The Effect of Oil Price Volatilities on Macroeconomic Variables in Iran (Structural Vector Auto Regression Approach)

International Journal of Economy, Management and Social Sciences, 2(11) November 2013, Pages: 928-938

11 Pages Posted: 10 Jul 2014

See all articles by Mahdi Keikha

Mahdi Keikha

Allameh Tabataba'i University - Economics

Dr.Hossein Parsian

Plan and Budget organization of Iran

Amir Shams Koloukhi

Islamic Azad University - Young Researchers and Elites Club

Date Written: November 11, 2013

Abstract

In this study we investigate the positive and negative effects of oil price volatilities (asymmetric effect) on GDP, consumer price index, imports, government expenditure and money stock using quarterly data trough the Structural VAR approach and using Impulse Response Function and Variance Analysis. Results of Impulse Response Function and Variance Analysis indicate that economy of Iran is sticky to the oil income. The effect of oil shocks on studied macroeconomic variables is as expected and asymmetric and was divergent for most variables. This effect is not adjusted even in the twenty seasons. Oil shocks (especially positive shocks) have serious and significant role in volatilities of other variables in long-term.

Keywords: Oil prices volatility, macroeconomic variables, Structural VAR approach, Hodrick-prescott filter, Iran’s economy

JEL Classification: D04, E20

Suggested Citation

Keikha, Mahdi and Parsian, Hossein and Shams Koloukhi, Amir, The Effect of Oil Price Volatilities on Macroeconomic Variables in Iran (Structural Vector Auto Regression Approach) (November 11, 2013). International Journal of Economy, Management and Social Sciences, 2(11) November 2013, Pages: 928-938, Available at SSRN: https://ssrn.com/abstract=2464022

Mahdi Keikha

Allameh Tabataba'i University - Economics ( email )

Tehran
Iran

Hossein Parsian (Contact Author)

Plan and Budget organization of Iran ( email )

Tehran, Tehran
Iran

Amir Shams Koloukhi

Islamic Azad University - Young Researchers and Elites Club ( email )

Torbat-e-Jam Branch
Torbat-e-Jam
Iran

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