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   The Effect of Monetary Policy on Regime Changes of Financial Assets  
نویسنده Erfani Alireza ,Abbasi Saeed
منبع Journal Of Money And Economy - 2018 - دوره : 13 - شماره : 3 - صفحه:319 -341
چکیده    The main objective of this study was to investigate the effect of monetary policy on changes in the price of financial assets (including foreign exchange, gold and stocks) in iranian economy. in this regard, this paper answers whether monetary policy could lead to regime changes in asset markets. to answer this question, monthly data during the years 1995 to 2017 and a combination of markov switching and probit methods were used. first, using markov switching method, each market was divided into two highvolatility and low-volatility regimes with different average returns, and then, by a probit model, the effect of monetary policy on the probability of markets being exposed to these regimes was studied. the results of this study show that in all three markets, the markov switching model offers better fit than the linear model, which indicates the occurrence of regime changes in the markets. the results of the probit model show that monetary policy in all three markets is effective on their regime changes, and an expansionary monetary policy will strengthen the position of all three markets in the high-volatility regime with a positive average return. also, inflation is also one of the factors affecting regime changes in all three markets. the market situation in the past period as well as the situation of other markets are among the factors that lead to regime changes in asset markets. the sanctions imposed on iran's economy in the currency and gold markets are among the factors that have strengthened the likelihood of changing the regime of these two markets to a volatile environment.
کلیدواژه Regime Switching In Asset Markets ,Markov Switching Model ,Monetary Policy
آدرس Semnan University, Department Of Economics, Iran, Semnan University, Department Of Economics, Iran
پست الکترونیکی abbasi_saeedir@yahoo.com;s.abbasi@semnan.ac.ir

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