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Abstract
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Iran as the second largest producer in OPEC oil exporting countries, is a major supplier of oil in global energy market which can affect the world oil market and accept the impact. In this situation, any shock to the oil market can affect the economy through various channel. By applying a SVAR approach, this paper analyzes the dynamic relationship between asymmetric oil price shocks and major macroeconomic variables in Iran. We use monthly data for the period 1999-2009 .The empirical evidence suggests that oil price changes affect real economic activity. Oil price increases (decreases) have a significant positive (negative) impact on GDP. Oil prices are important in explaining stock price movements. We find that increases (decreases) oil prices shock have a increases (decreases) and statistically significant impact on stock prices. The response of the real exchange rate to asymmetric oil price shocks are significant. Furthermore, the response of CPI to any kind of oil price shocks is significant and positive.
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