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The Impact of Monetary Policy Shocks on the Fluctuation of Stock Price Index in Iran (in Persian)

Author

Listed:
  • Hassanzadeh, Ali

    (Iran)

  • Nazarian, Rafik

    (Iran)

  • Kianvand, Mehran

    (Iran)

Abstract

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

Suggested Citation

  • Hassanzadeh, Ali & Nazarian, Rafik & Kianvand, Mehran, 2011. "The Impact of Monetary Policy Shocks on the Fluctuation of Stock Price Index in Iran (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 4(9), pages 1-44, December.
    • Handle: RePEc:mbr:jmbres:v:4:y:2011:i:9:p:1-44
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    More about this item

    Keywords

    Monetary Policy; Stock Price Index; Liquidity; Portfolio Theory; Assets Price Channel;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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