Investigating the Time-Frequency Volatility Spillover among Exchange Rate, Inflation, Stocks and Housing Prices in Iran

In the present study, the transferring and receiving, as well as the causal relationship of volatilities transmission according to the time-frequency across exchange rate, inflation, housing and stock market in the period of 2006:03-2022:03, is investigated using time-varying parameters vector autoregression model. The results show that the main relationship between the volatilities of the variables was in the short run. If short run exchange rate volatilities continue and lead to inflation and housing volatilities in the medium term, inflation and housing price volatilities will create the basis for transferring volatilities to the exchange rate. The stock market will be volatile with the increase in exchange rate volatility. Therefore, the control of exchange rate volatilities in the short term will prevent the increase of inflation and housing price volatilities. If the policymaker does not consider it, the exchange rate will volatile again in the medium term through the inflation and housing channel. Subsequently, the volatilities will transmit to the stock market intensively.