دوره 12، شماره 45 - ( 8-1401 )                   سال12 شماره 45 صفحات 198-163 | برگشت به فهرست نسخه ها

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Balounejad Nouri R, farhang A. The Asymmetric Effect of Macroeconomic Variables on Stock Price Index: Quantile ARDL Approach. Journal of Economic Modeling Research 2022; 12 (45) :163-198
URL: http://jemr.khu.ac.ir/article-1-2227-fa.html
بالونژادنوری روزبه، فرهنگ امیرعلی. اثر نامتقارن متغیرهای کلان اقتصادی بر شاخص‌ قیمت سهام: رویکرد کوانتایلARDL. فصلنامه تحقیقات مدلسازی اقتصادی 1401; 12 (45) :198-163

URL: http://jemr.khu.ac.ir/article-1-2227-fa.html


1- پژوهشکده امور اقتصادی
2- دانشگاه پیام نور ، s_farhang@pnu.ac.ir
چکیده:   (320 مشاهده)
در پژوهش حاضر به منظور بررسی اثر نامتقارن بلندمدت و کوتاه مدت متغیرهای اقتصاد کلان بر شاخص قیمت بازار سرمایه از روش خود رگرسیونی با وقفه توزیعی چندکی (QARDL) معرفی شده توسط چو و همکاران (2015) استفاده شده است. برای این منظور از داده¬های ¬ماهانه مربوط به اقتصاد ایران در بازه زمانی 1387:9-1400:6 جهت بررسی رابطه متغیرهای تورم، نرخ ارز، تراز تجاری غیر نفتی و قیمت نفت خام بر شاخص قیمت بازار سرمایه استفاده شده است. یافته¬های پژوهش نشان می¬دهد که در کوتاه مدت متغیرهای کلان مورد استفاده بجز تراز تجاری و قیمت نفت به صورت نامتقارن بر شاخص قیمت بازار سرمایه اثرگذار هستند. همچنین نتایج تخمین QARDL نشان داد که در بلندمدت تمام متغیرها بجز قیمت نفت بر شاخص قیمت سهام اثر نامتقارن داشته و اثر قیمت نفت متقارن و معنادار می¬باشد. این نتیجه گیری نشان می¬دهد در شرایطی که شاخص قیمت بازار سهام در وضعیت رونق، رکود و یا عادی است، بجز قیمت نفت اثر متغیرهای تحقیق بر این شاخص یکسان نمی¬باشد و حتی این اثر در کوتاه¬مدت و بلندمدت نیز متفاوت است.
شماره‌ی مقاله: 5
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نوع مطالعه: توسعه ای | موضوع مقاله: پولی و مالی
دریافت: 1400/10/9 | پذیرش: 1401/5/6 | انتشار: 1401/8/15

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