Price Bubbles Spillover among Asset Markets: Evidence from Iran

Saeed Rasekhi (), Zahra Mila Elmi () and Milad Shahrazi ()
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Saeed Rasekhi: Department of Economics, University of Mazandaran, Mazandaran, Iran
Zahra Mila Elmi: Department of Economics, University of Mazandaran, Mazandaran, Iran
Milad Shahrazi: Department of Economics, University of Mazandaran, Mazandaran, Iran

Iranian Economic Review (IER), 2016, vol. 20, issue 4, 501-523

Abstract: This paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in Iran from 2002:03 to 2015:06. For this purpose, we have exploited Sigma-Point Kalman Filter (SPKF) to extract the bubble component of assets prices in the aforementioned Markets. Then, in order to analyze the price bubbles spillover amongst asset markets, we have taken several measures. First, we performed a pairwise Granger test. Afterwards, for the sake of studying the shock effects of the bubbles, a multivariate time series model in the form of a vector autoregressive (VAR) system has been implemented. Based on the results of Pairwise Granger Causality test, the assets bubbles have a causality relation amongst each other. Furthermore, the outcomes of impulse response function and variance decomposition analysis derived from the estimation of VAR model implies on the existence of bubbles spillover among asset markets.

Keywords: Bubbles Spillover; Asset Markets; Sigma-Point Kalman Filter; VAR. (search for similar items in EconPapers)
Date: 2016
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