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:: year 14, Issue 47 (6-2021) ::
JMBR 2021, 14(47): 1-34 Back to browse issues page
Investigating the Effects of Liquidity Shocks on Selected Industries in Tehran Stock Exchange Using a Varying Parameter Approach
Sajjad Barkhordari *1, Ghahraman Abdoli1, Reza Amiri1
1- University of Tehran
Abstract:   (781 Views)
This paper attempts to describe and analyze the effects of monetary shock as an exogenous shock on companies listed in the Tehran Stock Exchange market by using a varying parameter model (TVP-FAVAR) and the seasonal data from 2011 to 2018. It also analyzes the effects of positive monetary shocks on the value of these companies. The results indicate a standard deviation of monetary shock (positive monetary shock) has a different impact on companies listed on Tehran Stock Exchange. Also, the response of the industry's value varies in different periods. Hence, there is a need for applying a varying-parameter model (TVP-FAVAR). In the selected sectors, the companies in the basic metal and the food and beverage industries have a positive response, and the companies in the chemical industry have a negative response to a liquidity shock. Also, how the value of companies operating in other industries has been affected by this momentum varies over time.
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Type of Study: Empirical Study | Subject: Prices, Business Fluctuations, and Cycles (E3)
Received: 2020/02/24 | Accepted: 2021/05/17 | Published: 2021/11/17
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year 14, Issue 47 (6-2021) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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