Assessment of Asymmetric Oil Price Shock, Tax Revenues, Resource Curse, Stock Market, and Business Cycles of Iran using Structural Vector Autoregression (SVAR) Model

This study was conducted to determine the effect of the asymmetric oil price shock, tax revenues, resource curse, stock market, and business cycles of Iran by using the structural vector auto regression model (SVAR) for the ۱۹۸۴-۲۰۱۸ period. According to results of the estimated SVAR model, an impulse imposed by the duration of sanctions on oil exports led to an ۸۹% increase in production gap, and impulses caused by liquidity and stock price led to ۸۶% and ۵۳% rises in production gap, respectively. Variation in oil and foreign exchange earnings results in different and even conflicting changes in foreign and domestic sectors of the economy, which subsequently affect the economic performance positively or negatively. Regarding economic structure and principles, a constant increased exchange rate leads to economic growth while a cross-sectional increment in exchange rate does not lead to any economic prosperity. Increased exchange rate and decreased domestic money weakness will increase foreign debt, which in turn causes liquidity shortage. Overall, the liquidity shortage of economic firms has a negative impact on the return of stock and business cycles. Hence, policymakers must pay considerable attention to macroeconomic indicators.

Keywords:

Asymmetric Oil Price Shock , Tax Revenues , Exchange rate , Business Cycle , SVAR Model