EFFECTS OF OIL PRICE SHOCKS AND EXCHANGE RATE VOLATILITY AND UNCERTAINITY ON ECONOMIC GROWTH IN SELECTIVE OIL COUNTRIES

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EBRAHIMI SAJAD

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Journal: Iranian Journal of Trade Studies Year:2011 | Volume:15 | Issue:59 Page(s): 83-105

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Title

EFFECTS OF OIL PRICE SHOCKS AND EXCHANGE RATE VOLATILITY AND UNCERTAINITY ON ECONOMIC GROWTH IN SELECTIVE OIL COUNTRIES

Author(s)

EBRAHIMI SAJAD | Issue Writer Certificate

Keywords

ECONOMIC GROWTHQ2

OIL PRICEQ2

EXCHANGE RATEQ2

UNCERTAINITYQ2

Abstract

Oil price and EXCHANGE RATE volatility are the most important factors in GDP fluctuations in all countries, particularly in oil exporting countries. This paper investigates the effects of OIL PRICE shocks and real effective EXCHANGE RATE volatility on ECONOMIC GROWTH in oil exporting countries. In addition, the effect of UNCERTAINITY resulting from OIL PRICE shocks and EXCHANGE RATE volatility on ECONOMIC GROWTH has also been examined. GARCH (1,1) model has been used to extract UNCERTAINITY series. The estimation method used is Vector Autoregressive (VAR) based on cointegeration technique. Model is estimated separately for the four oil exporting countries Algeria, Iran, Saudi Arabia and Venezuela for the period 1980- 2007. Based on estimation results, there are long-run relationship between OIL PRICEs, EXCHANGE RATE and GDP in these countries. In these countries, long-run relationship between OIL PRICEs and GDP growth is positive in all four countries. Also long-run relationship between EXCHANGE RATE and GDP growth in all four counties is negative.

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APA: Copy

EBRAHIMI, SAJAD. (2011). EFFECTS OF OIL PRICE SHOCKS AND EXCHANGE RATE VOLATILITY AND UNCERTAINITY ON ECONOMIC GROWTH IN SELECTIVE OIL COUNTRIES. IRANIAN JOURNAL OF TRADE STUDIES (IJTS), 15(59), 83-105. SID. https://sid.ir/paper/7269/en

Vancouver: Copy

EBRAHIMI SAJAD. EFFECTS OF OIL PRICE SHOCKS AND EXCHANGE RATE VOLATILITY AND UNCERTAINITY ON ECONOMIC GROWTH IN SELECTIVE OIL COUNTRIES. IRANIAN JOURNAL OF TRADE STUDIES (IJTS)[Internet]. 2011;15(59):83-105. Available from: https://sid.ir/paper/7269/en

IEEE: Copy

SAJAD EBRAHIMI, “EFFECTS OF OIL PRICE SHOCKS AND EXCHANGE RATE VOLATILITY AND UNCERTAINITY ON ECONOMIC GROWTH IN SELECTIVE OIL COUNTRIES,” IRANIAN JOURNAL OF TRADE STUDIES (IJTS), vol. 15, no. 59, pp. 83–105, 2011, [Online]. Available: https://sid.ir/paper/7269/en

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