پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 31 |
| تعداد شمارهها | 834 |
| تعداد مقالات | 8,015 |
| تعداد مشاهده مقاله | 14,855,553 |
| تعداد دریافت فایل اصل مقاله | 9,588,406 |
An Application of Bayesian Model Averaging for Investigating of the Relationship Between Monetary Policy variables and Asset Price Fluctuations | ||
| International Journal of Business and Development Studies | ||
| دوره 14، شماره 1، خرداد 2022، صفحه 147-166 اصل مقاله (690.97 K) | ||
| شناسه دیجیتال (DOI): 10.22111/ijbds.2022.7442 | ||
| نویسندگان | ||
| Gholamreza Zamanian1؛ Kolsoom Naderpour2 | ||
| 1Associate Professor, Faculty of Economics, University of Sistan and Baluchestan, Zahedan, Iran. | ||
| 2Ph.D. Candidate, Faculty of Economics, University of Sistan and Baluchestan, Zahedan, Iran. | ||
| چکیده | ||
| This study aims to investigate the relationship between liquidity and asset price fluctuations in the Iranian financial market applying innovative methods of averaging. The findings are useful for policymakers because the surveys can be used in monetary policy decisions. The data used in this research are quarterly from March 2006 to April 2020. To this end, the statistics from the economic time-series database of the Central Bank of the Islamic Republic of Iran and other related sources have been used. Bayesian Model Averaging (BMA) has successfully been used in the experimental growth literature as a way to overcome the sensitivity of the results to the characteristics of different models. The variables are the real liquidity as a dependent one and fluctuations in total stock price, total housing price, central bank assets, the government debt to banks, exchange rate, and the coin price are considered independent ones. In terms of the movable assets, the results show a positive and significant relationship between fluctuations in real total housing prices and liquidity and a negative relationship between Bahar-e Azadi Iranian Gold Coin fluctuation and liquidity. For immovable assets, the real net fluctuation of central bank assets and the government debt to banks have a positive relationship with liquidity. There is a negative relationship of real total stock price fluctuation and real exchange rate fluctuation with the liquidity. | ||
| کلیدواژهها | ||
| Bayesian model averaging؛ liquidity؛ asset price fluctuations؛ movable and immovable assets | ||
|
سایر فایل های مرتبط با مقاله
|
||
| مراجع | ||
|
Afshari Z. the effectiveness of macroprodential policies in the growth of credit and housing price by using a dynamic panel data model. Quarterly Journal of Quantitative Economics. 2020 Feb 20;16(4):163-201.
Antonakakis N, Chatziantoniou I, Filis G. Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters. 2013 Jul 1;120(1):87-92.
Bernanke BS, Gertler M. Monetary policy and asset price volatility.
Bordo MD, Landon-Lane J. Does expansionary monetary policy cause asset price booms; some historical and empirical evidence. National Bureau of Economic Research; 2013 Oct 24.
Dong F, Miao J, Wang P. Asset bubbles and monetary policy. Review of Economic Dynamics. 2020 Aug 1;37:S68-98.
Fotros MH, Tavakolyian H, Maaboudi R. Impact of monetary shocks on economic growth and inflation in Iran–The dynamic stochastic general equilibrium approach. Monetary & Financial Economics. 2014 Dec 22;21(8):1-29.
Gholizade AA, Mollavali T. The Effects of Liquidity on Housing Price Fluctuations in Oil-Producing Countries VS. other Countries. Journal of Economic Research and Policies. 2012 Oct 10;20(63):83-104.
Gupta R, Kabundi A. The effect of monetary policy on house price inflation: A factor augmented vector autoregression (FAVAR) approach. Journal of Economic Studies. 2010 Nov 2;37(6):616-26.
Hassanzadeh A, Nazarian R, Kianvand M. The Impact of Monetary Policy Shocks on the Fluctuation of Stock Price Index in Iran (in Persian). Journal of Monetary and Banking Research. Banking monetary research quarterly. 2011.1-44:4(9).
Hur J. Monetary Policy and Asset Prices: A Markov‐Switching DSGE Approach. Journal of Applied Econometrics. 2017 Aug;32(5):965-82.
Islam MS, Meerza SI. Trade, foreign direct investment and economic growth linkages in selected South Asian countries. InForeign Direct Investment, Trade and Economic Growth 2014 Apr 17 (pp. 117-128). Routledge India.
Bjørnland HC, Jacobsen DH. The role of house prices in the monetary policy transmission mechanism in the US. Working Paper; 2008.
López M. Asset price bubbles and monetary policy in a small open economy. Ensayos sobre Política Económica. 2015 Jun 1;33(77):93-102.
Mahdiloo A, Asgharpour H, Fallahi F. Nonlinearity Transmission of Monetary Policy Through the House Price Channel; MSVAR Approach. Journal of Economic Research and Policies. 2019 Sep 10;27(90):455-99.
Mehrara M, Ebrahimzadeghan H. The effect of Financial and Real Assets on Business Cycle in Iran: STAR Approach. The Economic Research. 2020 Mar 10;20(1):128-05.
Pradhan RP, Arvin MB, Bahmani S. Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries. Global Finance Journal. 2015 Jul 1;27:98-111.
Raispour A, Esnaashari H, Mehrabi H. The Effects of Monetary Shocks in Gold Coin Price in Iran (in Persian). The Journal of Planning and Budgeting. Planning and Budget Quarterly.2015.14-103.(2)20.
Rigobon R, Sack B. The impact of monetary policy on asset prices. Journal of monetary economics. 2004 Nov 1;51(8):1553-75.
Rezaei Q, Shahrestani H, Mehrara M. The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran. Journal of Economic Modeling Research. 2019 Jun 10;10(36):75-126.
Sharifi-Renani H, Ghobadi S, Amrollahi F, Honarvar N. The role of asset price channel in monetary transmission mechanism in Iran: The case of housing price index. Journal of Economic Modeling Research. 2011 Mar 10;2(3):29-43.
Auer S. Monetary policy shocks and foreign investment income: Evidence from a large Bayesian VAR. Journal of International Money and Finance. 2019 May 1;93:142-66.
Shokouh, A. A.; Daman Keshideh M. and Hadinejad, M. Estimating the Impact of Monetary Policy on the Stock Price Index in Iran (Case Study of Petrochemical Industries Active in Tehran Stock Exchange). Quarterly journal of Financial Economics.2017. No, 40. 158-139.
Ume E. The impact of monetary policy on housing market activity: An assessment using sign restrictions. Economic Modelling. 2018 Jan 1;68:23-31. | ||
|
آمار تعداد مشاهده مقاله: 335 تعداد دریافت فایل اصل مقاله: 319 |
||
