چکیده:
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.
خلاصه ماشینی:
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.
In this paper, we move the empirical literature forward by examining the direct effects of oil price uncertainty on real economic activity as well as the response of real GDP growth to oil price shocks by using annually data for economy of Iran.
Energy prices may also affect economic activity through their effect on the productivity of labor and 140/ Oil Price Uncertainty in the Iranian Economy capital, as in the real business cycle models of Kim & Loungani (1992), Rotemberg & Woodford (1996), and Finn (2000).
Final mechanism is the uncertainty channel which focuses on the effects of uncertainty about the price of oil in the future on investment spending and delaying it according to real options theory, which the opinion was developed by Henry (1974), Bernanke (1983), Brennan & Schwartz (1985), Majd & Pindyck (1987), Brennan (1990), Gibson & Schwartz (1990), Triantis & Hodder (1990), and Aguerrevere (2009).
In this paper, we examined the effects of oil price uncertainty on real economic activity in the economy of Iran, in the context of a dynamic multivariate framework in which a structural vector auto-regression has been modified to accommodate multivariate GARCH-in-mean errors, as in Elder & Serletis (2010).