Investigating the Asymmetric Effects of Oil Prices and Its Shock Components on Inflation in Iran: A Multiple Threshold Nonlinear ARDL Model


Articles in Press, Accepted Manuscript
Available Online from 19 January 2026

Document Type : Research Paper

Authors

1 University of Isfahan, Department of Economics and Management

2 PhD student, Faculty of Economics and Management, Tabriz

3 university of tabriz

4 Assistant Professor of Economics university of Zanjan

Abstract
This deals with the relationship between OPEC oil and its components of shocks on inflation during the years 1364 to 1400. First, OPEC oil supply shocks, OPEC oil demand and oil market risk are analyzed using the SVAR model. Then, the MTNARDL model was used to investigate the asymmetric effect of these components in the margins of 30% below, between 30% and 70% and above 70% on inflation. In this regard, three variables of OPEC oil price, actual changes in OPEC oil supply and oil market uncertainty index were used. The results of this research show that during the studied years, only two variables oil price and oil supply have a non-linear relationship with inflation. Also, the oil market uncertainty index has nothing to do with inflation, while OPEC oil supply and price adjustments have a positive relationship with Iran's inflation, which is indicative of the Dutch disease in the years of research. Another finding of this research is that oil demand shocks in all three thresholds have a negative and significant effect on Iran's inflation. Also, oil market risk shocks at low thresholds (30%) had an inverse relationship with inflation; But in the middle threshold (30 to 70 percent) it strongly increases inflation, while in the upper deciles of the threshold (70 percent and above) it has no relationship with inflation. Finally, oil production shocks have a positive relationship with inflation at small shock thresholds, but the middle shocks have a very negative relationship with inflation, and at high thresholds there is no relationship between the OPEC oil supply shock and inflation.

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Subjects
  • Receive Date 23 January 2025
  • Revise Date 29 May 2025
  • Accept Date 11 June 2025
  • First Publish Date 19 January 2026
  • Publish Date 19 January 2026