İran ekonomisinde borsanın enflasyon oranına etkisi

Abstract

Enflasyon ve hisse senedi piyasası arasındaki ilişkinin farklı ülkelerdeki çalışmaları, bu ilişkinin farklı ekonomik yapılar nedeniyle ülkeden ülkeye değişiklik gösterdiğini ortaya koymaktadır. Bu nedenle, bu çalışmada İran'da hisse senedi piyasasının enflasyon kontrolü üzerindeki etkisi araştırılmıştır. Bu amaçla, Otoregresif Dağıtılmış Gecikme yöntemi (ARDL) yardımıyla 1990-2019 yıllarına ait yıllık veriler kullanılmıştır. Araştırma modelinde bağımlı değişken olarak enflasyon oranı ve likidite değişkenleri, döviz kuru ve gayri safi yurtiçi hasıla ile borsa işlemlerinin değeri bağımsız değişkenleri oluşturmuştur. Sonuçlar, likidite, döviz kuru ve GSYİH değişkenlerinin olumlu yönde etkilendiğini ve borsadaki işlem değerinin enflasyon üzerinde olumsuz bir etkisi olduğunu göstermiştir. Ayrıca borsada işlem gören değerin yüzde bir oranında artması, İran ekonomisindeki enflasyon oranını yüzde 1,47 oranında azaltmaktadır. Bu etki tam olarak 1.5 yıl sonra fark edilir. Sonuç olarak borsa, enflasyonu kontrol etmek için diğer parasal ve finansal araçlarla birlikte bir araç olarak kullanılabilir.

Keywords

• borsa
• enflasyon oranı
• döviz kuru
• likidite

The impact of the stock market on the inflation rate in Iran's economy

Abstract

Studies of the relationship between inflation and the stock market in different countries suggest that this relationship varies from country to country due to different economic structures. Therefore, in the present study, the effect of stock market on inflation control in Iran has been investigated. For this purpose, the annual data of 1990-2019 have been used with the help of the Autoregressive Distributed Lag method (ARDL). In the research model, inflation rate as a dependent variable and the value of stock market transactions along with liquidity variables, exchange rate and gross domestic product formed independent variables. The results showed that the variables of liquidity, exchange rate and GDP are positively affected and the value of trading in the stock market has a negative effect on inflation. Also, a one percent increase in the value of trading in the stock market reduces the inflation rate in the Iranian economy by 1.47 percent. This effect is fully realized after 1.5 years. As a result, the stock market can be used as a tool alongside other monetary and financial instruments to control inflation

Keywords

• stock market
• inflation rate
• exchange rate
• liquidity

References

1. Reference 1 Albulescu, T.A, Aubin, C. & Goyeau, D. (2018). Stock prices, inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes. JournalApplied Economics, Vol 49: 1-22.
2. Reference 2 Azizi, F. Khodavisi, H & Johari, F. (2012). Investigating the relationship between inflation and stock returns of Tehran Stock Exchange: Evaluation of Fama succession hypothesis. Quarterly Journal of Economic Research, 12(2):135-117.
3. Reference 3 Cakan, E. (2013). Non-linear Causality between Stock Returns and Inflation Uncertainty: Evidence from the US and the UK. International Business and Economics Research Journal, 12 (1): 63-70.
4. Reference 4 Cappelletti, G., Guazzarotti, G. & Tommasino, P.(2017). The stock market effects of a securities transaction tax: Quasi-experimental evidence from Italy. Journal of Financial Stability, 31: 81-92.
5. Reference 5 Ebrahimi, M. (2019). Investigating the effect of large economic variables on the Iranian stock market using data mining algorithms. Financial Economics Quarterly, 13 (94): 309-283.
6. Reference 6 Ellington, M. & Milas, S. (2019). Global liquidity, money growth and UK inflation. Journal of Financial Stability, 42: 67-74.
7. Reference 7 Fouejieu, A. (2017), Inflation targeting and financial stability in emerging markets. Economic Modelling, 60: 51-70.
8. Reference 8 Groenewold, N., O’Rourke, G & Thomas, S. (1997). Stock Returns and Inflation: A Macro Analysis. Applied Financial Economics, 7: 127-136.

9. Reference 9 Hanan, A.D. & Shatha, A.K. (2017). The relationship between inflation and stock market performance in Jordan. European Journal of Business and Management, 9(29): 142-150.
10. Reference 10 Heydari, H & Refah Kahriz, A. (2017). Investigating the Stability of the Stock Market as a Result of Changes in Inflation and Its Uncertainty: Quarterly Journal of Econometric Modeling, 3(8): 110-85.
11. Reference 11 Humpe, A. & Macmillan, P. (2009). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19 (2): 111-119.
12. Reference 12 Kim, S. & Mehrotra, A. (2017). Managing price and financial stability objectives in inflation targeting economies in Asia and the Pacific. Journal of Financial Stability, 29: 106-116.
13. Reference 13 Morley, B. (2002). Output, consumption and the stock market implications for European convergence. Applied Economics, 34: 317-323.
14. Reference 14 Mousavi Haghighi, M.H & Ragheb, M. (2014). The effect of inflation rate on stock market performance in Iran. Monetary Banking Research, 7(19): 125-142.
15. Reference 15 Najafi, H. Pourghorban, M.R & Ehsanfar, M.H. (2019). The effect of inflation and currency price fluctuations on stock prices on the stock exchange. National Conference on Economics, Development Management and entrepreneurship, Zahedan, Sistan and Baluchestan University.
16. Reference 16 Noferesti, M. (1399). Unit root and cointegration in econometrics. Tehran, Rasa Cultural Services Institute, first edition.
17. Reference 17 Pedram, M. Shirin Bakhsh, S & Roostaei, A. (2014). Investigating the Asymmetric Effect of Inflation and the Stock Price Index of the Tehran Stock Exchange. Quarterly Journal of Financial Knowledge of Securities Analysis, 7(22): 61-75.
18. Reference 18 Pradhan, R.P. (2011). Financial Development, Growth and Stock Market Development: The Trilateral Analysis in India. Journal of Quantitative Economics, 9 (1): 134-145.
19. Reference 19 Pradhan, R.P., Arvin, M.B., Samadhan, B. & Taneja, S. (2013). The impact of stock market development on inflation and economic growth of 16 ASIAN contries: A panel VAR approach. Applied Econometrics and International Development, 13(1): 203-220.
20. Reference 20 Ratanapakorn, O. & Sharma, S. C. (2007). Dynamic Analysis between the US Stock Returns and the Macroeconomic Variables. Applied Financial Economics, 17 (5): 369-377.
21. Reference 21 Sathyanarayana, S. & Gargesa, S. (2018). An Analytical Study of the Effect of Inflation on Stock Market Returns. IRA-International Journal of Management & Social Sciences, 13(2): 48-64.
22. Reference 22 Sulaiman, I., Arshed, N., & Hassan, M.S. (2016). Stock Market Development, Can it Help Reduce Inflation in SAARC Countries?. Journal of Accounting, Finance and Economics 6(1): 101 – 110.
23. Reference 23 Zhu, S., Kavanagh, E. & O’Sullivan, N. (2020). Inflation targeting and financial conditions: UK monetary policy during the great moderation and financial crisis. Journal of Financial Stability, 53: 1-16.