1
Ph.D. Student in Economics, Faculty of Economics & Political Science, Shahid Beheshti University
2
M.A. student in Economics, Faculty of Economics, University of Tehran
Abstract
The purpose of the present study is to use the dynamic conditional correlation method (DCC-GARCH) to examine the correlation structure in the seasonal data of exchange rate returns, stock market price index, gold price, oil price and housing price (rent index) over the period 1992 to It's 2016. The results obtained using OXMetrix software indicate that there is a high conditional correlation between gold and currency yields and the least conditional correlation is observed between housing and currency yields. In addition, by examining the conditional correlation diagram between returns on assets, there is a change in the conditional correlation process caused by global developments, indicating the impact of the world developments on Iranian economy.
sezavar, M. R., khazaei, A., & eslamian, M. (2019). Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy. Economic Strategy, 8(29), 37-60.
MLA
mohammad reza sezavar; alireza khazaei; mojtaba eslamian. "Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy". Economic Strategy, 8, 29, 2019, 37-60.
HARVARD
sezavar, M. R., khazaei, A., eslamian, M. (2019). 'Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy', Economic Strategy, 8(29), pp. 37-60.
VANCOUVER
sezavar, M. R., khazaei, A., eslamian, M. Conditional correlation between foreign exchange markets, gold, housing, stock and oil in the Iranian economy. Economic Strategy, 2019; 8(29): 37-60.
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