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Analyzing Stock Prices to Identify Unconventional Monetary Policy Shocks Applying The SVARIH Methodology | ||
| Iranian Journal of Economic Studies | ||
| دوره 13، شماره 1 - شماره پیاپی 25، آذر 2024، صفحه 25-50 اصل مقاله (532.94 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2025.52786.2022 | ||
| نویسندگان | ||
| Mahboobeh Khadem Nematollahy* 1؛ Mojtaba Bahmani2؛ Teymour Mohammadi1 | ||
| 1Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran. | ||
| 2Faculty of Management and Economics, Shahid Bahonar University of Kerman, Kerman. Iran. | ||
| چکیده | ||
| Identifying monetary policy shocks is a crucial determinant influencing stock price index in esteemed global stock exchanges. Given that the implications of this policy might impact individual’s wellbeing, unemployment, and economic growth, it is essential to analyze and quantify these effects. This study aims to analyze the dynamic responses of macroeconomic variables in fuel-exporting countries, including Colombia, Indonesia, Iran, Russia, and Saudi Arabia, to unconventional monetary policy within the SVARIH framework, utilizing stock price fluctuations from the years 2000 to 2023. The variables studied in the study include inflation, unemployment, stock prices, interest rates, and gross domestic product. The results indicate that the slope policies enacted by governments like Colombia, Iran, and Russia can facilitate economic recovery by decreasing unemployment and credit expenses. Furthermore, stock prices are demonstrated to be effective in identifying slope policy shocks. The Iranian government can implement unconventional monetary policies to enhance credit availability, hence boosting production and decreasing unemployment. The findings can be concisely presented as follows:1) This study aims to develop a novel approach for identifying unconventional monetary policy shocks using a heteroskedasticity-based identification method in fuel-exporting countries.2) Stock price fluctuations are employed as a means of identifying the shocks.3)Policymakers can significantly influence the implementation of unconventional monetary policies to reduce stock market volatility through enhanced liquidity provision and increased equity returns. | ||
| کلیدواژهها | ||
| Slope policy؛ heteroskedasticity identification method؛ structural vector autoregressive approach | ||
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