Cointegration relation among TEPIX and Some of the Macroeconomic Variables

Subject Areas : Futurology

M. Taghavi ^{1 *} , M.H. Janani ^{2 *}

1 - ندارد
2 - ندارد

Received: 2015-02-22 Accepted : 2015-02-22 Published : 2000-03-20

Keywords:

Abstract :

This paper is about Cointegration relation among Price index in Tehran stock exchange (TEPIX) and some of the macroeconomic variables, including consumer price Index (CPI), exchange rate, housing starts and industrial utilization starts. We are looking for a relation and also the direction of the causal effects among above mentioned variables, using quarterly data from 1369 to 1377. Avoiding spurious regression it is better to test stationiarity by Correlogram and Augmented Dickey Fuller (ADF) unit root tests. Results obtained showed that all variables have unit root and thus are nonstationary. Test statistics and choice was used for selection of the order of the Vector Auto Regressive (VAR) model and the LR test four deletion of deterministic or exogenous variables representation. Results obtained showed that the order of four should be selected. Then using the maximal Eigen value test and trace test, we found four cointegrated vectors and finally selected the optimized vector according to consistency and reasonability of coefficients. We found that relationship among TEPIX  and given variables is as: CPI positive, exchange rate negative, housing starts positive and industrial utilization negative. All the results except industrial starts are consistent with economic theory. Then for prediction dynamism of model and evaluation of dependent variable reaction, we used variance decomposition of the variables and impulse response to one standard error shock in the equation of the variables. Results obtained showed that the effect of given variables on dependent variable. Finally we used Granger causality test and found out that the above result is confirmed and supported by Granger test.