"Islamic Finance Researches" (IFR)

Examining the Network Causal Relationship Between Financial Markets During Sanctions

Document Type : Science - Research (Islamic Financial System in Resistance Economy)

Authors

1 PhD in Islamic Economics - Finance, Faculty of Islamic Studies and Economics, Imam Sadiq University, Tehran, Iran

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

Abstract

1. Introduction and Objective
Sanctions have long been one of the most critical external shocks shaping the dynamics of Iran’s economy. Since the Islamic Revolution in 1979, Iran has been repeatedly subjected to unilateral and multilateral sanctions, particularly by the United States and its allies, which have targeted key financial and energy sectors. These sanctions disrupt financial transactions, limit international trade, and impose barriers on capital flows, thereby altering the structure and behavior of domestic markets.
     In a non-sanctioned environment, investors typically diversify by entering competing or parallel foreign markets, effectively managing investment risk across multiple asset classes. Sanctions, however, restrict such options, forcing investors to rely more heavily on domestic markets and alternative assets such as cryptocurrencies. These shifts in investment strategies highlight the importance of understanding how sanctions affect network causal relationships among domestic financial markets.
     Clause 22 of Iran’s Resistance Economy policy emphasizes mobilizing national resources and improving resilience against external pressures. Understanding inter-market spillovers under sanction conditions is thus vital, not only for academic knowledge but also for policymaking, portfolio management, and systemic risk assessment. The present study aims to analyze the spillover dynamics and causal interdependencies among three key markets of Iran—Tehran Stock Exchange, the foreign exchange market, and the cryptocurrency market—over the period 1390–1401 SH (2011–2022 AD).
     The primary objectives of the study are:

To quantify spillover effects between financial markets during sanction periods.
To identify structural breaks in market interconnections caused by specific sanction episodes.
To evaluate the systemic role of each market as a transmitter or receiver of shocks.
To provide evidence-based recommendations for policymaking in line with the Resistance Economy strategy.

2. Methods and Materials
To capture the time-varying interdependencies between markets, the study employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model. This model, introduced by Primiceri (2005) and further extended by Koop & Korobilis (2014), allows parameters to evolve over time, making it suitable for capturing the dynamic and nonlinear nature of financial linkages, especially during turbulent periods such as sanctions.

Data and Period: The dataset covers the period from 16/11/1390 (February 2012) to 20/10/1401 (January 2023), using daily observations.
Markets Analyzed:
Tehran Stock Exchange Index (TPI) – as a representative of equity performance.
Foreign Exchange Market – USD/IRR daily free-market exchange rate.
Cryptocurrency Market – Bitcoin returns as the leading cryptocurrency.
Variables: Logarithmic daily returns of each market were calculated to ensure stationarity and comparability.
Sources: Exchange rates were collected from the Central Bank of Iran, stock data from BourseView, and Bitcoin prices from com.
Analytical Approach:
A baseline VAR model was constructed to identify inter-market interactions.
TVP-VAR was employed to account for parameter changes across time.
Generalized Forecast Error Variance Decomposition (GFEVD) was used to measure spillover intensities, following the approach of Diebold & Yilmaz (2012).
Sensitivity analysis was conducted in two ways: (a) event-by-event (individual sanctions such as the Central Bank sanction, sanctions on energy and financial sectors, and sanction on 18 Iranian banks), and (b) comprehensive (aggregating sanctions into five distinct phases).

The TVP-VAR model enables computation of:

Total Connectedness Index (TCI): The average level of network spillovers across markets, representing systemic risk.
Net Spillover Index (NET): Identifies whether a market acts as a net transmitter (positive NET) or receiver (negative NET) of shocks.

3. Research Findings
The results from sensitivity analysis revealed key insights into how sanctions reshaped inter-market relationships:
- Event-specific analysis:

Central Bank Sanction (2019): TCI rose from 3.22% to 5.54%, reflecting a 67% increase in inter-market connectedness. The stock market remained a net receiver, foreign exchange a strong transmitter, and cryptocurrency shifted toward greater vulnerability.
Financial and Energy Sector Sanctions (2018): TCI increased from 3.26% to 5.17%. Cryptocurrencies’ role weakened dramatically, showing nearly zero spillover transmission, while the stock market’s negative NET deepened.
18 Bank Sanctions (2020): The most disruptive sanction. TCI rose from 3.24% to 5.15%. Here, the cryptocurrency market switched roles from transmitter to receiver, highlighting its fragility under systemic banking restrictions.

 
- Comprehensive phase analysis: Dividing the entire period into five phases provided clearer patterns:

Phase 1 (Pre-JCPOA withdrawal): Cryptocurrency (NET=+0.67) acted as a transmitter; stock market (NET=−0.78) and forex (NET=+0.11) showed mixed roles.
Phase 2 (Post-JCPOA withdrawal to financial/energy sanctions): Forex became the dominant transmitter (NET=+3.10), while both crypto (NET=−1.54) and stocks (NET=−1.56) were receivers.
Phase 3 (Financial/Energy sanctions to Central Bank sanction): Forex remained a transmitter (NET=+1.94), while crypto (−0.32) and stocks (−1.61) remained receivers.
Phase 4 (Central Bank sanction to 18 Bank sanction): Cryptocurrency briefly resumed a transmitter role (+0.37), forex (+0.19) remained transmitter, while stocks (−0.57) stayed vulnerable.
Phase 5 (18 Bank sanction to end of study): A significant structural shift: forex (+2.41) and stocks (+2.37) both emerged as transmitters, while crypto turned into a strong receiver (−0.04).

- Total Connectedness Index (TCI): Across all phases, TCI fluctuated between 3.16% and 6.63%, peaking during the fifth phase, signaling heightened systemic risk and tighter network integration under sanctions.
Discussion
The findings confirm that sanctions are not only external shocks but also structural breakpoints for domestic financial markets. Several critical insights emerge:

Dominant Role of Forex: The foreign exchange market consistently acted as the primary transmitter of shocks, underlining its systemic importance. This reflects Iran’s heavy reliance on foreign currency markets as both a channel for external shocks and a driver of domestic volatility.
Stock Market Vulnerability: The Tehran Stock Exchange was persistently a net receiver of shocks. Its sensitivity to currency volatility and sanctions implies weak hedging capacity and limited resilience.
Cryptocurrency’s Dual Role: Unlike forex or stocks, the cryptocurrency market displayed a shifting role, alternating between transmitter and receiver. This duality suggests that crypto markets, while offering temporary alternatives for sanction evasion, are highly unstable and reactive to systemic stress.
Structural Shifts Post-2020: The sanctions on 18 Iranian banks marked a turning point, intensifying inter-market connectedness and reshaping roles. This indicates the fragility of financial intermediation in Iran and the high exposure of cryptocurrencies to institutional restrictions.
Policy Alignment with Resistance Economy: The results support Clause 22 of the Resistance Economy policy, highlighting the need for coordinated resource mobilization and risk management strategies in times of external pressure.

5. Conclusion
The study concludes that sanctions significantly alter the causal network structure of Iran’s financial markets, raising systemic risks and reshaping market roles:

The foreign exchange market remains the central transmitter of shocks.
The stock market is predominantly vulnerable as a shock receiver.
The cryptocurrency market exhibits instability, alternating roles depending on sanction type and timing.

     These results highlight the necessity for targeted economic policies to stabilize forex markets, protect equities, and regulate cryptocurrency flows. Without such measures, sanctions will continue to amplify systemic risks and undermine investor confidence.
6. Implications and Future Research
1. Policy Implications: Policymakers should prioritize stabilizing the forex market through effective currency management, while designing mechanisms to shield the stock market from external shocks. Additionally, regulated domestic alternatives to cryptocurrencies could prevent spillovers from volatile digital assets. Establishing monitoring institutions for currency and crypto markets will enhance transparency and reduce systemic risks.
2. Investor Implications: Investors should recognize the persistent systemic role of forex and the fragility of equities under sanctions. Portfolio diversification strategies must account for cryptocurrencies’ unstable dual role.
3. Future Research: Comparative studies across other sanctioned economies (e.g., Russia, Venezuela) could provide cross-country evidence on sanction-induced spillovers. Expanding the network to include commodities such as gold and oil would further enrich systemic risk analysis. Methodologically, combining TVP-VAR with wavelet coherence or machine-learning approaches may yield deeper insights into dynamic contagion patterns.

Keywords

Main Subjects

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Volume 14, Issue 1 - Serial Number 31
August 2024
Pages 75-114
  • Receive Date: 31 December 2024
  • Revise Date: 11 April 2025
  • Accept Date: 28 May 2025