| تعداد نشریات | 24 |
| تعداد شمارهها | 903 |
| تعداد مقالات | 8,081 |
| تعداد مشاهده مقاله | 15,203,324 |
| تعداد دریافت فایل اصل مقاله | 12,847,690 |
Nonlinear Analysis of Inflation’s Impact on Asset Markets (Stocks,Coin, Gold, Housing) Using a Time-Varying Parameter VAR (TVP-VAR) Model | ||
| Iranian Journal of Economic Studies | ||
| دوره 14، شماره 1 - شماره پیاپی 27، 2025، صفحه 139-162 اصل مقاله (725.31 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2025.54468.2069 | ||
| نویسندگان | ||
| Mohammad Jafari؛ Alireza Erfani* | ||
| Department of Economics, Semnan University, Semnan , Iran. | ||
| چکیده | ||
| Asset markets play a pivotal role in dynamic economies by facilitating resource allocation, preserving wealth value, and shaping expectations about the future. Their fluctuations can exert broad effects on investment behavior and economic growth. In the case of Iran—an economy characterized by chronic inflation and recurrent shocks—understanding the effects of inflation on asset markets such as stocks, coin, gold, and housing is of particular importance. The nature of Iran’s economy, marked by diverse shocks and structural changes, renders the relationships between inflation and asset markets both dynamic and nonlinear.The objective of this study is to conduct a dynamic and nonlinear analysis of the impact of inflation on Iran’s asset markets and to examine the cross-market spillovers among them. To achieve this, monthly data spanning the period March 2011-February 2025 were collected from reliable sources and analyzed using the Time-Varying Parameter Vector Autoregressive (TVP-VAR) model within the Diebold–Yilmaz connectedness framework. This methodological approach allows for assessing time-varying dynamics in market behavior and the intensity of inflationary effects. The empirical findings reveal that inflation exerts its strongest influence on the gold and coin markets, which act as safe havens against inflationary shocks. The housing market demonstrates a weaker yet statistically significant response, while the stock market exhibits the lowest sensitivity to inflation fluctuations. Moreover, substantial cross-market spillovers are observed during inflationary periods, intensifying under crisis conditions. | ||
| کلیدواژهها | ||
| Price level؛ Asset markets؛ Volatility spillover؛ Time-Varying Parameter Vector Autoregression (TVP-VAR)؛ Dynamic connectedness | ||
| مراجع | ||
|
Abutorabi, H., Hajj-Amini, T., & Tohidi. (2021). Financial system performance and inflation in Iran: Some stylized facts. Fiscal and Economic Policies Quarterly, 9(33), 41–76. (In Persian) https://doi.org/10.52547/qjfep.9.33.41 Ahmadian, A. (2025). The effect of inflation and government budget deficit on economic growth during business cycles. Country Studies, 38(1).(InPersian) https://doi.org/10.22059/jcountst.2025.393398.1271. Ahmadi Shadmehri, M. T., Osmani, F., Cheshomi, A., & Salehnia, N. (2022). Investigating the effect of time varying inflation on the industry index (evidence from Iran's stock market). Journal of Industrial Economicsresearches, 6(20), 27-29. (In Persian). https://doi.org/10.30473/jier.2023.65219.1344 Almeida, A., Feria, J., Golpe, A., & Vides, J. C. (2024). Financial assets against inflation: Capturing the hedging properties of gold, housing prices, and equities.National Accounting Review, 6(3), 314–332. https://doi.org/10.3934/NAR.2024014. Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84. Attarzadeh, A., Isayev, M., & Irani, F. (2024). Dynamic interconnectedness and portfolio implications among cryptocurrency, gold, energy, and stock markets: A TVP-VAR approach. Sustainable Futures, 8, 100375. https://doi.org/10.1016/j.sftr.2024.100375. https://doi.org/10.3390/jrfm13040084. Bernanke, B., & Gertler, M. (2012). Monetary policy and asset price volatility. New Perspectives on Asset Price Bubbles, 173–210. https://doi.org/ 10.3386/w7559. Cieslak, A., & Pflueger, C. (2023). Inflation and asset returns. Annual Review of Financial Economics, 15(1), 433– 448.https://doi.org/10.1146/annurev-financial-110921-104726. Daboh, F., Duramany-Lakkoh, E. K., & Knox-Goba, T. L. (2024). Analyzing the Structural Relationship between Money Supply, Inflation, and Economic Growth in Sierra Leone: A VAR Model Approach. Theoretical EconomicsLetters, 14(4),1583-1604. https://doi.org/10.4236/tel.2024.144080. Diebold, F. X., & Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182, 119 134.https://doi.org/10.1016/j.jeconom.2014.04.012. Esmaeilpour-Moghaddam, H., & Sharif-Bagheri, E. (2025). Dynamic relationship between the Iranian stock market and commodity markets: A TVP-VAR approach and portfolio optimization.Asset Management and Financial Financing, 13(2), 129–154. (InPersian). https://doi.org/10.22108/amf.2025.143052.1931. Friedman, M. (1968). The role of monetary policy. American Economic Review, 58(1), 1–17. https://www.aeaweb.org/aer/top20/58.1.1-17.pdf. Gosselin, P., Lotz, A., & Wambst, M. (2022). Financial markets and the real economy: A statistical field perspective on capital allocation and accumulation. arXiv preprint arXiv:2205.03087. https://doi.org/10.48550/arXiv.2205.03087. Keynes, J. M. (1937). The general theory of employment. The Quarterly Journal of Economics, 51(2), 209–223. https://doi.org/10.2307/1882087. Khani, J., Samimi, J., Tehranchian, A. M., & Ehsani. (2021). The effects of the money market on the gold market:A system dynamics approach. Economic Modelling Journal of Iran, 15(54), 1–19. (In Persian) https://doi.org/10.30495/eco.2021.1926550.2501. Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of econometrics, 74(1), 119-147. https://doi.org/10.1016/0304-4076(95)01753-4. Lagos, R., & Navarro, G. (2023). Monetary policy operations: Theory, evidence, and tools for quantitative analysis (No. w31370). National Bureau of Economic Research.Handle: RePEc:nbr:nberwo:31370. Laudati, D., & Pesaran, M. H. (2023). Identifying the effects of sanctions on the Iranian economy using newspaper coverage. Journal of Applied Econometrics, 38(3), 271–294.https://doi.org/10.1002/jae.2947. Moeini, Sh., Mirjalili, S. H., & Moniri, S. M. (2018). The effect of oil-based economy, expectations, and cyclical supply on housing prices in selected Iranian metropolitan areas (2000–2015). Urban Economics, 3(1), 59–74. (In Persian) .https://doi.org/10.22108/ue.2018.107822.1044. Moeini, S., Sharifi, A., Mozafari Shamsi, H., & Mohammadi, V. (2021). The impact of Iran oil sanctions on the exchange rates: An analysis using Google Search Index. Iranian Economic Review, 25(3), 397–417. https://doi.org/10.22059/ier.2021.84137. Mohajeri, T. (2022). Sectoral volatility spillovers using time-varying parameter VAR (TVP-VAR): Evidence from Iran’s stock market. Economic Research Quarterly, 57(2), 321–356. (In Persian). https://doi.org/10.22054/joer.2025.78828.1209 Mohammadi, T., & Hosseini, S. M. (2023). The dependency of stock market bubbles on monetary policy shocks: TVP-VAR approach. Iranian Journal of Applied Economic Studies, 13(49), 41–71.(In Persian). https://doi.org/10.22084/aes.2022.25540.3387. Motameni, M., Zarouki, Sh., Zamani, & Kowsar. (2019). Examininginflationhedging by gold coins in Iran.Quantitative Economics Research Journal, 16(2),125–143.(InPersian) https://doi.org/10.22055/jqe.2019.26749.1920. Nikoghadam, & Abutorabi. (2019). The effect of inflation on the causal relationship between financial development and economic growth in Iran. Iranian Journal of Applied Economic Studies, 8(29), 269–299. (In Persian).https://doi.org/10.22084/aes.2019.17671.2752. Olamide, E., Ogujiuba, K., & Maredza, A. (2022). Exchange rate volatility, inflation and economic growth in developing countries: Panel data approach for SADC. Economies, 10(3), 67. https://doi.org/10.3390/economies10030067. Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics letters, 58(1),17-29.https://doi.org/10.1016/S0165-1765(97)00214-0. Pourhosseini, S. H., Sharifi-Renani, H., & Daei Karimzadeh, S. (2022). The relationship between financial market illiquidity shocks and macroeconomic dynamics: A TVP-VAR approach for Iran. Financial Management Outlook, 12(39), 63–82. (In Persian) .https://doi.org/10.52547/JFMP.12.39.63. Roudari, S., Ahmadian-Yazdi, F., Arabi, S. H., & Hammoudeh, S. (2023). Sanctions and Iranian stock market: Does the institutional quality matter? Borsa Istanbul Review, 23(4), 919–935. https://doi.org/10.1016/j.bir.2023.03.006. Sadeghi, A., Tayebi, S. K., & Roudari, S. (2023). Financial markets, inflation and growth: The impact of monetary policy under different political structures. Journal of Policy Modeling, 45(5), 935-956.https://doi.org/10.1016/j.jpolmod.2023.08.003. Wang, K. M., & Lee, Y. M. (2022). Is gold a safe haven for exchange rate risks? An empirical study of major currency countries. Journal of Multinational Financial Management, 63, 100705. https://doi.org/10.1016/j.mulfin.2021.100705. Xie, W., & Cao, G. (2024). Volatility and returns connectedness between cryptocurrency and China’s financial markets: A TVP-VAR extended joint connectedness approach. The North American Journal of Economics and Finance, 74, 102231.https://doi.org/10.1016/j.najef.2024.102231 Younis, I., Shah, W. U., & Yousaf, I. (2023). Static and dynamic linkages between oil, gold and global equity markets in various crisis episodes: Evidence from the Wavelet TVP-VAR. Resources Policy, 80, 103199. https://doi.org/10.1016/j.resourpol.2022.103199. Zarei, Pegah, TEHRANCHIAN, AMIR MANSOOR, Abounouri, Esmaeil, & TAGHINEJAD OMRAN, VAHID. (2020). The Impact of Financial Market Fluctuations on Financial Instability in the Iranian Economy: The Wavelet based Markov Switching Model. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 28(93), 203-232. (In Persian). https://doi.org/10.52547/qjerp.28.93.203 Zheng, Z., Wan, X., & Huang, C. Y. (2023). Inflation and income inequality in a Schumpeterian economy with heterogeneous wealth and skills. Economic Modelling, 121, 106193.https://doi.org/10.1016/j.econmod.2023.106193. Zheng, T., Ye, S., & Hong, Y. (2023). Fast estimation of a large TVP-VAR model with score-driven volatilities.Journal of Economic Dynamics and Control, 157, 104762. https://doi.org/10.1016/j.jedc.2023.104762. | ||
|
آمار تعداد مشاهده مقاله: 644 تعداد دریافت فایل اصل مقاله: 778 |
||