Evaluating the Trend of Interconnection Between Global Oil Futures Markets and its Impact on the Foreign Exchange and Gold Coin Market in Iran

AbdolRassol Afrasiabi ¹ ( )
Seyyed Nematollah Mousavi ² ( Professor, Department of Economics, Marvdasht Branch, Islamic Azad University, Marvdasht, Iran. )
Fatemeh Zandi ³ ( Assistant Professor, Department of Economics, South Tehran Branch, Islamic Azad University, Tehran, Iran. )

Submited date : 2024-11-14 Accepted date : 2025-02-02

Keywords: Bayesian Autoregression, Market Coupling, Volatility transmission, Vector Autoregression.,

Abstract :

The aim of the current research is to examine the connection between the global crude oil futures market and the domestic markets of the crude oil dollar and gold coins. The current research is practical in terms of purpose and quantitative in terms of the nature of the data, which was carried out by the method of collecting documents. The statistical population of the research includes the daily exchange rate data in the informal currency market and the daily price of Bahar Azadi gold coins in the Tehran market. Markov switching regression method has been used for data analysis. For this purpose, the daily data of Tehran markets for the period 2018-2020 were collected and analyzed using BTVC-VAR regression or Bayesian VAR estimation with time-varying parameters. The findings of the research showed that there is a connection between these three markets and the volatility is transferred from the global market of crude oil futures to the domestic markets of crude oil and gold coins. Of course, this transfer of fluctuations is very intermittent and temporary and will be dampened in the short term. In addition, the Diebold-Yilmaz index also indicated the fluctuating nature of the connection between these markets, so that in the long term, at some points, the connection is weak and at other times the connection is strong.

 

References:

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