The Simulation of the Impact of Oil and Currency Shocks on the Systematic Risk and Price Returns of Stock: DSGE Approach

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KAVIANI MEYSAM; SAEIDI PARVIZ; Didehkhani Hosein; Fakhrehosseini Seyed Fakhreddin

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2019 | Volume:7 | Issue:25 Page(s): 123-154

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Title

The Simulation of the Impact of Oil and Currency Shocks on the Systematic Risk and Price Returns of Stock: DSGE Approach

Author(s)

KAVIANI MEYSAM | SAEIDI PARVIZ | Didehkhani Hosein | Fakhrehosseini Seyed Fakhreddin | Issue Writer Certificate

Keywords

OilQ1

CurrencyQ1

RiskQ2

ReturnQ2

Abstract

The study of factors affecting the Risk and Returns of stock is of great importance in financial studies and is considered as a powerful concept in investment strategies and decisions. Therefore, in recent years, in the form of empirical research, the identification of internal and external factors (macroeconomic) on Risk and stock Returns have been investigated. In this regard, macroeconomic variables are more important. In this research, among different macroeconomic variables, the effect of Oil and Currency shocks on systematic Risk and stock Returns has been investigated. Data were used seasonally between ٢ ٠ ٠ ٢ and ٢ ٠ ١ ٦ , which was used to analyze the financial variables against Oil shocks and Currency using the DSGE model. The results of the research show that Oil and Currency shock initially have a negative effect on the systematic Risk of stock and price Returns, and then in the subsequent periods of this trend, they continue to fluctuate in a balanced and stable state, so that the systematic Risk fluctuations are greater than price Return. Also, the Iranian economy shows the relative success of the model in the realities of the Iranian economy which is determined by comparing the moments of the variables present in the model and the moments of the actual data.

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APA: Copy

KAVIANI, MEYSAM, SAEIDI, PARVIZ, Didehkhani, Hosein, & Fakhrehosseini, Seyed Fakhreddin. (2019). The Simulation of the Impact of Oil and Currency Shocks on the Systematic Risk and Price Returns of Stock: DSGE Approach. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 7(25 ), 123-154. SID. https://sid.ir/paper/387450/en

Vancouver: Copy

KAVIANI MEYSAM, SAEIDI PARVIZ, Didehkhani Hosein, Fakhrehosseini Seyed Fakhreddin. The Simulation of the Impact of Oil and Currency Shocks on the Systematic Risk and Price Returns of Stock: DSGE Approach. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2019;7(25 ):123-154. Available from: https://sid.ir/paper/387450/en

IEEE: Copy

MEYSAM KAVIANI, PARVIZ SAEIDI, Hosein Didehkhani, and Seyed Fakhreddin Fakhrehosseini, “The Simulation of the Impact of Oil and Currency Shocks on the Systematic Risk and Price Returns of Stock: DSGE Approach,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 7, no. 25 , pp. 123–154, 2019, [Online]. Available: https://sid.ir/paper/387450/en

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