Stability of financial markets in Iran
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Stability of financial markets in Iran

Document Type : Original Article

Authors
Hassan Ghalibaf 1
Mehdi Zolfaghari 2
Mahnaz Oliaee 3
1 Associate Professor, Department of Financial Management, Al-Zahra University
2 Assistant Professor, Department of Economics, Tarbiat Modares University
3 Master of Financial Management, Al-Zahra University
10.22034/jse.2020.11056.1313
Abstract
The emergence of financial crises and their long-term consequences on the real sectors of economies has further highlighted the importance of examining financial stability in financial markets. So today, governments are seeking to design tools and indicators to assess the financial market stability situation in financial markets such as the money, capital and currency markets to ensure that there are no signs of a financial crisis. Therefore, the design of appropriate indicators for checking the stability of financial markets is one of the main concerns of financial researchers. Therefore, in this research, it has been attempted to present the appropriate indicators to examine the stability of financial markets in Iran. In this regard, to achieve this goal, six variables from the financial system and four variables from macroeconomics have been collected monthly from 2010 to 2017. Then, to generate financial stability indicators, various econometric techniques such as GARCH model, weighted method with equal variance, weighted average and Vector Vector Autoregression (VAR) were used. Finally, the ability to predict financial sustainability indicators was examined using the ARDL Autoregressive Model. The results of the research showed that financial markets of Iran were unstable in different periods of time.The matching of empirical evidence and the results of the research show that the financial stress index for the stock market and the foreign exchange market reflects well the financial tensions, but in the banking market this index has weak performance and the selected variables do not cover the main components of the market.
Keywords
Financial Stability
Financial System of Iran
Financial Status Index
Financial Soundness Index
Financial Stress
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Quarterly Journal of Securities Exchange
Volume 13, Issue 51
Autumn 2020
Pages 53-89