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Zahra Mila Elmi

Academic rank: Professor
ORCID:
Education: PhD.
ScopusId:
Faculty: Faculty of Economics and Administrative Sciences
Address:
Phone: 09112153929

Research

Title
Price Bubbles Spillover among Asset Markets: Evidence from Iran
Type
JournalPaper
Keywords
Bubbles Spillover; Asset Markets; Sigma-Point Kalman Filter; VAR.
Year
2016
Journal Iranian Economic Review
DOI
Researchers Saeed Rasekhi ، Zahra Mila Elmi ، Milad Shahrazi

Abstract

his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in Iran from 2002:03 to 2015:06. For this purpose, we have exploited Sigma-Point Kalman Filter (SPKF) to extract the bubble component of assets prices in the aforementioned Markets. Then, in order to analyze the price bubbles spillover amongst asset markets, we have taken several measures. First, we performed a pairwise Granger test. Afterwards, for the sake of studying the shock effects of the bubbles, a multivariate time series model in the form of a vector autoregressive (VAR) system has been implemented. Based on the results of Pairwise Granger Causality test, the assets bubbles have a causality relation amongst each other. Furthermore, the outcomes of impulse response function and variance decomposition analysis derived from the estimation of VAR model implies on the existence of bubbles spillover among asset markets.