The Impact of Oil Shocks on Government Revenues and Expenditures in Iran (Time-Varying Parameter Approach)

Karimi Firouzjaei, Hamzeh; Karimi Potanlar, Saeed; Jafari Samimi, Ahmad

doi:10.30473/egdr.2023.65805.6639

Document Type : ORIGINAL ARTICLE

Authors

¹ Ph.D. Student in Economics, Faculty of Economics, University of Mazandaran, Babolsar, Iran

² Associate Professor, Faculty of Economics, University of Mazandaran, Babolsar, Iran

³ Professor, Faculty of Economics, University of Mazandaran, Babolsar, Iran

https://doi.org/10.30473/egdr.2023.65805.6639

Abstract

considering the importance of oil shocks in Iran's economy, in this research, an attempt has been made to examine the effects of oil income shocks on the expenditure and income components of the government's general budget. in this regard, in order to consider structural instability in parameters, time-varying parameter vector autoregressive (TVP-VAR) models are used. this model allows the estimated coefficients vary over time. In this research, the seasonal data in period of 1990/02-2019/01 be used. The estimation results of the models indicate the positive and short-term effects of oil income shocks on current expenditures and construction expenditures. the estimation of the second model shows the negative impact of oil shocks on tax revenues and the positive impact on other government revenues. The results of reaction functions (IRF) also show that the mentioned effects have a short durati on and are reversed in the next periods and disappear quickly. Also, the estimation results of the models show that the impact of oil shocks on inflation has varied over time and changed from negative to positive after the income shock of 2005.

Keywords

Main Subjects

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The Impact of Oil Shocks on Government Revenues and Expenditures in Iran (Time-Varying Parameter Approach)

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Volume 13, Issue 52November 2023Pages 31-13

Volume 13, Issue 52
November 2023
Pages 31-13