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Raki Kianpour, Samere, Arman, Seyed Aziz, Farazmand, Hassan. (1403). Constructing the Financial Conditions Index for Iran's Economy and Assessing its Effects on Stock Returns by FAVAR and TVP-FAVAR Models. , (), -. doi: 10.22059/ier.2024.371620.1007923
Samere Raki Kianpour; Seyed Aziz Arman; Hassan Farazmand. "Constructing the Financial Conditions Index for Iran's Economy and Assessing its Effects on Stock Returns by FAVAR and TVP-FAVAR Models". , , , 1403, -. doi: 10.22059/ier.2024.371620.1007923
Raki Kianpour, Samere, Arman, Seyed Aziz, Farazmand, Hassan. (1403). 'Constructing the Financial Conditions Index for Iran's Economy and Assessing its Effects on Stock Returns by FAVAR and TVP-FAVAR Models', , (), pp. -. doi: 10.22059/ier.2024.371620.1007923
Raki Kianpour, Samere, Arman, Seyed Aziz, Farazmand, Hassan. Constructing the Financial Conditions Index for Iran's Economy and Assessing its Effects on Stock Returns by FAVAR and TVP-FAVAR Models. , 1403; (): -. doi: 10.22059/ier.2024.371620.1007923

Constructing the Financial Conditions Index for Iran's Economy and Assessing its Effects on Stock Returns by FAVAR and TVP-FAVAR Models

Iranian Economic Review
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 30 اردیبهشت 1403
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ier.2024.371620.1007923
نویسندگان
Samere Raki Kianpour* ؛ Seyed Aziz Arman؛ Hassan Farazmand
Department of Economics, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran
چکیده
In this study, the financial conditions index (FCI) for Iran's economy was reviewed. The factor-augmented vector autoregressive model and the factor-augmented vector autoregressive model with time-varying coefficients are used to construct FCI. The ability of the constructed index to predict various variables is also evaluated. The construction of the index and estimation of the models are based on the quarterly data for the period 1989 to 2019. The variables used included interest rate and inflation, exchange rate, consumption, banking facility, total stock market index, money supply, oil revenue, and GDP growth. The findings indicated significant volatilities in the model parameters. According to the findings, Under the restriction that model parameters are time-invariant, the shock from the improvement of the financial conditions index led to a negative response to the stock market index and this effect remained for eight periods; However, with time-varying coefficients, the stock market index has responded positively to shock in FCI, and this effect remained for 10 periods and then disappeared. Furthermore, according to the results of the In-sample prediction error, the Root Mean Square Error (RMSE) represents the high power of model prediction.
کلیدواژه‌ها
Financial Condition Index؛ Stock Returns؛ Factor Augmented Vector Autoregressive Model؛ Time-Varying Parameter Model؛ Iran
آمار
تعداد مشاهده مقاله: 165





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