Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

---

The aim of this study is to investigate the effect of monetary policy uncertainty on stock market uncertainty in Iran. In this study, the positive and negative shocks of monetary policy uncertainty were calculated using nonlinear autoregressive distributed lag (NARDL) approach. Tehran stock market uncertainty index is estimated using stochastic differential equations (SDE). Also, the annual data of Iran's economy over the period 2010-2022 were used. The results of the linear and nonlinear models show that monetary policy uncertainty affects stock market uncertainty in the long-run. The ARDL model shows that monetary policy uncertainty increases stock market uncertainty in the long-run. The results of the nonlinear ARDL model show that monetary policy uncertainty shocks do not have an asymmetric effect on stock market uncertainty, and negative shocks have a positive effect on stock market uncertainty in the long-run. Other results indicates that government size and economic growth do not play a role in stock market uncertainty. Meanwhile, exchange rates, inflation rates and interest rates affect stock market uncertainty. In conclusion, it is proposed to improve the stock market and develop a culture of intangible investment by creating medium- and long-term profitability, increase public confidence in the capital market by reducing government interference, and develop instruments to cover risk and uncertainty.

Keywords: Uncertainty, Stock Market Uncertainty, Monetary Policy, NARDL Approach.

     

Add your comments about this article : Your username or Email:

---