Examining the effects of Oil, Financial and Commercial Sanctions on Macroeconomic Variables using Structural Vector Autoregressive Model

Manzoor, Davood; Seyyed Hosseinzadeh Yazdi, Mojtaba

Examining the effects of Oil, Financial and Commercial Sanctions on Macroeconomic Variables using Structural Vector Autoregressive Model

Document Type : Original Article

Authors

¹ Associate Professor, Department of Economics, Faculty of Economics, Imam Sadiq University, Tehran, Iran.

² Ph.D., Department of Economics, Faculty of Economics Management and Administrative Sciences, Semnan University, Semnan, Iran.

Abstract

This study examines the effects of economic sanctions on the macroeconomic indicators of the Iranian economy by considering ‘oil income shocks’, ‘primary materials import shocks’, ‘exchange rate shocks’ and ‘net capital inflow shocks’. Furthermore the examines the effects of economic sanctions on macroeconomic variables such as ‘Gross Domestic Product’, ‘Consumer Price Index’, ‘Tax Revenues’, ‘Investment’, and ‘Consumption’ by using a Structural Vector Autoregression (SVAR) model. Subsequently, after conducting statistical analysis and stationary test of the variables and determining the optimal interval, Impulse Response Functions (IRF) were extracted.
The results of the study indicate that over the short term: (a) the shocks resulting from the exchange rate fluctuations and the import of raw materials respectively have had the most negative effects on macro-economic variables, whilst (b) Consumer price index, investment, gross domestic product, and tax revenues have been most negatively impacted by economic sanctions, respectively. On the other hand, over the long term: (a) the shocks resulting from the import of raw materials and the exchange rate have had the most negative effects on macroeconomic variables, whilst (b) the Consumer Price Index and consumption have been most negatively

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