نوع مقاله : مقاله پژوهشی
نویسندگان
1 گروه اقتصاد نظری، دانشکده اقتصاد، ،دانشگاه تهران، تهران، ایران
2 دانشکده اقتصاد دانشگاه تهران
3 دکتری تخصصی دانشکده اقتصاد دانشگاه تهران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
This study investigates the reaction of the capital market to monetary policy shocks under conditions of economic uncertainty using the Time-Varying Parameter Quantile Vector Autoregression (TVP-QVAR) model. The TVP-QVAR framework is applied to quarterly data from 2001–2024 to analyze dynamic spillovers and net connectedness among stock market growth, liquidity growth (as a proxy for monetary policy), and the economic uncertainty index. The findings reveal that economic uncertainty is the primary driver of fluctuations in both liquidity growth and stock market returns. When uncertainty shocks are persistent and long-term, the net spillover from uncertainty to liquidity growth and stock market growth intensifies significantly. Short-term liquidity shocks that persist tend to transmit volatility to the stock market in the medium term; combined with rising uncertainty, this leads to severe turbulence in liquidity and equity markets over the long term. Consequently, controlling short-term economic volatility prevents excessive liquidity expansion. If policymakers overlook this, medium-term liquidity growth becomes destabilized through the uncertainty channel, transmitting stronger volatility to the stock market in the long run. These results underscore the need for timely uncertainty management to safeguard financial stability. . If policymakers overlook this, medium-term liquidity growth becomes destabilized through the uncertainty channel, transmitting stronger volatility to the stock market in the long run. These results underscore the need for timely uncertainty management to safeguard financial stability.
کلیدواژهها [English]
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