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Showing 2 results for Monetary Variables
Predicting the Price Index in the Iranian Stock Market with Emphasis on the Monetary Variables: A Machine Learning Approach
Majid Shafiei, Parviz Rostamzadeh, Mohammad Rastegar, Zahra Dehghan Shabani,
Volume 14, Issue 53 (12-2023)
Abstract

The stock market, as one of the vital components of the capital market, is an important part of the country's economy that can manage the flow of capital, optimize capital allocation, and thereby contribute to economic growth and development. More accurate prediction of the stock market trend can help investors' decision-making for higher returns by reducing risk. In general, the stock market is constantly changing and many factors influence the trend of this market, so predicting the patterns of movement in the stock exchange requires sufficient information about the past and influencing factors of the market. This article is part of the forecast of the stock market index of Iran, seeking to interpret the model and identify the most influential economic variable on the price index prediction. For this purpose, daily stock market and economic data, during the period 1394-1401 were used. Machine learning models are also used for prediction and the Shapley Additive exPlanations (SHAP) to interpret how to predict and determine the most important variables in the predictive model. Based on results from tree-based ensemble methods, the proposed model in this study, ExtraTrees, performed best based on predictive error criteria. In the study of the feature importance is also based on the ExtraTrees model, in order of the dollar rate (Nima), unemployment rate, dollar rate of market and liquidity, the most important economic variables influencing the forecast model. Also, according to other models used in the research, liquidity is the most effective variable on the stock index trend. Finally, it can be said that the most effective monetary variables on the stock market index in Iran are liquidity and exchange rate variables, so monetary policymakers and stock market investors should be more sensitive to these variables in their decisions.

Modeling the Impact of Money Market Variables on Tehran Stock Index: The Moderating Role of Economic Policy Uncertainty in ARDL Framework
Mohammad Kaveh Barahooei Jahanshahi, Ali Barahooei Jahanshahi, Mehdi Sadeghi Shahedani,
Volume 15, Issue 58 (2-2025)
Abstract
The present study aims to model and investigate the impact of money market variables on stock market performance (capital market). Money market variables can directly or indirectly affect stock market performance. This research examines the influence of interest rates, exchange rates, inflation rates, liquidity, and legal reserve rates on the stock price index. Additionally, another objective of this study is to investigate the effect of economic policy uncertainty on the relationship between monetary variables and the aggregate stock price index, and how monetary variables are guided and their impact on the stock market. The research period spans ten years, from 1392 to 1401. The hypothesis testing results, using seasonal time series data and the Autoregressive Distributed Lag (ARDL) model, indicated that the effect of money supply and exchange rate on the aggregate stock price index is positive and significant. However, the effects of the interest rate and legal reserve rate are not significant. Furthermore, based on an index for economic policy certainty, this research demonstrates that the relationship between the interbank interest rate, money supply, legal reserve rate, and exchange rate with the aggregate price index is influenced by economic policy uncertainty.

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