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Modeling the role of economic policy uncertainty on the performance of capital and commodity markets using the TVP-FAVAR model approach
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Mehnoosh Karim1   , Shadi Shahverdiani2 , Mohsen Hashemi gahar2 |
1- PhD student in Financial Management, Islamic Azad University, Shahr-e-Quds Branch, Tehran, Iran , rezaeichob@gmail.com
2- Assistant Professor of Financial Management, Islamic Azad University, Shahr-e-Quds Branch, Tehran, Iran |
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Abstract: (37 Views) |
Economic policy uncertainty refers to the instability that arises due to changes in government economic policies, not the instability caused by regime change. This instability is often measured by the dispersion coefficient of economic indicators, such as the dispersion coefficients of inflation, GDP growth, money supply growth, domestic credit expansion, and government budget deficit. The aim of the present study was to investigate the modeling of the role of economic policy uncertainty on the performance of capital and commodity markets. To investigate this issue, the generalized factor time-varying parameter vector autoregression model (TVP-FAVAR) and monthly data on capital markets, base metals (copper) and oil during the period 1370-1402 were used. The results of this study showed that the shock effect caused by economic policy uncertainty led to an increase in capital market volatility and also an increase in base metal and oil price volatility. |
Article number: 19 |
| Keywords: Uncertainty, economic policies, capital markets, base metals, oil market. |
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Full-Text [PDF 789 kb]
(12 Downloads)
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Article type: Research |
Subject:
Special
Received: 2024/12/23 | Accepted: 2025/03/18 | Published: 2025/10/2
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