Investigating the effect of the financial crisis on the Iranian oil market: complexity network

Document Type : Original Article

Authors

1 Corresponding Author: PH.D. Candidate in Economics, Faculty of Economics, Management and Accountancy, Yazd University, Yazd, Iran

2 Associate Professor, Faculty of Economics, Management and Accounting, Yazd University, Yazd. Iran

Abstract

The financial crisis can affect oil revenues due to the effect on oil price fluctuations and the amount of oil sold, so the purpose of this study is to model the financial crisis turbulence spillover in the oil markets network. For this purpose, the data of the period 2/1/2003 to 26/8/2019 and the complex network have been used. The findings show that the average path length is reduced to a minimum during financial crises. The density and weight of the oil market spillover network has increased during such periods. Turbulence in financial markets has increased in times of crisis. According to the research results, the financial crisis causes the Iranian oil market to be more affected by the network, but it is still an influential oil market in the oil markets network. Prior to the financial crisis, the largest turmoil in the Iranian oil market was from the Norway oil market and the lowest turbulence in the Iranian oil market was from the Russian oil market. The largest volatility spillover from the Iranian oil market to the Norway oil market has been. During the financial crisis, the biggest turbulence in the Iranian oil market came from the oil markets of Mexico, Libya and Saudi Arabia. The most significant spillover of turbulence from the Iranian oil market was to the Saudi oil market. After the financial crisis, the biggest volatility spillover from the Mexican oil market to the Iranian oil market. The least volatility spillover was from the Egypt oil market

Keywords

References

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Budget and Finance Strategic Research
Volume 2, Issue 3 - Serial Number 7
Autumn Quarterly
December 2021
Pages 113-142

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History

  • Receive Date: 03 November 2021
  • Revise Date: 08 January 2022
  • Accept Date: 08 January 2022

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