Oil Price Uncertainty in the Iranian Economy

نویسندگان
Asadi Mehmandosti, Elaheh ID 1
Bazzazan, Fatemeh ID 2
Mousavi, Mirhossein ID 3

1 Department of Economics, Alzahra University, Tehran, Iran (Corresponding Author: elaheh_asadi@alzahra.ac.ir).

2 Department of Economics, Alzahra University, Tehran, Iran (fbazazan@alzahra.ac.ir).

3 Department of Economics, Alzahra University, Tehran, Iran (hmousavi@alzahra.ac.ir).

doi
10.22059/ier.2017.60867
چکیده

T he relationship between the price of oil and the level of economic activity is a fundamental empirical issue in macroeconomics. In this research, by using a multivariate GARCH-in-Mean VAR, we try to investigate direct effects of uncertainty of oil price on macroeconomics of Iran by using annually data from 1965 to 2013.Results show that uncertainty about oil prices had a negative and significant effect on real output in our sample.

کلیدواژه‌ها
Keywords: Real Options, uncertainty, Oil Price, Multivariate GARCH-in-Mean VAR. JEL Classification: C32, E10, G31