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Showing 2 results for Markov
Mr Ehsan Taieby Sani, Mr Amin Nazeshti,
Volume 10, Issue 37 (6-2022)
Abstract
Interaction between money market and capital market is one of the important issues in Iran’s economy especially during recent years. One of the instruments of money market is real interest rate by which the Central Bank performs expansionary and contractionary monetary policies. Considering the currents during two recent years in capital market and money market and the effort of monetary investors to reinforce capital market by means of f money market, this study also investigates the effect of monetary policy on the efficiency of stock market. Therefore, Markov-Switching Model and quarterly data of Iran’s economy during 2009q1 to 2021q2 have been used. The results revealed that the efficiency of stock market has reacted to real interest rate in every regime with different degrees and in both regimes there was a negative relationship between real interest rate and the efficiency of stock market which signals investors to reduce efficiency rate of money market or real interest rate to reinforce capital market.
Dr Ahmad Ezzati Shourgoli, Mr Aram Mohammadi, Dr Sara Masumzadeh, Mr Mehdi Mohammadi,
Volume 11, Issue 44 (3-2024)
Abstract
Every economic and financial variable has a series of fundamental variables that have a significant impact on its price. In fact, researchers consider price deviations in financial assets as pricing bubbles. In this regard, the present research has investigated the price bubble in the exchange rate in Iran's economy by considering two important fundamental variables of the exchange rate, i.e. Inflation and liquidity growth. Therefore, the generalized Dickey-Fuller test based on the Markov rotation model and seasonal data of the Iranian economy has been used during the period of 1990-2021. For this purpose, first, the generalized Dickey-Fuller test was specified in the form of a Markov switching model for the exchange rate, and then, based on the Monte Carlo method, estimated coefficients and t-statistics were used to investigate the stationary or price bubble in the exchange rate. The results showed that there is a possibility of a price bubble in the regime of fluctuating exchange rates. Therefore, in order to ensure this issue, the fundamental variables of the exchange rate were specified in the form of a Markov switching model in order to determine whether the fluctuations and jumps observed in the exchange rate are due to a price bubble in the exchange rate or due to a natural reaction to changes in inflation and Liquidity growth.
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