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:: Volume 12, Issue 45 (Quarterly Journal of Fiscal and Economics Policies 2024) ::
qjfep 2024, 12(45): 175-211 Back to browse issues page
The Asymmetric Effect of Global Indicators of Geopolitical Risk and Economic Uncertainty on the Oil Rent in Iran
Abolghasem Golkhandan * , Sahebe Mohamadian Mansour
Abstract:   (1245 Views)
The main purpose of this research is to experimentally investigate the asymmetric effect of global indicators of Geopolitical Risk (GPR) and Economic Uncertainty (EU) on the oil rent in Iran using seasonal data of the period 1993:1-2021:1. For this purpose, the global GPR index provided by Caldara & Iacoviello (2018) which is based on newspaper coverage of geopolitical tensions and the global EU index provided by Ahir et al. (2018) which is based on the frequency of the word uncertainty (and its types) in the country reports of the Economist Intelligence Unit has been used. The variables of the oil production and the global index of real economic activity are also included in the model as control variables. The results of Sam et al.'s (2019) augmented bounds cointegration test confirm the existence of a strong asymmetric long-term equilibrium relationship between model variables. The results of the estimation of the model using Non-linear Autoregressive Distributed Lag (NARDL) show that in the long and short term, the effect of positive GPR shocks on the share of oil rent in GDP is positive and significant, and this effect is negative and significant for negative GPR shocks. Also, the effect of positive GPR shocks on the share of oil rent in GDP is greater than the effect of negative GPR shocks (confirming the asymmetric effect of GPR). Regarding the global index of economic uncertainty, the estimation results show that positive EU shocks have a negative and significant effect in the long and short term, and negative EU shocks have a insignificant effect in the long term and a positive and significant effect in the short term on the share of oil rent in GDP (confirming the asymmetric effect of EU). Based on the other results, the increase in oil production and the global index of real economic activity have a positive and significant effect on the share of oil rent in GDP, according to theoretical expectations.
Keywords: Geopolitical Risk, Economic Uncertainty, Oil Rent, Asymmetric, Non-linear Autoregressive Distributed Lag (NARDL).
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Type of Study: Research | Subject: General
References
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Golkhandan A, Mohamadian Mansour S. The Asymmetric Effect of Global Indicators of Geopolitical Risk and Economic Uncertainty on the Oil Rent in Iran. qjfep 2024; 12 (45) :175-211
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Volume 12, Issue 45 (Quarterly Journal of Fiscal and Economics Policies 2024) Back to browse issues page
فصلنامه سیاستهای مالی و اقتصادی Quarterly Journal of Fiscal and Economic Policies
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