پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 31 |
| تعداد شمارهها | 834 |
| تعداد مقالات | 8,015 |
| تعداد مشاهده مقاله | 14,855,506 |
| تعداد دریافت فایل اصل مقاله | 9,588,352 |
The Effect of Monetary Policy on Financial Condition Index in Iran with the Markov-Switching Approach | ||
| International Journal of Business and Development Studies | ||
| دوره 14، شماره 1، خرداد 2022، صفحه 89-117 اصل مقاله (671.86 K) | ||
| شناسه دیجیتال (DOI): 10.22111/ijbds.2022.7438 | ||
| نویسندگان | ||
| Zahra Haerinasab1؛ Kiomars Sohaili2؛ Shahram Fattahi3 | ||
| 1M.A in Economics, Razi University, Kermanshah, Iran. | ||
| 2Associate Professor in Economics, Faculty of Economics, Razi University, Kermanshah, Iran. | ||
| 3Associate Professor in Economics, Faculty of Economics, Razi university, Kermanshah, Iran. | ||
| چکیده | ||
| Monetary policy is one of the important economic policies that affect the macro variables of every country. One of the composite variables that are affected by the monetary policy is the FCI. This study aimed to measure the effect of monetary policy through different channels on the FCI of Iran. Using time series data from 1991-2023 and the econometric method of PCA, the FCI was first calculated. The effect of monetary policy on the FCI of the country using the Markov-switching (MSIHA(2) AR(2)) model was calculated and estimated. The results of the estimation of the Markov-switching model indicate that the studied period can be divided into two regimes of zero and one. So that 1% increase in the FCI in regime zero will lead to a 0.02% return of the FCI in the next month and a 0.36% increase in the next two months. In addition, the increase in the FCI in regime one will lead to a 0.08% return of the FCI and a 0.10% increase in the next two months. In addition, the volume of money in regime zero and regime one also positively and significantly affects FCI. | ||
| کلیدواژهها | ||
| Monetary Policy؛ FCI؛ PCA؛ Markov-Switching؛ Iran | ||
| مراجع | ||
|
Gojarati, D., (2018). Basics of econometrics, translated by Hamid Abrishimi, second edition, Tehran University Press. (In Persian)
Nofarasti, M., (19989). Unit root and collectiveness in econometrics, Rasa Cultural Services. (In Persian)
Falahi F., & Hashemi Dizaj, A.R., (2010). Causality relationship between GDP and energy consumption in Iran using the Markov switching model, Quarterly Journal of Energy Economics Studies, 152-161. (In Persian)
Arbabian, Sh., & Azizi, Z., (2019). Analysis of impulses affecting housing prices in Iran, Quarterly Journal of Financial and Economic Policies, Vol. 7, No. 28. (In Persian)
Keshavarz Haddad, Gh.R., & Mahdavi, O., (2005). Is the stock market in Iran's economy a channel for monetary policy? Journal of Economic Research, No. 71, 147-170. (In Persian)
Sharifi Ranani, H., & Salehi, R., (2012). Asymmetric effects of monetary shocks on the level of real production in Iran, Journal of Economic Modeling, No. 19. (In Persian)
ID monetary and financial policies and stock market efficiency: empirical evidence in Iran, Quarterly Journal of Financial Knowledge of Securities, No. 20, 77. (In Persian)
Sharma, S. (1996); Applied Multivariate Techniques. Wiley & Sons, Inc.
Taylor, J. (1995). The Monetary Transmission Mechanism: An Empirical Framework. Journal of Economic Perspectives. 9, 11-26.
Walsh, C.E. (2010). Monetary Theory & Policy. The MIT Press. Third Edition, London.
Dornbusch, R. (1980). Exchange Rates and the Current Account. American Economic Review, 70, 960-971
Boivin Jean and Giannoni Marc (2002), Assessing Changes in the Monetary Transmission Mechanism: A VAR Approach, FRBNY Economic Policy Review.
Darrat, A. F. (2010). On Fiscal Policy and the Stock Market. Journal of Money Credit and Banking.
Bernanke, B, Gertler.M, (1996), The Financial Accelerator and Flight to quality, The Review of economics and Statistics.
Jafee, D, Rassell,T (1976), Imperfect Information uncertainly and credit rationing, Quarterly journal of economics,651-666.
Tsai, I. C. (2013). The asymmetric impacts of monetary policy on housing prices: A viewpoint of housing price rigidity. Economic Modelling, 31, 405-413.
Laopodis nikiforos (2006), fisiaL POLICY MONETARY POLICY AND STOKE MARKET QARTERY REVIEW .
Dornbusch R. (1980). Exchange Rates and the Current Account.American Economic Review, 70, 960-971. | ||
|
آمار تعداد مشاهده مقاله: 406 تعداد دریافت فایل اصل مقاله: 435 |
||