The Role of Oil Revenue Shocks in Iranian Economy, A TVP- VAR Approach

In this paper, we analyze the effects of oil revenue shocks on different sectors of the Iranian economy. We use quarterly data of the Iranian economy from ۱۹۸۸:۲ to ۲۰۱۱:۱ to analyze a time-varying parameter VAR model with the Bayesian method. The results show that in the late ۱۹۸۰s and early ۱۹۹۰s, the positive effects of oil revenue were mostly emerged in the industrial and oil sectors, having almost no effect on services sector and negative effect on agricultural sector. In the ۲۰۰۰s, oil revenue is relatively less effective in the industrial sector, while more effective in the agricultural and services sectors.

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Keywords: Oil ، Shock ، Output ، VAR ، Bayesian