Analysis of the effect of macroeconomic variables on fluctuation of future gold market in Iran
سال انتشار: 1400
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 285
فایل این مقاله در 22 صفحه با فرمت PDF قابل دریافت می باشد
- صدور گواهی نمایه سازی
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_JEOPO-2-1_011
تاریخ نمایه سازی: 14 اردیبهشت 1400
چکیده مقاله:
Abstract The future value of gold coins has received much attention in the world for its risk-taking function. The introduction of this tool into the Iranian financial market was not initially welcomed, but over time it was welcomed by investors in the futures market. Therefore, the volatility of gold coin futures trading and its influencing factors is important. In this study, the effect of macroeconomic variables affecting the volatility of gold coin futures trading is investigated. Therefore, in this study, the effect of selected macroeconomic variables (inflation, exchange rate, oil price and liquidity) and changes of each of these variables on the volatility of gold coin futures trading during the period of ۲۰۰۹-۲۰۱۸ have been investigated. In order to estimate the model, the effect of each of the variables on the gold coin futures fluctuations is first investigated individually. Then, using the principal component analysis, the macro variables index was extracted and estimated in the model. The results indicate a significant effect of macro variables on the future fluctuation of gold coins. Rising inflation and rising oil prices lead to a long-term component of the currency and the exchange rate will reduce the volatility of gold coin futures.
کلیدواژه ها:
Futures Contract ، Commodity Exchange ، GARCH Model of hybrid Samples ، Macroeconomic variables ، Tehran Stock Exchange
نویسندگان
Leila Torki
Assistant Professor of Economics, Department of Economics, University of Isfahan,Isfahan, Iran
Saeid Samadi
Associate Professor of Economics, Department of Economics, Faculty of Administrative Science And Economics,University of Isfahan, Isfahan, Iran
Zahra afarpoor
M.A. Student in Economics, Department of Economics, Faculty of Administrative Sciences and Economics, University of Isfahan, Isfahan, Iran