پژوهشنامه اقتصاد انرژی ایران
پیاپی 9 (زمستان 1392)

This paper examines factors influencing the choice of exchange rate regime in oil producing countries. Prevailing theories in selecting exchange rate regime include optimum currency area, political economy theory, and currency crisis. In this survey the matter has been studied regarding political economy theory. The variables used in the economic and political structure of the considered countries indicate that from 1974 to 2011 as many as 31 countries by using Panel Logit model have been studied. The result suggests the influence of political structure, oil rent, government ideology and economic capacity on specifying the exchange rate regime. Thus, the more democratic political structure, as well as the more leftist government ideology and also the wider economic capacity increase, the likelihood of choosing a flexible regime, If oil rent and dependence on oil revenue increase there will be a higher probability of implementing a fixed regime.

Due to price volatility in the oil market, market players are exposed to large risks. Value at Risk (VaR) is one of the main methods to measure market risk in various asset markets including commodities.,. In this study, Upside and Downside Risks are estimated by using the GED-GARCH method that is appropriate for leptokurtic distributions with fat tail. The daily spot and Futures oil prices data from January 1986 to December 2010 data for "in sample" and from January 2011 to July 2012 for "out of sample" are our data sample. To test the reliability of estimated VaR, the Kupiec test is used. Also by using Granger Causality analysis, the spillover effect risk between spot and futures oil price returns are investigated. Results show that spot and futures returns have leptokurtic distribution with fat tails. There is also a significant upside spillover effect risk from futures to spot price returns at 99% confidence level as for oil price increases during 2000s.

After reviewing briefly the Iranian oil contracts from Reuter and D’Arcy concessions to buy-back contracts, we have examined the desired properties of oil contracts as follows: sovereignty and ownership over oil resources, national rights and interests in the chain of oil operations, transfer of technical knowledge and skills, and finally improvement in Government revenues resulting from oil production. An evaluation of oil contracts over a period of 140 years since Reuter’s concession in 1872 reveals the fact that the main attention of Governments has always been focused on gaining higher foreign exchange revenues. In principle, the sovereignty and ownership of oil resources have not usually been a conflicting issue amongst Governments and IOCs due to the fact that the permanent sovereignty over natural resources is well-recognized in international law. However, the point of prime significance is the identification of the impact of this property on the process of oil operations by IOCs, which depends entirely on the knowledge and expertise of NIOC. The other two properties are, more or less, emphasized in all oil contracts, yet without producing any tangible results due to the lack of endogenous efforts to advance technical knowledge and skills in oil industry as well as a change of Government’s outlook to the role and status of oil in economic development. Otherwise, contracts with IOCs cannot be expected to enhance technical and managerial capabilities of NIOC towards becoming a national-international oil company.

The performance of nation’s economy in terms of realization of social justice can be addressed by studying the variation of quantitative indexes such as income distribution, poverty and social welfare. Several studies have been accomplished investigating the role of oil revenues in economic development of oil exporting countries. However the issue of income distribution and the process of the effect of oil revenues on it haven’t been adequately surveyed. There are several theories among the development economists saying the revenues of mineral industries such as oil and gas, cause the intensification of inequality in the economy. Using Bayesian Vector Autoregression (BVAR) approach and considering the variables of Gini index, inflation, GDP per capita without oil, share of government expenditure to GDP, proportion of consuming expenditure to construction expenditure of government, and the real per capita oil revenues, we addressed the relationship between oil revenues and the income distribution in Iran in the period of 1973-2010. Six different prior densities such as Minnesota and SSVS have been used to estimate the model coefficients and the impulse response functions and the variance decomposition have been computed. The results show that the increase of oil revenues has tended to increase of inequality in Iran. In addition, the increase of inflation, government expenditure, and the proportion of consuming expenditure to construction expenditure increase the inequality. But the increase of GDP per capita decreases the inequality.

Risk sharing between international oil companies and hosting countries is one of the most important issues in oil contracts. This paper studies the risk sharing between National Iranian Oil Company (Government) and IOCs in three generations of buy back contracts. IOCs’ Risk in buyback contracts are cost risk, delay risk, failure to achievement to production profile and declining oil price. Government’s risks are no conservative production, declining oil production, cost risk and overestimated cost risk. This paper shows cost and failure to achievement to production profile risks for IOCs and no conservative production, declining oil production risks for government have more significant effects on projects profitability. In the first generation of buyback contract, there is not suitable mechanism to manage these risks. In the third generation of buy back contracts, main risks are significantly decreased and the expected risks of parties are declined. within the decreasing the risks of IOCs in third generation of buyback contracts, IOCs reward has been increased. It seems incompatible with risk and reward sharing in contracts.

Uncertainty is different from risk. When a variable is having uncertainty, as oil prices where unique characteristics are expected, risk analysis can not explain the behavior of that variable. Stochastic differential equations are able to model the behavior of such variables. Mean reverting stochastic process is a kind of stochastic differential equation which is assumed to have the variable fluctuating in the proximity of its long run average. In this paper, we measure a proxy of uncertainty for Iran's heavy oil prices by mean reverting stochastic process in the period of 1985-2009. The results indicate that the most uncertainties were in 2005, 2006 and 2007 and the least were in 1985, 1986 and 1998.

It is expected that fuel price increase for power plant uses would lead into an electricity price increase and consequently electricity production, emissions pollutions and greenhouse change. To quantify these effects we develop a system dynamics model for the electricity market in Iran consisting of demand, price and generation modules. The purpose of this paper is to investigate the effects of fuel reforming plants on emissions pollutions and greenhouse. To quantify these effects we develop a system dynamics model for the electricity market in Iran and this model is solved and simulated using POWERSIM software. According to the results,, if the subsidized prices for power plant fuel uses are still maintained, in the framework of the model Emissions pollutions and greenhouse, assuming growth rates at the end of period 5 and 8 percent, respectively, in the (-%1) and 3%. With modified fuel delivery price to power plants, the amount of environmental pollutants, assuming growth rates at end of period 5 and 8 percent, respectively, in the (-1) percent and (3) percent. In the final part of the paper, effect of increase on Power Efficiency in the model has been studied, Assuming growth rates of 5 and 8 percent, emissions pollutions and greenhouse rate are expected to reach the end of the period to (-0.6) percent and (+0.4) percent compared with price reform, respectively.

This paper studied the relationship between energy consumption, GDP and CO2 emission (as an indicator of air pollution). The extent of the emission of CO2 and its relation to shocks and variation in economic variables in Iran was calculated. A model based on Kuznets hypothesis was built and econometric method of error correction was used for estimating the model and analyzing the long-term relation between the variables. The results indicate that there is a meaningful long-term relationship between the analyzed variable i.e. energy consumption, where GDP has a positive effect on CO2 emission. In addition the causal relation between the variables was studied and the following results were obtained: a two way causal relation between CO2 emission and energy consumption and a one way relation from GDP to CO2 emission in the short-term was found. Also the impact of an economic shock in GDP on the CO2 emission indicated an increase for 3 years and then a decline over 6 years.