Investigating the Effects of Global Crude Oil Prices Shocks on the GDP Of Iran Through the VAR Model, Case Study OPEC Basket and Brent Prices
Pensee Journal, 76 (3)
10 Pages Posted: 28 Oct 2015
Date Written: March 22, 2014
Abstract
According to the vast and enriched oil resources of Iran and the inter relationship between this nominated resource and the other macro-economic variables, in this paper we try to investigate the clear effects of the OPEC basket and Brent crude oil prices, as two of the most important global prices on the GDP of Iran. Further, the purpose of the research will be testing and comparing the response of the Iran’s GDP against the global oil prices shocks. So the best methods will be Vector Autoregressive (VAR), Impulse Response Function (IRF) and the Variance Decomposition which will be run among the quarterly time series data of the related variables from 1995:Q1 to 2010:Q4. The achieved results show the low – positive effects of global oil prices shocks on the GDP. Moreover, the result from variance decompositions illustrates that the effects of OPEC basket crude oil price on the GDP is higher than Brent one in the short run and vice versa, the Brent has higher affect rather than OPEC in the long run. So the effects of the global oil prices shocks on the GDP of Iran are various in times.
Keywords: Crude oil price, GDP, Quarterly data, Vector Autoregressive model
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