The Role of Oil Revenue Shocks in Iranian Economy, A TVP- VAR Approach

In this paper, we analyze the effects of oil revenue shocks on different sectors of Iranian economy. We use quarterly data of Iranian economy from 1988:2 to 2011:1 to analyze a time varying parameter VAR model with Bayesian method. The results show that in late 1980s and early 1990s, the positive effects of oil revenue were mostly emerged in industrial and oil sectors, having almost no effect on services sector and negative effect on agricultural sector. In 2000s, oil revenue is relatively less effective in industrial sector, while more effective in agricultural and services sectors.