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Iranian Economic Review، جلد ۲۸، شماره ۳، صفحات ۸۹۹-۹۲۰
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عنوان انگلیسی Evaluating the Effects of the Monetary Policy on the Total Stock Market Index in the Iranian Economy: Using the TVP-VAR and GARCH Approaches
چکیده انگلیسی مقاله This study aims to evaluate the effects of the monetary policy on the total stock market index using Guangton et al. (2021)’s nonlinear approach. Contrary to other research on Iran’s economy that has focused more on long- and short-term relations assuming a fixed parameter approach, this study uses the TVP-VAR (time-varying parameter) and GARCH (generalized autoregressive conditional heteroscedasticity) approaches to examine the effectiveness of monetary policy on the stock market index through the exchange rate, liquidity, and interbank market interest rate channels during 2009:5-2021:10 with a monthly frequency. Results showed that throughout the period under study, changes in monetary policy as expressed in interbank interest and exchange rates did not have the same influence on the total stock market index. While these impacts have been sometimes positive and sometimes negative, those of the liquidity growth rate on the specified index have consistently been positive and significant. The stock market is greatly impacted by changes in interbank interest, exchange, and liquidity rates, therefore monetary policymakers must consider financial stability while regulating these policy variables.
کلیدواژه‌های انگلیسی مقاله Capital Stock Market,Inter-Bank Interest Rate,Generalized Auto-Regressive Conditional Heteroscedasticity Model,Total Stock Market Index,Non-Linear Method
نویسندگان مقاله Zhale Zarei |
Monetary and Banking Research Institute, Tehran, Iran

Maryam Hemmati |
Strategic Studies Institute, Tehran, Iran

Pedram Davoudi |
Strategic Studies Institute, Tehran, Iran

نشانی اینترنتی https://ier.ut.ac.ir/article_99249_6b946229a4594e1ed90f76aaf9c381ee.pdf
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