بررسی مقیاس-زمان سرریز نوسانات میان نرخ ارز، تورم، سهام و مسکن در ایران

Investigating the time-frequency volatility spillover between exchange rate, inflation, stocks, and housing in Iran

Soheil Roudari, Saeed Farahanifard, Abolfazl Shahabadi and OmidAli Adeli

MPRA Paper from University Library of Munich, Germany

Abstract: In the present study, the transferring and receiving, as well as the causal relationship of volatilities transmission according to the time-frequency across exchange rate, inflation, housing and stock market in the period of 2006:03-2022:03 (1385:01-1400:12) with a Monthly basis, is investigated using time-varying parameters vector autoregression model in different time-frequencies. The results showed that the main relationship between the volatilities of the studied variables was in the short term. Suppose short-term exchange rate volatilities continue and lead to inflation and housing volatilities in the medium term. In that case, inflation and housing volatilities will create the basis for transferring volatilities to the exchange rate. The stock market will be volatile with the increase in exchange rate volatility. Therefore, the control of exchange rate volatilities in the short term will prevent the increase of inflation and housing volatilities. If the policymakers do not consider it, the exchange rate will volatile again in the medium term through the inflation and housing channel. Subsequently, the volatilities will transmit to the stock market intensively.

Keywords: Exchange rate; Inflation; Stock; Housing; TVP-VAR-BK Model (search for similar items in EconPapers)
JEL-codes: G01 G11 G17 G32 (search for similar items in EconPapers)
Date: 2022-09-14, Revised 2022-11-01
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Published in Journal of Economics and Modeling 2.13(2022): pp. 65-93

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