The Role of National Development Fund in Confrontation Oil Shocks in Iran Economy from Government Expenditure Channel by Using a Dynamic Stochastic General Equilibrium Model

Document Type : Research Article


1 PhD student in Economics, Ferdowsi University of Mashhad

2 Professor of Economics, Ferdowsi University of Mashhad

3 Professor of Economics, University of Tehran


The aim of this study is to assess the effects of oil shocks on economic variables of Iran as an oil exporting country with a National Development Fund. For this purpose, in case that the government relies heavily on oil revenue, we provide a dynamic stochastic general-equilibrium (DSGE) model. In the following, we study two different policy for oil revenue volatility and provid a dynamic stochastic general-equilibrium model for policy A and B and estimate them. The results of the paper shows when the government saves its oil revenue in an oil fund and invests each period only the return from the fund plus a small additional fraction, the shock generates a milder and more long-lasting expansion, efectively insulating the economy from the volatility of oil prices.


ابراهیمی، سجاد. (1390). «اثر شوک‌های قیمت نفت و نوسانات نرخ ارز و نااطمینانی حاصل از آن‌ها بر رشد اقتصادی کشورهای منتخب نفتی»، فصلنامه پژوهشنامه بازرگانی، شماره 59، 105-83.
بهبودی، داوود. (1387). «نقش حساب دخیره ارزی در ثبات درآمدهای دولت در قالب مدل تعادل عمومی محاسبه‌پذیر»، مجله تحقیقات اقتصادی، شماره 82، 23-51.
بهبودی، داود، متفکر آزاد، محمدعلی، محمدزاده، پرویز، صادقی، سید کمال و سیاب ممی پور، (1391). «صندوق توسعه ملی یا توزیع مستقیم درآمدهای نفتی (بررسی مقایسه ای)»، مجلس و راهبرد، شماره 71، 39-84.
توکلی، سپیده؛ هوشمند، محمود؛ سلیمی­فر، مصطفی و گرجی، ابراهیم. (1396). «بررسی اثر سیاست مالی به‌عنوان مکانیسم انتشار شوک‌های نفتی در اقتصاد ایران با استفاده از یک مدل خودرگرسیون‌برداری ساختاری»، فصلنامه مطالعات اقتصادی کاربردی ایران، شماره 22، 77-98.
خسروی، تانیا. (1392). «تأثیر سرمایه‌گذاری بخش عمومی بر سرمایه‌گذاری بخش خصوصی با حضور مالیات بر شرکتها»، فصلنامه علمی پژوهشی دانش سرمایه‌گذاری، شماره 10، 167-185.
کیان­پور، سعید. (1390). «سیاست مالی دولت و چگونگی مصرف درآمدهای نفتی»، ماهنامه اطلاعات سیاسی- اقتصادی، شماره 284، 187-168.
مهرآرا، محسن، دهقان منشادی، محمد و پروین پوررحیم، (1389)، «بررسی نقش صندوق های نفتی در کنترل بی ثباتی اقتصاد کلان در کشورهای نفت خیز»، فصلنامه راهبرد، شماره 57، 85-107.
Andersen, L. and R. Faris (2002). “Reducing volatility due to Natural Gas Exports: Is the answer a Stabilization Fund?”, Andean Compositeness Project Working Paper, Center for International Development, Harvard University, Cambridge, Massachusetts.
Aizenman, J. and Glick, R. (2008). “Sovereign wealth funds: Stylized facts about their determinants and governance”, Working Paper, No 14562. NBER working Paper
Arezki, R. and Ismail, K. (2010). “Boom-Bust Cycle, Asymmetrical Fiscal Response and the Dutch Disease”, IMF Working Paper No. 10/94, Washington, D.C.
Asik, Gunes A. (2013). “Stabilization Funds in Oil-Rich Countries and Fiscal Policy” JOB MARKET PAPER, London School Economics.
Bacon, R. and S. Tordo. (2006). “Experiences with Oil Funds: Institutional and Financial Aspects”, World Bank, Energy Sector Management Assistance Program (ESMAP), Report 321/06.
Baghirov, A. (2014). Direct and indirect effects of oil price shocks on economic growth: case of Lithuania, Master Thesis: Financial Economics. Vilnius, ISM University of Management and Economics.
Barro, R. J., Sala-i-Martin, X. (1992). “Public finance in models of economic growth”. Review of Economic Studies, 59(4), 645-661.
Dar, A., Amirkhalkhali, S. (2002). “Government size, factor accumulation, and economic growth: evidence from OECD countries”. Journal of Policy Modeling, 24, 679-692.
Emami, K. and Adibpour, M. (2012). “Oil income shocks and economic growth in Iran”, Economic Modelling, 29 (2012), 1774-1779
Fasano, U. (2000). “Review of the experience with oil stabilization and savings funds in selected countries”. IMF Working Paper, WP/00/112. International onetary Fund, Washington DC.
Farzanegan, M.R. and Markwardt, G. (2009). “The Effects of Oil Price Shocks on the Iranian Economy”, Energy Economics, 31, 134-151.
Farzanegan, M. R. (2011). “Oil revenue shocks and government spending behavior in Iran”, Journal of Energy Economics, Vol. 33, 1055-1069.
Gelb, A. H. and Associates. (1988). Windfall Gains: Blessing or Curse?, NewYork: Oxford University Press.
Gilbert, C. L. (1996). “International Commodity Agreements: An Obituary Notice”. World Development
Hamilton, J. D. (1983). “Oil and the Macroeconomy since World War II”. Journal Of Political Economy, 91(2), 228-248.
Holm, M. B. (2014). “Oil, Sovereign Wealth Funds and Monetary Policy”. Master Thesis in Economics Department of Economics University of Oslo (January).
Husain, T. and Ter-Martirosyan (2008). “Fiscal Policy and Economic Cycles in Oil-exporting Countries”, IMF working Paper , WP/08/253.
Iwayemi, A., Fowowe, B. (2011). “Impact of oil price shocks on selected macroeconomic variables in Nigeria”, Energy Policy, 39, 603-612.
Jamali, M., Shah, A., Shafiq, K., Shaikh, F., Soomro, H., (2011). “Oil Price Shocks: A Comparative Study on the Impacts in Purchasing Power in Pakistan”. Modern Applied Science, 5(2),1-12.
Jin, G. (2008). “The Impact of Oil Price Shock and Exchange Rate Volatility on Economic Growth: A Comparative Analysis for Russia, Japan and China”, Research Journal of International Studies, Issue 8, 98-111.
Kilian, L., Rebucci, A., Spatafora, N. (2008). “Oil shocks and external balances”. Journal of International Economics, 77(2), 181-194.
Kilian, L (2011). “Structural vetor autoregresions,” Working paper, University of Michigan.
Lardic, S., Mignon, V. (2006). “The impact of oil prices on GDP in European countries: anempirical investigation based on asymmetric cointegration”. Energy Policy 34 (18), 3910-3915.
Lindahl, M. (1996). “Should oil states hedge oil revenues?”, IAEE Newsletter, Winter
Lücke, M. (2010). “Stabilization and Savings Funds to Manage Natural Resource Revenues : Kazakhstan and Azerbaijan vs.Norway.” Working Papers, Kiel Institute for the World Economy (1652).
Mendoza, O. & Vera, D. (2010). “The Asymmetric Effects of Oil Shocks on an Oil-exporting Economy”, Cuadernos De Economia, Vol. 47, 3-13.
Mila Elmi, Z. and Jahadi, M. (2011). “Oil price shocks and economic growth: evidence from OPEC and OECD”, Australian Journal of Basic and Applied Sciences, 5(6), 627-635.
Olomola, P. A. and Adejumo, A. V. (2006). “Oil Price Shock and Macroeconomic Activities in Nigeria”, International Research Journal of Finance and Economics, 3, 28-34.
Ossowski, R. (2013). “Fiscal Rules and Resource Funds in Nonrenewable Resource Exporting Countries : International Experience”, Inter-American Development Bank (June).
Pieschacon, A. (2012). “The Value of Fiscal Discipline for Oil-Exporting Countries”, Journal of Monetary Economics, Vol 59, 250-268.
Pieschacon, A. (2009). Oil Booms and Their Impact through Fiscal Policy, manuscript, Stanford University, Stanford, California
Rasmussen, T. N., and Roitman, A. (2011). Oil Shocks in a Global Perspective: Are they Really that Bad?. IMF Working Papers, 11/194.
Reyes-Loya, M. and Blanco, L. (2008). “Measuring the Importance of Oil-Related Revenues In total Fiscal Income for Mexico”, Energy Economics, 30, 252-256.
Sanchez, M. (2011). “Welfare effects of rising oil prices in oil-importing developing Economies”. The Developing Economies, 49(3), 321-346.
Schneider, M. (2004). “The impact of oil price changes on growth and inflation”. Monetary Policy and the Economy, 2, 27-36.
Semko, R. (2013). “Optimal Economic Policy and Oil Prices”, EKONOMSKA ISTRAZIVANJA-ECONOMIC RESEARCH, 26(1331-677), 39-82
Shabsigh, G. and N. Ilahi, (2007). “Looking Beyond the Fiscal: Do Oil Funds Bring Macroeconomic Stability?”, IMF Working Paper, WP/07/96, Middle East and Central Asia Department.
Sorhun, E., (2007). Oil Boom, Chewing- Gum, and Oil Fund, Bureau of Theoretical and Applied Economics, Louis Pasteur University.
Tijerina-Guajardo, J.A. Pagán, J.A. (2003). “Government Spending, Taxation, and Oil Revenues in Mexico”, Review of Development Economics, 7, 152-164.
Tovar, C. (2008). “DSGE models and central banks”, Monetary and Economic Department, No 258.
Villafuerte, M., Pablo, L.-M., and Rolando, O. (2010). “Riding the Roller Coaster : Fiscal Policies of Nonrenewable Resource Exporters in Latin America and the Caribbean.” IMF Working Paper.
Uhlig, H. (1999). A toolkit for analyzing nonlinear dynamic stochastic models easily.