نااطمینانی سیاست های اقتصادی و بازار سهام ایران با تکیه بر رویکرد تغییر رژیمی مارکف

نوع مقاله: مقاله پژوهشی

نویسندگان

1 استادیار، دانشکده اقتصاد، دانشگاه خوارزمی، تهران، ایران

2 دانش آموخته کارشناسی ارشد، دانشکده اقتصاد، دانشگاه خوارزمی، تهران، ایران.

چکیده

از جمله عواملی که سرمایه­ گذاران در تصمیم ­گیری­های خود مد نظر قرار می­دهند، نرخ بازده سهام است. دستیابی به این بازده در شرایطی امکان­پذیر است که ثبات اقتصادی وجود داشته باشد. یکی از جنبه ­های ثبات اقتصادی، ثبات سیاست­های اقتصادی است که نقش مهمی در اقتصاد کشور ایفا می­کند. به­ گونه ­ای که اگر نااطمینانی نسبت به سیاست­های اقتصادی وجود داشته باشد، این نااطمینانی موجب نااطمینانی فعالان اقتصادی نسبت به تحولات آینده­ی اقتصاد خواهد شد و به دنبال آن صاحبان سرمایه دیگر قادر به تصمیم­ گیری برای آینده از جمله سرمایه ­گذاری نبوده و بازار پول و بازار سرمایه با مشکل مواجه خواهد شد. در این مقاله اثر نااطمینانی سیاست­های اقتصادی بر بازده بازار سهام با استفاده از مدل­های خطی و غیرخطی (مارکف سوئیچینگ) طی دوره زمانی 1395-1360 بررسی شده است. در پژوهش فوق از متغیرهای نرخ رشد اقتصادی، نرخ تورم، نرخ بیکاری، نرخ سود حقیقی، نااطمینانی سیاست­های اقتصادی و نرخ رشد نقدینگی به عنوان متغیرهای مستقل استفاده می­شود. یافته­ های مقاله نشان می­دهد که نااطمینانی در سیاست­های اقتصادی موجب کاهش بازده بازار سهام می­شود. همچنین ارتباط بین بازده بازار سهام و نااطمینانی سیاست­های اقتصادی غیرخطی و اثر نااطمینانی بر بازده سهام در رژیم با نوسانات بالا قوی­تر و پایدارتر است. لذا اتخاذ سیاست­های مناسب و پایدار اقتصادی از سوی سیاستگذاران اقتصادی به ویژه در حوزه پولی و مالی توصیه می­شود.

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