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- Title
The Analysis of Relationship Between Financial Markets' Illiquidity Shocks and Macroeconomic Dynamics: a Self-Regression Vector with Variable Coefficients Over Time (TVP-VAR) Approach in Iran.
- Authors
Pourhosseini, Seyed Hamed; Renani, Hossein Sharifi; Daie-Karimzadeh, Saeed
- Abstract
According to recent research, liquidity of major financial markets across the globe have been different over time. Unpredictability of liquidity in these markets is a crucial source of risk for investors. Such liquidity shock in financial markets affect macroeconomics. In this research, the analysis of relationship between illiquidity shocks in financial markets and macroeconomics dynamics in Iran with a self-regression vector with variable coefficients over time (TVP-VAR) approach. The research findings have been yielded by using seasonal time series data during the period 2008:4-2020:3, where the findings suggest that growth's reaction in studied periods to illiquidity shocks has been negative and decreasing. Moreover, illiquidity shocks have increasing effects on inflation while liquidity growth impact on these shocks have been relatively increasing during the period. Eventually, the impact of security market's illiquidity shock on unemployment rate increased at the beginning of the period while it was decreasing at the end of the period.
- Publication
Financial Management Perspective / Chashm/&āz-i Mudīriyyat-i Mālī, 2022, Vol 12, Issue 39, p63
- ISSN
2645-4637
- Publication type
Article
- DOI
10.52547/JFMP.12.39.63