financial and monetary policies
Seyed Hassan Masoudi Alavi; Mohammad Nadiri; Alireza saranj
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 ...
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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.
