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:: year 5, Issue 13 (fall 2012) ::
JMBR 2012, 5(13): 71-94 Back to browse issues page
The Non-linear Relationship between Uncertainty and Non-oil GDP in Iran
Mohsen Mehrara, Ramin Mojab *1
Abstract:   (2776 Views)

In this study, the relationship between uncertainty and non-oil GDP is analyzed. A Threshold Autoregressive (TAR) model with exogenous variables is estimated by using Iranian Economy's data of 1988:2-2008:3. The uncertainty index is calculated by using ARCH modeling and Factor Analysis. The results show that there is a non-linear relationship between non-oil output and uncertainty in Iran. As the uncertainty passes the estimated threshold level, it reduces non-oil GDP, especially the output in services sector.

JEL classification: E23, C50, C40, C22

Keywords: Uncertainty, Non-oil GDP, TAR models, Factor models, ARCH models
Full-Text [PDF 238 kb]   (1238 Downloads)    
Type of Study: Empirical Study |
Received: 2014/08/9 | Accepted: 2014/08/9 | Published: 2014/08/9
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year 5, Issue 13 (fall 2012) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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