What determines government spending in South Africa? The paper estimates the determinants of real per capita government spending in the Republic of South Africa, using annual data for the period 1960 to 2007, a tumultuous period during which South Africa experienced a variety of internally imposed changes (e.g., the abolition of apartheid, changes in political institutions) and externally gener...

In this paper, we analyze the effects of oil revenue shocks on different sectors of the Iranian economy. We use quarterly data of the Iranian economy from 1988:2 to 2011:1 to analyze a time-varying parameter VAR model with the Bayesian method. The results show that in the late 1980s and early 1990s, the positive effects of oil revenue were mostly emerged in the industrial and oil sectors, havin...

this paper examines regime shifts in tedpix return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using markov switching egarch model with student’s t-distribution. we detect two episodes of series behavior, one relative to low mean/high variance regime namely bear state and the other to high mean/low variance...

iran’s economy is recognizes as a high inflationary country (for near almost all years after islamic revelation)  which is suffered to external shocks such as external  conflict interactions (for example war and sanctions) and   oil price shocks. therefore, analysis and estimation of money demand in iran should consider above issues in order to have efficient  money supply  policy. this paper, ...

This paper provides a novel perspective to the nexus of oil prices and stock markets by examining impact price shocks on market anomalies. After decomposing into three types , we find that aggregate demand have strongest influence In contrast, supply oil-specific little impact. Similar results are also found in industry analysis. Interestingly, link between anomalies is among firms with either ...

The paper studies the return–volatility relationship in a range of commodities. We develop commodity price model and show that volatility changes can be positively or negatively related to demand shocks. An “inverse leverage effect”—the is higher following positive shocks—is found more than half daily spot prices. effect weaker three-month futures market, period after mid-2000s monthly historic...

plentifulness of oil resources on the one hand, and serious economic challenges in the course of development of the country, on the other hand, makes the optimum use of these resources a considerable issue in achieving the goals of sustainable development. iran’s experience in establishing exchange reserve account (era) during 2000-2005 indicates that its main function is saving the surplus rev...