期刊名称：International Journal of Economics and Finance Studies
电子版ISSN：1309-8055
出版年度：2011
卷号：3
期号：1
出版社：Social Sciences Research Society
摘要：In this paper, we examine the relationship between Tehran Stock Exchange (TSE) price index and a set of three macroeconomic variables from 2001 to 2007 using Unrestricted Vector Autoregressive (VAR) model. Our analysis based on Impulse Response Function (IRF), indicate that the response of TSE price index to shocks in macroeconomic variables such as consumer price index (CPI), free market exchange rate, and liquidity (M2) is weak. In addition, generalized Forecast Error Variance Decomposition (FEVD) reveals that share of macroeconomic variables in fluctuations of TSE price index is about 12 per cent. Finally, it seems that political shocks or other economic forces can effect on TSE price index in Iran.
关键词：Stock Price Index; Macroeconomic Variables; VAR Model
