The capital market plays a very important role in collecting and directing resources towards productive economic activities. In this regard, stock prices can be a significant contribution to the transfer of monetary policy to the real segment of the economy. The aim of this study is to investigate the role of the stock price channel in the mechanism of monetary policy transfer. In addition, due to structural changes, there is the possibility of non-linear transfer of monetary policies and the change in the relationship among the variables over time. Therefore, the MSVAR method, which has many capabilities for dealing with structural changes in different regimes, was used along with the data on GDP, consumer price index, monetary base and Tehran Exchange Stock price Index. These data belonged to a period from the first quarter of 1991 to the fourth quarter of 2015. The results of the research indicated that, in the years after 2008 (regime 0) in the long run and in the years prior to 2008 (regime 1) in short run, the stock price channel had a larger share in transferring money to production. In both regimes, the share of the stock price channel was low in transferring money at the price level.
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Asgharpur, H. (2020). Nonlinear mechanism of monetary policy through the stock price channel: Application of the MS-VAR approach. The Journal of Economic Policy, 12(23), 65-98. doi: 10.22034/epj.2020.10731.1867
MLA
Hussein Asgharpur. "Nonlinear mechanism of monetary policy through the stock price channel: Application of the MS-VAR approach". The Journal of Economic Policy, 12, 23, 2020, 65-98. doi: 10.22034/epj.2020.10731.1867
HARVARD
Asgharpur, H. (2020). 'Nonlinear mechanism of monetary policy through the stock price channel: Application of the MS-VAR approach', The Journal of Economic Policy, 12(23), pp. 65-98. doi: 10.22034/epj.2020.10731.1867
VANCOUVER
Asgharpur, H. Nonlinear mechanism of monetary policy through the stock price channel: Application of the MS-VAR approach. The Journal of Economic Policy, 2020; 12(23): 65-98. doi: 10.22034/epj.2020.10731.1867