همبستگي پوياي شاخص نااطميناني سياست اقتصادي جهاني با نوسان بازارهاي سهام، ارز و سكه در ايران: كاربرد الگوي M-GARRCH رهيافت DCC

The dynamic correlation of global economic policy uncertainty index with stock, exchange rate and gold markets in Iran: Application of M-GARRCH and DCC approach

در اﯾﻦ ﻣﻄﺎﻟﻌﻪ، ﺗﺄﺛﯿﺮ ﻋﺪم اﻃﻤﯿﻨﺎن ﺳﯿﺎﺳﺖ اﻗﺘﺼﺎدي ﺟﻬﺎﻧﯽ ﺑﺮ ﻧﻮﺳﺎن ﺑﺎزار ﺳﻬﺎم، ﻃﻼ و ارز در اﯾﺮان ﻣﻮرد ﺑﺮرﺳﯽ ﻗﺮار ﻣﯽﮔﯿﺮد. از اﯾﻦ رو، ﺑﺎ اﺳﺘﻔﺎده از دادهﻫﺎي ﻣﺎﻫﺎﻧﻪ ﺷﺎﺧﺺ ﻗﯿﻤﺖ ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان، ﻗﯿﻤﺖ ﺳﮑﻪ ﻃﻼ و ﻧﺮخ ارز ﺑﺮاي دوره زﻣﺎﻧﯽ ﻓﺮوردﯾﻦ 1381 ﺗﺎ اﺳﻔﻨﺪ 1398، ﻫﻤﺒﺴﺘﮕﯽ ﻣﺘﻐﯿﺮﻫﺎي ذﮐﺮ ﺷﺪه در اﯾﺮان ﺑﺎ ﺷﺎﺧﺺ ﻧﺎاﻃﻤﯿﻨﺎﻧﯽ ﺳﯿﺎﺳﺖ اﻗﺘﺼﺎدي ﺟﻬﺎﻧﯽ ﺑﻮﺳﯿﻠﻪ اﻟﮕﻮي ﻫﻤﺒﺴﺘﮕﯽ ﺷﺮﻃﯽ ﭘﻮﯾﺎي ﮔﺎرچ )DCC-GARCH( ﺑﺮرﺳﯽ ﺷﺪه اﺳﺖ. ﻧﺘﺎﯾﺞ ﭘﮋوﻫﺶ ﻧﺸﺎن ﻣﯽدﻫﺪ ﮐﻪ ﻧﻮﺳﺎﻧﺎت ﺳﯿﺎﺳﺖ اﻗﺘﺼﺎدي ﺟﻬﺎﻧﯽ اﺛﺮ ﻣﻌﻨﯽدار ﺑﺮ ﻧﻮﺳﺎﻧﺎت ﺑﺎزار ﺳﻬﺎم، ﺳﮑﻪ ﻃﻼ و ارز دارد. اﯾﻦ ﺷﺎﺧﺺ ﺑﻪ ﻃﻮر ﮐﻠﯽ اﺛﺮ ﻣﺜﺒﺖ ﺑﺮ ﻧﻮﺳﺎن ﻗﯿﻤﺖ ﺳﮑﻪ ﻃﻼ دارد )ﺑﻪ ﺟﺰ دوره 1383-1386(، و ﺑﺮ ﻧﻮﺳﺎن ﺑﺎزار ﺳﻬﺎم و ارز ﻧﯿﺰ اﺛﺮ ﻣﺜﺒﺖ و ﻫﻢ اﺛﺮ ﻣﻨﻔﯽ دارد. ﺑﻨﺎﺑﺮاﯾﻦ، ﺷﺎﺧﺺ ﻧﺎاﻃﻤﯿﻨﺎﻧﯽ اﻗﺘﺼﺎد ﺟﻬﺎﻧﯽ در ﭘﯿﺶﺑﯿﻨﯽ ﻧﻮﺳﺎﻧﺎت اﯾﻦ ﺑﺎزارﻫﺎ ﻣﻔﯿﺪ اﺳﺖ و ﻣﯽﺗﻮاﻧﺪ ﭘﯿﺶﺑﯿﻨﯽ ﻧﻮﺳﺎﻧﺎت ﺳﻬﺎم، ﻃﻼ و ارز را ﺑﻬﺒﻮد ﺑﺨﺸﺪ.

In this study, the effect of global economic policy uncertainty on stock, gold and foreign exchange market volatility in Iran is examined. Therefore, using the monthly data of Tehran Stock Exchange price index, gold coin price and exchange rate for the period from April 2002 to March 2017, correlation of the mentioned variables with global economic policy uncertainty in Iran has been investigated by the dynamic conditional correlation-GARCH model (DCC-GARCH). The research results show that fluctuations in global economic policy have a significant effect on stock, gold coin and exchange rate market fluctuations. This index generally has a positive effect on the fluctuations of gold coin price (except during 2004-2007), and has both positive and negative effect on stock and exchange market fluctuations. Thus, the global economic uncertainty index is useful in predicting market volatility and can improve stock price, gold price and exchange rate forecasts.