Shahid Beheshti University Journal of Economics and Modelling 2476-5775 11 3 2020 11 21 Analyzing the Synchronization of Exchange Rate Cycles with Oil Price, Gold Price, and Stock Value in Iran: A Markov-Switching Model with Component Structure Analyzing the Synchronization of Exchange Rate Cycles with Oil Price, Gold Price, and Stock Value in Iran: A Markov-Switching Model with Component Structure 151 193 100974 10.29252/jem.2021.202624.1542 FA Yadolah Dadgar Professor of Economics, Faculty of Economics and Political Sciences, Shahid Beheshti University, Tehran, Iran Fatemeh Fahimifar Ph.D. Student in Economics, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran Rouhollah Nazari Ph.D. Student in Economics, Faculty of Administrative Sciences and Economics, Ferdowsi University, Mashhad, Iran Journal Article 2020 12 07 The correlation between the price of the foreign exchange market, Oil and Gold, markets have ever been significant for both policymakers and economic researchers as well. Recent fluctuations of markets in question in Iran inspired us to develop this article. Therefore, it is investigating the trends and related cycles of above mentioned three markets. In other words, and by using Markov-switching models, it is analyzing the cycles in the foreign exchange market, oil, and gold markets. By the way, it is applying non-parametric models to determine the correlation between the very cycles from 1991: Q1-2020: Q2. The results suggest that there is a significant and positive relationship between exchange rates and gold price. The relationship of oil price and the exchange rate is significant and negative in Iran in the same period. The exchange rate and oil price (compared to the exchange rate and gold price) are much more at the same regime. In addition, the correlation between exchange rates and oil prices is stronger than that of exchange rates and gold prices in the same periods. By applying the results of this article, Iranian policymakers can predict the trends of cycles and hence design the proper policies to fix the current fluctuations. By so doing, they can resolve the recent macro instability in the Iranian economy. The correlation between the price of the foreign exchange market, Oil and Gold, markets have ever been significant for both policymakers and economic researchers as well. Recent fluctuations of markets in question in Iran inspired us to develop this article. Therefore, it is investigating the trends and related cycles of above mentioned three markets. In other words, and by using Markov-switching models, it is analyzing the cycles in the foreign exchange market, oil, and gold markets. By the way, it is applying non-parametric models to determine the correlation between the very cycles from 1991: Q1-2020: Q2. The results suggest that there is a significant and positive relationship between exchange rates and gold price. The relationship of oil price and the exchange rate is significant and negative in Iran in the same period. The exchange rate and oil price (compared to the exchange rate and gold price) are much more at the same regime. In addition, the correlation between exchange rates and oil prices is stronger than that of exchange rates and gold prices in the same periods. By applying the results of this article, Iranian policymakers can predict the trends of cycles and hence design the proper policies to fix the current fluctuations. By so doing, they can resolve the recent macro instability in the Iranian economy. https://ecoj.sbu.ac.ir/article_100974_30432f422b313314f3e1e6c147bb5d9b.pdf