The Asymmetric Effect of Macroeconomic Variables on Stock Price Index: Quantile ARDL Approach

This paper aims at investigating the asymmetric impact of long-term and short-term macroeconomic variables on the capital market prices of Iran.Macroeconomic variables are inflation, exchange rate, non-oil trade balance and crude oil prices. In order to investigate these relationships, the quantile autoregressive distributed lag (QARDL) method introduced by Cho et al. (۲۰۱۵) has been used. For this purpose, monthly data related to Iran's economy in the period ۲۰۰۸: M۹-۲۰۲۱: M۶, have been used. Findings show that in the short run, the macro variables used except the trade balance and oil prices have an asymmetric effect on the capital market price index. In the long run, all variables except oil price have an asymmetric effect on the stock price index and the effect of oil price is symmetrical and significant. This conclusion shows that in situations where the stock market price index is in a state of prosperity, recession or normal, except for oil prices, the effect of research variables on this index is not the same and even this effect is different in the short and long term.

کلیدواژه ها:

Macroeconomic Variables ، Stock Price ، Quntile Regression ، QARDL ، متغیرهای اقتصاد کلان ، قیمت سهام ، رگرسیون چندکی ، QARDL