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:: Volume 10, Issue 40 (Vol. 10-Spring93 2014) ::
QEER 2014, 10(40): 129-147 Back to browse issues page
Uncertainty of the impact of oil prices on macroeconomic variables: the specified method of multivariate Garch BEKK
Alireza Erfani * 1, Akram Charmgar2
1- semnan university , erfani88@gmail.com
2- semnan university
Abstract:   (9163 Views)

Most countries whose economies depend on natural resources, particularly oil, in recent decades, economic performance have not accepted their place. Low economic growth, macroeconomic instability, budget deficit, a negative balance of trade, devaluation of the national currency, high inflation, rising unemployment, financial and administrative corruption, discrimination and injustice are characteristics of these countries. Iran has one of the country's oil-dependent economy, the uncertainty of oil prices and the results of other macroeconomic variables are important. In this study, we pay to the effect of oil price uncertainty on macroeconomic variables in the period 1368:1 to 1388:4 to calculate the uncertainty of the BEKK Multivariate Garch and then it's a simultaneous effect on GDP, inflation and the exchange rate index of Tehran Stock Exchange are examined. The results suggest that oil price uncertainty is negatively related to these four variables simultaneously and Increased uncertainty caused reduction in GDP, inflation, stock market indices and exchange rates.

Keywords: uncertainty, oil price, multivariate Garch BEKK
Full-Text [PDF 556 kb]   (2298 Downloads)    
Type of Study: Thesis(M.A.) | Subject: Oil-Market
Received: 2012/11/30 | Accepted: 2013/10/14 | Published: 2014/08/2 | ePublished: 2014/08/2
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erfani A, charmgar A. Uncertainty of the impact of oil prices on macroeconomic variables: the specified method of multivariate Garch BEKK. QEER 2014; 10 (40) :129-147
URL: http://iiesj.ir/article-1-51-en.html


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Volume 10, Issue 40 (Vol. 10-Spring93 2014) Back to browse issues page
فصلنامه مطالعات اقتصاد انرژی Quarterly Energy Economics Review
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