نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری، گروه اقتصاد، دانشکدۀ علوم انسانی، دانشگاه آزاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران

2 دانشیار، گروه اقتصاد، دانشکدۀ علوم انسانی، دانشگاه آزاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران

3 استادیار، گروه اقتصاد، دانشکدۀ علوم انسانی، دانشگاه آزاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران

چکیده

اثر نااطمینانی بر رشد پولی در سال‌‌های اخیر توجه زیادی را به خود جلب کرده و مسئلۀ مهمی برای بانک‌های مرکزی است. در قالب سازوکار انتقال پولی ازطریق بازار مالی، سیاست پولی از قیمت این نوع دارایی‌ها متأثر می‌‌شود. این اثرگذاری بر مخارج مصرفی و سرمایه‌گذاری و به‌‌تبع آن بر بخش واقعی اقتصاد تأثیر می‌گذارد و نقش مهمی در تعادل عمومی اقتصاد و انتقال شوک‌های اقتصادی در جامعه ایفا می‌‌کند. یکی از اجزای مهم بازارهای مالی، بورس اوراق بهادار است که از متغیرهای کلان اقتصادی ازجمله اعتماد سرمایه‌‌گذاران، نرخ ارز و پول تأثیر می‌‌گیرد. با استفاده از داده‌‌های فصلی اقتصاد ایران طی دورۀ 1380 تا 1397و رهیافت MGARCH-VECH-VAR روابط پویای نا‌اطمینانی میان متغیرها بررسی شد. فرآیند انتقال سیاست پولی از بازار دارایی‌‌ها شروع می‌‌شود. به‌‌ویژه هنگامی که عدم قطعیت دربارۀ دائمی‌‌بودن یا موقتی‌‌بودن سیاست‌‌ها وجود دارد، بازار دارایی‌‌ها بسیار سریع جواب می‌‌دهد؛ بنابراین قیمت دارایی‌‌ها و به‌‌دنبال آن ثبات بازار‌ مالی نقش مهمی در سازوکار انتقال پولی ایفا می‌‌کند. سیاست‌هایی که منجر به افزایش نوسان‌‌های نرخ رشد ارز واقعی می‌‌شود، منجر به افزایش نااطمینانی اعتماد سرمایه‌گذاران و بی‌‌ثباتی بازار مالی خواهد شد و به‌‌دنبال آن نااطمینانی رشد پولی و بخش واقعی اقتصاد افزایش می‌یابد. با افزایش اعتماد سرمایه‌گذاران، زمینۀ کاهش نرخ رشد پولی و همچنین افزایش مصرف ازطریق اثر ثروت و افزایش نرخ رشد تولید فراهم می‌‌شود

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Role of Financial Market Stability on Monetary Policy Transmission Mechanism in Iran: A Multivariate GARCH Approach

نویسندگان [English]

  • Farinaz Rahimian 1
  • Hossain Sharifi Renani 2
  • Sara Ghobadi 3

1 Ph. D. Candidate, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran

2 Associate Professor, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran

3 Assistant Professor, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran

چکیده [English]

The effect of uncertainty on monetary growth in recent years has attracted much attention. The mechanism of monetary transmission through the financial market affects consumption expenditures, investment, and the real sector of the economy. The stock market is an important component of financial markets affected by variables such as investor’s confidence, exchange rate, and money. Uncertainty relationships between variables are investigated by using quarterly data of the Iranian economy during 2001-2018 and the MGARCH-VECH-VAR approach. Increasing real exchange rate fluctuations will lead to increasing investor’s confidence uncertainty and financial market instability, followed by increased monetary growth uncertainty and the real sector of the economy. By increasing the confidence of investors, it is possible to reduce the monetary growth rate, as well as increase consumption through the wealth effect and increase the growth rate of production.

کلیدواژه‌ها [English]

  • Investor’s Confidence
  • Monetary Policy Transmission Mechanism
  • Multivariate GARCH Approach

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