Provincial Oil Budget Allocation based on a Stochastic Optimal Control Model
This study investigates the process of budget allocation to provinces of Iran based on two set of factors of 1- major macro provincial indicators and 2-oil price volatility based on stochastic differential equations and stochastic optimal control framework during the period of 2003 to 2014. In this...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2016-03-01
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| Series: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| Subjects: | |
| Online Access: | https://joer.atu.ac.ir/article_4204_c08ac0273e449a9ec54ffb6043a4ace9.pdf |
| _version_ | 1827398319604760576 |
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| author | Hadi Rahmani Fazli Abbas Arabmazar |
| author_facet | Hadi Rahmani Fazli Abbas Arabmazar |
| author_sort | Hadi Rahmani Fazli |
| collection | DOAJ |
| description | This study investigates the process of budget allocation to provinces of Iran based on two set of factors of 1- major macro provincial indicators and 2-oil price volatility based on stochastic differential equations and stochastic optimal control framework during the period of 2003 to 2014. In this regard, with calculation of optimal share of provinces in total country budget based on macro indicators data for year 2011, the effect of stochastic oil price on dynamic budget allocation is studied. The dynamic analysis of oil price during 2003 to 2014 indicates a volatile trend with jumps in oil price time series in some sub-periods. Accordingly, different models of stochastic differential equations and stochastic optimal control for modeling oil price and petroleum budgets allocation in different years are proposed. The results show that the share of the provincial budget depends on the parameters that determine the behavior of the oil price time series. So that, with an increased average growth rate of oil prices, the provincial budget share increases over time. In addition, an increase in volatility of oil prices and acceleration in the velocity of oil price mean-reversion, reduce the optimal share of provincial oil budgets over time. Also, based on the results of the simulation model for provincial data in year 2011, the optimal share of provincial oil budgets has dynamic and stochastic behavior and it is formed based on the behavior of oil price time series. |
| first_indexed | 2024-03-08T19:27:56Z |
| format | Article |
| id | doaj.art-ceddf801f6354d6d9771db4ad6068993 |
| institution | Directory Open Access Journal |
| issn | 1735-210X 2476-6453 |
| language | fas |
| last_indexed | 2024-03-08T19:27:56Z |
| publishDate | 2016-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| spelling | doaj.art-ceddf801f6354d6d9771db4ad60689932023-12-26T08:02:53ZfasAllameh Tabataba'i University PressFaslnāmah-i Pizhūhish/Nāmah-i Iqtisādī1735-210X2476-64532016-03-01166015318210.22054/joer.2016.42044204Provincial Oil Budget Allocation based on a Stochastic Optimal Control ModelHadi Rahmani Fazli0Abbas Arabmazar1PhD Student in Economics, Shahid Beheshti UniversityAssociate Professor, Faculty of Economics and Political Science, Shahid Beheshti UniversityThis study investigates the process of budget allocation to provinces of Iran based on two set of factors of 1- major macro provincial indicators and 2-oil price volatility based on stochastic differential equations and stochastic optimal control framework during the period of 2003 to 2014. In this regard, with calculation of optimal share of provinces in total country budget based on macro indicators data for year 2011, the effect of stochastic oil price on dynamic budget allocation is studied. The dynamic analysis of oil price during 2003 to 2014 indicates a volatile trend with jumps in oil price time series in some sub-periods. Accordingly, different models of stochastic differential equations and stochastic optimal control for modeling oil price and petroleum budgets allocation in different years are proposed. The results show that the share of the provincial budget depends on the parameters that determine the behavior of the oil price time series. So that, with an increased average growth rate of oil prices, the provincial budget share increases over time. In addition, an increase in volatility of oil prices and acceleration in the velocity of oil price mean-reversion, reduce the optimal share of provincial oil budgets over time. Also, based on the results of the simulation model for provincial data in year 2011, the optimal share of provincial oil budgets has dynamic and stochastic behavior and it is formed based on the behavior of oil price time series.https://joer.atu.ac.ir/article_4204_c08ac0273e449a9ec54ffb6043a4ace9.pdfoptimal provincial budgetingstochastic optimal controldynamic programinghamilton-jacobi-bellman equation |
| spellingShingle | Hadi Rahmani Fazli Abbas Arabmazar Provincial Oil Budget Allocation based on a Stochastic Optimal Control Model Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī optimal provincial budgeting stochastic optimal control dynamic programing hamilton-jacobi-bellman equation |
| title | Provincial Oil Budget Allocation based on a Stochastic Optimal Control Model |
| title_full | Provincial Oil Budget Allocation based on a Stochastic Optimal Control Model |
| title_fullStr | Provincial Oil Budget Allocation based on a Stochastic Optimal Control Model |
| title_full_unstemmed | Provincial Oil Budget Allocation based on a Stochastic Optimal Control Model |
| title_short | Provincial Oil Budget Allocation based on a Stochastic Optimal Control Model |
| title_sort | provincial oil budget allocation based on a stochastic optimal control model |
| topic | optimal provincial budgeting stochastic optimal control dynamic programing hamilton-jacobi-bellman equation |
| url | https://joer.atu.ac.ir/article_4204_c08ac0273e449a9ec54ffb6043a4ace9.pdf |
| work_keys_str_mv | AT hadirahmanifazli provincialoilbudgetallocationbasedonastochasticoptimalcontrolmodel AT abbasarabmazar provincialoilbudgetallocationbasedonastochasticoptimalcontrolmodel |