اثرات سرریز پویای ریسک میان نرخ ارز، سهام، مسکن و سکه در ایران: شواهدی جدید از مقایسه دوران تحریم و غیرتحریم[Effects of dynamic risk spillover between exchange rates, stocks, housing and coins in Iran: New evidence from the comparison between sanctions and non-sanctions eras]

In the current study, the risk spillover between currency, housing, coin, and stock markets in the period of 1385:01- 1400:12 monthly using the vector autoregression model with time-varying parameters of Diebold-Yilmaz (DY-TVP-VAR) have been investigated. The results show that currency and coins assets are the main factors of volatilities in the studied asset markets. These two assets are not only transmitters of volatilities to other assets but also receivers of volatilities from other assets. The housing market has been the only receiver of the risk and volatilities of other markets, and the most volatilities have been transferred from currency and stocks to housing. According to the results, the most impact on the housing market was caused by currency, stocks, and coins. Also, the stock market has received the most impact from currency and coins. Based on the results, housing can provide risk hedging for the investment portfolio; in other words, it is a safe haven. Still, considering that over time, the number of coin fluctuations from other assets and the amount of transfer of fluctuations to other assets has been different, its selection should be based on other assets in the portfolio and political and economic conditions. It is not a safe haven under all conditions. Therefore, during the sanctions period and in conditions where the return on assets has a significant difference from the mean, using the DY-TVP-VAR model can bring better results for investors to manage their investment portfolios.