This study aims to examine the dependence of oil price, financial markets index and inflation in Iran's economy during the period December 2008 to April 2016. To do so, a hybrid model including a stochastic model and continuous wavelet transform has been used. The results show that the cause of inflation and other fluctuations in Iranian economy is the fluctuation of the oil market. On the other hand, there is an interrelationship between the pair markets of oil and stock, oil and gold, and ultimately oil and currency in the short term, but in the long run there is only a relationship between the stock market and the oil market. Furthermore, oil sanctions have resulted in increasing the interconnection between the pair markets.
Oil Price, Financial Markets Index and Inflation in Iran's Economy
Shahram Dehghan Jabarabadi
2018
Abstract
This study aims to examine the dependence of oil price, financial markets index and inflation in Iran's economy during the period December 2008 to April 2016. To do so, a hybrid model including a stochastic model and continuous wavelet transform has been used. The results show that the cause of inflation and other fluctuations in Iranian economy is the fluctuation of the oil market. On the other hand, there is an interrelationship between the pair markets of oil and stock, oil and gold, and ultimately oil and currency in the short term, but in the long run there is only a relationship between the stock market and the oil market. Furthermore, oil sanctions have resulted in increasing the interconnection between the pair markets.
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