Thesis for the degree of BachelorAshrad Department of Economic Sciences
February 2013
Abstract:
One of the important and influential topics in economic issues is the asset market. On the other hand, one of the important issues that is widely discussed in macroeconomics is the impact of oil revenues on macroeconomic variables. In this research, the relationship between oil revenues and asset prices, including stock prices and exchange rates, was investigated. For this purpose, using the vector autoregression model (VAR) and seasonal data of 1376-1390, the relationship between oil revenues and the mentioned variables was investigated. The results indicate that oil revenues explain an acceptable share of changes in stock prices and exchange rates and are considered one of the important factors for explaining the fluctuations of these variables.
Key words: oil revenues, asset market, stock price, currency price, vector autoregression model (VAR)
Chapter One
General Research
-1 Introduction
In this chapter, the generalities of this research, which include: statement of the problem, necessity of research, dimensions and boundaries of the problem, Statistical implementation method Thesis, research objectives, research hypotheses, applications that are envisioned from conducting this research, the aspect of newness and innovation of the plan, the method of conducting the research, and at the end, we will discuss the structure of the thesis. In Iran, 80 to 90 percent of export revenues and 40 to 50 percent of the government's annual budget are oil revenues. The main source of financial aid and subsidies is oil revenues. Therefore, the income from the export of crude oil indirectly affects other economic activities as well (Samadi, Yahyaabadi and Moalemi, 2018). Oil revenues can affect the economic activities of a country in two ways, one is through the impact on the supply side of the economy, which generally appears intermittently and manifests its role by affecting the production capacity of the country; the other is through the impact on the total demand, which can leave its effects on the country's economic activities in the short term. They don't know, because with the reduction of oil revenues, these countries are forced to impose more restrictions on the import of goods and services. In developing countries, including Iran, a major part of their imports are capital goods and raw materials needed by the production sector. The restrictions imposed on imports can leave adverse effects on the country's production sector. The result of such conditions will be inflationary pressures, increase in exchange rate, economic stagnation and increase in unemployment in the society. The increase in oil prices in exporting countries stimulates both supply and demand sides. But due to support systems in the energy sector in some countries, the only irritant of the party It is said that the sudden increase in the price of oil has important effects (increasing the price level, increasing imports and causing the Dutch disease) in the economy of these countries (Delawari, Shirin Bakhsh, and Gargi, 2018).
A sharp increase in the price of oil causes huge incomes for the exporting countries, which include the strengthening of the country's currency or the reduction of the exchange rate, which can be seen in both fixed and floating exchange rate systems. In a floating exchange rate system, the entry of foreign currencies increases the value of the national currency, but if the exchange rate system is fixed or controlled by the government, the entry of foreign currency into the country increases the volume of money, which will lead to an increase in liquidity and ultimately an expansion of demand and an increase in prices. Also, the increase in the value of the domestic currency has caused an increase in the price of importable goods, which ultimately results in harming the producers who operate in this branch, because the increase in domestic inflation increases the cost of producers, and on the other hand, they produce goods that the foreign competitor produces cheaper, as a result, they lose their competitiveness in the international arena and suffer stagnation, which is itself economic stagnation, unemployment and inflation.Also, the increase in the value of the domestic currency has caused an increase in the price of importable goods, which ultimately results in harming the producers who operate in this branch, because the increase in domestic inflation increases the cost of producers, and on the other hand, they produce goods that foreign competitors produce cheaper, as a result, they lose their competitiveness in the international arena and suffer stagnation, which in turn leads to economic stagnation, unemployment and high inflation. These countries will follow.(Samadi, Yahyaabadi and Moalemi, 2018)
Oil is one of the factors of production whose incomes cause fluctuations in production, that is, an increase in oil incomes causes an increase in fluctuations in production and a decrease in them causes a decrease in these fluctuations. One of the results of injecting foreign exchange earnings into the economy is the increase of the central bank's foreign reserves, which brings with it a monetary deduction. This is despite the fact that, based on the studies conducted, the effect of monetary shocks is also asymmetric on production (Kaver 1992 and Raven and Sula 1999).
Also, considering Due to the increase in total demand due to the injection of foreign exchange resulting from oil exports and the result of the increase in the inflation rate, generally one of the solutions to deal with inflation is to increase the amount of imports (especially in the case of tradable goods). With the increase in imports, which is generally done in order to deal with inflation, many production sectors will face serious damage and will be out of the production cycle, so part of the investments made in the economy will remain unused and the amount of production will decrease and unemployment will also increase. On the other hand, when the foreign exchange income decreases, the amount of imports will also decrease, and a part of the imports will go to capital goods and production machinery, which will lead to a decrease in investment, production and employment. The sectors that were removed from the production cycle as a result of the large import of consumer goods during the period of increased oil income, will not be revived in this period (Emami and Adibpour, 1359). The main statement of the problem is to investigate the relationship between stock index, exchange rate and oil revenues. So the basic issue The research is whether there is a relationship between stock value, exchange rate and oil revenues. Based on the results obtained, fluctuations in the stock market index and exchange rate have a negative effect on the production of Even though the increase in the exchange rate leads to an increase in oil revenues, it still has an inverse relationship with domestic production. The results of the studies show that exchange rate fluctuations on the capital market, oil income, etc. It is effective.
Based on economic theories, the stock index should reflect the expectations of economic entities from the future performance of companies, while the profits of companies reflect the level of economic activities. If the stock index reflects the information related to the future trend of the basic variables, then it can be used as a leading variable to predict the fluctuations of economic activities. Therefore, causal relationships and dynamic interaction between macroeconomic variables and the stock index are very important in formulating macroeconomic policies of a country. Development, including Iran, has a high degree of instability of macroeconomic variables. In these countries, exchange rates, stock prices, and other important macro variables are fluctuating more than advanced and industrialized economies, and these fluctuations, in turn, create an uncertain environment for investors and cause investors to not be able to easily and confidently make decisions about future investments, and sometimes they suffer huge losses. Therefore, in order to increase investment and, as a result, achieve long-term and continuous economic growth, attention to the capital market, especially the stock exchange, as one of the main components of the capital market and the influencing factors of the stock price index such as the exchange rate and its uncertainty about the importance of It has a special feature (Heidari et al., 2009).
In many domestic studies, the positive impact of macroeconomic variables such as GDP, crude oil price, money volume and exchange rate on the stock index has been confirmed. A change in the exchange rate can have two different effects on the stock price. On the one hand, an increase in the exchange rate (from the demand side) leads to an increase in the income of companies that export goods and, as a result, their stock prices, and on the other hand (from the supply side), it leads to a decrease in the profits of companies that import intermediate institutions and a decrease in their stock prices. In addition to dividends, stock buyers also pay attention to changes in the intrinsic value of the company.
1-3 Necessity of conducting research
Since the discovery and extraction of oil in Iran, this wealth and capital Khodadadi has played a prominent and history-making role in political and economic developments and even social life and cultural characteristics of the people of our country.