Comparing the Volatility Spillovers among Financial Markets in Iran pre and post JCPOA: A VAR-BEKK-GARCH Approach

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نوع سند: مقاله ژورنالی
زبان: English
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JR_IER-26-1_008

تاریخ نمایه سازی: 21 مهر 1402

Abstract:

Volatility spillovers among financial markets suggest some sort of information transmission between these markets. The present article uses VAR-BEKK-GARCH approach to investigate volatility spillovers among financial markets in Iran, including stock, foreign exchange and gold markets pre and post JCPOA. To compare volatility spillover among financial markets, the data analyzed were associated with two periods, one pre-JCPOA, i.e. ۲۵ March ۲۰۰۹ to ۱۳ July ۲۰۱۵, and the other post-JCPOA, i.e. ۱۵ July ۲۰۱۵ to ۱۸ July ۲۰۱۸. Moreover, the impulse-response functions were calculated by including the asymmetric volatility spillover of error terms in MGARCH-type equations. Comparing the results obtained from estimating the model confirmed two-way volatility spillover between gold and stock markets in both of the periods, two-way volatility spillover between foreign exchange and stock markets, one-way volatility spillover from gold to foreign exchange markets in the per-JCPOA period, two-way spillover between foreign exchange and gold markets and one-way spillover from stock to foreign exchange markets in the post-JCPOA period. In addition, the effect of volatility spillover from stock to foreign exchange markets was negative in the per-JCPOA period and positive in the post-JCPOA period, and volatility spillovers between financial markets significantly decreased in post JCPOA period. The results of impulse-response functions also confirmed a reduction in the transmission of uncertainty among financial markets in Iran in the post-JCPOA period.

Authors

Vahid Dehbashi

Department of Economics, Allameh Tabataba’i University, Tehran, Iran; Department of Economics, Zabol University, Zabol, Iran

Teymour Mohammadi

Department of Economics, Allameh Tabataba’i University, Tehran, Iran

Javid Bahrami

Department of Economics, Allameh Tabataba’i University, Tehran, Iran

Abbas Shakeri

Department of Economics, Allameh Tabataba’i University, Tehran, Iran

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