new economy and trad

new economy and trad

Investigation of currency volatility spillover network and components of consumer price index

Document Type : Research Paper

Author
samaneh bagheri
Ph.D. in Economics, Faculty of Economics, Management and Accounting, Yazd University
10.30465/jnet.2025.50428.2167
Abstract
the price of consumer goods changes and leads to inflation in these goods. Iran's economy is experiencing high inflation and rising exchange rates, so research in this area is necessary. This study investigates for the first time the exchange rate volatility spillover to the components of the consumer index for the period 1390.2 to 1400.8 using the Diebold- Yilmaz volatility spillover index and complex network theory. In this study, the components of the consumer price index include education, furniture and appliances, clothing and footwear, transportation, tobacco, food and beverage, communications, leisure and culture, hotel and restaurant, miscellaneous goods and services, and dollars. According to the research results, the sender currency of volatility and consumer index components including, education, furniture and home appliances, clothing and footwear, transportation, tobacco, food and beverage, communications, entertainment and culture, hotel and restaurant, miscellaneous goods and services They are volatility. In this study, volatility spillover networks are divided into the period before the approval of JCPOA and the period of JCPOA and are compared with each other. According to the results obtained in the volatility spillover network during the period of JCPOA approval, the weighted out degree exchange rate in the volatility spillover network has decreased,
Keywords
volatility
volatility spillover index
complex network
components of consumer price index
dollar volatility
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  • Receive Date 08 November 2024
  • Revise Date 02 January 2025
  • Accept Date 11 March 2025