Investigating the Asymmetric Uncertainty Impact of Oil on Economic Growth by GMM

In this research, the effect of oil price uncertainty on economic growth has been studied using the Generalized Method of Moments (GMM) during the period 1961-2015 in the group of oil exporting countries and oil importers group. Therefore, at first, the uncertainty index due to oil price fluctuations has been estimated using the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model .The research findings show that the uncertainty of the oil price on economic growth is asymmetrical. Also, the results of fitting the dynamic panel model using the GMM method indicate that oil prices uncertainty have a negative effect on economic growth both in the group of oil exporting countries and in the group of oil importing countries. While in both countries, the investment growth rate, Real exchange rate and population growth rate are positively correlated with economic growth.