Examine The Asymmetric Effects of oil Price shocks on Iran’s Economic Growth and Interest Rate: Nonlinear VAR Model

Subject Areas : Labor and Demographic Economics

saeed samadi ¹ , ali sarkhosh-sara ² , Omid Amini Darrevazan ³

1 - Associate professor of Economics, Isfahan University, Department of Economics, Isfahan, Iran
2 - Ph.D. Candidate of Economics, University of Isfahan, Department of Economics, Isfahan, Iran
3 - M.Sc. Economics, Department of Economics, University of Isfahan, Isfahan

Received: 2018-07-16 Accepted : 2018-07-16 Published : 2018-05-22

Keywords: C32, JEL Classification: E51, C22. Keywords: Oil Shocks, Interest Rate, Economic Growth, Asymmetric Effects of Oil Shocks, Nonlinear VAR Model,

Abstract :

Abstract The aim of this paper Major part of GDP of Iran driven by oil revenues. As the oil price fluctuations vary the oil incomes, assess the effect of this variation on economic growth is a matter of importance. In this regard, this survey investigate the asymmetric effects of oil price shocks on Iran's economic growth and interest rate using seasonal data from 1999:4 to 2015: 3 using self-equilibrium pattern of nonlinear transient nonlinear transmission (LSTVAR) series, including high and low oscillation regimes. Oil price fluctuations are selected as a transition variable, and using the generalized instantaneous reaction function, the asymmetric effects of oil price shocks on economic growth and interest rate have been examined. The results indicate that oil price shocks in both high and low volatility regimes have different and asymmetric effects on economic growth and interest rate. The shock of oil prices in the high-fluctuation regime at the start will reduce economic growth to a greater extent than the increase in economic growth in a regime with low volatility. According to the results, it is suggested that saving excess oil revenues in oil price increases should be considered so that this surplus can be used to reduce the adverse effects of oil price fluctuations.

References:

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