نوع مقاله : مقاله پژوهشی
دانشجوی دوره دکترای دانشگاه تهران
عنوان مقاله [English]
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.