Long-run Relationship between the Volatility of Effective Real Exchange Rate and Industrial Return Index in Tehran Stock Exchange Market (Multivariate GARCH Approach)
Subject Areas : Labor and Demographic EconomicsEsmaeil Aboonouri 1 , AmirMansour Tehranchian 2 , Mostafa Hamzeh 3
1 - استاد دانشگاه سمنان
2 - استادیار دانشگاه مازندران
3 - دانشجوی کارشناسی ارشد علوم اقتصادی دانشگاه مازندران
Keywords: Exchange rate, Industry Index, MGARCH, Volatility Spillovers, stock exchange market,
Abstract :
This paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data during 2001-2011. The results represent that there is no long-term significant relationship between effective real exchange rate and industry index. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets. There is a bidirectional volatility spillovers effects between two markets. This indicates that previous innovations in stock market affects on the future volatility in foreign exchange market, and vice versa.
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