The effect of uncertainty in financial markets on real macroeconomic variables with emphasis on the overlapping generation model (DSGE approach)
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

The effect of uncertainty in financial markets on real macroeconomic variables with emphasis on the overlapping generation model (DSGE approach)

Document Type : Original Article

Authors
abdolmajid Aَhangari 1
Seyed Aziz Arman 2
Ebrahim Anvari 1
Haniyeh Eskandari 3
1 Associate Professor, Department of Economics, Shahid Chamran University of Ahvaz, Ahvaz, Iran
2 Professor, Department of Economics, Shahid Chamran University of Ahvaz, Ahvaz, Iran
3 PhD student, Department of Economics, Shahid Chamran University of Ahvaz, Ahvaz, Iran
10.22034/jse.2022.11799.1863
Abstract
The purpose of this study is to investigate the effect of uncertainty in financial markets on real macroeconomic variables with emphasis on the overlapping generation model. In this regard, a new Keynesian Stochastic Dynamic General Equilibrium (DSGE) model involving households, firms, the banking sector and the government has been designed to examine the impact of financial market uncertainty on the real sectors of Iran's macroeconomy. Therefore, in the following, the trend of time series of stock market variables and macroeconomics in Iran during the period 1390 to 1399 and also the correlation and causal relationships between them have been studied. The results show that the more the countries's capital market has a share in the economy, the higher the real per capita income and the lower the inflation rates, and therefore can be due to the optimal allocation of resources and long-term financing of investment. They expected better performance from the economy. Also, the significance of the effect of disruptive traders on the increase of volatility and turbulence is confirmed and the intensity of the impact is considerable; However, due to structural problems in the Iranian economy, the effect of disruptive traders and the behavior of brokers on creating uncertainty in financial markets is not significant compared to other effects and should be addressed in other variables such as economic problems and political disputes.
Keywords
uncertainty financial
real macroeconomic variables
DSGE

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Quarterly Journal of Securities Exchange
Volume 15, Issue 60
Winter 2023
Pages 171-206