شناسایی چرخه بازارهای مالی و ارتباط آن با نوسانات نرخ ارز در ایران

Identification of Financial Market Cycles and Its Relation with Exchange Rate Fluctuations in Iran

Nafiseh Keshtgar, Mosayeb Pahlvani and Seyed Hossein Mirjalili

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, the financial market cycles in Iran's economy has been investigated and using the seasonal observations during the period of 1385 to 1396, the financial cycle of Iran has been extracted. For this purpose, the structural time series models with invisible components and the Kalman filter algorithm are used, and the unknown parameters are estimated using the maximum likelihood method. The new aspect of the approach is that the exchange rate has been studied as an effective variable on the financial cycles, and for this purpose, the variable of exchange rate fluctuations is extracted by the TGARCH method and is introduced in the model. The results of the study show that, firstly, the index in financial markets during the study period has many fluctuations and the prolongation and deepening of the periods of boom and recession in these cycles is one of the causes of financial crisis. Secondly, the financial cycle resulting from the normalization of the financial market cycle of the model estimates the fluctuations in the years studied. Third, the vector autoregressive model shows the relationship between the granger causality of the exchange rate fluctuations towards the financial cycle, which suggests that exchange rate fluctuations lead to instability in the financial cycle.

Keywords: Financial Markets; Financial Cycle; Exchange Rate Instability; Garch Models; Iranian Economy (search for similar items in EconPapers)
JEL-codes: E32 N10 (search for similar items in EconPapers)
Date: 2019-08-10, Revised 2020-01-05
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Published in Macroeconomics Research Letter 28.14(2020): pp. 85-113

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