Abstract
The main purpose of this paper is to examine the effects of financial integration on macroeconomic volatility in Iran. Economic theories do not clearly explain the effects of financial integration on macroeconomic volatility and this is essentially an empirical problem. Hence, we have presented an empirical model to test the effect of international financial integration on macroeconomic volatility in Iran over the period 1973-2016. For this purpose, first, the macroeconomic uncertainty was extracted using stochastic volatility model with leverage effects and using the principal component analysis method. The results show that in the long run, international financial development, international financial integration, and terms of trade volatility have a positive effect on macroeconomic volatility in Iran, while the effect of trade openness on macroeconomic volatility in Iran is negative. In addition, in the short run, there is no significant relationship between the relevant variables and macroeconomic volatility.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
