بررسی اثر نامتقارن نااطمینانی سیاست‌های اقتصادی داخلی و جهانی بر شاخص کل بازار سهام ایران

Purpose

The stock market plays a critical role in economic growth and development by channeling savings into productive investments. For emerging economies like Iran, stock market stability is essential for reducing reliance on oil revenues and achieving economic diversification. However, Iran's stock market is highly sensitive to fluctuations in economic policy uncertainty (EPU), both domestic and global. Domestic uncertainties often stem from unpredictable government policies, inflation volatility, and fiscal deficits, while global uncertainties relate to international trade disputes, geopolitical risks, and macroeconomic instability in major economies. The asymmetric nature of these uncertainties means that their positive and negative shocks impact the stock market differently.

This study investigates these asymmetric impacts of domestic EPU and global economic policy uncertainty (GEPU) on the Tehran Stock Exchange (TSE) index. Unlike linear approaches, this research adopts a nonlinear perspective, recognizing that financial markets often react disproportionately to policy shocks. Understanding these dynamics is crucial in a country like Iran, where economic policy inconsistencies and external sanctions frequently disrupt financial markets. The research addresses key gaps in the literature by exploring short- and long-term asymmetries in the relationship between EPU, GEPU, and stock market performance in Iran.

Methodology

To explore the asymmetric impact of policy uncertainty, this study uses quarterly data spanning from 2011 to 2023. Two primary indices, EPU and GEPU, are constructed using advanced statistical techniques:

1. Extended Kalman Filtering (EKF): This technique extracts time-varying economic uncertainty from government spending, taxation, and exchange rate data.

2. Principal Component Analysis (PCA): This method aggregates multiple macroeconomic variables to create robust composite indices for both EPU and GEPU.

The Nonlinear Autoregressive Distributed Lag (NARDL) model is employed to capture asymmetries. This model is particularly useful in disentangling short-term and long-term impacts of positive and negative shocks on the stock market. Unlike traditional models, the NARDL framework accounts for the fact that financial markets may react differently to increases and decreases in uncertainty. Additional variables such as inflation, gold prices, and the COVID-19 pandemic are included to control for their influence on market dynamics.

The methodological rigor of this study lies in its ability to combine advanced econometric modeling with real-world relevance. By isolating the asymmetric effects of policy uncertainty, it provides a nuanced understanding of the factors driving stock market performance in Iran.

Findings and Discussion

1. Asymmetric Effects of Domestic EPU: The findings reveal that positive shocks to domestic policy uncertainty have a significantly negative impact on the stock market in both the short and long term. Investors respond to heightened uncertainty by withdrawing investments or reallocating them to safer assets, leading to market declines. Negative shocks, however, exhibit a weaker influence, suggesting that reduced uncertainty does not immediately restore investor confidence. This highlights the persistent nature of market skepticism in Iran, driven by a history of abrupt policy changes and economic mismanagement.

2. Impact of GEPU on Iran’s Stock Market: Global policy uncertainty has a limited but noticeable effect on the stock market. Positive shocks to GEPU negatively affect the stock market index in the short term as investors anticipate reduced trade flows, currency depreciation, and heightened risk premiums. However, the long-term effects are muted, reflecting Iran's limited integration into global financial markets due to sanctions and trade restrictions. Negative shocks to GEPU, indicating reduced global uncertainty, have an insignificant impact, reinforcing the dominance of domestic factors in shaping Iran's stock market performance.

3. Role of Inflation and Gold Prices: Inflation positively correlates with nominal stock market growth, primarily due to asset hedging behaviors in inflationary environments. Gold prices, on the other hand, do not show significant interactions with the stock market, challenging conventional wisdom about gold's role as a safe haven. This finding underscores the inefficiencies and speculative nature of Iran's financial markets.

4. COVID-19 Pandemic as a Case Study: Contrary to expectations, the COVID-19 pandemic had a short-term positive impact on the stock market. Government interventions, including liquidity injections and fiscal support, stabilized investor sentiment during the crisis. This highlights the importance of timely and targeted policy responses in mitigating the adverse effects of uncertainty shocks.

Conclusions and Policy Implications

This research underscores the critical role of domestic policy uncertainty in influencing Iran's stock market. While global uncertainties have a secondary effect, the findings suggest that policymakers must prioritize reducing domestic EPU to enhance market stability and investor confidence. The key conclusions and policy recommendations include:

1. Reducing Domestic Policy Uncertainty: Transparent communication of fiscal and monetary policies is essential for mitigating uncertainty. Policymakers should adopt predictable and consistent strategies to stabilize investor expectations and reduce the adverse effects of policy shocks.

2. Strengthening Financial Institutions: Enhancing the transparency and governance of financial markets can attract long-term investments and reduce speculative behaviors. Regulatory reforms should focus on improving market efficiency and protecting investor rights.

3. Gradual Global Integration: Iran's limited exposure to global financial markets shields it from some external shocks but also restricts opportunities for diversification and resilience. Gradual reintegration into global trade and financial systems can help mitigate domestic vulnerabilities and create new growth avenues.

4. Leveraging Crisis Management Lessons: The positive impact of COVID-19 interventions demonstrates the importance of proactive policy measures during economic crises. Establishing contingency plans and improving policy coordination can enhance the government’s ability to manage future uncertainties.

This study has broader implications for developing economies facing similar challenges. The asymmetric effects of policy uncertainty observed in Iran may apply to other countries with volatile political environments, limited financial infrastructure, and heavy reliance on domestic markets. The findings emphasize the need for stable policy environments to foster economic growth and resilience in emerging markets.

This research contributes to the literature by highlighting the nonlinear and asymmetric nature of policy uncertainty’s impact on stock markets. By focusing on Iran, a country with unique economic and political characteristics, it fills a critical gap in understanding the interplay between policy uncertainty and financial markets in emerging economies.