Explain the shocks and fluctuations of the foreign exchange market and how to transfer these shocks to other markets
Subject Areas :
Journal of Investment Knowledge
soqra razi kazemi
1
,
Fraydoon Rahnamay Roodposhti
2
,
gholamreza zomorodian
3
,
Ebrahim Chirani
4
1 - Ph.D. Student, Department of Management, Rasht Branch, Islamic Azad University, Rasht, Iran
2 - Professor, Department of Accounting, Science and Research Branch, Islamic Azad University, Tehran, Iran
3 - Assistant Professor, Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran
4 - Assistant Professor, Department of Management, Rasht Branch, Islamic Azad University, Rasht, Iran
Received: 2021-04-08
Accepted : 2022-02-01
Published : 2023-06-22
Keywords:
foreign exchange market,
Market Fluctuations,
financial markets,
foreign exchange market shock,
Abstract :
The transmission of financial crises between different markets in an economy indicates the existence of channels of transmission of this crisis. Today, parallel currency markets are closely related to other markets such as gold, coins, stocks and oil. Channels that transmit shocks and fluctuations of the foreign exchange market to other markets can include information, macroeconomic variables, investment behaviors, and so on. In this study, using daily data from 2009 to 2017, the explanation of overflow fluctuations and shocks in the foreign exchange market and how to transfer these shocks to other markets has been examined. The results indicate the existence of fluctuations overflow as well as structural fractures due to the presence of this overflow. The research model and determination of interruptions is based on the VAR model. Yields and fluctuations as well as the presence of the Arch effect in the model are determined based on the VAR model. The MV-GARCH model is used to determine the returns in the foreign exchange market. Fluctuations and shocks of the foreign exchange market and its impact on other markets as well as future prices in different markets are determined based on the VAR model. The results of this study indicate the effect of shock in the foreign exchange market on the trend of future prices in this market as well as the impact on other markets.
References:
امام وردی, قدرت اله, جعفری, & سیده محبوبه. (2019). اثر بحران های مالی بر انتقال تکانه و سرریز نوسان میان بازارهای مالی توسعه یافته و ایران. اقتصاد مالی, 13(47), 63-84.
برخورداری, فرناز, پورعزیزی گلین قشلاقی, & حسینی. (2017). تاثیر نوسانات نرخ ارز و اثرسرریز آن بر شاخص صنایع منتخب بورس اوراق بهادار تهران. دانش سرمایهگذاری, 6(21), 1-14.
سفیدبخت, & رنجبر. (2017). سر ریز نوسانات بین قیمت نفت، نرخ ارز، قیمت طلا و بازار سهام تحت فواصل زمانی و شکست ساختاری: استفاده از مدل گارچ (BEKK) و الگوریتم ICSS. مهندسی مالی و مدیریت اوراق بهادار, 8(33), 51-87.
سوری،اقتصاد سنجی جلد (2)، چاپ چهارم، نشر فرهنگ شناسی، 1394
صادقی شاهدانی, محسنی, & حسین. (2018). سرریزی و انتقالات نوسان قیمت سکه طلا بر بازار سرمایه. اقتصاد مالی, 12(44), 103-122.
فکاری سردهایی, بهزاد, صبوحی, محمود, شاهپوری, احمدرضا. (1397). بررسی آثار تغییرات قیمت نفت خام بر شاخص بورس اوراق بهادار تهران: کاربرد الگوی M-GARCH رهیافت BEKK. تحقیقات اقتصادی, 53(2), 387-407.
محسنی, & صادقی شاهدانی. (2019). سرریز نوسان نرخ ارز بر بازار سرمایه در ایران. فصلنامه علمی نظریه های کاربردی اقتصاد, 6(1), 77-96.
مغنی, حیدر, ناصحی فر, وحید, ناطق, & تهمینه. (2020). چگونگی تاثیر گسترش فناوریهای مالی بر بهبود عملکرد خدمات مالی. اقتصاد مالی, 13(49), 183-212.
Ewing, B.T., & Malik, F. (2015).Volatility transmission between gold and oil futures under structural breaks. International Review of Economics and Finance, 25(3): 113–121.
Gao, I. (2019). Review of the Overflow and Risk of China’s Financial Markets. Electronic Business, 18(2).
Jiang, P., & Zhang, B. (2018). A Study on the Spillover Effects of International Commodity Markets and Domestic and Foreign Stock Markets on China’s Commodity Market.
KAVITHA, G. (2019). Causes And Consequences Of Indian Rupee Depreciation Against Us Dollar In Indian Economy. History Research Journal, 5(6), 620-634
Mensi, W.; Hammoudeh, S. and S. Yoon (2015). “Structural Breaks, Dynamic Correlations, Asymmetric Volatility Transmission, and Hedging Strategies for Petroleum Prices and USD Exchange Rate”, Energy Economics, No. 48. Pp. 46-60.
Mohammadishad, H., Madanchi Zaj, M., & Keyghobadi, A. R. (2021). Risk spillover and dynamics between financial markets, commodity markets and digital currencies with the MGARCH method.
Tian, S., & Hamori, S. (2016). Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States. The North American Journal of Economics and Finance, 38, 163-171.
Wesseh Jr, P. K., & Lin, B. (2018). Exchange rate fluctuations, oil price shocks and economic growth in a small net-importing economy. Energy, 151, 402-407.
Wu, X., Zhu, S., & Wang, S. (2020). Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula. Complexity, 2020.
_||_