Dynamic Effects of Impulses in Gold Prices, Real Exchange Rate and Oil Prices on the Stock Price Index

This paper estimate a gold index price and real exchange rate and oil price on Tehran stock exchange index whit daily data from 2005/03/20 to 2011/03/17. In order to operationalize the cointegration test, we use Johanson-julselius and VECM and use generalized impulse response function and generalized variance decomposition method to analysis the dynamistic effects of impulses in gold price and real exchange rate and oil price on price index. According to this paper, there are no strong significant between gold price, real exchange rate and price index in long run. So in long run, one percentage increases in gold and oil price will reduce 0/55 and 1/55 percentage and will increase 13/24percentage in price index. At the end, real exchange rate and oil price appear robust to explain more variation's price index and real exchange rate and oil shock are almost as important as gold price in unstability.