Investigating Iran's Financial Markets Influenceability of the Global Economy Using Continuous Wavelet Transform

Document Type : Research Paper

Authors

1 Master of Economic Sciences, Faculty of Social Sciences, Razi University

2 Associate Professor of Economics, Department of Economics, Faculty of Social Sciences, Razi University

Abstract

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.

Keywords

References

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History

  • Receive Date: 03 November 2021
  • Revise Date: 13 May 2022
  • Accept Date: 09 January 2023

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