Investigating the asymmetric effects of financial risk components and economic complexity on sukuk market development in Iran (Nonlinear Autoregressive Distributed Lag Model Approach)
Document Type : Research Paper
Authors
1 Economics Department, Islamic Azad University, Zanjan Branch, Zanjan, Iran
2 Department of Economics, Faculty of Humanities, Islamic Azad University of Zanjan, Zanjan, Iran
3 Economics Department, Islamic Azad University, Zanjan Branch, Zanjan,
4 Department of Economics, Kharazmi University, Tehran, Iran
Abstract
The main purpose of this research is to investigate the effects of shocks of financial risk components along with economic complexity on the development of sukuk market in Iran. The data required to conduct this research is related to the period of 2010-2022 and is seasonal and was used from the Central Asset Management Company of the Iranian Capital Market, the International Country Risk Guide database, and the MIT University website. The results of the Wald test indicate that the positive and negative shocks of financial risk components (current account, exchange rate, foreign debt, debt service and international liquidity) have asymmetric effects on the development of the Iranian sukuk market. Also, the estimation results of the model using the Nonlinear Autoregressive Distributed Lag Model Approach showed that among the financial risk components in the long term, the most influential positive and negative shock on the development of the Iranian sukuk market is related to the debt service component, respectively, with a coefficient of 22.56. and 10.56 and in the short term, the most effective positive shock is related to foreign debt component with a coefficient of 10.22 and negative risk is related to debt service component with a coefficient of 2.24. Also, the effect of economic complexity on the development of sukuk market is positive in the long term, while it is not significant in the short term.The error correction coefficient in this estimate shows that 0.30 of the short-term imbalance is adjusted to reach the long-term balance every year.
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