Abstract:
This paper discusses two topics. At first، it uses continuous wavelet (Morlet) transform، coherency، and phase angle analysis to study the effect of mean volatility in OPEC Crude Oil prices، WTI crude oil prices، Brent Crude oil prices and Iran’s crude oil prices on The Iran’s REER. To this end، the monthly data of the variables for years 2003 to 2012 is used. Coherency analysis revealed areas where there are behavioral similarities between the two time series (The Oils Prices and The Iran’s REER). These areas are displayed in spectral graphs. The results demonstrate that there is high coherency between the two variables (The Oils Prices and The Iran’s REER). Then، to have a better understanding of type and depth of the relations between The Iran’s Oil prices and The Iran’s REER، cross wavelet transform and phase difference analysis are used. The final result demonstrates that if the government does not take countercyclical policies، The Iran’s crude oil price variable has the potential to affect Iran’s REER variable and be the lead operator.
Machine summary:
Investigation of the Relations between Crude Oil Prices and Real Effective Exchange Rate (REER) in Iran using Phase-Angle Analysis Farhad Ghaffari1 , Aghigh Farhadi2 Received: 2016/02/21 Accepted: 2016/05/16 Abstract: his paper discusses two topics.
At first, it uses continuous wavelet(Morlet) transform, coherency, and phase angle analysis to study the effect of mean volatility in OPEC Crude Oil prices, WTI crude oil prices, Brent Crude oil prices and Iran’s crude oil prices on The Iran’s REER.
Then, to have a better understanding of type and depth of the relations between The Iran’s Oil prices and The Iran’s REER, cross wavelet transform and phase difference analysis are used.
It also takes advantages of spectral analysis of signals and frequency analysis of time series to examine the prices of different oils and REER of Iran variables in details as univariate and bivariate.
The contour for decomposition of the time series of Iran’s REER, Iran’s crude oil prices, OPEC Crude Oil prices, Brent Crude oil prices and WTI crude oil prices using Morlet Continues wavelet transform Considering the above discussion, Figure 2 shows a relatively similar effect in changes in the different oils prices and Iran’s REER trends.
To know the type and intensity of this relation and the mechanisms passing the effects of changes through these two variables (Iran’s oil price and Iran’s REER), we must employ cross wavelet transform and phase difference analysis, which are discussed in the following section.
Coherency analysis revealed areas where there are similarities between the behaviors of the two time series (the different Oils prices and Iran’s REER) shown as spectral graphs.