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Examining the Effects of Mixed Data Patterns with Different Frequency on the Relationship between Macroeconomic Fundamentals and Financial Market Fluctuations in Iran
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Maryam Falah Tafti1   , Seyyed Yahya Abtahi 2, Jalil Tutunci3 , Zohra Sadat Tabatabaei Nesab3 |
1- Doctoral student, Department of Economics, Yazd Branch, Islamic Azad University, Yazd, Iran
2- Assistant Professor, Department of Economics, Yazd Branch, Islamic Azad University, Yazd, Iran , yahyaabtahi@yahoo.com
3- Assistant Professor, Department of Economics, Yazd Branch, Islamic Azad University, Yazd, Iran |
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Abstract: (218 Views) |
Purpose and background: Financial market fluctuations are one of the economic control tools in economic systems. A proper understanding of how these shocks affect the economic system is a good guide to determine appropriate policies to affect other macroeconomic variables.
Method: For this purpose, in the present study, the relationship between macroeconomic fundamentals and financial market fluctuations in Iran was investigated using the mixed data pattern method with different frequency (MIDAS) for different seasonal and annual time frames. In the estimated model, the annual data of trade openness degree, government spending, productivity, inflation rate and interest rate and seasonal data of oil price fluctuations, exchange rate fluctuations and money volume for the years 1991-2020 have been used.
Findings: The information related to the year 2021 was not used in the initial estimate of the relationship so that the prediction power of the model could be tested outside the estimation range. Based on the results, inflation rate, money volume, real interest rate and crude oil price fluctuations have a positive effect and trade openness has a negative effect on currency market fluctuations. The impact of monetary and oil fluctuations in Iran's economy depends more on the studied inflation situation, in such a way that with the increase of inflation, the effect of monetary fluctuations on the real sector of the economy decreases and even at very high levels of inflation, it can have a negative effect.
Conclusion: For Iran's economy, with the increase in the price of oil, due to the use of imported raw materials in the production sector, the level of inflation increases, and this increase in inflation leads to an increase in the interest rate of the facilities granted by banks, and the cost of taking a loan increases, and the level of investment in the industrial and production sectors. Reduces and ultimately leads to an increase in the volatility of the currency market. Also, by comparing the predicted values with the realized values and adding the second, third and fourth seasons to the model, the prediction accuracy of the model increases and becomes closer to the real values.
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Article number: 15 |
| Keywords: financial markets, fundamentals of macroeconomics, currency fluctuations, mixed data with different frequencies |
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Full-Text [PDF 1410 kb]
(75 Downloads)
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Article type: Research |
Subject:
Special
Received: 2024/01/2 | Accepted: 2024/04/2 | Published: 2024/08/31
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