The effect of America's withdrawal from the JCPOA on the pairwise connectedness, the total and the net spillover effect of the dollar, stock index and bitcoin markets

Articles in Press

Document Type : Original Article

Authors

Shima javaheri ¹

ahmad shabani ²

amirahmad Zolfaghari ³

¹ Imam Sadiq University

² Associate Professor, Department of Monetary and Financial Economics, Faculty of Islamic Studies and Economics, Imam Sadiq University, Tehran, Iran

³ Assistant Professor, Department of Financial Economics, Faculty of Islamic Studies and Economics, Imam Sadiq University, Tehran, Iran

https://doi.org/10.22067/mfe.2026.90029.1456

Abstract

The aim of this study is to investigate the role of the US withdrawal from the JCPOA on the spillovers of the foreign exchange market, stock exchange and cryptocurrency in Iran during the period from 16/11/1390 to 20/10/1401. For this purpose, the dynamic and advanced TVP-VAR model was used to examine the pairwise and triple spillovers between the three markets. The results show that the total correlation between the three markets increased by 0.58 percent after the US withdrawal from the JCPOA. Also, a net analysis of each market's spillovers showed that Bitcoin spillovers decreased by 123%, while the stock index and dollar spillovers increased by 117% and 58%, respectively. The innovation of this research is in using the TVP-VAR model to analyze long-term and pairwise-triple spillovers between three important Iranian markets, focusing on specific economic and political conditions before and after the US withdrawal from the JCPOA, and simultaneously analyzing the role of cryptocurrencies alongside the stock market and foreign exchange, which has received less attention in Iranian financial literature.

Keywords

US withdrawal from JCPOA

spillover

vector autoregression

stock market index

Subjects

• Financial Economics

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