Investigating the dynamic relationship between monetary policy uncertainty, global oil prices, inflation and production in economies with oil reserves

The present study performs a non-linear analysis of the dynamic relationship between monetary policy uncertainty, world oil prices, inflation and production in economies with oil reserves using the time-varying parameter vector auto-regression (TVP-VAR) model based on the frequency of annual data during the period of 1990-2022. According to the estimation results, it was found that there is a non-linear correlation between macroeconomic variables such as inflation rate, oil price and GDP with monetary policy index. Also, based on the results of variance analysis, 90.24% changes in the US, 82.27% changes in Canada, 81.48% changes in Russia, 91.73% changes in Iran, 88.30% changes in Saudi Arabia and 83.14% of changes in Qatar are related to oil price shocks. It can be said that among the studied countries, the biggest shocks in oil prices are dedicated to Iran, America, Saudi Arabia, Qatar, Canada, and Russia, respectively, which indicates the high dependence of Iran, America, and Saudi Arabia on oil. Indeed, as explained in the results section of the impulse response functions, due to the dependence on foreign currency revenue from oil sales and the use of oil in the production sector in Canada and the US, the type of oil price impulses is different in other countries like Iran, Saudi Arabia, Qatar and Russia. The impact of monetary impulse on production in America, Saudi Arabia and Qatar is positive in the short term, this effect is negative for the countries of Canada, Iran and Russia in the short term; however, based on the corresponding response function, it has no effect on production in the long term. Also, the impact of monetary impulse on inflation in Iran, Saudi Arabia and Qatar is positive, so the hypothesis of monetary relationship with inflation is not rejected.

Investigating the dynamic relationship between monetary policy uncertainty, global oil prices, inflation and production in economies with oil reserves Keywords:

monetary policy , production gap , inflation , oil price , time-varying parameter vector auto-regression (TVP-VAR)