دانشگاه اصفهان مدیریت دارایی و تامین مالی 2383-1189 14 3 2026 09 23 The Transmission of Macroeconomic Risk to Sukuk Returns in Iran انتقال ریسک از عوامل کلان اقتصادی به بازده ‌صکوک در ایران 59 82 29834 10.22108/amf.2025.144671.1970 FA منیژه رامشه دانشیار، گروه حسابداری، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران 0000-0001-9265-8819 وحید امیدی استادیار، گروه اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران امیر زلقی دانشجوی کارشناسی ارشد، گروه حسابداری، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران Journal Article 2025 03 14 This study explores the transmission of risk from key macroeconomic variables, specifically the exchange rate, oil price, inflation, and liquidity, to Sukuk returns, employing the Time-Varying Parameter Vector Autoregression (TVP-VAR) model over the period 2014 to 2022. The findings indicate that these variables play distinct roles in the spillover of risk to Sukuk instruments. Exchange rate and oil price are identified as the primary transmitters of risk, exerting a persistent influence on Sukuk returns, particularly those of non-governmental Sukuk. Inflation also demonstrates a significant impact, underscoring its critical role in the risk transmission process. Across all time periods, both governmental and non-governmental Sukuk are consistently characterized as recipients of risk from macroeconomic shocks. Short-term over-the-counter (OTC) Sukuk are especially susceptible to fluctuations in exchange rate and inflation. These results suggest that policymakers should prioritize the stabilization of the exchange rate and oil price volatility to mitigate their adverse effects on financial markets. Furthermore, the study corroborates previous research, reaffirming the strong influence of exchange rate and oil price dynamics on Sukuk performance across different timeframes. In light of these findings, economic strategies targeting these macroeconomic variables should be given heightened attention within national financial and economic policy frameworks to reduce investment risk in Sukuk and enhance resilience to economic shocks. Keywords: Sukuk, Exchange Rate, Oil Prices, Inflation, TVP-VAR. JEL Classification: E44, P44, C58 Introduction Financial markets are a core pillar of national economies, playing a crucial role in resource allocation and asset pricing. In conventional financial markets, bond issuance serves as a primary mechanism for financing. Since traditional bonds are based on interest-bearing loans, they are considered usury and are prohibited in Islam. Consequently, these instruments cannot be used for financing in Islamic economies. In response, Islamic countries, drawing on the knowledge of scholars, have issued Sharia-compliant securities to support interest-free banking. Islamic financial instruments, particularly Sukuk, have attracted substantial interest from a broad range of investors. Given the increasing prominence of Sukuk in Iran’s financial market, the yields on these securities are influenced by a set of macroeconomic factors. Variables such as exchange rates, oil prices, liquidity, and inflation can affect yield levels and the risk structure of these securities through various channels (Umar et al., 2023). The importance of this issue extends beyond yield fluctuations; shocks and volatility in these macroeconomic variables can be transmitted to the sukuk market, altering its risk dynamics. In the financial literature, this process is referred to as risk transmission and can exhibit asymmetry, dynamics, and time-varying behavior (Billah et al., 2022; Samitas et al., 2021). Thus, the research hypotheses specify the intensity of risk transmission from each macroeconomic factor, namely, the percentage changes in exchange rates, oil prices, liquidity, and inflation, to Sukuk returns. Methods and Materials This study investigates risk transmission and its intensity between macroeconomic factors, specifically, the percentage changes in oil price, exchange rate, liquidity, and inflation, and sukuk returns, including total Farabourse sukuk, Farabourse government bonds, Farabourse non-government bonds, and Farabourse short-term bonds. Monthly data for the macroeconomic variables for the period 2014–2022 were obtained from the Central Bank website. Sukuk returns comprise two components: price return and coupon (interest) return. The price return reflects changes in the market price of the sukuk, while the coupon return corresponds to the interest portion of the debt instrument since the last coupon payment. Information regarding debt security indices was extracted from the Iran Fara Bourse website. This study utilizes the methodology introduced by Balcilar et al. (2021), which is an improved version of the approach developed by Antonakakis et al. (2020). The extended connectedness framework proposed by Balcilar et al. (2021) offers several key advantages over the previous method (Antonakakis et al., 2020). In addition to capturing dynamic interconnections, this framework allows for a more precise analysis of net directional linkages within the connectedness structure. While Anton's approach (Antonakakis et al., 2020) relies on fixed parameters and a general framework for dynamic connectedness analysis, the technique developed by Balcilar et al. (2021) yields more accurate and flexible results with less sensitivity to outliers. These features make it a more robust tool for identifying shock transmission in complex financial and economic networks. Findings The findings indicate that the oil variable emerges as the primary risk transmitter within the entire network, encompassing all variables considered in the study. The total return of sukuk throughout the study period has acted as a risk receiver from oil. Oil transmitted risk to non-governmental sukuk with high intensity over a short interval. The transmission of risk from oil to short-term sukuk remained stable and constant across the entire study period, without notable changes. The intensity of risk transmission from oil to governmental sukuk was moderate for roughly half of the study period, with a brief period characterized by an increased intensity of transmission. The exchange rate stands as one of the most influential nodes for risk transfer within the network; while it is influenced by oil, it also propagates substantial risk to other variables, including liquidity, inflation, and, in particular, the sukuk market. Liquidity plays a dual role: it is influenced by oil, the exchange rate, and inflation, yet it also acts as a key conduit for transferring risk to Sukuk. The transmission of risk from liquidity to the total return of Sukuk persisted across the entire study period. In most subperiods, the transfer of risk from liquidity to total Sukuk and to non-governmental Sukuk remained stable. The short-term Sukuk segment experienced the greatest impact from liquidity, but only during a brief interval. Government Sukuk exhibited the highest sensitivity to liquidity in a short period; however, in most periods examined, this susceptibility declined. Inflation is typically viewed as a recipient of risk from oil and the exchange rate; however, it has played a more active role with respect to Sukuk. In most periods studied, the risk transfer from inflation to the total return of Sukuk remained stable. The risk transfer from inflation to the return of non-governmental Sukuk was stable for a short period but exhibited high intensity for most of the study horizon. In the short term, the risk transfer from inflation to short-term Sukuk peaked, while in the medium term, it trended downward. From the medium term onward, a pronounced decline in the risk transfer from inflation to governmental Sukuk is observed. Discussion and Conclusion Based on the findings regarding the impact of macroeconomic factors on sukuk returns, the government, to improve its financing conditions, should foster stability in the sukuk market and reduce investor risk within this market. The same applies to corporate financing. The Central Bank, through appropriate monetary policy measures, should aim to stabilize macroeconomic variables such as inflation and exchange rates, to reduce the volatility of sukuk returns. Given the findings on risk transmission from oil price changes to sukuk returns and the country’s reliance on oil revenues, policymakers are advised to pursue diversification of government revenue sources beyond oil, for example, through tax instruments, to enhance stability in the sukuk market. Enhancing transparency in fiscal and monetary policies and disseminating accurate information can help investors better anticipate developments and reduce uncertainty, thereby contributing to lower sukuk return volatility. این پژوهش انتقال ریسک از متغیرهای کلان اقتصادی شامل نرخ ارز، قیمت نفت، تورم و نقدینگی را به بازده صکوک با استفاده از الگوی TVP-VAR در دورۀ زمانی 1393 تا 1401 بررسی می‌کند. نتایج نشان می‌دهد که این متغیرها نقش‌های متفاوتی در سرریز ریسک به صکوک ایفا کرده‌اند. نرخ ارز و قیمت نفت به‌عنوان متغیرهای اصلی ارسال‌کنندۀ ریسک به صکوک شناسایی شده‌ است، درحالی‌که صکوک به‌ویژه صکوک غیردولتی به‌طور مداوم از این متغیرها تأثیر پذیرفته است. تورم تأثیر چشمگیری بر صکوک دارد که نشان‌دهندۀ نقش مهم آن در انتقال ریسک است. در تمامی دوره‌های زمانی، صکوک دولتی و غیردولتی به‌عنوان دریافت‌کنندۀ ریسک از سایر متغیرهای کلان معرفی شده‌اند. صکوک کوتاه‌مدت فرابورس به‌شدت متأثر از نوسانات نرخ ارز و تورم قرار دارد. یافته‌ها نشان می‌دهد که سیاست‌گذاران باید بر کنترل نوسانات نرخ ارز و قیمت نفت تمرکز کنند تا از اثرات منفی آن‌ها بر بازارهای مالی جلوگیری شود. این پژوهش یافته‌های مطالعات پیشین را تأیید می‌کند که نشان‌دهندۀ تأثیر قوی نرخ ارز و قیمت نفت بر بازدۀ صکوک در دوره‌های مختلف است. براساس این نتایج، باید به راهبردهای اقتصادی مرتبط با این متغیرهای کلان به‌طور ویژه در سیاست‌گذاری‌های مالی و اقتصادی کشور توجه شود تا میزان ریسک سرمایه‌گذاری در صکوک کاهش یابد و شوک‌های اقتصادی به‌خوبی مدیریت شود.

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