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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 (725.09 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 | ||
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