The Non-linear Relationship between Uncertainty and Non-oil GDP in Iran (in Persian)

Mohsen Mehrara () and Ramin Mojab ()
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Mohsen Mehrara: Iran
Ramin Mojab: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2012, vol. 5, issue 13, 71-94

Abstract: In this study, the relationship between uncertainty and non-oil GDP is analyzed. A Threshold Autoregressive (TAR) model with exogenous variables is estimated by using Iranian Economy's data of 1988:2-2008:3. The uncertainty index is calculated by using ARCH modeling and Factor Analysis. The results show that there is a non-linear relationship between non-oil output and uncertainty in Iran. As the uncertainty passes the estimated threshold level, it reduces non-oil GDP, especially the output in services sector.JEL classification: E23, C50, C40, C22

Keywords: Uncertainty; Non-oil GDP; TAR models; Factor models; ARCH models (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmbres:v:5:y:2012:i:13:p:71-94

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