Studying the Impact of Management of Central Bank’s Monetary Policy Instability on Total Return of Tehran Stock Exchange
The Objective of this research is studying the impact of management of central bank’s monetary policy instability on total return of Tehran stock exchange from the first quarter of 1998 to the fourth quarter of 2011. For this purpose, first, the instability index of monetary policy is estimated usin...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Alzahra University
2014-11-01
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| Series: | راهبرد مدیریت مالی |
| Online Access: | http://jfm.alzahra.ac.ir/article_993_6169e87588af3fdbacc0b40d4d7af235.pdf |
| Summary: | The Objective of this research is studying the impact of management of
central bank’s monetary policy instability on total return of Tehran stock
exchange from the first quarter of 1998 to the fourth quarter of 2011. For this
purpose, first, the instability index of monetary policy is estimated using
EGARCH model and then the impact of central bank’s monetary policy
instability on total return of Tehran’s stock exchange has been examined
using Johansen-Juselius method. The results of the model indicate that the
impact of central bank’s monetary policy instability, coin price, land price
index and interest rate on total return of Tehran’s stock exchange have been
significantly negative, while central bank’s expansionary monetary policy
and gross domestic production have significant positive impact on economic
growth. Also, the results based on vector error correction model indicate that
each period (a quarter), about 0.01 of short term imbalances is adjusted to
achieve long term balance. |
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| ISSN: | 2345-3214 2538-1962 |