Asymmetric effects of oil shockwaves on economic growth in Iran

Subject Areas : Applied Economics

فرهاد غفاری ¹ (ندارد)
سحر مظفری ² (مسئول مکاتبات)

Received: 2011-01-11 Accepted : 2011-06-12 Published : 2010-12-22

Keywords: oil shocks, Economic growth, asymmetric effects, Hvdryk ‐ Prescott, Vector Auto Regression model,

Abstract :

The purpose of this study is to analyze the asymmetric effects of oil priceshocks on economic growth in Iran. There are two hypotheses in this study:First, any reduction of oil prices leads to lower economic growth in Iran andsecond, the positive impact of an equal increase of price of oil on economicgrowth is less than the negative effect. Therefore the effects are asymmetric.We use Vector Auto Regression model to estimate our model. Our modelshows that shockwaves in oil price have a greater impact on economicfluctuations in Iran than other macroeconomic variables. We also use Hydric ‐Prescott filtering to separating positive and negative shocks and confirm theirasymmetric effects