The Effect of Monetary Policy Uncertainty on Stock Market Uncertainty

Document Type : Research Paper

Authors

1 Ph.D. Candidate of Economics, Aligudarz Branch, Islamic Azad University, Aligudarz, Iran.

2 Assistant Professor of Economics, Faculty of Management and Economics, University of Lorestan, Khoramabad, Iran.

3 Assistant Professor of Economics, Faculty of Humanities, Ayatollah Borujerdi University, Borujerd, Iran.

Abstract

Objective: The concept of this study is related to different stakeholders which include policy makers, financial market participants, asset managers and company managers. First, policymakers and government agencies should be aware that uncertainty related to economic policies (monetary policies, fiscal spending, regulations, changes in taxes, national debt, etc.) can have decisive effects on investor sentiment and asset prices. Government agencies should provide uninterrupted communication with elected officials to help clarify the government's policy stance on economic matters. This limits uncertainty about the future direction of certain government policies, which should lead to less volatile and better priced financial assets. Second, financial market participants and asset managers should be aware of changes and direction of change in policy uncertainty and position their portfolios in response to changes in policy uncertainty, which can have short-term and long-term effects on the stock market. Asset managers and investors with long-term mandates and time horizons should be equally concerned about policy uncertainty and its asymmetric effects. Finally, corporate managers may use policy uncertainty to help them time their capital raising activities. Therefore, by taking advantage of policy uncertainty, firm managers may time their firm's capital raising activities to minimize their firm's cost of capital and maximize firm value. Therefore, considering the importance of the capital market in the country's economy on the one hand and the occurrence of numerous shocks in the field of monetary policy, the main purpose of this study is to investigate the effect of monetary policy uncertainty on stock market uncertainty in Iran.
Method: In this study, according to the type and purpose of the research, it is applied and in terms of controlling the variables, it is a non-experimental and descriptive-correlation research. Conducting research in the form of inductive analogy and its information is event type. In this study, information on Iran's economy during the years 1368-1400 has been examined. The source of the data used is the database of the World Bank and the Central Bank of the Islamic Republic of Iran, and ARDL and NARDL methods have been used to estimate the desired models. It should be mentioned that Eviews11 software was used to estimate the model. The research model with Elha is specified from the two studies of Battabial and Killins (2021) and Fu and Lu (2021).
Findings: The results of the ARDL linear model show that in the long term, the uncertainty of monetary policies causes the intensification of uncertainty in the stock market. On the other hand, in the non-linear ARDL model, the results showed that monetary policy uncertainty shocks do not have an asymmetric effect on stock market uncertainty in the first place, and secondly, negative shocks have a positive effect on stock market uncertainty in the long term. Other results showed that government size and economic growth do not play a role in stock market uncertainty. While, the exchange rate, inflation rate and interest rate have an effect on the uncertainty of the stock market.
Conclusion: This research was conducted with the aim of investigating the effect of monetary policy uncertainty on stock market uncertainty in Iran using the NARDL approach. In this study, in addition to using the NARDL approach, the ARDL approach has also been used, and in some ways, the linear and non-linear approach has been compared. In the nonlinear model, the positive and negative shocks of monetary policy uncertainty were calculated using the NARDL approach and included in the model. The results of linear and non-linear models showed that the uncertainty of monetary policies affects the uncertainty of the stock market in the long term. In other words, the uncertainty in the application and implementation of monetary policies increases uncertainty in the stock market. The results in the non-linear approach showed that; First, the effect of negative and positive uncertainty shocks is not asymmetric. Second, only the negative shock of monetary policy uncertainty has an effect on stock market uncertainty. In other words, with the occurrence of a negative shock in the uncertainty of monetary policies, the uncertainty in the stock market increases. The results of other variables showed that economic growth and government size, despite their importance in the formation of trust in the capital market, have an insignificant effect on stock market uncertainty. On the other hand, the occurrence of inflationary conditions in the country, both due to the inflation rate and the increase in the exchange rate, causes an increase in uncertainty in the stock market. However, an increase in interest rates will reduce uncertainty in the stock market.

Keywords

Main Subjects

References

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  • Receive Date: 22 November 2022
  • Revise Date: 01 March 2023
  • Accept Date: 05 March 2023

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