The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran

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Rezaei Qholam Reza; SHAHRESTANI HAMID; HOZHABR KIANI KAMBIZ; MEHRARA MOHSEN

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2019 | Volume:9 | Issue:36 Page(s): 75-125

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Title

The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran

Author(s)

Rezaei Qholam Reza | SHAHRESTANI HAMID | HOZHABR KIANI KAMBIZ | MEHRARA MOHSEN | Issue Writer Certificate

Keywords

Monetary PolicyQ2

Monetary InstabilityQ1

Stock MarketQ2

Structural Vector Autoregression (SVARs) ModelQ1

Abstract

After the recent financial crisis, especially the financial crisis 2008, This raises the important question of what is the role of Monetary Policy in occurrence and prevention of the financial instability? so, this paper investigate the dynamics impact of Monetary Policy on the Stock Market returns and instability using Structural Vector Autoregression (SVARs) model During the period 1992: q2 to 2017: q1. In this study, the effect of monetary policies via the various monetary tools used by the Central Bank on the Stock Market is studied. to illustrate the performance of monetary policies, the four variables of weighted interest rate, monetary base growth rate, bank reserve ratio, and growth of commercial banks' debt to the central bank have been used as Monetary Policy tools. The results of the impulse response function(IRF) show that Monetary Policy tools do not affect the Stock Market returns and instability. The results of the Forecast Error Variance Decomposition (FEVD) also show that the share of monetary tools in explaining the changes in Stock Market returns and instability is insignificant and less than ten percent each. Although, the monetary base share is higher than the others, so the central bank's policy tools do not has a particular impact on the behavior and instability of the Stock Market.

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APA: Copy

Rezaei, Qholam Reza, SHAHRESTANI, HAMID, HOZHABR KIANI, KAMBIZ, & MEHRARA, MOHSEN. (2019). The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran. JOURNAL OF ECONOMIC MODELING RESEARCH, 9(36 ), 75-125. SID. https://sid.ir/paper/378399/en

Vancouver: Copy

Rezaei Qholam Reza, SHAHRESTANI HAMID, HOZHABR KIANI KAMBIZ, MEHRARA MOHSEN. The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2019;9(36 ):75-125. Available from: https://sid.ir/paper/378399/en

IEEE: Copy

Qholam Reza Rezaei, HAMID SHAHRESTANI, KAMBIZ HOZHABR KIANI, and MOHSEN MEHRARA, “The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 9, no. 36 , pp. 75–125, 2019, [Online]. Available: https://sid.ir/paper/378399/en

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