نوع مقاله : مقاله پژوهشی
نویسندگان
1 عضو هیأت علمی - دانشگاه علامه طباطبایی
2 گروه اقتصاد دانشگاه علامه طباطبایی، تهران، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The emergence of bubbles in the financial markets, including the stock market and its possible burst, causes uncertainty about the financial market and ultimately the outflow of capital from it. Because the crisis in these markets can affect other sectors of the economy, the policymakers plan and implement appropriate monetary and fiscal policies to deal with the crisis and respond in a timely manner to prevent adverse effects of that. Considering that Iranian financial markets, like other countries, are not immune from this phenomenon, in this study, by using Iranian quarterly data of some variables including interest rate, gross domestic product, gross domestic product deflator, dividends, consumer price index and stock price index, for the period 2003:1 to 2019:3 and Bayesian inference, the TVP-VAR model (time-varying parameters vector Auto regressive) is estimated and the impulse - response functions of variables is driven, and the dependence of stock market bubbles on monetary policy shocks are investigated. The results show that some research variables, such as interest rates, gross domestic product, gross domestic product deflator, dividends, and stock price fundamentals, have had almost stable patterns over time, and their response to monetary policy shock has not changed much, but stock price responses and the bubbly component of that to the policy shock has not been stable over time, and their negative response to the monetary policy shock has decreased over time, and in recent years of the sample, the stock price response and its bubbly component, end up increasing from the beginning.
کلیدواژهها [English]
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