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بررسی میزان تاثیرپذیری بازارهای مالی ایران از اقتصاد جهانی با استفاده از تبدیل موجک پیوسته | ||
راهبرد مدیریت مالی | ||
مقاله 2، دوره 10، شماره 4 - شماره پیاپی 39، دی 1401، صفحه 31-54 اصل مقاله (1.07 M) | ||
نوع مقاله: مقاله پژوهشی | ||
شناسه دیجیتال (DOI): 10.22051/jfm.2023.38377.2613 | ||
نویسندگان | ||
پروین حسینی نیا1؛ شهرام فتاحی* 2؛ کیومرث سهیلی2 | ||
1کارشناس ارشد علوم اقتصادی، دانشکده علوم اجتماعی، دانشگاه رازی | ||
2دانشیار اقتصاد، گروه اقتصاد، دانشکده علوم اجتماعی، دانشگاه رازی | ||
چکیده | ||
فعالیتهای اقتصاد جهانی و عدماطمینان سیاستهای اقتصادی میتواند بازارهای مالی یک کشور را تحت تاثیر قرار دهد و عملکرد بازارهای مالی نیز به شدت بر سایر بخشهای اقتصاد تأثیرگذار است. در این پژوهش سعی بر این است میزان تأثیرپذیری بازارهای مالی ایران از اقتصاد جهانی با استفاده از تبدیل موجک پیوسته مورد بررسی قرار گیرد. بدین منظور ارتباط پویای بین شاخص اقتصادی جهانی کیلیان و عدم قطعیت سیاست اقتصادی جهانی با بازارهای مالی ایران شامل بازارهای سکه طلا، ارز و سهام تحلیل میشود. دوره زمانی مورد استفاده، از سال 2003 تا سال 2019 میلادی، و به صورت ماهانه میباشد. نتایج نشان میدهد که نوسانات شاخص کیلیان اثرات معنیداری بر نوسانات بازارهای سهام و ارز داشته است. قویترین میزان همبستگی بین شاخص کیلیان با بازارهای مالی در میانمدت و بلندمدت رخ داده است. اما همبستگی میان شاخص عدمقطعیت سیاست اقتصادی با بازارهای مالی عمدتاً در بلندمدت و یا میانمدت وجود داشته است. در کل دوره نمونه، همبستگی بین سه بازار طلا، ارز و سهام وجود دارد . | ||
کلیدواژهها | ||
شاخص کیلیان؛ عدم قطعیت سیاست اقتصادی جهانی؛ بازارهای مالی ایران؛ همبستگی موجک | ||
عنوان مقاله [English] | ||
Investigating Iran's Financial Markets Influenceability of the Global Economy Using Continuous Wavelet Transform | ||
نویسندگان [English] | ||
Parvin Hosseininia1؛ Shahram Fattahi2؛ Kiomars Sohaili2 | ||
1Master of Economic Sciences, Faculty of Social Sciences, Razi University | ||
2Associate Professor of Economics, Department of Economics, Faculty of Social Sciences, Razi University | ||
چکیده [English] | ||
Global economic activities and economic policies uncertainty can affect a country's financial markets and the performance of financial markets has also a strong impact on other parts of the economy. In this study, we try to examine Iran's Financial Markets Influenceability of the Global Economy using continuous wavelet transform. For this purpose, the dynamic relationship among Kilian global economic index and Uncertainty of global economic policy with Iran's financial markets, including gold coin, currency and stock markets, is analyzed. The time period used is the period from January 1, 2003 to June 31, 2019, and on a monthly basis. The results show that fluctuations in the Killian index have significant effects on stock market and gold market fluctuations. The highest correlation between Kilian index and financial markets has occurred in the medium and long term. However, the correlation between economic policy uncertainty index and financial markets has been mainly in the long or medium term. There is a correlation between three markets of gold, currency and stocks throughout the sample period. | ||
کلیدواژهها [English] | ||
Kilian Index, Economic Policy Uncertainty, Iranian Financial Markets, Wavelet Coherency | ||
سایر فایل های مرتبط با مقاله
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مراجع | ||
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