دوره 10، شماره 36 - ( 4-1398 )
سال10 شماره 36 صفحات 126-75 |
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Rezaei Q, Shahrestani H, Hozhabre kiani K, Mehrara M. The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran. jemr 2019; 10 (36) :75-126
URL: http://jemr.khu.ac.ir/article-1-1810-fa.html
URL: http://jemr.khu.ac.ir/article-1-1810-fa.html
رضائی غلامرضا، شهرستانی حمید، هژبرکیانی کامبیز، مهرآرا محسن. تاثیر سیاست پولی بر بازدهی و بی‌ثباتی بازار سهام (مقایسه‌ای بین ابزارهای سیاست پولی در ایران). تحقیقات مدلسازی اقتصادی. 1398; 10 (36) :75-126
غلامرضا رضائی1 
، حمید شهرستانی2 ، کامبیز هژبرکیانی* 3، محسن مهرآرا4
، حمید شهرستانی2 ، کامبیز هژبرکیانی* 3، محسن مهرآرا4
1- دانشگاه ازاد اسلامی قزوین
2- دانشگاه علوم و تحقیقات تهران
3- دانشگاه علوم و تحقیقات تهران ،Kianikh@yahoo.com
4- دانشگاه تهران
2- دانشگاه علوم و تحقیقات تهران
3- دانشگاه علوم و تحقیقات تهران ،
4- دانشگاه تهران
چکیده: (5418 مشاهده)
بعد از بحران‌های مالی اخیر، مخصوص بحران مالی 2008-2007، این سئوال مهم مطرح شد که نقش سیاست‌پولی در وقوع آنها و همین طور جلوگیری از بوجود آمدن بی‌ثباتی مالی چقدر می‌باشد؟ این مقاله در همین راستا، به بررسی پویاییهای تاثیر سیاست‌پولی بر بازده و بی‌ثباتی بازار سهام با استفاده از مدل خود رگرسیونی برداری ساختاری در دوره Q1:1371 تاQ4 :1395 در ایران پرداخته است. در این مطالعه، اثر سیاست پولی از طریق ابزارهای پولی مختلف مورد استفاده بانک مرکزی بر بازار سهام مورد بررسی قرار گرفته است. برای نشان دادن عملکرد سیاست‌پولی از چهار متغیر نرخ سود موزون، نرخ رشد پایه پولی، نسبت سپرده قانونی و رشد بدهی بانک‌های تجاری به بانک مرکزی به عنوان ابزار سیاست‌پولی استفاده شده است. نتایج تابع عکس‌العمل آنی نشان می‌دهد که ابزارهای سیاست پولی بر بازدهی و بی‌ثباتی بازار سهام تاثیر ندارند. نتایج تجزیه واریانس خطای پیش‌بینی نیز بیانگر این است که سهم ابزارهای پولی در توضیح‌دهندگی تغییرات بازدهی و بی‌ثباتی بازار سهام ناچیز و برای هر کدام کمتر از ده درصد می‌باشد هرچند سهم پایه پولی از بقیه بیشتر است، در نتیجه می‌توان گفت ابزارهای سیاستی بانک مرکزی اثرگذاری خاصی بر رفتار و بی‌ثباتی بازار سهام ندارند.
نوع مطالعه: كاربردي |
موضوع مقاله:
پولی و مالی
دریافت: 1397/11/9 | پذیرش: 1398/5/9 | انتشار: 1398/7/2
دریافت: 1397/11/9 | پذیرش: 1398/5/9 | انتشار: 1398/7/2
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