The Effect of Stock Price Shock on Macroeconomic Variables: A DSGE Approach

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

AFSHARI ZAHRA; TAVAKOLIAN HOSSEIN; BAYAT MARZIYEH

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2018 | Volume:18 | Issue:2 Page(s): 81-103

Download Full-Text

Persian Verion

View:

323

Download:

Cites:

Information Journal Paper

Title

The Effect of Stock Price Shock on Macroeconomic Variables: A DSGE Approach

Author(s)

AFSHARI ZAHRA | TAVAKOLIAN HOSSEIN | BAYAT MARZIYEH | Issue Writer Certificate

Keywords

Stock pricesQ2

Optimal monetary policyQ1

Dynamic stochastic general equilibrium modelQ1

Abstract

This article attempts to examine the impact of stock market fluctuations on macroeconomic variables by designing a New Keynesian approach in a dynamic stochastic general equilibrium (DSGE) model. For this purpose, first, model parameters are estimated based on Bayesian approach and using of quarterly data from 1994 to 2014. Second, the impulse response functions of variables to innovations in stock price index, monetary shock, technology shock, consumer spending and public investment are investigated. Then, the optimal weights related to inflation gap, output gap and the stock price index gap within the monetary policy function are extracted. According to the results, a shock to stock price index has a negligible effect on inflation and output variables. This may be due to the small size of the stock market in Iran. Finally, the optimal coefficients are determined for inflation and output gaps, stock price index gap, and the central bank deadweight loss under various scenarios. Based on findings, first, the central bank should attribute more weight to inflation in itself reaction functions. Second, a scenario in which the weight of stock price index is zero has less deadweight loss, thus the response of the central bank to stock price index gap leads to a reduction in social welfare. Therefore, when the stock market is booming, the central bank is recommended not to be intervened to reduce liquidity.

Cites

No record.

References

No record.

Cite

APA: Copy

AFSHARI, ZAHRA, TAVAKOLIAN, HOSSEIN, & BAYAT, MARZIYEH. (2018). The Effect of Stock Price Shock on Macroeconomic Variables: A DSGE Approach. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 18(2 ), 81-103. SID. https://sid.ir/paper/368765/en

Vancouver: Copy

AFSHARI ZAHRA, TAVAKOLIAN HOSSEIN, BAYAT MARZIYEH. The Effect of Stock Price Shock on Macroeconomic Variables: A DSGE Approach. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2018;18(2 ):81-103. Available from: https://sid.ir/paper/368765/en

IEEE: Copy

ZAHRA AFSHARI, HOSSEIN TAVAKOLIAN, and MARZIYEH BAYAT, “The Effect of Stock Price Shock on Macroeconomic Variables: A DSGE Approach,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 18, no. 2 , pp. 81–103, 2018, [Online]. Available: https://sid.ir/paper/368765/en

Related Journal Papers