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

See all articles by Mohammad Nasre Esfahani

Mohammad Nasre Esfahani

Kharazmi (Tarbiat Moallem) University

Ehsan Rasoulinezhad

Saint Petersburg State University

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

Suggested Citation

Nasre Esfahani, Mohammad and Rasoulinezhad, Ehsan, 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 (March 22, 2014). Pensee Journal, 76 (3), Available at SSRN: https://ssrn.com/abstract=2677884

Mohammad Nasre Esfahani (Contact Author)

Kharazmi (Tarbiat Moallem) University ( email )

Iran, Tehran
Tehran, AL Tehran 1651733718
Iran

Ehsan Rasoulinezhad

Saint Petersburg State University ( email )

7-9, Universitetskaya nab.
Saint Petersburg, 199034
Russia

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