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The Transmission mechanism of the monetary policy impact on Iran's capital market
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Reyhaneh Parvizian *1   , Akbar Komijani , Sajjad Barkhordari |
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Abstract: (138 Views) |
This study examines the transmission mechanism of monetary policy effects on Iran's capital market. Using quarterly macroeconomic and stock exchange data from 1386 to 1401, we employ a Vector Autoregression (VAR) model to analyze the relationships between key variables. These include total stock market index growth, liquidity growth, interbank interest rate, gold price growth, official market dollar price growth, housing price growth, and inflation rate.
Our findings from impulse-response analysis reveal that the total stock index reacts negatively to interbank interest rate shocks, while responding positively to liquidity growth shocks. The results show that the interbank interest rate has a stronger and more persistent effect on the stock market compared to liquidity growth. Additionally, we find that monetary policy impacts other asset markets such as foreign exchange, gold, and real estate, highlighting the complex interactions between monetary policy and various financial markets.
This research contributes to the understanding of monetary policy transmission in Iran, providing insights for policymakers on the differential impacts of interest rate and liquidity channels. The findings underscore the importance of considering cross-market effects when designing and implementing monetary policy in Iran's financial system. |
Article number: 2 |
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Type of Study: Empirical Study |
Subject:
Monetary Policy, Central Banking, and the Supply of Money and Credit (E5)
Received: 2024/06/6 | Accepted: 2025/02/4 | Published: 2025/06/5
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