The Share of Monetary Policy Transmission Channels in the Tehran Stock Exchange Price Index (in Persian)

Zohreh Khajeh-Saeed (khajehsaeed@mofidu.ac.ir), Asadollah Farzinvash (farzinv@ut.ac.ir), Naser Elahi (elahi@mofidu.ac.ir) and Hossein Asgharpour (asgharpurh@tabrizu.ac.ir)
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Zohreh Khajeh-Saeed: Ph.D. Student in Financial-Islamic Economics, Mofid University, Qom.
Asadollah Farzinvash: Professor of Economics, University of Tehran, Iran.
Naser Elahi: Associate Professor of Economics, Mofid University, Qom.
Hossein Asgharpour: Professor of Economics, University of Tabriz
Authors registered in the RePEc Author Service: Hossein asgharpur (asgharpurh@gmail.com)

The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), 2019, vol. 23, issue 4, 87-112

Abstract: Economic knowledge about the channels of monetary policy affecting the stock price index helps central banks to improve their assessment of economic conditions. Also, understanding the relative importance of transmission channels allows monetary authorities to foresee the outcomes of this mechanism, thus they can direct the monetary policy through the desired channel. In order to achieve this aim, a vector autoregressive model and seasonal data from 1997 to 2017 have been utilized. The results reveal that the monetary policy can influence the Tehran Stock Exchange price index, but it can not be taken as a determinant variable. The findings confirm that as a result of monetary base shocks, on average, exchange rate channel and asset price channel have the largest share in transferring monetary effects respectively, and credit channel has the least share in the stock price index.

Keywords: Monetary Policy; Stock Exchange; Stock Price Index; Monetary Transmission Mechanism Channels; Vector Autoregressive Model. (search for similar items in EconPapers)
JEL-codes: E52 G10 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:auv:jipbud:v:23:y:2019:i:4:p:87-112

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