The effect of monetary and financial policies on the price of financial assets Using the Panel VAR method

Subject Areas : Financial Knowledge of Securities Analysis

مجید محمدمیرزائی داریان ¹ , ahmad nagilo ² , Yadollah Rajaei ³

1 - Department of Economics, Zanjan Branch, Islamic Azad University, Zanjan, Iran.
2 - Department of Economics, Zanjan branch, Islamic Azad University, Zanjan, Iran (corresponding author)
3 - Department of Economics, Zanjan Branch, Islamic Azad University, Zanjan, Iran

Received: 2024-05-28 Accepted : 2024-07-13 Published : 2025-01-25

Keywords: shocks, monetary, financial, financial asset prices, Panel VAR,

Abstract :

The main purpose of this article is to investigate the effect of monetary and financial shocks on the prices of financial assets using the Panel VAR method. The current research method is based on the research objectives of applied type. Research data in the period between 1390 and 1400 in the period. It was fitted using Eviews12 software. The results of the Dickey-Fuller test showed the stationarity or meanness of the variables. research variables; The logarithm of the exchange rate, the logarithm of the price index, the logarithm of the gross domestic product, the logarithm of the price index of construction services, the logarithm of the land price index, the logarithm of the volume of liquidity, the logarithm of government expenditures, and the logarithm of the building rent index were stationary at level I_1; The results of the optimal interval based on the Schwartz Bayesian criterion (SBC) showed that the best interval is one and two. The results of Johansen's cointegration test based on the effect statistic and the maximum eigenvalue showed that there is a long relationship between the research variables. The results of the analysis of shocks showed that monetary and financial shocks affect the price of financial assets.

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