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بررسی رفتار غیرخطی بی ثباتی مالی در ایران: رهیافت خودرگرسیون برداری ساختاری آستانه ای
[Examining the Nonlinear Behavior of Financial Instability in Iran: A Threshold Structural Vector Autoregression Approach]

Author

Listed:
  • Roudari, Soheil
  • Zarei, Pegah
  • Tehranchian, Amirmansour

Abstract

This study investigates the role of positive and negative shocks to the exchange rate, stock market index, and oil prices in the upper and lower threshold regimes of stock market index growth, using a Threshold Structural Vector Autoregression (TSVAR) model. The analysis employs monthly data for the period 2009:01–2018:11. The findings indicate that financial instability in Iran exhibits nonlinear behavior. Based on the impulse response functions, when stock market index growth is above the estimated threshold (6.8 percent), positive and negative shocks to oil prices, the exchange rate, and the stock index have asymmetric effects on the financial instability index. However, below the threshold, positive and negative shocks to these variables display asymmetric effects on financial instability only in certain periods. According to the results, institutional support for the stock market does not necessarily reduce financial instability under all circumstances. When stock market growth exceeds the 6.8 percent threshold, positive shocks to the stock index increase financial instability; yet below the threshold, they may contribute to reducing financial instability. Furthermore, exchange rate stability is essential to prevent positive exchange rate shocks from increasing financial instability.

Suggested Citation

  • Roudari, Soheil & Zarei, Pegah & Tehranchian, Amirmansour, 2020. "بررسی رفتار غیرخطی بی ثباتی مالی در ایران: رهیافت خودرگرسیون برداری ساختاری آستانه ای [Examining the Nonlinear Behavior of Financial Instability in Iran: A Threshold Structural Vector Autoregressio," MPRA Paper 127021, University Library of Munich, Germany, revised 30 Jan 2021.
    • Handle: RePEc:pra:mprapa:127021
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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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