Oil Price Uncertainty in the Iranian Economy

Elaheh Asadi Mehmandosti (), Fatemeh Bazzazan () and Mirhossein Mousavi ()
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Elaheh Asadi Mehmandosti: Department of Economics, Alzahra University, Tehran, Iran.
Fatemeh Bazzazan: Department of Economics, Alzahra University, Tehran, Iran.
Mirhossein Mousavi: Department of Economics, Alzahra University, Tehran, Iran.

Iranian Economic Review (IER), 2017, vol. 21, issue 1, 137-125

Abstract: The 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.

Keywords: Real Options; Uncertainty; Oil Price; Multivariate GARCH-in-Mean VAR. (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eut:journl:v:21:y:2017:i:1:p:137

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