قیمت‌گذاری دارایی‌های مالی و نقش سیاست‌های پولی مبتنی بر تورم

نوع مقاله: مقاله پژوهشی

نویسندگان

1 استادیار گروه اقتصاد دانشکده اقتصاد دانشگاه خوارزمی، تهران، ایران

2 کارشناس ارشد مدیریت مالی، دانشکده علوم اداری و اقتصاد دانشگاه اصفهان، اصفهان، ایران

چکیده

هدف این مقاله ارائه یک چارچوب تجربی برای ارزیابی شوک‌های سیاست پولی در بازارهای سهام و مسکن ایران در رژیم با نوسانات بالا و پایین است. ابتدا با استفاده از الگوهای مارکف سوئیچینگ، بازارهای سهام و مسکن به دو رژیم تقسیم و احتمالات مرتبط با هر رژیم استخراج می­گردد. رویکرد الگو­سازی مارکف سوئیچینگ به‌منظور شناسایی دو محیط متمایز برای هر بازار که محیط با نوسانات بالا و محیط با نوسانات پایین نام­گذاری می‌شود، به کار می‌رود. سپس با استفاده از الگوهای پروبیت اثرات مربوط به سیاست­های پولی بر احتمال قرار گرفتن بازارهای مسکن و سهام در رژیم با نوسانات بالا بررسی شده است. برای این منظور از داده‌های ماهانه نرخ رشد پایه پولی، بازده بازار سهام و مسکن، نرخ تورم و بازده دلار طی دوره زمانی 1395-1389 استفاده شده است. نتایج نشان می‌دهد که رشد پایه پولی و نرخ تورم بالاتر باعث باقی ماندن بازار سهام و مسکن در رژیم با تغییرپذیری بالا می‌شود. همچنین بالا رفتن بازدهی دلار موجب کاهش احتمال قرار گرفتن دو بازار فوق در رژیم با نوسانات بالا می‌شود. یافته‌های فوق برای سیاست‌گذاران مفید است، زیرا بررسی‌های انجام شده درجه‌ای از قدرت پیش‌بینی الگو را ارائه می‌دهند که می‌توانند در تصمیمات مبتنی بر سیاست پولی استفاده شوند.

کلیدواژه‌ها


عنوان مقاله [English]

Asset Pricing and the Role of Monetary Policy based on Inflation Targeting

نویسندگان [English]

  • Hossein Amiri 1
  • Reza Ghafouri 2
1 Assistant Professor of Economics, Faculty of Economics, Kharazmi University, Tehran, Iran
2 MA in Financial Management, Faculty of Administrative Sciences and Economics, University of Isfahan, Isfahan, Iran
چکیده [English]

The purpose of this paper is to provide an empirical framework for assessing monetary policy shocks in two Iranian stock and housing markets in high and low volatility regimes. For this purpose, using Markov Switching model, both stock and housing markets are divided into two regimes and probabilities associated with each regime. It should be noted that the Markov Switching Modeling Approach is used to identify two distinct environments for each market where the environment is referred to as high fluctuations and low fluctuation environments. Then, using Probit model, the effects of monetary policy on the probability of housing and stock markets in a regime with high fluctuations are investigated. For this purpose, the monthly data on money base, the stock market and housing stock returns, inflation rates and dollar during the period of 2010-2016 were used. The results show that money base and higher inflation rates will keep stock and housing stock in a highly volatile regime. The rise in dollar also reduces the probability of the two above-mentioned markets fluctuating in the regime. The findings are very useful for policy makers, because the results provide a degree of predictive power that can be used in monetary policy decisions.

کلیدواژه‌ها [English]

  • Inflation Targeting
  • Markov regime switching
  • financial asset prices
  • Monetary Policy
  • Stock market
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