Asymmetric Effects of Monetary Policy Shocks on Stock Price Index in Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Yeghaneh Mousavi Jahromi ¹ , Nasrin Rostami ²

1 - عضو هیات علمی و دانشیار گروه اقتصاد دانشگاه پیام نور
2 - دانشجوی دوره دکترای اقتصاد و عضو هیات علمی دانشگاه آزاد اسلامی واحد میانه

Received: 2014-05-10 Accepted : 2014-08-06 Published : 2015-06-22

Keywords: Foreseen and unforeseen money , Positive and negative impulse , Hodrik-prescott filter,

Abstract :

This paper examines the effects of monetary policy shocks on stock price index ofTehran Stock Exchange by using time series data of Iran over the period 1991-2010.In this regards, first we divided the money shocks into foreseen and unforeseen andthe positive and negative monetary policy using hodrik-prescott filter, then regressedthem on the stocks exchange index.The results showed asymmetric effects of money shocks on stockprice index, so that the foreseen and unforeseen impulse of money affect it differently;the fluctuation of the stock price index arising from unforeseen impulse was higher thanforeseen impulse. Also, result showed that the negative impulse on money (moneydecreasing) was affected the stock price index more than positive impulse.