Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy

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sezavar Mohammadreza; KHAZAEI ALIREZA; eslamian Mojtaba

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Journal: ECONOMIC STRATEGY Year:2019 | Volume:8 | Issue:29 Page(s): 37-60

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Information Journal Paper

Title

Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy

Author(s)

sezavar Mohammadreza | KHAZAEI ALIREZA | eslamian Mojtaba | Issue Writer Certificate

Keywords

Conditional ConditionQ1

Asset MarketsQ1

Return on AssetsQ1

Abstract

The purpose of the present study is to use the dynamic conditional correlation method (DCC-GARCH) to examine the correlation structure in the seasonal data of exchange rate returns, stock market price index, gold price, oil price and housing price (rent index) over the period 1992 to It's 2016. The results obtained using OXMetrix software indicate that there is a high conditional correlation between gold and currency yields and the least conditional correlation is observed between housing and currency yields. In addition, by examining the conditional correlation diagram between returns on assets, there is a change in the conditional correlation process caused by global developments, indicating the impact of the world developments on Iranian economy.

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APA: Copy

sezavar, Mohammadreza, KHAZAEI, ALIREZA, & eslamian, Mojtaba. (2019). Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy. ECONOMIC STRATEGY, 8(29 ), 37-60. SID. https://sid.ir/paper/233843/en

Vancouver: Copy

sezavar Mohammadreza, KHAZAEI ALIREZA, eslamian Mojtaba. Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy. ECONOMIC STRATEGY[Internet]. 2019;8(29 ):37-60. Available from: https://sid.ir/paper/233843/en

IEEE: Copy

Mohammadreza sezavar, ALIREZA KHAZAEI, and Mojtaba eslamian, “Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy,” ECONOMIC STRATEGY, vol. 8, no. 29 , pp. 37–60, 2019, [Online]. Available: https://sid.ir/paper/233843/en

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