Oil Price Uncertainty in the Iranian Economy

T he 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 ۱۹۶۵ to ۲۰۱۳.Results show that uncertainty about oil prices had a negative and significant effect on real output in our sample.

کلیدواژه ها:

Keywords: Real Options ، uncertainty ، Oil Price ، Multivariate GARCH-in-Mean VAR. JEL Classification: C۳۲ ، E۱۰ ، G۳۱