Co-movement and causality between Assets Market (housing and financial assets): in Iran Economy: Wavelet analysis

Document Type : Research Article

Authors

Abstract

This article, using the method of continuous wavelet, examines the contagion between the asset markets including housing, stock, currency, gold, and the banking sector in Iran's economy based on the return on assets in the form of co-movement or correlation and causality. For this purpose, annual return data of mentioned assets and bank deposit interest rates have been used between 1991 and 2016. The results of the co-movement and the wavelet phase difference also indicate that in short run, the causal direction is from the exchange rate toward the housing market and from the housing market to the stock market. Also, on the base of results, an increase in the exchange rate and a decrease in the bank's interest rate in the short run are the causes of the increasing of stock market return and in the long run, an increase in the exchange rate would increase the stock return rate. The results also indicate that on the base of co- movement in short run, the increase in the bank interest rate is the cause of reducing of exchange rate The results of this research and obtained relations can be used in policy-making in the housing sector, especially in the field of prices, as well as the foreign exchange market for the correction and control of the exchange rate and the prosperity of the capital market.

Keywords

References

تهرانی، رضا و سید خسروشاهی، سیدعلی (1396). «انتقال نوسان و اثر متقابل بازارهای سهام، ارز و طلا»، چشم‌انداز مدیریت مالی، 18(2)، 9-31.
کریم­زاده، مصطفی؛ امیری، شادی؛ همایونی­فر، مسعود و فلاحی، محمدعلی (1394). «بررسی همبستگی شرطی پویا بین دارایی‌های عمده در ایران با استفاده از روش DCC-GARCH»، فصلنامه علمی‌-پژوهشی پژوهش‌های اقتصادی، 15(2)، 183-201.
مصطفی­پور، منوچهر (1388). «آثار بحران مالی جهانی بر اقتصاد کشورهای آسیایی و چشم­انداز اقتصادی آسیا طی سال­های (2010-2009)»، مجله اقتصادی - ماهنامه بررسی مسائل و سیاست­های اقتصادی، شماره 9، 148-135.
نادمی، یونس و خوچیانی، رامین (1396). «رابطه بخش مسکن با متغیر‌های کلان اقتصادی در ایران، رویکرد موجک»، فصلنامه مدل‌سازی اقتصادسنجی، 2(4)، 85-106.
نجارزاده، رضا؛ آقایی خوندابی، مجید و رضایی­پور محمد (1387). «بررسی تأثیر نوسانات شوک­های ارزی و قیمتی بر شاخص قیمت سهام بورس اوراق بهـادار تهران با استفاده از رهیافت خـودرگرسیون بـرداری»، فصلنامه پژوهش­های اقتصادی، 9(1)، 147-175.
Aguiar-Conraria, L., Soares, M. J. (2014). “The Continuous Wavelet Transform: Moving Beyond Uni- and Bivariate Analysis”. Journal of Economic Surveys, 28(2), 344-375.
Apergis, N., Lambrinidis, L. (2011). “More Evidence on the Relationship between the Stock and the Real Estate Market”. Briefing Notes in Economics, Vol. 85, 1-11.
Aye, G., Balcilar, M., Gupta, R. (2013). “Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach”. Journal of Housing Research, 22(2), 203-220.
Białkowski, J., Serwa, D. (2005). “Financial Contagion, Spillovers and Causality in The Markov Switching Framework”. Quantitative Finance, 5(1), 123-131.
Bloomfield, D., McAteer, R., Lites, B., Judge, P., Mathioudakis, M., Keena, F. (2004). “Wavelet Phase Coherence Analysis: Application to a Quiet-Sun Magnetic Element”. The Astrophysical Journal, 617(1), 623-632.
Calvo, G.A. (2004). Contagion in Emerging Markets: When Wall Street is a Carrier. In: Bour E., Heymann D., Navajas F. (eds) Latin American Economic Crises. International Economic Association. Palgrave Macmillan, London.  
Daubechies, I. (1992). Ten Lectures on Wavelets. CBMS-NSF Regional Conference Series in Applied Mathematics.  
Dornbusch, R., Park, Y. C., Claessens, S. (2000). “Contagion: How It Spreads and How It Can Be Stopped”. World Bank Research Observer, 1-24.
El Sayed, L., Hegazi, N. (2013). “Contagion in MENA Countries during the 2008 Financial Meltdown”. Journal of Business and Economics Research, 11(7), 301-314.
Forbes, K. J., Rigobon, R. (2002). “No Contagion, Only Interdependence: Measuring Stock Market Comovements”. The Journal of Finance, 57(5), 2223-2261.
Goupillaud, P., Grossman, A., Morlet, J. (1984). “Cycle-octave and Related Transforms in Seismic Signal Analysis”. Geoexploration, 23(1), 85-102.
Grinsted, A., Moore, J. C., Jevrejeva, S. (2004). “Application of The Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series”. Nonlinear Process Geophysics, 11(5/6), 561-566.
Hudgins, L., Friehe, C., Mayer, M. (1993). “Wavelet Transforms and Atmospheric Turbulence”. Physical Review Letters, 71(20), 3279-3282.
Kaminsky, G. L., Reinhart, C. M., Vegh, C. A. (2003). “The Unholy Trinity of Financial Contagion”. The Journal of Economic Perspectives, 17(4), 51-74.
Kodres, L. E., Pritsker, M. (2002). “A Rational Expectations Model of Financial Contagion”. The Journal of financial Banner, 57(2), 769-799.
Li, X., Chang, T., Miller, S., Balcilar, M., Gupta, R. (2015). “The Co-Movement and Causality Between the U. S. Housing and Stock Markets in The Time and Frequency Domain”. International Review of Economics and Finance, 38(1), 220-233.
Liang, H-Y., Reichert, A. K. (2012). “The Impact of Banks and Non-Bank Financial Institutions on Economic Growth”. The Service Industries Journal, 32(5), 699-717.
Liow, K. H. (2012). “Co-movements and Correlations Across Asian Securitized Real Estate and Stock Markets”. Real Estate Economics, Vol. 40, No. 1, 97-129.
Loh, L. (2013). “Co-movement of Asia-Pacific with European and US Stock Market Returns: A Cross-Time–Frequency Analysis”. Research in International Business and Finance, Vol. 29, No. C, 1-13.
Mitra, S., Mitra, A. (2006). “Modeling Exchange Rates Using Wavelet Decomposed Genetic Algorithm Neural Networks”. Statistical Methodology, 3(2), 103-124.
Petersen, M. A., Rajan, R. G. (1994). “The Benefits of Lending Relationships: Evidence from Small Business Data”. The Journal of Finance, Vol. 49, No. 1, 3-37.
Roy, R. P., Roy, S. S. (2017). “Financial contagion and volatility spillover: An exploration into Indian commodity derivative market”. Economic Modelling, 67, 368-380.
Sander, H., Kleimeier, S. (2003). “Contagion and Causality: An Empirical Investigation of Four Asian Crisis Episodes”. Journal of International Financial Markets, Institutions and Money, 13(2), 171-186
Tiwari, A. K., Mutascu, M., Andries, A. M. (2013). “Decomposing Time–Frequency Relationship Between Producer Price and Consumer Price Indices in Romania Through Wavelet Analysis”. Economic Modelling, Vol. 31, No. C, 151-159.
Torrence, C., Webster, P. J. (1999). “Interdecadal Changes in the ENSO-Monsoon System”. Journal of Climate, 12, 2679-2690.
Van Rijckeghem, C., Weder, B. (2002). “Sources of Contagion: Is it Finance or Trade?”, Journal of International Economics, 54(2), 293-308.
Yahyazadehfar, M., Babaie, A. (2012). “Macroeconomic Variables and Stock Price: New Evidence from Iran. Middle-East”. Journal of Scientific Research, 11(4), 408-415.
Zhou, J. (2010). “Co-movement of International Real Estate Securities Returns: A Wavelet Analysis”. Journal of Property Research, 27(4), 357-373.
Journal of Applied Economics Studies in Iran
Volume 7, Issue 28
January 2019
Pages 163-181

Files

Share

How to cite

Statistics