دوره 9، شماره 36 - ( 6-1398 )                   سال9 شماره 36 صفحات 75-126 | برگشت به فهرست نسخه ها

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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; 9 (36) :75-126
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) . فصلنامه تحقیقات مدل سازی اقتصادی. 1398; 9 (36) :75-126

URL: http://jemr.khu.ac.ir/article-1-1810-fa.html


چکیده:   (381 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.
متن کامل [PDF 1126 kb]   (137 دریافت)    
نوع مطالعه: كاربردي | موضوع مقاله: پولی و مالی
دریافت: ۱۳۹۷/۱۱/۹ | پذیرش: ۱۳۹۸/۵/۹ | انتشار: ۱۳۹۸/۷/۲

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