One of the most important market in each economy in financial markets that is strongly affected by other economic variables such as oil price shocks. One of the most important problems in oil export in country is the volatility and Instability of oil price. For this reason in this Thesis we are intendent to evaluate effect of oil price shocks on the stock market in iran. Fot this reasen we have used One of the most famous time series model, that is SVAR to analysis this shoks. The result of this research shows that the relative importants of oil price shoks in comparation to other variable of the model is not so high.

Oil price shocks have direct and indirect impacts on the economies of oil-exporting and oil-importing countries. The direct impacts are through demand and supply channels and the indirect (spillover) impacts are through interaction between the countries. Most studies have focused on the direct effects of the oil price shocks in a specific country or a region and research works on indirect impacts are limited. In this research, the direct and indirect effects (spillover) of oil shocks on both groups of oil-exporting and oil-importing countries are estimated using a dynamic system model. The spillover effects are defined and measured by the “ Trade Ratio” and “ Weighted Average Economic Growth” indicators. The sample includes 30 oil-exporting and oil-importing countries with a share of 73 percent of the world’ s economy. The results show that a positive oil price shock reduces economic growth in oil-importing countries and increases it in oil-exporting countries, but international trade between the oil-exporting and oil-importing countries mitigates the impact of oil shocks on economic growth of both groups.

According to state of the economy and single product much government spending is financed from oil revenues. Since the changes in oil prices stems from exogenous developments and economic authorities outside of the control of oil revenues is also a great deal of volatility. These fluctuations can have a variety of consequences.In a dynamic general equilibrium framework, this paper attempts to drive a fiscal policy reaction function (in term of government expenditure). The data are analyzed in this study - which is for the period 1969-2018 and annual basis. I study the fiscal implications of (a) the anticipated change oil price, (b) the growing volatility of oil price, (c) the observed positively skewed oil price. The result show that a robust positive long run effect of favorable oil price shocks. Also, the asymmetry of oil price shocks is to reduce the growth of government spending.The most important policy advice of this article is that policymakers, using the successful experiences of other oil countries, to establish an institution such as a savings and investment fund, to prevent direct shocks to the domestic economy and the negative effects of oil price instability. Reduce GDP and government revenues.

this study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive and negative shocks occurring in oil price, industrial production and lending rate. In particular, Unanticipated short-run and long-run positive (negative) oil price shocks trigger an addition (reduction) in the stock market index. Moreover, both short-run and long-run results present that the stock market index is more affected by positive changes in oil prices than the negative ones. Furthermore, the cumulative dynamic multipliers point out a significant asymmetric reaction of the stock market index to oil price shocks and other macroeconomic determinants. The aforementioned multipliers also show that the speed of response and time required to reach a new equilibrium state are sensitive to the direction of changes in the macroeconomic fundamentals. Consequently, the results prescribe that financial participants, energy policymakers and the government should adjust their respective strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.

This study analizes the dynamic effects of oil price shocks on macroeconomic variables using structural vector auto regression (SVAR). To identify structural innovation from VAR residual, we use the Blanchard and Quah (1989) technique, imposing a set of long-run economic restrictions that are added to purely statistical restrictions of VAR. To derive these long-run restrictions we generalize Haffmaister and Roldos (1997) model using annual data to a typical oil exporting country during 1960-2003. This model is applied for Indonesia, Kuwait and Saudi Arabia as well as Iran, and the results are compared. The result of this study shows that exogenous degree of oil price in Saudi Arabia is lower than Iran and Indonesia. Oil price shocks play a substantial role in explaining Gross Domestic Product (GDP) and imports movements in Saudi Arabia and Iran, while import shocks is the main source of output and import fluctuations in Indonesia and Kuwait. For all countries, the effects of oil price shock on output, import and consumer price is positive and external shocks are the main source of all fluctuations in long-run.