بررسی اثرات نامتقارن ریسک‌های ژئوپلیتیکی بر قیمت نفت‌خام ایران: شواهدی جدید از رهیافت QARDL

نوع مقاله : مقاله پژوهشی

نویسنده

استادیار اقتصاد، گروه اقتصاد، دانشکده علوم اداری و اقتصاد، دانشگاه ولی عصر (عج) رفسنجان، رفسنجان، ایران

چکیده

در این مطالعه با استفاده از داده‌های ماهانه 5/2005 تا 5/2023 و رهیافت خودتوضیح با وقفه‌های توزیعی چندکی، اثرات نامتقارن ریسک‌های ژئوپلیتیکی بر قیمت نفت‌خام سنگین ایران با تاکید بر دو ویژگی غیرخطی بودن و عدم تقارن در چندک‎های مختلف مورد بررسی قرار می‌گیرد. نتایج مطالعه نشان می‌دهند که رابطه بلندمدت میان ریسک‌های ژئوپلیتیکی و قیمت نفت‌خام ایران در چندک‌های مختلف، معنادار و نامتقارن است. اثرات ریسک‌های ژئوپلیتیکی بر قیمت نفت‌خام در شرایط کاهشی بازار نفت‌خام منفی و در شرایط افزایشی مثبت است. اثرات منفی را می‌توان به وجود بیم و وحشت میان سرمایه‌گذاران بازار جهانی نفت‌خام و نیز کاهش فعالیت‌های اقتصادی به واسطه ریسک‌های موجود و در نتیجه کاهش تقاضای نفت‌خام منتسب نمود. اثرات مثبت را نیز می‌توان به نگرانی از آینده عرضه نفت‌خام و اخلال در عرضه و افزایش تقاضای احتیاطی و در نهایت افزایش قیمت برشمرد.

کلیدواژه‌ها


عنوان مقاله [English]

Examining the asymmetric effects of geopolitical risks on Iran's crude oil price: new evidence from the QARDL approach

نویسنده [English]

  • abbas memarzadeh
Assistant Professor in Economics, Department of Economics and Administrative Sciences, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran
چکیده [English]

In this study, using monthly data from 5/2005 to 5/2023 and the QARDL approach, the asymmetric effects of geopolitical risks on the price of heavy crude oil in Iran emphasizing the two characteristics of non-linearity and asymmetry in different quantiles are investigated. The findings show that the long-term relationship between geopolitical risks and the price of Iranian crude oil is significant and asymmetric in different quantiles. The effects of geopolitical risks on crude oil prices are negative when the crude oil market is decreasing and positive when it is increasing. The negative effects can be attributed to the existence of fear and panic among the investors of the global crude oil market, as well as the reduction of economic activities due to the existing risks and as a result, the reduction of crude oil demand. The positive effects can also be attributed to the concern about the future supply of crude oil and the disruption in supply and the increase in precautionary demand and finally the price increase.

کلیدواژه‌ها [English]

  • Oil Price
  • Geopolitical Risk
  • Quantile
  • Asymmetric
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