Stock Market Uncertainty and the Analysis of Monetary Policy shock

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Mirshafiee Amir; SHAHRESTANI HAMID; MEMARNEJAD ABBAS; GHAFARI FARHAD

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Journal Paper

Paper Information

Journal: Journal of Economic Research and Policies Year:2020 | Volume:28 | Issue:95 Page(s): 343-380

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Title

Stock Market Uncertainty and the Analysis of Monetary Policy shock

Author(s)

Mirshafiee Amir | SHAHRESTANI HAMID | MEMARNEJAD ABBAS | GHAFARI FARHAD | Issue Writer Certificate

Keywords

Uncertainty

Stock market uncertainty

Stochastic Differential Equation (SDE)

Structural Vector Auto Regressive (SVAR)

Abstract

Policy makers impose policies to improve economy circumstance in order to achieve economic goals. However, the consequence of these policies along with the intended goals will also influence expectations, fluctuations, etc., and cause changes in levels of Uncertainty. The important role of the stock market in the economy, makes it important to examine its Uncertainty and its interaction with monetary policy. In this study, the Uncertainty of stock market Uncertainty is estimated using Stochastic Differential Equation (SDE). For surveying the mutual shocks of monetary policy and Uncertainty on each other and output, the impulse respond (IR) that is so useful in structural Vector Auto Regressive (SVAR) models are used. The source of quarterly data is Statistical Center of Iran (S. C. I) from 2001 to 2016. The results of (IR) indicate the monetary policy shocks are effective and lasting in stock market Uncertainty and about output have negative effects. While, this stock market Uncertainty exacerbated by monetary policy, has a negative effect on output. This means that monetary policy authority; should pay more attention to monetary policy shocks and Keep the economy away from monetary shocks.

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APA: Copy

Mirshafiee, Amir, SHAHRESTANI, HAMID, MEMARNEJAD, ABBAS, & GHAFARI, FARHAD. (2020). Stock Market Uncertainty and the Analysis of Monetary Policy shock. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 28(95 ), 343-380. SID. https://sid.ir/paper/972307/en

Vancouver: Copy

Mirshafiee Amir, SHAHRESTANI HAMID, MEMARNEJAD ABBAS, GHAFARI FARHAD. Stock Market Uncertainty and the Analysis of Monetary Policy shock. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2020;28(95 ):343-380. Available from: https://sid.ir/paper/972307/en

IEEE: Copy

Amir Mirshafiee, HAMID SHAHRESTANI, ABBAS MEMARNEJAD, and FARHAD GHAFARI, “Stock Market Uncertainty and the Analysis of Monetary Policy shock,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 28, no. 95 , pp. 343–380, 2020, [Online]. Available: https://sid.ir/paper/972307/en

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