Investigating the Effect of Oil Revenue Shocks on Business Cycles and the Synchronism of Cycles with Selected OECD Countries

The effect of temporary and permanent shocks of oil revenues on the concurrence of trade cycles between Iran and selected OECD countries has been investigated using the data series of the period 1985–2019. For this purpose, first, business cycles and temporary and permanent shocks of oil revenues are extracted using Hodrick-Prescott (HP) filter and Blanchard-Quah technique, respectively. Then, the relationship between business cycles and model-independent variables is evaluated by the ARDL method. The results show that the main cause of business cycle fluctuations is temporary shocks to oil revenues, also, government expenditure variables and permanent and temporary shocks to oil revenues in the short and long term have a negative and significant effect on business cycles, and the exchange rate variable has a positive and significant effect on business cycles. Estimation of business cycle synchronization index shows that Belgium, Germany, Greece, Japan, Spain, and Turkey have had business cycles synchronization with Iran. And Germany with a correlation coefficient of 0.42 has the most synchronization of business cycles with Iran.