Abstract
This paper seeks to establish the relationship between oil price volatility and domestic food price inflation in Iran. Different generalized autoregressive conditional heteroskedasticity (GARCH)-type models are estimated to model oil price volatility. Based on the multiple loss functions, periodic GARCH (PGARCH) model is selected as the best. The estimated volatility, together with nominal exchange rate and basic food price inflation are included in a VECM model to estimate the co-integrating vector. The findings reveal that there are a positive and highly significant relation between food price inflation and oil price volatility and also a negative and significant relation between food price inflation and exchange rate. This long-run relation proves the existence of Dutch disease in Iran’s economy.
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Rasouli, Z., Ghahremanzadeh, M., Rashidghalam, M. (2020). Oil Price Volatility and Food Price Linkage: Evidence of Dutch Disease in Iran’s Agricultural Sector. In: Rashidghalam, M. (eds) The Economics of Agriculture and Natural Resources. Perspectives on Development in the Middle East and North Africa (MENA) Region. Springer, Singapore. https://doi.org/10.1007/978-981-15-5250-2_11
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DOI: https://doi.org/10.1007/978-981-15-5250-2_11
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