: : : :.C32 E32 Q43 :JEL

Átírás

1 : : 39 0 : :.C32 E32 Q43 :JEL Dr.bakhshi@gmail.com Javid_bahrami@yahoo.com farzanehmousavi@ymail.com

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4 RBC Bruno and Sanchez (985) 2. Hamilton (983,996) 3. Hooker (996) 4. Rotemberg and Woodford (997) 5. Finn (2000) 6. Blanchard and Simon (200) 7. Stock and Watson (2003) Barsky and Kilian (2002)

5 (2002) VAR OECD 4. (2008) OECD EURO2 G7 VAR. 5 VAR.... Bernanke,Gertler and Watson (997) 2. Herera and Pesavento (2007) 3. Edelstein and kilian (2007) (2008) Torsten Schmidt and Tobias Zimmermenn

6 (2008). (20) (200) (2009). ( ).3 CPI. GDP. (IFS) ( ) International Financial Statistics

7 VAR.-3 ( ) VAR VAR. VAR CPI π poil ˆ VAR p. p y t = β i yt i + u PER ˆ i=. t = [ poil ˆ, π, GDP ˆ, PE ˆR ] y t GDP ˆ.. 2. (ADF) VAR. ( ) CPI. GDP Great Moderation 2. Augmented Dickey-Fuller 3. Akaike Information Criteria

8 ADF ADF -3/23-4/77-4/72-3/74-4/06-4/44-5/33-4/0-5/35-3/50-3/6-2/79 PP -2/99-3/6-3/75-3/73-3/76-3/73-4/4-3/73-4/53-2/99-2/99-2/63 ADF 2-4/0-3/36 2-4/25-3/78-3/90-2/996-4/06-3/76-2/87-3/90-2/72-3/ PP -3/62-2/99-3/63-3/0-3/62-2/99-3/88-3/75-2/63-3/75-2/63-2/99 ADF -/85-2/82-4/58-6/29-5/36-3/77-2/6-3/43-2/08-3/8-5/07-3/0 PP -/60-2/67-3/76-4/46-3/64-3/02 -/96-2/99 -/95-3/08-3/75-2/ : 5 0 : :. Hannan-Quinn 2. Likelihood 3. Schwarz 4. Enders (2003)

9 33... VAR ( ) Variance Decomposition 2. Impulse Response Function (388).3

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12 4 36 ).. ( / (97-98) :. Delong (997), Barsky and Kilian (999), Hooker (999) and Clarida, Gali and Gertler (2000) 2. Inflation Targeting (20).3 4. Monetary Targeting 5. Ezema Charles Chibundu (2009) 6. Mercedes Da Costa and Victor Olivo (2008)

13 37... (MSF) ). ( Macroeconomic Stabilization Fund 2. Luis Ray Santos (200)

14 » (390) «.83 (389). ( ) GARCH» (386) - «. (390).-40» (389).5-40 «

15 Blanchard, O. and J. Gali (2008), The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so Different from the 970s?. Brahmbhatt, M., Canuto, O. and E. Vostroknutova (200), Dealing with Dutch Disease, Economic Premise. Brooks, C., Introductory Econometrics for Finance, The ICMA centre, University of Reading. Chibundu, E. (2009), Monetary Policy Framework in Nigeria: Formulation and Implementation Challenges, African Institute of Applied Economics, Monthly Seminar. Costa, M. and V. Olivo (2008), Constraints on the Design and Implementation of Monetary Policy in Oil Economies: The Case of Venezuela, International Monetary Fund. Eika, T. and k. A. Magnussen (998), Did Norway Gain From the Oil Price Shock?. Hamilton, J. (2009), Causes and Consequences of the Oil Shocks of , National Bureau of Economic Research. Hamilton, J. (20), Historical Oil Shocks. National Bureau of Economic Research. Hererra, A. and J. Hamilton (200), Oil Shocks and Aggregate Macroeconomics Behavior: The Role of Monetary Policy. Komijani, A. (20), Performance of Monetary Policy in Iran During ( ), International Conference on Experiences of the Monetary Policy in Islamic Countries. Los Santos, L. (200), Macroeconomic Aspects in Resource-Rich Countries. Mendoza, O. and D. Vera (200), The Asymmetric Effects of Oil Shocks on an Oil-Exporting Economy, Guadernos de Economia, No. 47, pp Milani, F. (2008), Expectations, Learning and the Changing Relationship between Oil Prices and the Macroeconomy. Nili, M. and S. Moslehi (2008), The Role of Government Activities in Explaining the Growth Failure of the Oil Exporting Countries, Economic Research Forum. Ploeg, F. (2006), Challanges and Opportunities for Resource Rich Economies, EUI, Florence, University of Amsterdam, CEPR and CESifo. Rano, A. a. (2009), Oil Price Shocks and the Macroeconomy of Nigeria: A Non-linear Approach. Zimmermann (2007), Why are the Effects of Recent Oil Price Shocks so Small?.

16 4 40 (Generalized Impulses)

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18 4 42