The Contemporaneous and Lagged Interconnectedness Among Crude Oil, Gold, Exchange Rates, and Equity Markets in Iran

This study conducts a comprehensive examination of the interlinkages among four key financial markets—crude oil, gold, currency, and equities—over the July ۲۳, ۲۰۱۳, to March ۱۲, ۲۰۲۵. This study employs the Contemporaneous and Lagged R۲ Decomposed connectedness approach recently introduced by Balli et al. (۲۰۲۳), which allows us to decompose the connectedness among variables into lagged and contemporaneous components. As the previous approaches only show overall or contemporary results, this novel approach fills the gap in the literature. The findings reveal that most spillovers occur contemporaneously, with the U.S. dollar playing a central role in the propagation of contemporaneous shocks. In contrast, gold emerges as a significant transmitter of long-term shocks, underscoring its relevance for strategic risk management. Moreover, crude oil is the main receiver of shocks in the average and lagged connectedness in the network. Dynamic analyses indicate heightened market sensitivity during periods of geopolitical tension, particularly under intensified sanctions and currency volatility in Iran. By uncovering the evolving structure of cross-market dependencies, this research offers valuable insights for portfolio allocation, systemic risk assessment, and the formulation of responsive economic policies in times of financial stress.

کلیدواژه ها:

Risk Spillover ، Crude Oil ، Stock market ، Contemporeneous and Lagged Effects