Dynamic risk spillover between exchange rates, stocks, housing, and gold coin in Iran: New evidence from the comparison between sanctions and non-sanctions periods

The relationship between the exchange rate, stock price, housing, and coin as the items considered by the investor for portfolio management has always been a complex discussion, and the relationship between them and determining the cause of the transfer of volatilities (receiver and transmitter of volatilities) may be different in each country and different periods. According to this, in the current study, the risk spillover between currency, housing, coin, and stock markets in the period of 1385:01- 1400:12 monthly using the vector autoregressive model with time-varying parameters of Diebold-Yilmaz (DY-TVP-VAR) have been investigated. The results show that currency and gold coins are the main drivers of transferring and receiving volatilities in the investigated network. The housing market has only received the risk and volatilities of other assets, and the most volatilities have been transferred from currency and stocks to housing. Also, the stock market has received the most volatilities from currency and then coins. Based on the results, housing can provide risk hedging for the investment portfolio, and in other words, it is a safe haven, but coins relationship with other assets has been different over time; its selection should be based on other assets in the portfolio as well as political and economic conditions, and it is not a safe haven under all conditions. Therefore, during the sanctions period and in conditions where the return on assets has a significant difference from the mean, using the DY-TVP-VAR model can bring better results for investors to manage their investment portfolios.