نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی کارشناسی ارشد گروه اقتصاد اسلامی، دانشکد علوم اقتصادی و اداری، دانشگاه قم، قم، ایران
2 دانشیار گروه اقتصاد اسلامی، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران
3 دانشآموخته دکتری اقتصاد بخش عمومی دانشکده مدیریت و اقتصاد، دانشگاه لرستان، خرم آباد، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The aim of the present study is to investigate the asymmetric effect of exchange rate and inflation rate on the total stock market index. For this purpose, to investigate the effect of variables on the total stock market index, a threshold vector autoregression model is used, which allows examining the positive and negative momentum of variables at values above and below the threshold of the total stock index; during the period 1379-1401 on a seasonal basis. For the threshold vector autoregression model, five variables were considered: total stock index, inflation rate, exchange rate, liquidity, and industrial production index. The total stock index was considered as the threshold variable, and the threshold value of the stock index was 71,686 units. The results show that the inflation shock has an asymmetric effect in the high (values greater than the threshold) and low (values less than the threshold) regime on the total index. Positive and negative exchange rate shocks show an asymmetric effect on the stock market in the high and low regimes, and positive shocks have an increasing effect and negative shocks have a decreasing effect on the total stock index. Positive and negative shocks to liquidity and the industrial production index also show asymmetric effects on the stock market in the high and low regimes. Therefore, in the context of macro policymaking for the prosperity of the stock market, it is necessary for policymakers to pay attention to positive and negative shocks to variables and the bullish and bearish nature of the stock market.
کلیدواژهها [English]
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