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بررسی محرکهای کلان شاخص کل بورس با نگرشی غیرخطی در قالب مدل رگرسیون آستانهای | ||
راهبرد مدیریت مالی | ||
مقاله 6، دوره 12، شماره 4 - شماره پیاپی 47، دی 1403، صفحه 145-172 اصل مقاله (452.46 K) | ||
نوع مقاله: مقاله پژوهشی | ||
شناسه دیجیتال (DOI): 10.22051/jfm.2024.46832.2915 | ||
نویسنده | ||
احسان زنگنه* | ||
استادیار اقتصاد، دانشکده ادبیات و علوم انسانی، دانشگاه بیرجند، بیرجند، ایران | ||
چکیده | ||
شاخص کل بورس تهران در دورههای مختلف از یک عامل محرک، اثرات متفاوت و نامتقارنی را پذیرفته است از این رو مطالعه عوامل اثرگذار بر شاخص کل بورس تهران با رویکرد خطی نتایج مطلوبی را به دست نخواهد داد و بایستی از رویکرد غیرخطی برای بررسی محرکهای شاخص کل بورس استفاده کرد. بنابراین در این پژوهش به بررسی رفتار نامتقارن عوامل کلان اقتصادی بر شاخص کل بورس تهران با رویکرد غیرخطی در قالب مدل رگرسیون آستانهای با بهکارگیری دادههای ماهانه طی سالهای 1395 تا 1401 پرداخته میشود. درنتیجه متغیرهای نرخ بهره بین بانکی و نرخ ارز نقش متغیر آستانهای را ایفا کردند و اثرات نامتقارن متغیرهای کلان اقتصادی بر بازار سهام حول این متغیرهای آستانه هویدا گردید. بنابراین سیاستگذار در بازار سهام بایستی به این اثرات نامتقارن توجه ویژهای داشته باشد، چرا که دیده میشود که یک متغیر اثرات متفاوتی بر بازار سهام در رژیمهای مختلف داشته است. مثلا نرخ بهره بین بانکی در دورانی که از حد آستانه 18 درصد پایینتر است اثر منفی قوی تری بر شاخص کل داشته نسبت به زمانی که نرخ بهره بین بانکی بالاتر از حد آستانه 18 درصد بوده است. توجه به این اثرگذاری نامتقارن متغیرهای کلان اقتصادی سبب کاهش خطا در سیاستگذاری در بازار سهام خواهد شد. | ||
کلیدواژهها | ||
اثرات نامتقارن؛ رگرسیون آستانهای؛ شاخص کل بورس؛ نرخ ارز؛ نرخ بهره بینبانکی | ||
عنوان مقاله [English] | ||
Investigating Macro Drivers of the Total Stock Market Index with a Non-linear Approach in the Form of a Threshold Regression Model | ||
نویسندگان [English] | ||
Ehsan Zanganeh | ||
Assistant Professor of Economics, University of Birjand, Iran | ||
چکیده [English] | ||
The total index of the Tehran Stock Exchange has accepted different and asymmetric effects from a driving factor in different periods, therefore, the study of factors affecting the total index of the Tehran Stock Exchange with a linear approach will not yield favorable results, and a non-linear approach should be used to investigate the driving force. used the indices of the whole stock market. Therefore, in this research, the asymmetric behavior of macroeconomic factors on the total index of the Tehran Stock Exchange is investigated with a non-linear approach in the form of a threshold regression model using monthly data during the years 2016 to 2022 . As a result, the variables of interbank interest rate and exchange rate played the role of a threshold variable, and the asymmetric effects of macroeconomic variables on the stock market were seen around these threshold variables. Therefore, the policy maker in the stock market should pay special attention to these asymmetric effects, because it can be seen that a variable has different effects on the stock market in different regimes. For example, when the interbank interest rate is lower than the 18% threshold, it has a stronger negative effect on the total index than when the interbank interest rate is above the 18% threshold. Paying attention to this asymmetric effect of macroeconomic variables will reduce the error in policy making in the stock market. | ||
کلیدواژهها [English] | ||
Asymmetric effects, Exchange rate, Interbank interest rate, Threshold regression, Total stock market index | ||
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