Investigating the Nonlinear Behavior of Financial Instability in Iran: A Threshold Structural Vector Autoregressive Approach

In this study, the role of positive and negative shocks of exchange rate, stock index and oil price in the upper and lower values of the stock index threshold has been investigated by using the threshold structural vector autoregressive model in the period 1388:01-1397:09 on a monthly basis. The results show that in higher values of threshold of stock index, positive oil price shock, negative exchange rate shock and also negative stock index shock can reduce financial instability in the country, also in lower values of threshold of stock index, Positive shock of oil prices in the long run and negative shock of oil prices in the short and medium term, as well as negative shock of exchange rates in the short and medium term and positive shock of the stock index can reduce financial instability. According to the results, under any circumstances, supporting the stock market cannot reduce financial instability in the country. in higher values of threshold of stock index (growth of more than 6.8% of stock market index per month) positive shocks to the stock index increase financial instability in the country, but in lower values of threshold of stock index can be reducing financial instability in the country. Also, foreign exchange market stability should be formed in the country so that positive currency shocks do not increase financial instability in the country.