Financial Economics
iman dadashi; Vahid Omidi
Abstract
Considering the impact of global variables on stock market industries, this study examines the effect of geopolitical risk fluctuations on the volatility of the petroleum products, chemical products, metal ores, and basic metals sectors in the Tehran Stock Exchange using two methods: Quantile-on-Quantile ...
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Considering the impact of global variables on stock market industries, this study examines the effect of geopolitical risk fluctuations on the volatility of the petroleum products, chemical products, metal ores, and basic metals sectors in the Tehran Stock Exchange using two methods: Quantile-on-Quantile Connectedness (QQC) and Structural Vector Auto regression (SVAR) over the period from January 1, 2020, to December 24, 2024. The results obtained from the QQC model indicate that the fluctuations in geopolitical risk and the volatility of the petroleum products industry index have had the highest correlation in extreme deciles, with significant impacts of geopolitical risk fluctuations on the volatility of the petroleum products industry index. For other industries, when their volatility was in the 9th and 10th deciles, they were most affected by geopolitical risk fluctuations. Additionally, the SVAR model results show that the immediate response of the volatility of the studied industries' indices to shocks caused by geopolitical risk fluctuations was positive in all cases, converging to a positive value after 360 periods, indicating the stability of the shock. Furthermore, the cumulative response analysis showed that all industries exhibited an exponential increase, indicating a rising trend in the effect of the shock over time. Specifically, after 360 periods, the volatility of the petroleum products industry index increased by 0.34, chemical products by 0.06, metal ores by 0.03, and basic metals by 0.06.
Javid Bahrami; Teimour Mohammadi; Shadi Bozorg
Volume 19, Issue 60 , October 2014, , Pages 37-65
Abstract
Tracing the impact of exchange rate movements on prices is one the most important issues in monetary policy making. In this paper by applying a SVAR model to a quarterly data set spanning from 1990q1 to 2013q4, we assess the effect of exchange rate variations on domestic prices in Iran. In addition to ...
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Tracing the impact of exchange rate movements on prices is one the most important issues in monetary policy making. In this paper by applying a SVAR model to a quarterly data set spanning from 1990q1 to 2013q4, we assess the effect of exchange rate variations on domestic prices in Iran. In addition to exchange rate growth and output gap, the growth of liquidity, consumer, producer, and import prices are also included in the model. Our findings suggest that: i) There is an asymmetry in exchange rate pass-through in Iran. ii) Although small appreciations have no effect on prices, depreciations, especially large ones, are significantly effective. iii) The effect of exchange rate on consumer price growth, lasts for relatively longer periods of time.
Javid Bahrami; Samira Nasiri
Volume 16, Issue 48 , October 2011, , Pages 25-54
Abstract
Applying the SVAR method of 'Kilian' to the monthly data over the period of 1973-2007, in this paper, we decompose oil price shocks into five structural shocks, namely, Iran political supply shocks, OPEC political supply shocks, non- OPEC supply shocks, world demand shocks, and oil specific demand shocks. ...
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Applying the SVAR method of 'Kilian' to the monthly data over the period of 1973-2007, in this paper, we decompose oil price shocks into five structural shocks, namely, Iran political supply shocks, OPEC political supply shocks, non- OPEC supply shocks, world demand shocks, and oil specific demand shocks. Then, estimating separate OLS regressions, based on annual data of Iranian Economy, the impact of these structural shocks on main macroeconomic variables, and outbreak of Dutch disease is studied. This paper finds that the symptoms of Dutch disease have not been observed, following different structural shocks, except for Iran political supply shocks. Owing to dominant role of government in production, and export of oil in Iran, it is evident that the effect of oil price shocks, to a large extent depends on the government conduct, and the Dutch disease is not an inevitable reality for the Iranian economy.
