An application of the ARDL Bounding Test in the relationship between central bank independence and the stock market in Iran

Document Type : Original Article

Authors

1 Associate Professor of Economics, Faculty of Economics and Administrative Sciences, University of Mazandaran

2 Professor of Economics, Faculty of Economics and Administrative Sciences, University of Mazandaran

3 MA of Economics, Faculty of Economics and Administrative Sciences, University of Mazandaran

Abstract

The decisions of the central bank, as the most important monetary institution of any country, have an impact on the companies whose shares are bought and sold in the stock exchange, and this market is dependent on the policies of the central bank. Considering the importance of this issue, in the present study, the effect of central bank independence on the stock returns of active industries in the Tehran Stock Exchange during the period of 1370 to 1399 will be investigated by using the ARDL Bounding Test. Results of the model indicate that increasing the degree of central bank independence increases the stock returns of active industries in the Tehran Stock Exchange. Also, the findings show that the impact of GDP growth, interest rate, oil price and turnover ratio on stock returns is positive and on the other hand, inflation rate and real exchange rate have a negative effect on stock returns.

Keywords

References

پاشایی‌فام، رامین و امیدی‌پور رضا (1388)، بررسی تأثیر نرخ تورم بر بازده واقعی سهام در اقتصاد ایران، فصلنامه پژوهش ها وسیاست­های اقتصادی، 17 (۵۰) ،۱۱۳-۹۳.
پیرائی، خسرو و شهسوار، محمد رضا (1388)، تأثیر متغیرهای کلان اقتصادی بر بازار بورس ایران، پژوهشهای اقتصادی (رشد و توسعه پایدار)، ۹ (۱)،۳۸-۲۱.
جعفری صمیمی، احمد و درخشانی درآبی، کاوه (1394)، استقلال بانک مرکزی در ایران: تحلیل نظری و تجربی، فصلنامه پژوهش‌های پولی- بانکی، 8(24)، 167-190.
جلیلی، ظریفه، عصاری آرانی، عباس، یاوری، کاظم و حیدری، حسن (1396)، ارزیابی ساز و کار انتقلال سیاست پولی بر بازار سهام در ایران با استفاده از روش خود رگرسیونی برداری ساختاری(SVAR)، فصلنامه پژوهش های اقتصادی (رشد و توسعه پایدار).17(4) 173-195.
رضاقلی زاده، مهدیه، یاوری، کاظم، سحابی، بهرام و صالح آبادی، علی (1392)، بررسی تاثیر نوسانات دارایی های جایگزین سهام بر شاخص قیمت سهام، بررسی­های حسابداری و حسابرسی، 20(1):  76-53.
زرین اقبال، حسن، جعفری صمیمی، احمد و طهرانچیان، امیرمنصور (1397)، تاثیر استقلال بانک مرکزی بر نوسانات تولید و تورم در ایران، پژوهش­های رشد و توسعه اقتصادی، 8(30): 54-33.
زمردیان، غلامرضا، شعبان زاده، مهدی و نجفی شریعت زاده، ایرج (1394)، بررسی اثرپذیری بازار سرمایه ایران از عدم اطمینان سیاست پولی و مالی، مجله مهندسی مالی و مدیریت اوراق بهادار، (25) 81-106.
سلمانی بی شک، محمدرضا، برقی اسکویی، محمد مهدی و لک، سودا (1394)، تاثیر شوک های سیاست پولی و مالی بر بازار سهام ایران، فصلنامه تحقیقات مدل سازی اقتصادی، (22) 93-131.
طیبی ثانی، احسان و نزشتی، امین (1401)، اثرات غیرخطی نرخ بهره بر شاخص کل بازار سهام در اقتصاد ایران رهیافت تغییر رژیم مارکوف، فصلنامه سیاست ­های مالی واقتصادی، ۱۰ (۳۷) :۱۳۶-۱۱۳.
لعل خضری، حمید و شهرازی، میلاد (1400)، رشد اقتصادی و شوک نقدینگی در بازار سهام: رویکرد خودرگرسیون برداری بیزین، بررسی مسائل اقتصاد ایران، 8 (شماره 1 (شماره پیاپی:15)), 251-274.
نیازی محسنی، محسن، شهرستانی، حمید، هژبرکیانی، کامبیز و غفاری، فر‌هاد (1397)، بررسی اثر شوک‌‌های سیاست‌‌های پولی بر متغیر‌‌های کلان اقتصادی با تأکید بر نقش استقلال بانک مرکزی، فصلنامه پژوهش‌‌های پولی _ بانکی، 36: 182-151.
یزدانی، مهدی، طیبی، سید کمیل و یزدانی، نفیسه (1394)، چگونه استقلال بانک مرکزی بر ثبات مالی اقتصاد در کشورهای بازارهای نوظهور اثرگذار است؟، فصلنامه اقتصاد پولی، 22(9) 151-132.
Afonso, A. & Blanco, A. C. (2021), Unemployment and financial development: evidence for OECD countries, REM WP, 204-2021.‏
Afshari, Z. & Darayi, F. (2019), The Impact of Central Bank Independence on Stock Market Volatility, Jornal of Money and Economy, 13(4): 423,441.
Akinci, M., Akinci, G.Y. & Yilmaz, O. (2015), The relationship between Central Bank Independence, Financial Freedom and Economic Growth: A Panel ARDL Bounds Testing Approach, Central Bank Review, 15: 1-14.
Alesina, A. (1988), Macroeconomics and Politics. NBER Macroeconomics Annual, Cambridge, MIT Press, 13-62.
Alesina, A. & Summers, L. H. (1993), Central Bank Independence and Macroeconomic Performance: Some Comparative Evidence, Journal of Money, Credit and Banking. 25(2): 151-162.
Alesina, A., Grilli, V. (1992), The European Central Bank: Reshaping Monetary Policy in Europe, Cambridge University Press.
Arnone, M., Laurens, B.J., Segalotto, J.-F. & Sommer, M. (2009), Central bank autonomy: lessons from global trends, IMF Staff Pap. 56 (2): 263–296.
Barrow, G. M. (1983), Free energy and equilibrium: The basis of G0=-RT in K for reactions in solution, Journal of Chemical Education, 60(8): 648.‏
Berger, W. & Kißmer, F. (2013), Central bank independence and financial stability: a tale of perfect harmony?, Eur. J. Polit. Econ, 31: 109–118.
Bernanke, B. S. (2010), Central Bank Independence, Transparency, and Accountability, In Speech at the Institute for Monetary and Economic Studies International Conference, Bank of Japan, Tokyo, Japan, May (Vol. 25).
Bhattacharya, B. & J, Mukherjee. (2002), Causal relationship Between Stock
Market and ExchangeRate, Foreign Exchange Reserves and Value of Trade
Balance : A Case Study for India, http://www.igidr. ac.in /~money/basabi.
Borio, C. & Lowe, P. (2002), Asset Prices, Financial and Monetary Stability: Exploring the Nexus, BIS Working Paper No. 114. Bank for International Settlements, Basle.
Bulir, A., Cihak, M. & janson, D. (2018), Does the Clarity of Monetary  Policy Reports Reduce Volatility in Financial Market?, Czech journal of  economics and Finance. 68(1):2-17. 
Castro, V. & Sousa, M. (2012), How do Central Banks react to wealth composition and  asset prices?, Economic modelling. 3(29): 641-653.
Chinzara, Z. (2011), Macroeconomic uncertainty and conditional stock market volatility in south Africa, Journal of economics. 79(1): 27-49.
Čihák, M. (2007), Central bank independence and financial stability, IMF, mimeo.
Cukierman, A. (2006), Central Bank Independence and Monetary Policy Making Institutions: Past, Present, and Future, Central Bank of Chile, Working Paper NO. 360.
Cukierman, A., Webb, S. B. & Neyapti, B. (1992), Measuring the Independence of Central Banks and Its Effect on Policy Outcomes, The World Bank Economic Review, 6: 353-98.
Cukierman, A., Webb, S.B. & Neyapti, B. (1992), Measuring the independence of central banks and its effect on policy outcomes, World Bank Econ. Rev. 6 (3): 353–398.
Dumiter, F. (2009), Measuring central Bank independence and inflation targeting in developed and developing countries, Timisoara journal of central banking. 10(1):189-253.
Dincer, N.N. & Eichengreen, B. (2014), Central bank transparency and independence: updates and new measures, Int. J. Cent. Bank. 10 (1), 189–253.
Elliot, G., Rothenberg, T.J. & Stock, J. H. (1996), Efficient tests for an autoregressive unit root, Econometrica, 64(4): 813-836.
Esqueda, O.A., Assefa, T.A. & Mollick, A.V. (2012), Financial globalization and stock market risk. J. Int, Financ. Mark. Inst. Money, 22 (01): 87–102.
Forch, T. & Sunde, U. (2011), Central Bank Independence and Stock Market returns in emerging economies, Eisevier.com/locate/ecolet. 115: 77-80.
Forch, T. & Sunde, U. (2012), Central bank independence and stock market returns in emerging economies, Econ. Lett. 115(1): 77–80.
Garcia Herrero, A. & Del Rio, P. (2003), Financial Stability and the Design of Monetary Policy, Working paper 17, American University Paris.
Garriga, A. & Rodriguez, C. (2020), More effective than we thought: Central bank independence and inflation in developing countries, Economic Modelling,  85: 87-105.
Grilli, V., Masciandaro, D. & Tabellini, G. (1991), Institutions and policies, Economic Policy, 6(13): 341-392.
Haini, H. & Tan, P. (2022), Re‐examining the impact of sectoral‐and industrial‐level FDI on growth: Does institutional quality, education levels and trade openness matter?, Australian Economic Papers, 61(3): 410-435.‏
James, S. L., Castle, C. D., Dingels, Z. V., Fox, J. T., Hamilton, E. B., Liu, Z.  & Fomenkov, A. A. (2020), Estimating global injuries morbidity and mortality: methods and data used in the Global Burden of Disease 2017 study, Injury Prevention, 26(Suppl 2), i125-i153.‏
Jamus, J. L. (2021), The limits of central bank independence for inflation performance, Public Choice, 186(3): 309-335.
Keefer, P. (1999), When Do Special Interests Run Rampant? Disentangling the Role of Elections, Incomplete Information and Checks and Balances in Ba.
Klomp, J. & de Haan, J. (2010a), Central bank independence and inflation revisited, Public Choice 144 (3–4): 445–457
Kurihara, Y., Morikawa, K. & Takaya, s. (2012), Central Banks Independence and Stock Prices, Modern Economy, 3: 793-797.
Mathew, J. (2006), Measuring Central Bank independence in 25 countries, 8th Annual conferances on money and finance in indian economy.
Mishkin, F. S. (2005), The Economics of Money, Banking and Financial Markets, Addison-Wesley Longman, Sixth Edition.
Mun, K.C. (2007), Volatility and correlation in international stock markets and the role of exchange rate fluctuations, Financ. Mark. Inst. Money, 17: 25–41.
Papadamou, S., Sidiropoulos, M. & Spyromitros, E. (2014), Does Central Bank Transparency Affect Stock Market Volatility?, Eisevier.com/locate/intfin. 31: 362-377.
Papadamou, S., Sidiropoulos, M. & Spyromitros, E. (2017), Does Central Bank Independence Affect Stock Market Volatility?, Eisevier.com/locate/ribaf. 42: 855-864.
Rogoff, K. (1985), The Optimal Degree of Commitment to an Intermediate Monetary Target. Quarterl, Journal of Economics, 100: 1169-1189.
Sargent, T. J. & Wallace, N. (1981), Rational Expectations and the Theory of Economic Policy, Rational Expectations and Econometric Practice. 1: 199-214.
Shahbaznejad, N., Amiri Dehkharghani, R. & Otadi, M. (2022), Immobilization of a Novel Dye Complex with Copper (Ii) on Multi-Walled Carbon Nanotubes and Functional Simulation in Dye-Sensitized Solar Cell, Available at SSRN 4130875.‏
Taylor, J. B. (2016), Central Bank Models: Lessons from the Past and Ideas for the Future, Keynote Presentation at the Workshop, Central Bank Models: The Next Generation, Bank of Canada, 7: 1-30.
Tsai, C. L. (2015), How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis? Energy Economics, 50: 47-62.
Umutlu, M., Akdeniz, L. & Altay-Salih, A. (2010), The degree of financial liberalization and aggregated stock-return volatility in emerging markets, Finance, 34: 509–521.
Zheng, Y. (2020), A Study on the Relationship between the Independence of the Central Bank and China’s Inflation, Journal of Social Sciences, 8(2). 

Files

Share

How to cite

Statistics