ارزيابي اثر تکانه درآمد نفت بر شاخص سهام در ايران: کاربردي از الگوي مارکوف سويچينگ خودرگرسيون برداري

Evaluating the effect of oil revenue shock on stock market index in Iran: Application of Markov switching vector autoregressive

Soheil Roudari, Amirmansour Tehranchian, Pegah Zarei and Hamid Kakaei

MPRA Paper from University Library of Munich, Germany

Abstract: In the present study, the effect of oil revenue shock on the stock market index in the period 1384:1 – 1397:2 has been investigated seasonally using the Markov switching vector autoregression model. The results show that when the stock index is in the low regime, the positive shock of inflation, exchange rate and government debt to the banking network leads to an increase in the stock index and a positive shock to the interest rate leads to a decrease in the stock market index in all periods. Also, the positive shock of economic growth has led to increase in the stock index in most periods. But if the stock index be in the high regime, the positive shock of oil revenues, interest rate and economic growth has led to decrease in the stock market index in all periods, and the government budget deficit, liquidity, inflation, exchange rate and government debt to the banking network in all periods has been positive effect on 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 adopted according to the level and regime of the stock market. So that the stock market in the country does not deviate from its path and trend. Otherwise, the stock market can face with uncertainty, and this uncertainty provides the ground for liquidity to leave this market and transfer to other parallel markets and create harmful economic effects.

Keywords: Stock Market Index; Oil Revenues; Budget Deficit; Exchange rate; MS-VAR Model. (search for similar items in EconPapers)
JEL-codes: C24 E44 E61 G38 (search for similar items in EconPapers)
Date: 2020-12-07, Revised 2021-05-23
References: View references in EconPapers View complete reference list from CitEc
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Published in Quarterly Energy Economics Review 69.17(2021): pp. 23-55

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