Nonlinear Analysis of Inflation’s Impact on Asset Markets (Stocks,Coin, Gold, Housing) Using a Time-Varying Parameter VAR (TVP-VAR) Model

Document Type : Research Paper

Authors

Department of Economics, Semnan University, Semnan , Iran.

Abstract

Asset markets play a pivotal role in dynamic economies by facilitating resource allocation, preserving wealth value, and shaping expectations about the future. Their fluctuations can exert broad effects on investment behavior and economic growth. In the case of Iran—an economy characterized by chronic inflation and recurrent shocks—understanding the effects of inflation on asset markets such as stocks, coin, gold, and housing is of particular importance. The nature of Iran’s economy, marked by diverse shocks and structural changes, renders the relationships between inflation and asset markets both dynamic and nonlinear.The objective of this study is to conduct a dynamic and nonlinear analysis of the impact of inflation on Iran’s asset markets and to examine the cross-market spillovers among them. To achieve this, monthly data spanning the period March 2011-February 2025 were collected from reliable sources and analyzed using the Time-Varying Parameter Vector Autoregressive (TVP-VAR) model within the Diebold–Yilmaz connectedness framework. This methodological approach allows for assessing time-varying dynamics in market behavior and the intensity of inflationary effects. The empirical findings reveal that inflation exerts its strongest influence on the gold and coin markets, which act as safe havens against inflationary shocks. The housing market demonstrates a weaker yet statistically significant response, while the stock market exhibits the lowest sensitivity to inflation fluctuations. Moreover, substantial cross-market spillovers are observed during inflationary periods, intensifying under crisis conditions.

Keywords

Main Subjects

Article Title [Persian]

تحلیل غیرخطی اثر تورم بر بازارهای دارایی(سهام، سکه، طلا، مسکن) با استفاده از مدل TVP-VAR

Authors [Persian]

  • محمد جعفری
  • علیرضا عرفانی
دانشکده اقتصاد، دانشگاه سمنان، سمنان، ایران.
Abstract [Persian]

بازارهای دارایی در اقتصادهای پویا نقش محوری در تخصیص منابع، حفظ ارزش ثروت و شکل‌گیری انتظارات آینده دارند و نوسانات آن‌ها می‌تواند آثار گسترده‌ای بر سرمایه‌گذاری و رشد اقتصادی برجای گذارد. در اقتصاد ایران که با تورم‌های مزمن و شوک‌های متعدد مواجه است، شناسایی اثرات تورم بر بازارهای دارایی همچون سهام، سکه، طلا و مسکن اهمیت ویژه‌ای دارد. ماهیت اقتصاد ایران با شوک‌های متنوع و تغییرات ساختاری، روابط میان تورم و بازارهای دارایی را پویا و غیرخطی ساخته است. هدف این پژوهش، تحلیل پویا و غیرخطی تأثیر تورم بر بازارهای دارایی در ایران و بررسی سرریزهای متقابل این بازارهاست. برای این منظور، داده‌های ماهانه از سال ۱۳۹۰ تا ۱۴۰۳ از منابع معتبر گردآوری و با بهره‌گیری از مدل خودرگرسیون برداری با پارامترهای متغیر در طول زمان(TVP-VAR) و چارچوب اتصال‌پذیری دیبولد و ییلماز تحلیل شدند. این روش امکان بررسی تغییرات زمانی رفتار بازارها و شدت تأثیر تورم را فراهم می‌کند. یافته‌ها حاکی از آن است که تورم بیشترین اثر را بر بازارهای سکه و طلا دارد که به عنوان پناهگاه امن در برابر شوک‌های تورمی عمل می‌کنند. بازار مسکن واکنشی ضعیف‌تر اما معنادار نشان داده، در حالی که بازار سهام کمترین ارتباط را با نوسانات تورمی دارد. همچنین، سرریزهای قابل توجهی میان بازارها در دوره‌های تورمی مشاهده شد که در شرایط بحرانی تشدید می‌شود.

Keywords [Persian]

  • سطح قیمت‌ها
  • بازارهای دارایی
  • سرریز نوسانات
  • خودرگرسیون برداری با پارامترهای متغیر در طول زمان
  • اتصالات پویا

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History

  • Receive Date: 06 October 2025
  • Revise Date: 25 October 2025
  • Accept Date: 25 October 2025

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