., Trabelsi, N., & Zaremba, A. (2021). Oil shocks and equity markets: The case of GCC and BRICS economies. Energy Economics, 96, 105155.‏
  49. Wang, Y., Wu, C., & Yang, L. (2013). Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries. Journal of Comparative economics, 41(4), 1220-1239.‏
  50. Wen, F., Zhang, M., Deng, M., Zhao, Y., & Ouyang, J. (2019). Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model. Physica A: Statistical Mechanics and its Applications, 532, 121881.‏
  51. Wu, L., Li, J., & Zhang, Z. (2013). Inflationary effect of oil-price shocks in an imperfect market: A partial transmission input–output analysis. Journal of Policy Modeling, 35(2), 354-369.‏
  52. Yang, J., Geng, J. B., & Liang, Z. (2024). Time-varying effects of structural oil price shocks on financial market uncertainty. Energy Economics, 139, 107910.‏
  53. Zhang, J., Hu, Z., Zheng, Y., Zhou, Y., & Wan, Z. (2017). Sectoral electricity consumption and economic growth: The time difference case of China, 2006–2015. Energies, 10(2), 249.‏
  54. Zhong, A., Chai, D., Li, B., & Chiah, M. (2018). Volume shocks and stock returns: An alternative test. Pacific-Basin Finance Journal, 48, 1-16.‏
  55. Ziadat, S. A., McMillan, D. G., & Herbst, P. (2022). Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations. Resources Policy, 75, 102461.‏
نظریه های کاربردی اقتصاد
دوره 13، شماره 3 - شماره پیاپی 50
شماره پاییز 1405
شهریور 1405
صفحه 113-142

فایل ها

هم رسانی

ارجاع به این مقاله

آمار