سرریز

Having an investment portfolio with minimum risk and maximum return is the Pareto optimum that all investors in the financial markets are looking for. Achieving this goal is not possible due to its idealistic nature, and people can only approach this optimal situation. However, the basic principle in the composition of the investment portfolio is to have financial assets with minimal correlation in the portfolio. This is followed to reduce the yield spillover effect among the portfolio assets. This is the reason for this study to investigate the yield spillover between assets such as gold, dollar, euro and major stock market indices such as automotive, banking and chemical group index for the daily period from 2018 August 26 to 2023 March 15, using the ARCH approach. Results of EGARCH(1,2), EGARCH(1,1), GARCH(1,2), GARCH(2,2) and AR(2) models for banking group index, chemical group index, gold, euro and dollar respectively which are based on the selected information criteria, showed that the spillover effect of the studied assets is different from each other.

Understanding the transmission of shocks and fluctuations among financial assets is crucial for effective risk management by investors. This study analyzes the dynamics of return spillovers and turbulence propagation across 15 industries in the Tehran Stock Exchange from October 12, 2009, to May 15, 2024. Employing the extended joint vector autoregression framework with time-varying parameters (TVP-VAR Extended Joint), we examine return spillovers, while turbulence spillovers are investigated using the dynamic conditional correlation (DCC-GARCH) approach. Our findings reveal several insights: Firstly, return shocks and turbulence in the network exhibit distinct dynamics. Secondly, the systemic risk resulting from turbulence transmission indicates tighter and more intricate interconnections among industries compared to return transmission. Thirdly, apart from the dominant investment industry, which serves as a major transmitter of shocks and fluctuations in both analyses, the pharmaceutical, construction, and food industries also emerge as significant net transmitters. Finally, the study confirms a strong dynamic synergistic relationship between basic metals and metal minerals throughout the study period.

Determining the factors affecting stock market turmoil and risk with the development of capital asset pricing models has been considered by researchers. One of the variables that is closely related to financial markets is blockchain technology. Blockchain is a new technology in the field of secure computers. This technology can transform the digital world and, using distributed distribution features for each online transaction, execute transactions in such a way that assets can be identified in the future without compromising the privacy, security of assets and parties involved. It is done in the transaction. the present study investigates the blockchain technology overflow on the fluctuations of fluctuations of 84 selected companies in the stock market of the country during April 2011 to August 2021 using system generalized method of moments. The Iranian stock market has not been immune from the spillovers of this crisis. The results of the study show that market share, rate of return on assets have a positive effect on the spillower of fluctuations and blockchain technology, research and development have negative effects on spillover. All variables are statistically significant at the level of one percent confidence. Determining the factors affecting stock market turmoil and risk with the development of capital asset pricing models has been considered by researchers. One of the variables that is closely related to financial markets is blockchain technology. Blockchain is a new technology in the field of secure computers. This technology can transform the digital world and, using distributed distribution features for each online transaction, execute transactions in such a way that assets can be identified in the future without compromising the privacy, security of assets and parties involved. It is done in the transaction. the present study investigates the blockchain technology overflow on the fluctuations of fluctuations of 84 selected companies in the stock market of the country during April 2011 to August 2021 using system generalized method of moments. The Iranian stock market has not been immune from the spillovers of this crisis. The results of the study show that market share, rate of return on assets have a positive effect on the spillower of fluctuations and blockchain technology, research and development have negative effects on spillover. All variables are statistically significant at the level of one percent confidence.

The purpose of this study is to investigate the shock spillover of parallel markets in stock market fluctuations; in OPEC member countries. For this purpose, the information of the 2010-2020 period and the vector error correction model have been usedThe mid-term results show: the volatility spillover function first decreases and then increases with the increase in oil prices, and also with the increase in the economic growth rate, it remains unchanged and also with the exchange rate shock, it improves first with a moderate slope and then with a gentle slope. Based on the results of variance analysis, the changes in the fluctuation overflow and then the oil price have the most impact compared to other variables in the fluctuation overflow function. Based on the long-term results the volatility spillover function did not react much to changes in oil prices, and it also did not change to changes in the economic growth rate, first with a high slope and then with a gentle increase, as well as with the shock of the exchange rate. Also, based on the results of variance analysis, volatility spillover has a very high sensitivity to the volatility spillover itself and then economic growth.

The globalization and increasing convergence of economies and markets, the expansion of international relations and the increase in global trade have raised the issue of how the monetary policy changes in large economies such as the United States and Euro area countries may affect the other countries. In this paper, we use a structural vector auto-regression (SVAR) approach to assess the spillover of ECB policy on Iran according to trade channel. Subsequently, we use the Factor Analysis to construct a synthetic index of overall Euro area monetary conditions (MCI) over the period of 2001:1-2019:4. This MCI captures both conventional and unconventional policies in Euro area countries . We find that a monetary tightening leads to a drop in Iran’s production, export, and import, peaking after 6, 5 and 6 seasons. Furthermore, the ECB policy leads to a significant depreciation and higher inflation in Iran. The results are robust than the order of variables.

ncreasing investment in research and development is a factor in increasing productivity in regional production and the growth of innovative areas. Knowledge and innovation overflow is an inevitable concept that is resilient to place. The purpose of this paper is to analyze the impact of expanding research and development costs on regional growth in different neighborhood ranks. For this purpose, has been used a combined model and investigation of research and development spatial overflow in 31 provinces of Iran. The research results show that; Natural logarithm variables of GDP, percentage of research and development costs to regional GDP, average years of education and population structure directly affect regional growth. However, the spatial lag of the natural logarithm of the GDP rate and the spatial lag of the variable population structure have an inverse effect on regional growth.

Oil price shocks have direct and indirect impacts on the economies of oil-exporting and oil-importing countries. The direct impacts are through demand and supply channels and the indirect (spillover) impacts are through interaction between the countries. Most studies have focused on the direct effects of the oil price shocks in a specific country or a region and research works on indirect impacts are limited. In this research, the direct and indirect effects (spillover) of oil shocks on both groups of oil-exporting and oil-importing countries are estimated using a dynamic system model. The spillover effects are defined and measured by the “Trade Ratio” and “Weighted Average Economic Growth” indicators. The sample includes 30 oil-exporting and oil-importing countries with a share of 73 percent of the world’s economy. The results show that a positive oil price shock reduces economic growth in oil-importing countries and increases it in oil-exporting countries, but international trade between the oil- exporting and oil-importing countries mitigates the impact of oil shocks on economic growth of both groups.

Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets. In this study, to examine risk hedge ratio, optimal weight of asset and the volatility spillover among Iran, the United States, Turkey and UAE stock markets, multivariate GARCH model is estimated using the weekly stock index data from December 15, 2008 to April 10, 2017. Independence of Iran stock market from other markets is due to the relatively low volatility of the Iran stock market and the insignificant correlation between the Iran market and other markets, so risk hedge ratio and optimal weight of assets between the stock market of the studied countries and Iran is low. Also the results indicate considerable own ARCH and GARCH effects on the stock market of these countries. The US economy is relatively large, thus other markets have no significant effect on this market as expected. Most of the eigenvalues of the ARCH and GARCH effects matrix has been slightly smaller than unit, which indicates that relative stability in these markets has been low against domestic and foreign shock and volatility.

The main objective of this study is to investigate shock spillovers and volatility over the selected indexes of Tehran Stock Exchange including the automotive and parts manufacturing group, banking group and oil products group in the period of 13th December, 2008 to 21th November, 2017. In order to that, MS-VAR model and Asymmetric BEKK have used. The results showed evidence of standard leverage in both regimes, as The results in the zero-order regime indicate the interaction of the Shocks and volatilities of each group on the Shocks and volatilities of other groups, and the past volatilities of each group relative to the past Shocks of that group contributed to the current volatility of that group in the zero-order regime. The results in first regime also showed that the news of the oil products group did not have any significant effect on the volatility of the automobile group, and vice versa. While Shocks transferring between banking groups and petroleum refineries, and between automobile group and banking groups are two-way. Also, the volatility of the banking group affects the volatility of the oil products group and volatility spillovers between petroleum product groups and automobile group is one-way.

Goal: Increasing interactions of real and financial sectors is regarded as one of the inevitable characteristics for the world economy. These international interdependences can lead to higher degree of inflationary vulnerability to global and foreign shocks. Therefore, the national inflation management is one of the most important challenges that different countries are facing in the global economy. In addition, Iran is a net-food-importing and net-oil-exporting country, and food and energy have considerable share in consumer basket. Hence, Iran’s economy has a higher degree of inflationary vulnerability. Iran’s Inflation not only is directly affected by the oil and food shocks, but also is influenced by changes in the inflations of Iran’s importing partners (spillover effect). In this regard, the present study examines the role of oil and food shocks and foreign inflation on Iran’s inflation. However, the paper is focused on both direct and indirect (spillover) effects of the oil and food shocks. For instance, the shock in oil price may lead to some changes in global food price and accordingly some changes in inflation in Iran trading partners. Therefore, Iran’s inflation is also affected by increasing oil price and the inflation changes in trading partners. Similarly, a food price shock can lead to higher inflation of Iran trading partners. Therefore, not only Iran’s inflation is directly affected by food price shock but also it may be affected by the changes in the inflation of trading partners.
The present study aims to evaluate the spillover effect of global shocks on Iran’s inflation. In this regard, the long-run relationship and short-run dynamics of inflation for 34 countries were analyzed based on a global vector error correction model (GVECM). This model is estimated for 34 countries during 1988Q4-2013Q1. The selected countries have more than 80 percent of world GDP during 1988-2013. On average, 80 percent of the imports in each country were provided by the 33 other countries. In addition, more than 80 percent of Iran’s imports were done through the countries involved in the GVAR model. Then the regional and global transmission channels of inflationary shocks among the countries are properly included in the GVAR model. The data included inflation rate, exchange rate and gross domestic production for each country, global food and oil prices, and import shares of each country with respect to the other countries. The ability for capturing the interactions and interdependencies in the context of the global economy is one of the most advantages of GVAR models. In this regard, the macroeconomic of each country is modeled as a part of global multi-country model. Hence, the GVAR model captures the spillover effects of cross-countries shocks well.
The findings are as follows: 1) the spillover effects of oil shocks on Iran’s inflation are often in the opposite direction of the direct effect, so that the initial change of inflation is neutralized by Iran’s importing partners. Food shocks have a direct and significant effect on Iran’s inflation, which the spillover effects amplify it. 2) Inflation in China and Latin American is sharply influenced by the oil and food shocks. The spillover effects of these countries are transmitted to Iran’s economy, and hence accentuate the effect of the original shocks. 3) But developed countries (Europe, Japan and South Korea) is able to curb inflationary pressures, and so do not impose inflationary pressures to their trading partners. 4) Variety of Iran’s importing partners has declined in favor of focusing on developing and more vulnerable countries in particular from the 2000s.
Therefore, the dispersion of Iran’s international trade among developed and emerging countries improves the economy resilience against future inflationary pressures.

Iran is a semi-industrialized developing country that has made increasing investment in ICT for the past decade. However, the country is lagging behind in many indices for the digital economy and the impacts of ICT investment are not clear. In this paper, we analyze the effect of ICT investment on production in Iran using a panel data of the 4-digit manufacturing industries for the period 2003-2013. In the estimation model, the effects of complementary factors such as education and skill level, as well as the absorption capacity are controlled for. In addition to the direct effect of ICT, we have also estimated the spillover effects within and between industries. The results indicate that ICT investment has contributed to the production growth and the effect has been increasing through time. Furthermore, increases in the labour skills, education levels, and R&D capital have increased the positive impact of ICT on production. The ICT investment in one industry has also had a spillover effect on within and between industries.

The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased. In this paper, we study the “volatility spillover of Brent oil price return effects on return of Iran and USA financial markets during 2008-2016 using weekly data. Results show that volatility of Brent oil price return spillovers S&P500 and related industries to oil indexes in USA, so it does not spillover Tehran exchange price index return and related industries to oil indexes in Iran. Also financial market indexes return do not spillover together in short-time.

The purposes of this paper are the investigation of convergence hypothesis for GDP per labor in the presence of spatial dependence, and estimation of the spatial spillover effects of economic growth among the 11 adjacent countries of Caspian Sea during 1990 to 2010. Hence, the spatial Solow model has been estimated in the framework of spatial dynamic panel data. The results indicate that conditional beta convergence hypothesis is true for the countries under investigation and every country with average speed of 26.2% moves in the balanced growth path towards its own steady state. Moreover, according to the spatial Durbin model, there is a positive spatial autocorrelation of per labor GDP among adjacent countries of Caspian Sea; if the weighted average of neighboring countries per capita labor GDP of a country increases one percent, average per capita income of the country's labor force will raise 0.75 percent. Deepening regional cooperation and the development of common markets in order to gain more economic benefits are the two important policy proposed in this study.

The most attended aspect of the modern economics is its structure which relies heavily on knowledge and awareness. In this competitive world, paying attention to knowledge and relying on innovation is what makes institutions and macro economics pioneers. In the early 20th century, Joseph Schumpeter and later almost all theoreticians came to believe that the emergence of a phenomenon called job creators or in other words innovative job creators played significant roles in the economic development process4 and, in Schumpeter’s opinion, something that makes these people stand out is their innovation power particularly in new combinations. With regard to the deep technological gap between the developed and developing countries, Foreign Direct Investment (FDI) is one way to transfer modern technologies to the developing countries where these innovations could be applied through this transfer. Since the arrival of foreign direct investment to the developing countries brings about spillovers resulting in innovation expansion in these countries. In this article, the effects of Foreign Direct Investment (FDI) spillovers on innovation in developing countries are dealt with, considering that the panel data5 are arranged in the Pool method for the developing countries where the innovation information have been accessible.