Download (GIMF) Model: An Application for Iran

Oil Supply Shocks in Global Integrated Monetary and
Fiscal (GIMF) Model: An Application for Iran
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
MBRI
May 30, 2015
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: An
May
Application
30, 2015 for Iran
1 / 16
Framework
Framework
I
Considering Iran in GIMF Model
I
The partner countries are Emerging Asia and Rest of World (Suggested by
CEPREMAP)
I
Calculation of Trade Matrix for Iran joint with CEPREMAP
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: An
May
Application
30, 2015 for Iran
2 / 16
Framework
GIMF Framework
 
GIMF
LIQ HH (HO)
OLG HH (HO)
l OLG
l LIQ
cOLG
  
OLG HH (RW)
LIQ HH (RW)
c*LIQ
cLIQ
l *OLG
c*OLG
l *LIQ
Sticky Quantities
LIQ Retailers
OLG Retailers
C
Sticky
Prices Cons. Producers (HO)
L=U
Gov’t (HO)
YCH
YCF
YIH
YIF
G
Cret
Import
Agents
(HO)
Import
Distributors
(HO)
Inv. Producers (HO)
Sticky Prices
ZD
KG
ZN
YN
Sticky Prices
NTG (HO)
Manufacturers
UN XN KN
Sticky
Wages
Unions (HO)
YA
YTF
YT
IN
Entrepreneurs
IT
XC*
Sticky
Cons. Producers (RW) Prices
Y*CF
Y*CH
Y*IF
Y*IH
L*=U*
Gov’t (RW)
G*
Adj. Costs
Import
Agents
(RW)
Import
Agents
(HO)
Import
Agents
(RW)
Y*TF
Adj. Costs
Z*T
Y*TH
TG (HO)
Manufacturers
Oil (HO)
Cret*
Import
Agents
(RW)
Sticky Prices
Entrepreneurs
C*
Import
Agents
(HO)
Import
ZT
YTH
Inv.Adj.Costs
OLG Retailers
LIQ Retailers
XC
Inv. Producers (RW)
Sticky Prices
Y*A
World Oil Market
I*T
Entrepreneurs
Oil (RW)
I*N
Z*D
Y*N
Y*T
Sticky Prices Inv.Adj.Costs
Tradables (RW)
Manufacturers
KT XT UT U*T X*T K*T
Distributors
(RW)
K*G
Z*N
Sticky Prices
Nontradables (RW)
Manufacturers
Entrepreneurs
K*N X*N U*N
Sticky
Wages
Unions (RW)
Pedram Davoudi,
Hossein
Tavakolian,
Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks
in Global
Integrated Monetary and Fiscal
(GIMF)
Model:
An
May
Application
30,
3 / 16
 



 2015
 for Iran
Framework
Scenarios
I
How accurate GIMF will show the effects of recent oil price shocks on Iran?
I
What will be the effects of different fiscal policies in this situation?
I
There are Convergence of views about the GIMF model shortcomings for Iran
Economy!
I
All the results are primary and will need more works on!
I
Changing the model is still the most important part of the project
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: An
May
Application
30, 2015 for Iran
4 / 16
Scenarios
Scenarios
Sanctions: Started
Cease the Sanctions: All at Once
Decrease in Global Oil Price
Cease the Sanctions: Gradually
The Sanctions: To Be Continued
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: An
May
Application
30, 2015 for Iran
5 / 16
Scenarios
Scenarios
I
We use decrease (increase) in oil supply shock of Iran as proxy of impose
(cease) sanctions
I
We use increase in oil supply shock of remaining countries(rc) as proxy of
decrease in global oil price
I
Domestic shock is about 20 percent
I
Global shock is less than 1 percent
Three scenarios are defined
I
I
I
I
Cease the sanctions all at once
Cease the sanctions gradually
No Deal!
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: An
May
Application
30, 2015 for Iran
6 / 16
Scenarios
Fiscal and Monetary Policy Rules
I
No fiscal rule is considered
I
Monetary regime: Flexible inflation targeting
I
There is a simple rule that cares interest rate volatility, exchange rate and
inflation gap.
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: An
May
Application
30, 2015 for Iran
7 / 16
Scenarios
Trade Matrix for Iran
GDPSIZE_CC
IMPORTS_T_RAT_CC_RC
XEX_RAT_CC
GDP (% of world nom.GDP)
Total exports
to I.R.Iran
to Emerging Asia
to Remaining Countries
Final goods
to I.R.Iran
to Emerging Asia
to Remaining Countries
Consumption goods
to I.R.Iran
to Emerging Asia
to Remaining Countries
Investment goods
to I.R.Iran
to Emerging Asia
to Remaining Countries
Intermediate goods
to I.R.Iran
to Emerging Asia
to Remaining Countries
Total imports
from I.R.Iran
from Emerging Asia
from Remaining Countries
Final goods
from I.R.Iran
from Emerging Asia
from Remaining Countries
Consumption goods
from I.R.Iran
from Emerging Asia
from Remaining Countries
Investment goods
from I.R.Iran
from Emerging Asia
from Remaining Countries
Intermediate goods
from I.R.Iran
from Emerging Asia
from Remaining Countries
Net oil balance
F_RAT_CC
CBAL_RAT_CC
DF_RAT_CC
DF_RAT_CC_IRI
DF_RAT_CC_AS
DF_RAT_CC_RC
Regional balances
Net foreign asset position
Current account
Oil royalties received
from I.R.Iran
from Emerging Asia
from Remaining Countries
IMPORTS_D_RAT_CC_IRI
IMPORTS_D_RAT_CC_AS
IMPORTS_D_RAT_CC_RC
IMPORTS_C_RAT_CC
IMPORTS_I_RAT_CC
IMPORTS_T_RAT_CC
IMPORTS_T_RAT_CC_IRI
IMPORTS_T_RAT_CC_AS
IRI
0.5853
5.0899
...
...
...
...
...
...
...
...
...
...
AS
16.2047
26.3322
0.0740
0.5879 …
4.5020
26.2581
3.3152
19.6104
0.0515
0.1834 ...
3.1318
19.5589
3.2304
13.4753
0.0288
0.1566 ...
3.0738
13.4465
0.0849
6.1351
0.0227
0.0268 ...
0.0581
6.1124
1.7747
6.7218
0.0226
0.4044 ...
1.3702
6.6992
19.8437
22.4806
0.0212
2.0496 ...
17.7941
22.4594
6.7469
10.6421
0.0066
1.4245 ...
5.3224
10.6354
2.5797
6.4242
0.0057
0.7972 ...
1.7825
6.4185
4.1672
4.2179
0.0010
0.6273 ...
3.5399
4.2169
13.0968
11.8385
0.0146
0.6252 ...
12.4717
11.8239
14.7538
-3.8516
0.0000
0.0000
0.0000
...
0.0000 ...
0.0000
RC
83.2099
4.4990
0.1252
4.3738
...
2.1086
0.0374
2.0712
...
1.2625
0.0125
1.2500
...
0.8461
0.0249
0.8212
...
2.3904
0.0877
2.3026
...
5.1453
0.0317
5.1136
...
3.8310
0.0220
3.8090
...
2.6403
0.0216
2.6186
...
1.1908
0.0004
1.1904
...
1.3143
0.0096
1.3046
...
0.0000
0.0000
0.0000
0.0000
0.6463
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000 ...
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: An
May
Application
30, 2015 for Iran
8 / 16
Scenarios
Trade Matrix for Iran: Cont
FX_RAT_CC
FX_RAT_CC_IRI
FX_RAT_CC_AS
FX_RAT_CC_RC
TBAL_RAT_CC
NETX_RAT_CC
AIDREV_RAT_CC
AIDREV_RAT_CC_IRI
AIDREV_RAT_CC_AS
AIDREV_RAT_CC_RC
GOVAID_RAT_CC
GOVAID_RAT_CC_IRI
GOVAID_RAT_CC_AS
GOVAID_RAT_CC_RC
REMIT_RAT_CC
REMIT_RAT_CC_IRI
REMIT_RAT_CC_AS
REMIT_RAT_CC_RC
PAY_RAT_CC
PAY_RAT_CC_IRI
PAY_RAT_CC_AS
PAY_RAT_CC_RC
OIL SECTOR
DXSHARE_CC
Oil royalties paid
to I.R.Iran
to Emerging Asia
to Remaining Countries
Trade balance
Net exports
net exports (calc)
net final goods
net consumption goods
net investment goods
net intermediate goods
Aid receipts for CC
from I.R.Iran
from Emerging Asia
from Remaining Countries
Aid payments by CC
to I.R.Iran
to Emerging Asia
to Remaining Countries
Remittances
from I.R.Iran
from Emerging Asia
from Remaining Countries
Payments
to I.R.Iran
to Emerging Asia
to Remaining Countries
FXSHARE_CC_IRI
FXSHARE_CC_AS
FXSHARE_CC_RC
Consumer share (%)
Foreign share (%)
to I.R.Iran
to Emerging Asia
to Remaining Countries
XSUP_RAT_CC
XDEM_RAT_CC
Oil Supply
Oil Demand
ZZ_RR_RC
POPGROWTH_ANNUAL
TGROWTH_ANNUAL
PIE_ANNUAL_RC
FREQU
0.0000
...
0.0000 ...
0.0000
0.0000
-14.7538
-14.7538
-3.4316
0.6507
-4.0823
-11.3222
0.0000
...
0.0000 ...
0.0000
0.0000
...
0.0000 ...
0.0000
0.0000
...
0.0000 ...
0.0000
0.0000
...
0.0000 ...
0.0000
95.0000
...
0.0000 ...
0.0000
0.0000
0.0000
0.0000 ...
0.0000
3.8516
3.8516
8.9683
7.0512
1.9171
-5.1167
0.0000
0.0000
0.0000 ...
0.0000
0.0000
0.0000 ...
0.0000
0.0000
0.0000 ...
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
-0.6463
-0.6463
-1.7224
-1.3778
-0.3446
1.0761
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000 ...
50.0000
40.0000
0.0000
0.0000
0.0000
0.0000 ...
20.6553
5.9015
0.8000
4.6516
ANNUAL RATES
Real interest rate
Population growth
Productivity growth
Inflation target
3.0000
1.0000
1.5000
2.0000
1.0305
1.0100
1.0150
1.0200
FREQUENCY
Ann=1; Qtr=4
1.0000
5.0000
4.3537
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: An
May
Application
30, 2015 for Iran
9 / 16
IRFs
Sanctions and Iran’s Economy
I.R.IRAN: Survey
Blue: Cease the Sanctions: Gradually Red: Cease the Sanctions: All at Once
Green: the Sanctions: To Be Continued ...
Oil (pct GDP diff)
0.0
−2.0
−4.0
2012y
2014y
2016y
2018y
2020y
2018y
2020y
Price of Oil (pct diff)
5.0
0.0
−5.0
−10.0
−15.0
2012y
2014y
2016y
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: May
An Application
30, 2015 for 10
Iran/ 16
IRFs
Sanctions and Iran’s Economy
I.R.IRAN: Survey
Blue: Cease the Sanctions: Gradually Red: Cease the Sanctions: All at Once
Green: the Sanctions: To Be Continued ...
Real Exports (pct diff)
8.0
6.0
4.0
2.0
0.0
−2.0
2012y
2014y
2016y
2018y
2020y
2018y
2020y
Real Imports (pct diff)
0.0
−5.0
−10.0
2012y
2014y
2016y
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: May
An Application
30, 2015 for 11
Iran/ 16
IRFs
Sanctions and Iran’s Economy
I.R.IRAN: Survey
Blue: Cease the Sanctions: Gradually Red: Cease the Sanctions: All at Once
Green: the Sanctions: To Be Continued ...
Current Account (pct GDP diff)
1.0
0.5
0.0
−0.5
−1.0
2012y
2014y
2016y
2018y
2020y
Nominal Eff Exch Rate (pct diff deprec gt 0)
2.0
0.0
−2.0
2012y
2014y
2016y
2018y
2020y
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: May
An Application
30, 2015 for 12
Iran/ 16
IRFs
Sanctions and Iran’s Economy
I.R.IRAN: Survey
Blue: Cease the Sanctions: Gradually Red: Cease the Sanctions: All at Once
Green: the Sanctions: To Be Continued ...
Real Interest Rate (diff)
2.0
1.0
0.0
−1.0
−2.0
2012y
2014y
2016y
2018y
2020y
2018y
2020y
Headline Inflation (diff)
0.5
0.0
−0.5
2012y
2014y
2016y
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: May
An Application
30, 2015 for 13
Iran/ 16
IRFs
Sanctions and Iran’s Economy
I.R.IRAN: Survey
Blue: Cease the Sanctions: Gradually Red: Cease the Sanctions: All at Once
Green: the Sanctions: To Be Continued ...
Real GDP (pct diff)
2.0
0.0
−2.0
−4.0
−6.0
2012y
2014y
2016y
2018y
2020y
2018y
2020y
Real GDP Growth (diff)
4.0
2.0
0.0
−2.0
−4.0
−6.0
2012y
2014y
2016y
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: May
An Application
30, 2015 for 14
Iran/ 16
IRFs
Sanctions and Iran’s Economy
I.R.IRAN: Survey
Blue: Cease the Sanctions: Gradually Red: Cease the Sanctions: All at Once
Green: the Sanctions: To Be Continued ...
Real Consumption (pct diff)
2.0
0.0
−2.0
−4.0
−6.0
2012y
2014y
2016y
2018y
2020y
2018y
2020y
Real Investment (pct diff)
4.0
2.0
0.0
−2.0
−4.0
−6.0
2012y
2014y
2016y
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: May
An Application
30, 2015 for 15
Iran/ 16
IRFs
Thanks
Pedram Davoudi, Hossein Tavakolian, Hamid Zamanzadeh
Oil Supply
(MBRI)
Shocks in Global Integrated Monetary and Fiscal (GIMF) Model: May
An Application
30, 2015 for 16
Iran/ 16