RT - Journal Article T1 - Oil Price Uncertainty and Economic Growth in Iran: Evidence from Asymmetric VARMA, MVGARCH-M JF - JSE YR - 2014 JO - JSE VO - 5 IS - 17 UR - http://jemr.khu.ac.ir/article-1-844-en.html SP - 57 EP - 85 K1 - Oil Price K1 - Uncertainty K1 - VARMA K1 - MVGARCH-M Model AB - The fluctuations in the oil price with uncertainty, as an exogenous variable, is the most important factor affecting the fluctuations in the GDP of the countries especially OPEC. This study examines the effect of oil price uncertainty on the Iran’s GDP growth using the seasonal data for the period 1988(1)-2011(4). The model used in this study is the asymmetric VARMA, MVGARCH-M and the estimated method is quasi maximum likelihood (QML). The results indicated that there is a negative and significant relationship between oil price and economic growth over the period. Furthermore, the results show that the conditional variance-covariance process underlying output growth and change in oil price exhibits non-diagonality and asymmetry. LA eng UL http://jemr.khu.ac.ir/article-1-844-en.html M3 ER -