Dynamic Analysis of Uncertainty Transmission Pattern in Financial, Housing and Macroeconomic Sectors
Subject Areas : Financial Knowledge of Securities Analysis
hamidreza hamidi
1
,
mirfeiz fallah shams
2
*
,
hossein jahangirnia
3
,
mojgan safa
4
1 - PhD student ,Department of Accounting and financial management ,Qom Branch, Islamic Azad University , Iran,
2 - Associate Professor, Department of Management, Central Tehran Branch, Islamic Azad University, Iran. (Correspondence Officer)
3 - Assistant Professor, Department of Accounting and financial Management, Qom Branch, Islamic Azad University, Iran.
4 - Assistant Professor, Department of Accounting and financial manegement, Qom Branch, Islamic Azad University, Iran
Keywords: contagion, Uncertainty, generalized forecast error var, dynamic models,
Abstract :
The main goal of the current study is to investigate the contagion of uncertainty between sectors (finance, housing and macroeconomics) using a dynamic approach. In this regard, using monthly data in the period from 2008:4 to 2020:3, DCC-GARCH models and generalized forecast error variance decomposition (GFEVD), The overall dynamic relationship as well as the directional pairs dynamic relationship of uncertainty indicators between the mentioned sections are investigated. The results of this study show that the housing sector, with the exception of the beginning of 2017, is a net receiver of uncertainty from the other two sectors. Also, the results of the current research show the dual role of the financial sector in the mechanism of inter-sector uncertainty transfer, so that at some periods it is a net receiver of uncertainty and at some other periods (including the years 2017 and 2018) it is a net source and transmitter of uncertainty in the three indicators system. Inflation uncertainty, as an index of macroeconomic uncertainty, is a major source of uncertainty and a transmitter of uncertainty to the financial and housing sectors.
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