The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach

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DEHBASHI VAHID; MOHAMMADI TEYMOUR; SHAKERI ABBAS; BAHRAMI JAVID

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Journal: Iranian Journal of Economic Research Year:2020 | Volume:25 | Issue:83 Page(s): 1-27

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Title

The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach

Author(s)

DEHBASHI VAHID | MOHAMMADI TEYMOUR | SHAKERI ABBAS | BAHRAMI JAVID | Issue Writer Certificate

Keywords

Volatility SpilloverQ1

financial marketsQ2

VAR-BEKK-GARCH approachQ1

IranQ1

Abstract

The aim of this paper is to investigate the responses of stock, gold and foreign exchange markets in Iran, with an emphasis on the spillover volatility effects. For this purpose, the rate of return of variables is calculated by using the daily data of Tehran Stock Exchange price index, exchange rate and gold price during the period of 25 March 2009 to 18 July 2018. The estimated model investigates Volatility Spillovers in the markets using the VAR-BEKK-GARCH approach. The impulse-response functions are estimated by including the possibility of the asymmetry of the coefficients of the cross terms of the errors in MGARCH-type equations. The results show two-way Volatility Spillover between foreign exchange and stock markets, one-way Volatility Spillover from the foreign exchange to gold markets and one-way Volatility Spillover from the gold to stock markets. Moreover, the findings obtained from the impulse-response functions confirm the spread of uncertainty among the financial markets in Iran.

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APA: Copy

DEHBASHI, VAHID, MOHAMMADI, TEYMOUR, SHAKERI, ABBAS, & BAHRAMI, JAVID. (2020). The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach. IRANIAN ECONOMIC RESEARCH, 25(83 ), 1-27. SID. https://sid.ir/paper/413227/en

Vancouver: Copy

DEHBASHI VAHID, MOHAMMADI TEYMOUR, SHAKERI ABBAS, BAHRAMI JAVID. The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach. IRANIAN ECONOMIC RESEARCH[Internet]. 2020;25(83 ):1-27. Available from: https://sid.ir/paper/413227/en

IEEE: Copy

VAHID DEHBASHI, TEYMOUR MOHAMMADI, ABBAS SHAKERI, and JAVID BAHRAMI, “The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach,” IRANIAN ECONOMIC RESEARCH, vol. 25, no. 83 , pp. 1–27, 2020, [Online]. Available: https://sid.ir/paper/413227/en

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