Volume 23, Issue 4 (Winter 2019)
JPBUD 2019, 23(4): 87-112 |
Back to browse issues page
Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
Khajeh-Saeed Z, Farzinvash A, Elahi N, Asgharpour H. (2019). The Share of Monetary Policy Transmission Channels in the Tehran Stock Exchange Price Index. JPBUD. 23(4), 87-112.
URL: http://jpbud.ir/article-1-1708-en.html
URL: http://jpbud.ir/article-1-1708-en.html
1- Ph.D. Student in Financial-Islamic Economics, Mofid University, Qom. , Khajehsaeed@mofidu.ac.ir
2- Professor of Economics, University of Tehran, Iran.
3- Associate Professor of Economics, Mofid University, Qom.
4- Professor of Economics, University of Tabriz
2- Professor of Economics, University of Tehran, Iran.
3- Associate Professor of Economics, Mofid University, Qom.
4- Professor of Economics, University of Tabriz
Abstract: (2852 Views)
Economic knowledge about the channels of monetary policy affecting the stock price index helps central banks to improve their assessment of economic conditions. Also, understanding the relative importance of transmission channels allows monetary authorities to foresee the outcomes of this mechanism, thus they can direct the monetary policy through the desired channel. In order to achieve this aim, a vector autoregressive model and seasonal data from 1997 to 2017 have been utilized. The results reveal that the monetary policy can influence the Tehran Stock Exchange price index, but it can not be taken as a determinant variable. The findings confirm that as a result of monetary base shocks, on average, exchange rate channel and asset price channel have the largest share in transferring monetary effects respectively, and credit channel has the least share in the stock price index.
Keywords: Monetary Policy, Stock Exchange, Stock Price Index, Monetary Transmission Mechanism Channels, Vector Autoregressive Model.
Type of Study: Research |
Subject:
Macroeconomics
Received: Dec 07 2018 | Accepted: Dec 31 2019 | ePublished: Apr 18 2020
Received: Dec 07 2018 | Accepted: Dec 31 2019 | ePublished: Apr 18 2020
| Rights and permissions | |
.jpg) |
This work is licensed under a Creative Commons Attribution 4.0 International License. |
