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:: Volume 28, Issue 95 (Quarterly journal of economic research and policies 2020) ::
3 2020, 28(95): 343-380 Back to browse issues page
Stock Market Uncertainty and the Analysis of Monetary Policy shock
Amir Mirshafiee, Hamid Shahrestani , Farhad Ghafari, Abbas Memarnejad
Department of Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran , shahrest@ohio.edu
Abstract:   (3015 Views)
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.
Keywords: Uncertainty, Stock market uncertainty, Stochastic Differential Equation (SDE), Structural Vector Auto Regressive (SVAR)
Full-Text [PDF 681 kb]   (506 Downloads)    
Type of Study: Research | Subject: Special
Received: 2019/06/19 | Accepted: 2020/11/25 | Published: 2020/12/20
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mirshafiee A, shahrestani H, ghafari F, memarnejad A. Stock Market Uncertainty and the Analysis of Monetary Policy shock. 3. 2020; 28 (95) :343-380
URL: http://qjerp.ir/article-1-2439-en.html

Volume 28, Issue 95 (Quarterly journal of economic research and policies 2020) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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