چكيده به لاتين
The problem that has faced Iran's economy in recent years has been fluctuating at a macro level and in various parts of it. Over the past decade, as a result of sanctions, the effects of targeting subsidies, increasing liquidity over the years, and oil price changes and other factors, have experienced fluctuations in various sectors, especially financial markets. The trend in markets such as stocks, currencies, money, etc. in the past decade in Iran clearly shows that prices in these markets and its turbulence have undergone dramatic changes in recent years. Empirical evidence has shown that markets are not separate from one another, and volatility in various asset markets is strongly interrelated. Among the financial markets, the capital market and its fluctuations have a key role in the development and economic growth of countries. The difference in the quantity and quality of services offered by this market can be a significant part of the difference in the rate of growth between countries. The capital market in the Iranian economy is mainly summarized in the stock market. Factors affecting stock price changes and returns are not fully known to everyone. The exchange rate and the interest rate on bank deposits are among the macroeconomic factors that can affect the return on the stock and its value. Therefore, the present study examines the long-term relationship between stock markets, currency and money for the period of 1387-1396 using monthly data using the VAR-GARCH model, with the specification of BEKK and CCC.
The results of the VAR model and the Impuls Respons Fanctions (IRFs) and analysis of Variance Decomposition (VD) showed that the real exchange rate fluctuations and the real interest rates of long-term bank deposits did not have a significant effect on the return on the stock of financial companies. Also, when the nominal rate of return was used instead of the real interest rate in the model's estimation, there was no significant correlation between these two variables. The correlation between the real exchange rate and the real interest rate of bank deposits has a significant negative relationship. This is one-way communication of the exchange rate to the real interest rate of long-term bank deposits. This negative relationship arises from the positive correlation between the exchange rate and the inflation rate in Iran's economy, because when there was a nominal rate instead of the real interest rate of deposits, there was no significant correlation between them. The results of the analysis of the variance model of BEKK (1.1) showed that the shocks and past fluctuations of the foreign exchange market at time t-1 affect the current fluctuations in the return on financial stock with a positive factor. Also, the shocks created in the money market did not affect the fluctuations in current stock returns, but the turbulence of the money market came to a significant financial stock market. Based on the CCC model (1.1), the correlation coefficient between residue sentences for real exchange rate and return on equity was estimated to be significant but positive for the residual sentences of the real exchange rate equation and the real interest rate of bank deposits as well as the waste sentences of the yield equation The stock and the real interest rate of real bank deposits were not estimated significantly.
Keywords: Real exchange rate risk, volatility, VAR model, MGARCH models
