The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

Ali Hussein Samadi, Sakine Owjimehr and Zohoor Nezhad Halafi

Journal of Policy Modeling, 2021, vol. 43, issue 1, 34-55

Abstract: The main financial markets in the Iranian Economy include the stock exchange, foreign exchange, oil, and gold markets. The sharp fluctuations in these markets, especially those caused by the severe sanctions imposed on Iran in May 2018, and the pandemic outbreak of Covid-19 have led to more confusion and uncertainty among investors. One of the effective approaches to examine such unstable conditions is to study the co-movement(s) between markets to identify the leading variable(s). Thus, in the present study, Wavelet Coherence Analysis was applied to examine the co-movements between markets in a time period from September 2014 to June 2020, as an intense period of uncertainty in Iran. In other words, in this study, the markets were investigated in different sub-periods. Also, the Segmented Regression was performed to estimate the impact of sanctions and the Covid-19 pandemic on the co-movements of financial markets in Iran.

Keywords: Financial markets; Wavelet coherence; Covid-19; Economic sanctions; Iran (search for similar items in EconPapers)
JEL-codes: C58 G11 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:43:y:2021:i:1:p:34-55

DOI: 10.1016/j.jpolmod.2020.08.001

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