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Leila Gholami Heidariani; Reza Ranjpour; Firoz Fallahi
Abstract
In this study, we investigate the relationship between stocks cycles and business cycles in Iran, using the spillover index approach of Diebold and Yilmaz (2012, 59). The dynamic interaction between financial cycles and business cycles is used by rolling window estimation and spillover plots. We use ...
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In this study, we investigate the relationship between stocks cycles and business cycles in Iran, using the spillover index approach of Diebold and Yilmaz (2012, 59). The dynamic interaction between financial cycles and business cycles is used by rolling window estimation and spillover plots. We use data of GDP cycles as business cycle and also data of total stock price index, the stock price index in industry and the stock price index in finance based on quarterly data during 1998Q3-2018Q1. We have investigated the relationship between business cycle and stocks cycles along with exchange rate, oil incomes and liquidity. The results show that the total spillovers index increases in during periods of economic recessions. Also, the business cycle, oil cycle and exchange rate cycle are more impressionable market and the total stock, industry stock, finance cycle and liquidity cycle are more influential market than other markets.
