چکیده:
The main objective of this study was to investigate the effect of monetary policy on
changes in the price of financial assets (including foreign exchange, gold and stocks) in
Iranian economy. In this regard, this paper answers whether monetary policy could lead
to regime changes in asset markets. To answer this question, monthly data during the
years 1995 to 2017 and a combination of Markov Switching and Probit methods were
used. First, using Markov Switching method, each market was divided into two highvolatility
and low-volatility regimes with different average returns, and then, by a Probit
model, the effect of monetary policy on the probability of markets being exposed to these
regimes was studied. The results of this study show that in all three markets, the Markov
Switching model offers better fit than the linear model, which indicates the occurrence of
regime changes in the markets. The results of the Probit model show that monetary policy
in all three markets is effective on their regime changes, and an expansionary monetary
policy will strengthen the position of all three markets in the high-volatility regime with
a positive average return. Also, inflation is also one of the factors affecting regime
changes in all three markets. The market situation in the past period as well as the
situation of other markets are among the factors that lead to regime changes in asset
markets. The sanctions imposed on Iran's economy in the currency and gold markets are
among the factors that have strengthened the likelihood of changing the regime of these
two markets to a volatile environment.
خلاصه ماشینی:
First, using Markov Switching method, each market was divided into two high- volatility and low-volatility regimes with different average returns, and then, by a Probit model, the effect of monetary policy on the probability of markets being exposed to these regimes was studied.
Accordingly, the main objective of this study is to examine the effect of monetary policy on regime changes in Iranian asset markets (including the foreign exchange market, stocks and gold).
for this purpose, each of these markets is first divided by the Markov Switching regime into two high- and low-volatility regimes (with a different average return), and then the effect of monetary policy on the continuity of the extracted regimes is studied in the form of a probit model.
In this study, the researchers initially extracted the high- volatility and low-volatility market (with different average returns) using the Markov Switching method, and then evaluated the effect of monetary policy on stock market regimes in the form of a Probit model.
In this study, the main objective of the study was to investigate the effect of monetary policy on regime changes in Iran's financial markets (foreign exchange, stocks and gold), and is different from previous studies conducted within the country.
It should be noted that this equation is estimated for each market (gold, foreign exchange and stocks) and the effect of monetary policy and other variables are assessed on the regime changes of that market.