Analysis of Dynamic Relations Amongst Oil and Gold Prices and TEPIX in Iran’s Economy Using SVAR-Asymmetric-BEKK-GARCH modle

Investigation of the evolutions of the stocks, gold, and oil markets in Iran shows clearly that prices of these assets have experienced abrupt fluctuations during the recent past. This indicates the great importance of investigating these fluctuations to see how they are transferred from one financial market to another. When it comes to economic policy setting, such an investigation serves as an efficient economic instrument for realizing increased production and employment, because a proper understanding of the mentioned price fluctuations in the markets contributes to setting appropriate controlling policies. Oil and gold, as two strategic and irreplaceable commodities, have attracted much attention recently. These two goods in particular cause an increase in prices and an increase in economic costs.Therefore, the present research investigates the relationship between fluctuations in the gold and oil markets as well as Iran’s stock exchange market (SEM) during 2012 – 2022. Data analysis was performed by the SVAR-asymmetric-BEKK-GARCH model. Findings indicated a one-way relationship amongst fluctuations overflown across the considered variables.