Monetary & Financial Economics

Abstract In recent years, economic policy uncertainty has become a major source of macroeconomic fluctuations and housing market dynamics in emerging economies. Despite the expanding literature on policy uncertainty, limited evidence exists on how uncertainty shocks affect housing supply in Iran, particularly when structural changes and time-varying relationships are taken into account. This study fills this research gap by examining the dynamic effects of economic policy uncertainty shocks on Iran’s housing market and identifying their transmission channels through real, financial, and price-related variables.

A Time-Varying Parameter Factor-Augmented Vector Autoregression (TVP-FAVAR) model is estimated using quarterly data for 1992–2024. The analysis incorporates gross domestic product, consumption, investment, unemployment, inflation, the interest rate, and the number of building permits issued.

The empirical findings indicate that economic policy uncertainty shocks initially increase the interest rate in the short run, but this effect gradually weakens and turns negative over medium-term horizons. The shocks also increase consumption, inflation, unemployment, and gross domestic product, while reducing investment. More importantly, policy uncertainty has a negative and statistically significant impact on the number of building permits issued, and the magnitude of this adverse effect increases over time. These results suggest that policy uncertainty constrains housing supply through higher financing costs, reduced developers’ confidence, and weaker expectations regarding future economic conditions. Accordingly, enhancing policy transparency and stability and facilitating private investment can contribute to greater stability in the housing market.

Abstract این پژوهش با هدف بررسی اثر سیاست‌های پولی و اعتباری بر متغیرهای کلان و مالی در اقتصاد ایران، با استفاده از یک مدل تعادل عمومی پویای تصادفی (DSGE) توسعه‌یافته مبتنی بر چارچوب گرتلر و کارادی (2011) همراه با تعبیه سازوکار حباب عقلایی قیمت دارایی انجام شده است. کالیبراسیون مدل با استفاده از داده‌های فصلی اقتصاد ایران در دوره زمانی گسترده صورت گرفته و نتایج شبیه‌سازی و تجزیه واریانس یافته‌های مهمی را به دست داده است.
نتایج پژوهش نشان می‌دهد که شوک کیفیت سرمایه، نقش غالب و تعیین‌کننده‌ای در تبیین نوسانات متغیرهای کلان و مالی اقتصاد ایران دارد. این شوک به‌تنهایی بخش عمده‌ای از نوسانات تولید کل، خالص ثروت واسطه‌های مالی، اهرم مالی، سرمایه‌گذاری، تورم، قیمت بازاری سرمایه، بازده سرمایه، رشد اعتبارات و پریمیوم مالی را توضیح می‌دهد. این یافته بیانگر آن است که پویایی‌های اقتصاد ایران عمدتاً تحت سلطه کانال‌های مالی، وضعیت ترازنامه واسطه‌های مالی و بازدهی سرمایه قرار دارد و شوک‌های سنتی طرف عرضه نقش نسبتاً محدودی در نوسانات اقتصادی ایفا می‌کنند.

Abstract The purpose of this article is to investigate the impacts of monetary policy on the return of different industries of Tehran Stock Exchange. According to the existing theories, this effect can be different. In the current research, using the Pooled Mean Group (PMG) method, in the period of April 2010 to March 2022, it examines the above issue monthly in 35 active stock market industries. In this research, based on the method of principal component analysis (PCA) and with the proxies of credit volume, exchange rate and net foreign assets of the central bank, a monetary conditions index suitable for Iran's economy was created as a measure of monetary policy. The results indicate that in the long term, monetary policy has a positive and significant impact on the return of Tehran Stock Exchange industries. But in the short-term and the current period, it has no impact on the return of these industries, and it leaves its impacts with two lags. According to the obtained results, monetary policy makers should act in line with the capital market and consider the trust and interests of investors. In this situation, investors should pay attention to monetary policy tools along with their time horizon and try to neutralize the possible risk.