نوع مقاله : مقاله پژوهشی
نویسندگان
1 دکتری مالی، مهندسی مالی دانشکدگان فارابی دانشگاه تهران
2 دانشیار گروه مالی و حسابداری،دانشکدگان فارابی، دانشگاه تهران
3 دکتری مالی، گروه مدیریت مالی و حسابداری، دانشکده مدیریت و حسابداری، دانشکدگان فارابی، دانشگاه تهران، قم، ایران.
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
Exchange rate fluctuations and monetary policy shifts influence stock market returns through channels such as capital costs, credit availability, and exchange rates. Understanding the heterogeneous impacts of these mechanisms, particularly under the constraints of economic sanctions, is of critical importance for both policymakers and investors. Accordingly, this study investigates the effect of monetary policy on the stock returns of nine export-oriented and eight import-oriented industries (a total of 17 industries) listed on the Tehran Stock Exchange, over the monthly period from April 2010 to March 2024. Monetary policy was proxied by a Monetary Conditions Index (MCI) constructed via Principal Component Analysis (PCA), while money supply, oil price, and interest rate were included as control variables. Short- and long-run relationships were estimated using the Pooled Mean Group (PMG) approach. The findings reveal that, in the long run, monetary policy exerts a positive and significant impact on the returns of export-oriented industries and on the aggregate of all industries, whereas no significant effect is observed for import-oriented industries. In the short run, no direct impact of monetary policy is reported; however, error correction coefficients indicate that export-oriented, import-oriented, and aggregate industries converge to their long-run equilibrium at adjustment speeds of 84%, 74%, and 80%, respectively. These results underscore the dominant role of export-oriented industries in Iran’s capital market. The study suggests that investors should place greater emphasis on export-oriented sectors under expansionary monetary policy, while policymakers are advised to mitigate potential adverse effects on import-oriented industries by managing exchange and interest ...
کلیدواژهها [English]
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