Simulation of the Impact of Oil and Currency Shocks on the Systematic Risk and price returns of Stock: DSGE Approach

Document Type : Research Paper

Authors

1 Department of Financial management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran

2 Department of Accounting and management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran

3 Department of Financial Engineering, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran

4 Department of Commerce, Tonekabon Branch, Islamic Azad University, Tonekabon, Iran

Abstract

The present study through a Dynamic Stochastic General Equilibrium (DSGE) Model and considering some of the observed facts in Iran's economy attempts to simulate the effects of oil and currency shocks on systematic risk and price returns and then the linear-logarithmic form of the equations was obtained after optimization and obtaining first-order brokers' conditions with using the Uhlig method. Examined samples collected from seasonal data from 2002 to 2016. In the end, the immediate reaction functions of the financial variables against oil revenue and currency shocks were investigated. The results of the research show that oil and currency shock initially have a negative effect on the systematic risk of stock and price returns, and then in the subsequent periods of this trend, they continue to fluctuate in a stable and stable state, so that the systematic risk fluctuations are greater than price return. Also, the Iranian economy shows the relative success of the model in the realities of the Iranian economy which determine by comparing the moments of the variables present in the model and the moments of the actual data.

Keywords

References

 
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Financial Management Strategy
Volume 7, Issue 2 - Serial Number 25
September 2019
Pages 123-154

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History

  • Receive Date: 23 May 2018
  • Revise Date: 23 February 2019
  • Accept Date: 25 February 2019

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