Document Type : Research Paper


1 PhD Student in Financial Economics, Department of Economics, Faculty of Economics and Management, Urmia University, Urmia, Iran

2 Assistant Professor of Economics, Faculty of Economics and Management, Urmia University, Urmia, Iran


Iran's economy has been affected by several shocks in different years. Among these, uncertainties in the area of oil shock, financial market shock and economic policy shock are the most important and obvious shocks that have affected macroeconomic variables. The main purpose of this paper is to investigate the effects of external uncertainty on Iran's macroeconomy using a nonlinear cointegrating autoregressive distributed lag (NARDL) model. The three most widely used economic policy uncertainties (EPU), financial markets (VIX) and energy market (OVX) in the period 1985-2020 are considered in this paper and the short-term and long-term nonlinear asymmetric relationship between these three types of uncertainty and Macroeconomic variables are examined. Empirical results provide significant evidence of a short-term relationship between various types of uncertainty shocks and Iran's macroeconomy. In the long run, the results show that the most irrelevant parameter on domestic production is US government-based economic news and the most relevant factor of uncertainty on Iran's macroeconomy; Exchange rate and oil market shocks. International financial market shocks have an asymmetric effect on money supply, and reduced energy market uncertainty may lead to increased money supply. Based on the findings of the study, economic policymakers are advised to calculate the severity and direction of external shocks in their policies in order to create macroeconomic growth and stability, and to take preventive measures regarding them.


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