پویایی ارتباطات و سرریز شوک در بازارهای مالی ایران با تأکید بر نقش صندوق‌های درآمد ثابت

احمدیان, فرزانه; برومند تقی‌زاده تربتی, مژگان; محمدی, امیررضا

doi:10.22034/efp.2026.2090143.1055

پویایی ارتباطات و سرریز شوک در بازارهای مالی ایران با تأکید بر نقش صندوق‌های درآمد ثابت

نوع مقاله : مقاله پژوهشی

نویسندگان

فرزانه احمدیان ¹

مژگان برومند تقی‌زاده تربتی ²

امیررضا محمدی ²

¹ گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران

² گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران.

10.22034/efp.2026.2090143.1055

چکیده

این پژوهش با هدف بررسی پویایی سرریز شوک میان بازارهای نفت، طلا، ارز، سهام و صندوق‌های درآمد ثابت در ایران انجام شده است. برای این منظور، از الگوی خودرگرسیون برداری با پارامترهای متغیر در زمان استفاده می‌شود که امکان تحلیل ارتباطات پویا و متغیر در طول زمان را فراهم می‌سازد. برخلاف رویکردهای سنتی که عمدتاً پیوستگی بازارها را به‌صورت کلی یا ایستا بررسی می‌کنند، این پژوهش با تفکیک سرریزها به ارتباط کل، ارتباط همزمان و ارتباط با وقفه، انتقال آنی و تدریجی شوک‌ها را به‌طور جداگانه ارزیابی می‌کند و هم‌زمان نقش صندوق‌های درآمد ثابت را به‌عنوان یکی از ابزارهای مهم مدیریت نقدینگی در کنار بازارهای دیگر وارد شبکه انتقال ریسک می‌کند. نتایج نشان می‌دهد صندوق‌های درآمد ثابت انتقال‌دهنده اصلی شوک در میان دارایی‌های مورد بررسی هستند و از این منظر نقش سیگنال‌دهنده در بازار ایفا می‌کنند. در مقابل، بازار نفت بیشترین میزان دریافت شوک را از سایر بازارها دارد. همچنین، نرخ ارز به دلیل ارتباط خالص کمتر با سایر اجزای شبکه، می‌تواند گزینه‌ای کم‌ریسک‌تر برای متنوع‌سازی پرتفوی تلقی شود.

چکیده تصویری

پویایی ارتباطات و سرریز شوک در بازارهای مالی ایران با تأکید بر نقش صندوق‌های درآمد ثابت

کلیدواژه‌ها

نفت

بازار سهام

انرژی

ارز

عنوان مقاله English

Dynamics of Connectedness and Shock Spillovers in Iran’s Financial Markets: Emphasizing the Role of Fixed-Income Funds

نویسندگان English

Farzaneh Ahmadian Yazdi ¹

Mozhgan Boroomand Taghizadeh Torbati ²

Amirreza Mohammadi ²

¹ Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran

² Department of Economics, Faculty of Administrative and Economic Sciences, Ferdowsi University of Mashhad, Mashhad, Iran.

چکیده English

This study aims to investigate the dynamics of shock spillovers among the oil, gold, foreign exchange, stock, and fixed-income fund markets in Iran. To this end, a Time-Varying Parameter Vector Autoregression (TVP-VAR) model is employed, allowing for an analysis of dynamic and time-varying interrelationships among these markets. Unlike conventional approaches that primarily examine market connectedness from an overall or static perspective, this study decomposes spillovers into total, contemporaneous, and lagged connectedness, thereby enabling the separate assessment of the immediate and gradual transmission of shocks. At the same time, fixed-income funds are incorporated into the risk-transmission network as an important instrument for liquidity management alongside other financial markets. The results indicate that fixed-income funds are the primary transmitters of shocks among the assets under investigation and, from this perspective, play a signaling role in the market. In contrast, the oil market exhibits the highest level of shock reception from other markets. Furthermore, given its relatively lower net connectedness with other components of the network, the foreign exchange market may be regarded as a relatively lower-risk option for portfolio diversification.

کلیدواژه‌ها English

Oil

Stock Market

Energy

Foreign Exchange Market

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