Uncertainty of the impact of oil prices on macroeconomic variables: the specified method of multivariate Garch BEKK

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ERFANI ALIREZA; Charmgar akram

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Journal: ENERGY ECONOMICS REVIEW Year:2014 | Volume:10 | Issue:40 Page(s): 129-147

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Title

Uncertainty of the impact of oil prices on macroeconomic variables: the specified method of multivariate Garch BEKK

Author(s)

ERFANI ALIREZA | Charmgar akram | Issue Writer Certificate

Keywords

uncertaintyQ2

oil priceQ2

multivariate Garch BEKKQ2

Abstract

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.

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APA: Copy

ERFANI, ALIREZA, & Charmgar, akram. (2014). Uncertainty of the impact of oil prices on macroeconomic variables: the specified method of multivariate Garch BEKK. ENERGY ECONOMICS REVIEW, 10(40 ), 129-147. SID. https://sid.ir/paper/99589/en

Vancouver: Copy

ERFANI ALIREZA, Charmgar akram. Uncertainty of the impact of oil prices on macroeconomic variables: the specified method of multivariate Garch BEKK. ENERGY ECONOMICS REVIEW[Internet]. 2014;10(40 ):129-147. Available from: https://sid.ir/paper/99589/en

IEEE: Copy

ALIREZA ERFANI, and akram Charmgar, “Uncertainty of the impact of oil prices on macroeconomic variables: the specified method of multivariate Garch BEKK,” ENERGY ECONOMICS REVIEW, vol. 10, no. 40 , pp. 129–147, 2014, [Online]. Available: https://sid.ir/paper/99589/en

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