Document Type : Research Paper

Authors

Faculty of Economics and Management, Urmia University, Urmia, Iran.

10.22099/ijes.2022.42396.1802

Abstract

This study provides a comprehensive and different sight at the theoretical literature of the relationship between financial stress index and financial markets and presents a new method in order to investigate the nonlinear relationship between the financial stress index and financial markets for Iran's financial system. To that end, the time-varying Granger-causality tests were used. After calculating the financial stress index, the causality between these variable and other variables (gold price, exchange rate, and stock price index) was evaluated. The time-varying causality tests included forward, rolling, and recursive estimators from April 2005 to December 2019. All results were recalculated regarding time series variance heterogeneity for sensitivity assessment. The estimation findings were more credible in terms of variance heterogeneity due to the monthly nature of the data employed and the high probability of variance heterogeneity. The estimation results with variance heterogeneity and time-varying Granger-causality variable test used to investigate the relationship between financial stress and the stock market also revealed no evidence of causality between financial stress and the stock price index using forward and rolling algorithms. Findings indicate that the financial stress is the source of variations in the Iranian gold market, it does not affect the currency or stock markets.

Keywords

Main Subjects

Article Title [Persian]

تاثیر استرس مالی بر بازارهای طلا، ارز و سهام در ایران: رویکرد علیت گرنجری متغیر طی زمان

Authors [Persian]

  • علی رضازاده
  • رقیه محسنی نیا

دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران.

Abstract [Persian]

در این مطالعه، رابطه علیت گرنجری بین شاخص استرس مالی و بازارهای مالی با استفاده از آزمون های علیت گرنجری متغیر طی زمان مورد بررسی قرار گرفته است. در این راستا، بعد از محاسبه شاخص استرس مالی با استفاده از روش انحراف معیار غلتان، رابطه علی بین این متغیر و متغیرهای قیمت طلا، نرخ ارز و نیز شاخص قیمت سهام طی دوره زمانی سپتامبر 2005 تا دسامبر 2019 با به کارگیری آزمون های علیت متغیر طی زمان و تخمین زننده های forward، rolling و recursive ارزیابی و براورد شده است. همچنین، در جهت تحلیل حساسیت، همه تخمین ها با لحاظ وجود ناهمسانی واریانس در سری های زمانی مجددا انجام یافت. با توجه به ماهانه بودن داده های مورد استفاده و احتمال بالای وجود ناهمسانی واریانس، نتایج حاصل از تخمین ها با لحاظ ناهمسانی واریانس دارای اعتبار بیشتری هستند. بر اساس نتایج مهم حاصل از تخمین مدل ها می-توان استدلال کرد که شاخص استرس مالی، علت نوسانات بازار طلا در ایران بوده ولی علیت گرنجری بازارهای ارز و سهام نیست.

Keywords [Persian]

  • بازار سهام
  • طلا
  • ارز
  • شاخص استرس مالی
  • علیت گرنجری متغیر طی زمان
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