Oil price volatility vs non-oil tax revenues: is there U-shaped association? Evidence from Azerbaijan
In the Data Set, quarterly indicators related to Azerbaijan's real tax revenues from non-oil sector is given in real valu in total, and as corporate income tax receipts, Value Added Tax receipts, and labor income tax payments. Moreover, quarterly oil price level, and Azerbaijan's real non-oil GDP, and oil production statistics are also given. The study aims to analyse how oil price volatility affects non-oil tax revenues in Azerbaijan FMOLS, DOLS, and CCR cointegration methods are employed for 2001Q1-2015Q4. Empirical results altogether provide strong scientific evidence that there is U-shaped causality from oil price changes to total non-oil tax revenues , corporate income tax receipts and labour income tax payments , and inverse U-shaped to non-oil VAT revenues of the state budget. Results show that, firms face with the trade-off between “produce-and-sell” and “import-and-sell” as oil price rises. In case of higher price than the threshold level, companies prefer the latter choice. Research findings are highly useful for the public policy decision-makers in resource rich economies.