"Analysis of the dynamic effect of oil, gold and stock market index on Iran's economy: a new approach with the SVAR-DCC-GARCH model"

Subject Areas : Financial engineering

Tara Heidari ¹ , Mirfeyz Fallah ^{2 *} , Hashem Nikoomaram ³ , Frydoon Rahnamay Roodposhti ⁴ , Gholamreza zomorodian ⁵

1 - Department of Financial Management, Science and Research branch, Islamic Azad University, Tehran, Iran
2 - Department of Business Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
3 - Department of Financial Management, Science and Research branch, Islamic Azad University, Tehran, Iran
4 - Department of Business Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
5 - Department of Business Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2023-09-05 Accepted : 2023-10-26 Published : 2025-06-21

Keywords: Dynamic Analysis, stock market index, Economic Fluctuations, vector autoregression, multivariate generalized conditional heterogeneity,

Abstract :

In the global economy, oil prices have been considered a key indicator of exchange rate fluctuations. This significance arises from the fact that international oil transactions are largely conducted in US dollars. Emphasizing this importance, the present article examines the dynamic relationship between oil prices, gold, and the stock index in the Iranian economy during the period from 1370 to 1401 using the SVAR-DCC-GARCH model. The results indicate that an increase in the growth of the stock index may lead to an increase in the price of gold, while having no significant impact on the oil market. Furthermore, increases in the gold and oil markets do not notably affect the Iranian stock market, and interestingly, there is no distinct correlation between the oil and gold markets. These findings vary throughout temporal fluctuations. Ultimately, employing the SVAR-DCC-GARCH model, this article analyzes the dynamic relationship between oil prices, gold, and the stock index in the Iranian economy, revealing that this relationship changes under different conditions over time. This contributes to a better understanding of the effects of fluctuations in these indicators on the Iranian economy.