US Withdrawal from JCPOA and the Turmoil in Iran’s Economy

Abstract

Many individuals and companies make their economic decisions based on political developments. This article examines an important political event,
namely the withdrawal of the United States from JCPOA and its impact on the Iranian capital market. With the withdrawal of the United States from
the JCPOA and the United States’ threats to resume sanctions, Iran’s economy had experienced turmoil and drastic changes, which clearly saw in the
days before and after the resumption of sanctions in Iran’s financial markets. In this study, we intend to examine the changes resulted from the US
withdrawal from JCPOA, its impact on Iran’s oil-dependent economy, financial markets, analyze the spread, and severity of turbulence in the Iranian
economy, especially the Iranian financial markets using multivariate GARCH methods. In this regard, the multivariate GARCH model (DCC) and
analysis of variance are used to investigate these events’ effect on the Tehran Stock Exchange index.

Keywords: ARCH, Economic Dependence, Economic Sanctions, Intensity of Turbulence in Iran’s Economy, Linear combinations of univariate
GARCH models, Multivariate generalized autoregressive conditional heteroscedasticity, Nonlinear combinations of univariate GARCH models, US
Withdrawal from JCPOA, Multivariate GARCH