hojjat izadkhasti; reza mohseni; Meysam Soltani
Abstract
INTRODUCTION
In most of the developed countries, the stock market is considered as the central core of the capital market and it directs large amounts of stray capital to productive and active sectors every year (Hadipoor et al. 2021).Also, in behavioral finance studies conducted in the last decade, ...
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INTRODUCTION
In most of the developed countries, the stock market is considered as the central core of the capital market and it directs large amounts of stray capital to productive and active sectors every year (Hadipoor et al. 2021).Also, in behavioral finance studies conducted in the last decade, empirical evidence has been provided that all investors do not react rationally to information and investors' emotions have been effective on asset pricing (Kumari, 2019).
2- THEORETICAL FRAMEWORK
In some studies, the role of emotional behaviors in stock price fluctuations of Tehran Stock Exchange Organization has been confirmed (Phuong, 2021). With the increase in oil prices, the income of petrochemical, refining and other oil-related industries will increase. Therefore, the stock price of these companies will also increase. Several studies have examined the relationship between oil prices and the stock market (Zeinoldini et al. 2020, Alamgir, & Bin Amin, 2021). In one approach, with an increase in the exchange rate, the income of companies exporting products to abroad increases, and it causes an increase in the stock price of these companies and ultimately increases the stock price index. Some studies have investigated the relationship between exchange rate fluctuations and stock price index (Nguyen et al. 2020, Çakır, 2021, Huang et al., 2021 & Qalandari & Fallah, 2021(. Housing market is considered as a rival market to the stock market (Zare and Rezaei, 2006). It is expected that with the increase in housing prices, a part of people's assets will enter the housing market and ultimately have a negative effect on the stock market price index.
3- METHODOLOGY
Based on theoretical foundations and following Singhal et al. (2019) the model is expressed as relation (1):
(1)
where: GTEPi,t the growth of Tehran Stock Exchange's total stock index in quarter i of year t, GOILi,t the growth of OPEC oil prices in quarter i of year t, GEXCi,t the growth of the free market exchange rate (US dollar) in quarter i in year t, ARMi,t investor sentiment index (Arms index) in quarter i in year t, GGDPi,t real GDP growth of Iran based on base year 2013 in quarter i in year t and GHPIi,t price growth Housing is in season i in year t.
4- RESULTS & DISCUSSION
A large share of the total value of the capital market is related to petrochemical and refining companies, and the increase in oil prices causes an increase in the stock price index of the Tehran Stock Exchange. Also, the increase in the exchange rate causes a decrease in the purchasing power of people, therefore, to compensate for the decrease in purchasing power, people invest their stagnant money in the stock market to compensate for the decrease in their purchasing power which leads to an increase in the the stock price index. There is a negative relationship between the stock price index of the Tehran Stock Exchange and the sentiment index of active investors in this market.
5- CONCLUSIONS & SUGGESTIONS
The growth of OPEC oil prices, exchange rate growth and GDP growth have a positive effect and the ARMS investors' feelings index and housing price growth have a negative effect on the growth of Tehran Stock Exchange stock index.
Noor Olah Salehi Asfeji; Yaser Balaghi Inaloo
Abstract
Sidrauski's (1967) model of money in the utility function in the framework of a neoclassical growth model, has analyzed the role of money in the economy. His conclusions suggest that money is super-neutral in the steady state. The basic research problem is generalized Sidrauski's model according ...
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Sidrauski's (1967) model of money in the utility function in the framework of a neoclassical growth model, has analyzed the role of money in the economy. His conclusions suggest that money is super-neutral in the steady state. The basic research problem is generalized Sidrauski's model according to Reis (2007). Then, using optimal control approach, analysis the non-neutrality of monetary policy effects through nominal interest rate in the generalized Sidrauski's model. The results of calibration and sensitivity analysis of macroeconomic variables in Iranian economy indicate that as long as demand for real money balances elastic regard to nominal interest rate in non-separation utility function, monetary policy is not neutral in steady state. Therefore, a monetary policy that leads to a 3.6% decline in nominal interest rate growth, causing an increase in real money balances from 9.82 to 10.63. Finally, increased levels of capital per capita, output per capita and consumption per capita from 8.46, 2.90 and 2.38 to 9.42, 3.07 and 2.88. In addition, simulated results during the (1434-1344) in Iranian economy indicate that monetary policy, which leads to lower nominal rates, has increased the level of capital, production and consumption per capita continually.
Introduction
Although in macroeconomic literature related to rational expectations, where there is no monetary illusion and markets are settled, monetary policy has no real effect on the economy (Begg, 1980, Sidrauski, 1967, Lucas, 1972); but how the interaction between the real sector and Money is one of the questions that different economic schools have answered differently. In this context, various hypotheses have been put forward about the relationship between the real sector and the monetary sector of the economy: one hypothesis indicates that money is neutral in the long run. Other hypotheses suggest that money is super-neutral in the long run, but accepting or rejecting any of the above hypotheses affects the role of monetary policy in the economy.
In this regard, the main purpose of this study is to analyze the effects of monetary policy through nominal interest rates on the generalized Sidrasky model in the Iranian economy using the optimal control approach. The relevant analysis was first performed by calibrating and analyzing the sensitivity of macro variables in the steady state. Finally, the simulation of the macro-variable path is done.
Theoretical frame work
In the basic Sidrauski model (1967), as an extended model of the Ramsey model (1928), money is also entered for the first time along with consumption in the utility function. In this model, it is assumed that, first, the money supply increases at a constant rate over time. Second, in a steady state, the real balance of money is constant over time. Therefore, according to these two conditions, the super-neutral results of money are obtained.
Methodology
In this model, the economy as a unit is made up of the same households with an unlimited lifetime, and the representative households benefit from the actual consumption of goods and the actual balance of money. It is also a function of desirability, continuity, good behavior, mostly concurrent and increasing relative to and the actual balances of money. Optimal control methods are used to solve the model and reach the optimal consumption path, real money balances and capital. By forming the Hamiltonian function, we will have maximization for the problem:
(1)
Where the nominal interest rate. is marginal utility of consumption. Necessary conditions are:
(2)
(3)
(4)
Using Equilibrium Relationships (2) and (3) we will have:
(5)
Results & Discussion
The results of simulating the path of macro-pattern variables indicate that monetary policy, which leads to lower nominal interest rates, has continuously increased the level of capital, production, consumption, and real money balances.
Conclusions & Suggestions
The results of solving the model in the steady state indicate that with the elasticity of real money demand relative to the nominal rate in the inseparable utility function, the use of monetary policy that reduces the nominal interest rate, leads to increase in demand for real money. Eventually, it reduces the real interest rate. So, it leads to an increase in the level of per capita capital, production and consumption. Therefore, monetary policymakers are encouraged to apply monetary policy in line with optimal monetary policy to increase nominal variables through the channel of lower nominal interest rate channels.
