The aim of this study is to study the effects of oil price shocks on exchange rates and economic growth using a vector autoregressive model with time-varying coefficients. One of the most important debates and challenges in macroeconomics is the effects of oil price fluctuations on macroeconomic variables. Since oil price fluctuations affect both the demand side of the total economy and the supply side of the economy, studying its effects on the level of production and prices is very important and can provide appropriate policy recommendations for managing the demand side of the country's economy. In this regard, an important and noteworthy point is that the manner and extent of the impact of oil price fluctuations on economic activities depends on the initial conditions of the country's economy and, therefore, can have different effects. In this study, the TVP-VAR model method was used in the period 1972-2022 based on the frequency of seasonal data to analyze the results. The results of this study indicated that the shock from the oil price increase led to an increase in economic growth and the impact coefficient in this model varied over time and led to a fluctuating response of this variable over time. On the other hand, it was observed that the shock related to the oil price increase led to a decrease in the exchange rate and the estimated coefficient in this model was also in a way that expressed the variability of the response between the variables.
merara,M and Al-Tayyar,A . (2026). Study and Analysis of the Effects of Oil Price Shocks on Macroeconomic variables Using the TVP-VAR Model. (e47957). Monetary & Financial Economics, (), e47957 doi: 10.22067/mfe.2026.94325.1578
MLA
merara,M , and Al-Tayyar,A . "Study and Analysis of the Effects of Oil Price Shocks on Macroeconomic variables Using the TVP-VAR Model" .e47957 , Monetary & Financial Economics, , , 2026, e47957. doi: 10.22067/mfe.2026.94325.1578
HARVARD
merara M, Al-Tayyar A. (2026). 'Study and Analysis of the Effects of Oil Price Shocks on Macroeconomic variables Using the TVP-VAR Model', Monetary & Financial Economics, (), e47957. doi: 10.22067/mfe.2026.94325.1578
CHICAGO
M merara and A Al-Tayyar, "Study and Analysis of the Effects of Oil Price Shocks on Macroeconomic variables Using the TVP-VAR Model," Monetary & Financial Economics, (2026): e47957, doi: 10.22067/mfe.2026.94325.1578
VANCOUVER
merara M, Al-Tayyar A. Study and Analysis of the Effects of Oil Price Shocks on Macroeconomic variables Using the TVP-VAR Model. Monetary & Financial Economics. 2026;():e47957 (In Persian). doi: 10.22067/mfe.2026.94325.1578
