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Information Journal Paper

Title

Evaluating the Effect of Oil Revenue Shocks on the Stock Market Index in Iran: Application of Markov Switching Vector Autoregressive Model

Pages

  23-55

Abstract

 In the present study, we assess the effect of oil revenue shocks on the Stock Market Index in the period 1384: 1 – 1397: 2 using the Markov switching vector autoregression model. The results indicate that when the stock index is in the lower bound, positive shocks of inflation, Exchange rate and government debt to the banking network lead to an increase in the stock index, while a positive shock to the interest rate leads to a decrease in the Stock Market Index in all periods. We further note that positive shocks of economic growth lead to increases in the stock index in most periods. But when the stock index is in the higher bound, positive shocks of Oil Revenues, interest rate and economic growth lead to decreases in the Stock Market Index, while government Budget Deficit, liquidity, inflation, Exchange rate and government debt to the banking network have positive effects on the Stock Market Index. According to the research results, if the goal is normal growth in the stock market, monetary and fiscal policies as well as instruments under the control of the central bank (liquidity, Exchange rate and interest rate) should be managed based on whether the stock market faces a bull or bear market. This will ensure that the stock market does not deviate from its positive role in funding private investment. Otherwise, the stock market can face uncertainty. This uncertainty is likely to push liquidity out of this market into parallel markets and create harmful economic effects.

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    • Cite

    APA: Copy

    Roudari, Soheil, Tehranchian, Amirmansour, Zarei, Pegah, & Kakaei, Hamid. (2021). Evaluating the Effect of Oil Revenue Shocks on the Stock Market Index in Iran: Application of Markov Switching Vector Autoregressive Model. ENERGY ECONOMICS REVIEW, 17(69 ), 23-55. SID. https://sid.ir/paper/411468/en

    Vancouver: Copy

    Roudari Soheil, Tehranchian Amirmansour, Zarei Pegah, Kakaei Hamid. Evaluating the Effect of Oil Revenue Shocks on the Stock Market Index in Iran: Application of Markov Switching Vector Autoregressive Model. ENERGY ECONOMICS REVIEW[Internet]. 2021;17(69 ):23-55. Available from: https://sid.ir/paper/411468/en

    IEEE: Copy

    Soheil Roudari, Amirmansour Tehranchian, Pegah Zarei, and Hamid Kakaei, “Evaluating the Effect of Oil Revenue Shocks on the Stock Market Index in Iran: Application of Markov Switching Vector Autoregressive Model,” ENERGY ECONOMICS REVIEW, vol. 17, no. 69 , pp. 23–55, 2021, [Online]. Available: https://sid.ir/paper/411468/en

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