University of Tabriz Applied Theories of Economics 2423-6586 5 4 2019 01 21 An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock Exchange An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock Exchange 143 172 8476 FA Mohammad Mehdi Barghi Osguei Associated Professor of Economics, University of Tabriz Reza Saghafi Kelvanag Ph.D. in Economics, University of Tabriz Journal Article 2017 09 16 In this Paper, we examined the upside and downside Risk spillovers between exchanges rates, crude oil, gold, and stock prices in Iranian financial markets. Due to special characteristics of financial data, we used copula methods to assess correlation between returns of the markets and using VaR and CoVaR approaches we examined the risk spillovers between markets. Our data spans from 2006-07-19 to 2017-03-21. Results show that the correlations between the exchange rates and the stock prices, as well as the oil prices and the exchange rates were symmetric but the correlations between the gold prices and the stock prices as well as the crude oil prices and stock market were asymmetric and strong in the upper tails. CoVaR analysis shows that risk spillover effects between the stock and gold prices are stronger than the other variables. The relationship between exchange rates and oil prices against stock prices are considered to be mostly between returns but there are some risk spillovers too. In most cases upper risk spillovers are stronger than lower ones. In this Paper, we examined the upside and downside Risk spillovers between exchanges rates, crude oil, gold, and stock prices in Iranian financial markets. Due to special characteristics of financial data, we used copula methods to assess correlation between returns of the markets and using VaR and CoVaR approaches we examined the risk spillovers between markets. Our data spans from 2006-07-19 to 2017-03-21. Results show that the correlations between the exchange rates and the stock prices, as well as the oil prices and the exchange rates were symmetric but the correlations between the gold prices and the stock prices as well as the crude oil prices and stock market were asymmetric and strong in the upper tails. CoVaR analysis shows that risk spillover effects between the stock and gold prices are stronger than the other variables. The relationship between exchange rates and oil prices against stock prices are considered to be mostly between returns but there are some risk spillovers too. In most cases upper risk spillovers are stronger than lower ones. https://ecoj.tabrizu.ac.ir/article_8476_26e3ff45ed6c98be94fedb8ddcea68ba.pdf