بررسي تاثير نوسانات شوك هاي ارزي و قيمتي بر شاخص قيمت سهام بورس اوراق بهادار تهران با استفاده از رهيافت خود رگرسيون برداري

The Impact of Price and Exchange Rate Fluctuations on Stock Price Index in Tehran Stock Market: Using a Vector Auto-Regression Method

Exchange rate and inflation rate consistently affect stock price and the return on stocks. Since such effects could impact income distribution, it is important to study such issue carefully. In this paper an attempt is made to study the impact of exchange rate and inflation rate on the real returns as well as the stock price index in Tehran stock market. In this paper, we use a vector autoregression (VAR) model as well a vector error correction model (VECM) to examine the relationship among variables. This study uses monthly data from 1983M4 through 2007M3. The results indicate that there exists a stable long-run relationship among the variables included in the model. Exchange rate and inflation rate positively affect the real rate of stock return. However, the impact of inflation rate is stronger than the impact of the exchange rate.