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:: year 4, Issue 9 (fall 2011) ::
JMBR 2011, 4(9): 1-44 Back to browse issues page
The Impact of Monetary Policy Shocks on the Fluctuation of Stock Price Index in Iran
Ali Hassanzadeh 1, Rafik Nazarian , Mehran Kianvand
Abstract:   (2949 Views)

 The purpose of this paper is investigation of monetary policy shock effects on stock market price index in Iran. We used legal deposit ratio، banks debt to central bank and private sector debt to banks as measurements of monetary policy. Also، Tehran stock Exchange Price Index (TEPIX) was used as an index of stock market changes.
Portfolio theory and asset price channel are our theoretical view of subject. Also we added house price index and exchange rate to our variables because of their role and importance in people portfolio. Quarterly data from 1370q1 to 1389q3 used for this study Cointegration and Vector Error Correction Model were applied for statistical inference. For investigating shocks effect we used Impulse Response Function (IRF) and Variance Decomposition (VD). Our results showed that monetary policy has positive but narrow effect in stock market changes. Among monetary variables، bank debt to central bank is more powerful than other variables affecting stock price index.

JEL Classification: E52, G10, G11, C13

Keywords: Monetary Policy, Stock Price Index, Liquidity, Portfolio Theory, Assets Price Channel
Full-Text [PDF 425 kb]   (2027 Downloads)    
Type of Study: Empirical Study |
Received: 2014/08/4 | Accepted: 2014/08/4 | Published: 2014/08/4
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year 4, Issue 9 (fall 2011) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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