Volatility of financial stress index on consumer overflow check indicator, the Producer Price Index and Consumer Price Index, with an emphasis on models GARCH-BEKK, VAR and Granger causality

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Rezazadeh Rohollah; NIKOMARAM HASHEM; Falah Shams Mirfeiz

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:33 Page(s): 373-395

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Title

Volatility of financial stress index on consumer overflow check indicator, the Producer Price Index and Consumer Price Index, with an emphasis on models GARCH-BEKK, VAR and Granger causality

Author(s)

Rezazadeh Rohollah | NIKOMARAM HASHEM | Falah Shams Mirfeiz | Issue Writer Certificate

Keywords

Financial stress indexQ1

GARCH ModelQ1

BEKKQ1

VAR ModelQ1

Granger CausalityQ1

Abstract

During financial stress, the impact of financial stress shocks on economic activity may be different from what is usually observed at normal times. Therefore, it is appropriate to examine how the effects of the strategic impact on economic activity are investigated during the period of financial instability. In this paper, considering the above discussion, the effect of the deteriorating financial conditions of the Iranian economy and its impact on macroeconomic variables during the years1391 to 1396 has been investigated. For this purpose, in this research, we intend to study the impact of fluctuations of Financial stress index fluctuations on consumer price index, producer price index and consumer price index by constructing Financial stress index using representatives of different markets. Therefore, using the GARCH two-variable BEKK model and also the VAR Model, the effects of shock and fluctuations between them were tested and then the relationship between them was investigated by Granger's causality test. The results indicate that there is a two-way relationship between the Financial stress index with the consumer index in the short run, but in the study of the causality relationship between the Financial stress index and the price index producing the causality tests and var indicate that the relationship They do not exist between them, but the results of the garch test indicate a meaningful relationship between these two indices.

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APA: Copy

Rezazadeh, Rohollah, NIKOMARAM, HASHEM, & Falah Shams, Mirfeiz. (2020). Volatility of financial stress index on consumer overflow check indicator, the Producer Price Index and Consumer Price Index, with an emphasis on models GARCH-BEKK, VAR and Granger causality. INVESTMENT KNOWLEDGE, 9(33 ), 373-395. SID. https://sid.ir/paper/387726/en

Vancouver: Copy

Rezazadeh Rohollah, NIKOMARAM HASHEM, Falah Shams Mirfeiz. Volatility of financial stress index on consumer overflow check indicator, the Producer Price Index and Consumer Price Index, with an emphasis on models GARCH-BEKK, VAR and Granger causality. INVESTMENT KNOWLEDGE[Internet]. 2020;9(33 ):373-395. Available from: https://sid.ir/paper/387726/en

IEEE: Copy

Rohollah Rezazadeh, HASHEM NIKOMARAM, and Mirfeiz Falah Shams, “Volatility of financial stress index on consumer overflow check indicator, the Producer Price Index and Consumer Price Index, with an emphasis on models GARCH-BEKK, VAR and Granger causality,” INVESTMENT KNOWLEDGE, vol. 9, no. 33 , pp. 373–395, 2020, [Online]. Available: https://sid.ir/paper/387726/en

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