Co-movement and causality between Assets Market (housing and financial assets): in Iran Economy: Wavelet analysis

This article, using the method of continuous wavelet, examines the contagion between the asset markets including housing, stock, currency, gold, and the banking sector in Iran's economy based on the return on assets in the form of co-movement or correlation and causality. For this purpose, annual return data of mentioned assets and bank deposit interest rates have been used between 1991 and 2016. The results of the co-movement and the wavelet phase difference also indicate that in short run, the causal direction is from the exchange rate toward the housing market and from the housing market to the stock market. Also, on the base of results, an increase in the exchange rate and a decrease in the bank's interest rate in the short run are the causes of the increasing of stock market return and in the long run, an increase in the exchange rate would increase the stock return rate. The results also indicate that on the base of co- movement in short run, the increase in the bank interest rate is the cause of reducing of exchange rate The results of this research and obtained relations can be used in policy-making in the housing sector, especially in the field of prices, as well as the foreign exchange market for the correction and control of the exchange rate and the prosperity of the capital market.