The Impact of Financial Stress on Gold, Currency and Stock Markets in Iran: Time-Varying Granger-Causality Approach

Aboura, S., & Van Roye, B. (2017). Financial stress and economic dynamics: The case of France. International Economics, 149, 57-73.

Adam, T., Benecká, S., & Matějů, J. (2018). Financial stress and its non-linear impact on CEE exchange rates. Journal of Financial Stability, 36, 346-360.

Apostolakis, G. N., Giannellis, N., & Papadopoulos, A. P. (2019). Financial stress and asymmetric shocks transmission within the Eurozone. How fragile is the common monetary policy? The North American Journal of Economics and Finance, 50, 101006.

Apostolakis, G., & Papadopoulos, A. P. (2014). Financial stress spillovers in advanced economies. Journal of International Financial Markets, Institutions and Money, 32, 128-149.

Apostolakis, G., & Papadopoulos, A. P. (2015). Financial stress spillovers across the banking, securities and foreign exchange markets. Journal of Financial Stability, 19, 1-21.

Baur, D. G., & Glover, K. J. (2012). The destruction of a safe haven asset? Available at SSRN 2142283.

Baxa, J., Horváth, R., & Vašíček, B. (2013). Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? Journal of Financial Stability, 9(1), 117-138.

Bianco, T., Eiben, R., Gramlich, D., Oet, M. V., Ong, S. J., & Wang, J. (2011). SAFE: An early warning system for systemic banking risk. Federal Reserve Bank of Cleveland, 1129.

Bouri, E., Gupta, R., Lau, C. K. M., Roubaud, D., & Wang, S. (2018). Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. The Quarterly Review of Economics and Finance, 69, 297-307.

Cardarelli, R., Elekdag, S., & Lall, S. (2011). Financial stress and economic contractions. Journal of Financial Stability, 7(2), 78-97.

Chau, F., & Deesomsak, R. (2014). Does linkage fuel the fire? The transmission of financial stress across the markets. International Review of Financial Analysis, 36, 57-70.

Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike? The North American Journal of Economics and Finance, 48, 1-19.

Das, D., Kumar, S. B., Tiwari, A. K., Shahbaz, M., & Hasim, H. M. (2018). On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach. Finance Research Letters, 27, 169-174.

Davig, T., & Hakkio, C. (2010). What is the effect of financial stress on economic activity. Federal Reserve Bank of Kansas City, Economic Review, 95(2), 35-62.

Dolado, J. J., & Lütkepohl, H. (1996). Making Wald tests work for cointegrated VAR systems. Econometric Reviews, 15(4), 369-386.

Dovern, J., & van Roye, B. (2014). International transmission and business-cycle effects of financial stress. Journal of Financial Stability, 13, 1-17.

Duca, M., & Peltonen, T. (2011). Macrofinancial vulnerabilities and future financial stress: Assessing systemic risks and predicting systemic events. A Chapter in Macroprudential Regulation and Policy, 60, 82-88.

Duprey, T., Klaus, B., & Peltonen, T. (2017). Dating systemic financial stress episodes in the EU countries. Journal of Financial Stability, 32, 30-56.

Ekinci, A. (2013). Financial stress index for Turkey. Doğuş Üniversitesi Dergisi, 14(2), 213-229.

Grimaldi, M. (2010). Detecting and interpreting financial stress in the euro area.

Gupta, R., Kanda, P., Tiwari, A. K., & Wohar, M. E. (2019). Time-varying predictability of oil market movements over a century of data: The role of US financial stress. The North American Journal of Economics and Finance, 50, 100994.

Hakkio, C. S., & Keeton, W. R. (2009). Financial stress: What is it, how can it be measured, and why does it matter. Economic Review, 94(2), 5-50.

Hatzius, J., Hooper, P., Mishkin, F. S., Schoenholtz, K. L., & Watson, M. W. (2010). Financial conditions indexes: A fresh look after the financial crisis. National Bureau of Economic Research. w16150.

Heidarian, M., Falahati, A., & Sharif Karimi, M. (2019). Calculation of the financial stress index and its impact analysis on Iran's economic growth; application of the Markov-Switching autoregressive model. Financial Research Journal, 21(3), 417-447.

Hollo, D., Kremer, M., & Lo Duca, M. (2012). CISS-a composite indicator of systemic stress in the financial system.

Hurn, S., Phillips, P. C., & Shi, S. (2016). Change detection and the causal impact of the yield curve. Journal of Time Series Analysis, 39(6), 966-987.

Illing, M., & Liu, Y. (2006). Measuring financial stress in a developed country: An application to Canada. Journal of Financial Stability, 2(3), 243-265.

Ishrakieh, L. M., Dagher, L., & El Hariri, S. (2020). Not the usual suspects: Critical indicators in a dollarized country's Financial Stress Index. Finance Research Letters, 32, 101175.

Jondeau, E., & Rockinger, M. (2006). The copula-garch model of conditional dependencies: An international stock market application. Journal of International Money and Finance, 25(5), 827-853.

Kliesen, K. L., & Smith, D. C. (2010). Measuring financial market stress. Economic Synopses.

Kocaarslan, B., Soytas, U., Sari, R., & Ugurlu, E. (2019). The changing role of financial stress, oil price, and gold price in financial contagion among US and BRIC markets. International Review of Finance, 19(3), 541-574.

Lo Duca, M., & Peltonen, T. A. (2011). Macro-financial vulnerabilities and future financial stress-Assessing systemic risks and predicting systemic events.

Louzis, D. P., & Vouldis, A. T. (2013). A financial systemic stress index for Greece. Working Papers 155, Bank of Greece.

MacDonald, R., Sogiakas, V., & Tsopanakis, A. (2018). Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index. Journal of International Financial Markets, Institutions and Money, 52, 17-36.

Mittnik, S., & Semmler, W. (2014). Estimating a banking-macro model using a multi-regime VAR. In Advances in Non-linear Economic Modeling. Springer, Berlin, Heidelberg, 3-40.

Mokni, K., & Mansouri, F. (2017). Conditional dependence between international stock markets: A long memory GARCH-copula model approach. Journal of Multinational Financial Management, 42, 116-131.

Monin, P. (2017). The OFR financial stress index.

Nazlioglu, S., Soytas, U., & Gupta, R. (2015). Oil prices and financial stress: A volatility spillover analysis. Energy Policy, 82, 278-288.

Nelson, W. R., & Perli, R. (2005). Selected indicators of financial stability. 4th Joint Central Bank Research Conference on Risk Measurement and Systemic Risk. Frankfurt am Main: ECB, November.

Ozcelebi, O. (2020). Assessing the impacts of financial stress index of developed countries on the exchange market pressure index of emerging countries. International Review of Economics & Finance, 70, 288-302.

Park, C. Y., & Mercado Jr, R. V. (2014). Determinants of financial stress in emerging market economies. Journal of Banking & Finance, 45, 199-224.

Phillips, P. C., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.

Raddatz, C., & Schmukler, S. L. (2012). On the international transmission of shocks: Micro-evidence from mutual fund portfolios. Journal of International Economics, 88(2), 357-374.

Reboredo, J. C., & Uddin, G. S. (2016). Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach. International Review of Economics & Finance, 43, 284-298.

Sanderson, H. (2015). Gold rises amid expectation of ECB move on QE. The Financial Times.

Shi, S., Hurn, S., & Phillips, P. C. (2020). Causal change detection in possibly integrated systems: Revisiting the money–income relationship. Journal of Financial Econometrics, 18(1), 158-180.

Shi, S., Phillips, P. C., & Hurn, S. (2018). Change detection and the causal impact of the yield curve. Journal of Time Series Analysis, 39(6), 966-987.

Slingenberg, J. W., & De Haan, J. (2011). Forecasting financial stress.

Sum, V. (2014). Dynamic effects of financial stress on the US real estate market performance. Journal of Economics and Business, 75, 80-92.

Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.

Van Roye, B. (2011). Financial stress and economic activity in Germany and the Euro Area. Kiel Working Paper, 1743.