Background: Significant fluctuations in the price of oil as the most important source of income for the Iranian economy in recent years have caused a conflict of minds among researchers and economists to investigate the relationship between this phenomenon and macroeconomic variables.
Aim: The country risk index is considered as the most important and key economic indicators related to oil. Therefore, the current study aims to investigate the effect of oil shocks on the sub-indexes of country risk, i.e. political, financial and economic risk in Iran's economy.
Methodology: In order to carry out this research, seasonal time series data of oil price, global oil supply, real activity index of the world economy (Kilian index), political risk index, financial risk and economic risk in the time range of 1379 to 1398 were taken based on the framework of the auto-regression model. structural (SVAR) is used.
Conclusions: According to the results of instantaneous reaction functions, the positive shock of oil price has caused a negative and significant reaction of political risk. The positive shock of the total supply has reduced the economic and political risk, which was not significant, but it has increased the financial risk up to 1 period, and from the 7th period onwards, it has caused a significant reduction in risk. The total demand shock has also reduced the political and financial risk and increased the economic risk insignificantly. Also, the sanctions variable has increased all three shocks, but only its negative effect on political risk has been significant to some extent. The results of variance analysis show that the shocks of each variable have the greatest effect on explaining the variance of their disturbance components. Economic risk has changed less than the other two risks. According to the results, the highest impact of oil shocks was on financial risk, political risk, and economic risk, respectively. In recent years, we have seen US sanctions against Iran,