The Realationship between Monetary Policy and Financial Condition Index in Iran (MSIHA Approach)

Iranian Journal of Accounting, Auditing and Finance

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 22 اردیبهشت 1403

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2024.86564.1440

نویسندگان

Zahra Haeri Nasab^{* 1}؛ qmars Sohaili²

¹Phd in economics

²Professor in economics

چکیده

Monetary policy is one of the important economic policies that affect the macro variables of every country. One of the composite variables that are affected by the monetary policy is the FCI. This study aimed to measure the effect of monetary policy through different channels on the FCI of Iran. Using time series data from 1991-2023 and the econometric method of PCA, the FCI was first calculated. The effect of monetary policy on the FCI of the country using the Markov-switching (MSIHA(2) AR(2)) model was calculated and estimated. The results of the estimation of the Markov-switching model indicate that the studied period can be divided into two regimes of zero and one. So that 1% increase in the FCI in regime zero will lead to a 0.02% return of the FCI in the next month and a 0.36% increase in the next two months. In addition, the increase in the FCI in regime one will lead to a 0.08% return of the FCI and a 0.10% increase in the next two months. In addition, the volume of money in regime zero and regime one also positively and significantly affects FCI.

کلیدواژه‌ها

Monetary Policy؛ FCI؛ PCA؛ Markov-Switching؛ Iran