US Withdrawal from JCPOA and the Turmoil in Iran’s Economy

Abstract

Many individuals and companies make their economic decisions based on political developments. This article examines an important political event,namely the withdrawal of the United States from JCPOA and its impact on the Iranian capital market. With the withdrawal of the United States fromthe JCPOA and the United States’ threats to resume sanctions, Iran’s economy had experienced turmoil and drastic changes, which clearly saw in thedays before and after the resumption of sanctions in Iran’s financial markets. In this study, we intend to examine the changes resulted from the USwithdrawal from JCPOA, its impact on Iran’s oil-dependent economy, financial markets, analyze the spread, and severity of turbulence in the Iranianeconomy, especially the Iranian financial markets using multivariate GARCH methods. In this regard, the multivariate GARCH model (DCC) andanalysis of variance are used to investigate these events’ effect on the Tehran Stock Exchange index.
 Keywords: ARCH, Economic Dependence, Economic Sanctions, Intensity of Turbulence in Iran’s Economy, Linear combinations of univariateGARCH models, Multivariate generalized autoregressive conditional heteroscedasticity, Nonlinear combinations of univariate GARCH models, USWithdrawal from JCPOA, Multivariate GARCH