آيا بازار سهام در اقتصاد ايران كانالي براي گذر سياست پولي است ؟

Dos Stock Exchange Market Is a Transmission Channel for Monetary Policy?

Macroeconomists have tended to focus on the question whether money (or monetary policy) has any effect on stock market price. This article addresses this question by examining the relationship (predictability) between conditional stock market volatility and conditional money supply volatility in Iran based on monthly data covering the period of April 1991- March 2002. Conditional volatilities are estimated using the Autoregressive Conditional Hetroscedastic (ARCH) and Generalized ARCH (GARCH) models. Relationship (predictability) between the conditional volatility in stock market return and other variables are examined by estimating a two variable Vector Auto Regressive (VAR) model. The variables are including growth of stock market price index (TEPIX) as a measure of return in stock market, growth of money supply (M1), growth of credit supply to the private sector (CPS) and growth of exchange rate in the black market(ER). The results indicate that, stock market is not a transmission channel for monetary policy in Iranian economy. JEL Classification: E44, C22.