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:: Volume 24, Issue 77 (quarterly journal of Economic Research and policies 2016) ::
qjerp 2016, 24(77): 7-36 Back to browse issues page
Monetary and Fiscal Effects on Stock Market Liquidity
Abstract:   (7528 Views)

Monetary and fiscal policy makers should notice that these policies have effect on stock market performance and its liquidity. In this study with using econometrics models, relationship between stock market liquidity and fiscal and monetary policies has been investigated. For this purpose, SVAR, Markov switching and Kalman filter models are used. In order to apply these models, data from Tehran Stock Exchange (TSE) are used from 1378 to 1393 periods. Based on the results of SVAR model, Expansionary monetary policy has positive effect on stock market liquidity, but fiscal policy hasn’t significant effect on stock market liquidity. In addition outputs of Markov switching model, monetary policy has positive and significant effect on market liquidity boom periods .Also, growth of bank deposit interest rate has strong negative effect on stock market liquidity and exchange rate growth effect isn’t stable and strong. Moreover, growth rate of housing price has weak negative effect on stock market liquidity.

Keywords: Monetary Policy, Stock Market Liquidity, Fiscal Policy, bank deposit rate.
Full-Text [PDF 494 kb]   (4138 Downloads)    
Type of Study: Research | Subject: Special
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Monetary and Fiscal Effects on Stock Market Liquidity. qjerp 2016; 24 (77) :7-36
URL: http://qjerp.ir/article-1-1382-en.html


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This work is licensed under a Creative Commons Attribution ۴.۰ International License (CC BY ۴.۰)
Volume 24, Issue 77 (quarterly journal of Economic Research and policies 2016) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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