Paper Information

Journal:   JOURNAL OF ASSET MANAGEMENT AND FINANCING   SPRING 2015 , Volume 3 , Number 1 (8) #B0063; Page(s) 107 To 129.
 
Paper: 

EFFECTS OF FISCAL POLICIES ON ASSET PRICES AND ITS UNCERTAINTY IN IRAN

 
 
Author(s):  M. ZONOUZI S. JAMALEDIN*, HEIDARI HASSAN, TALEBI FARZANEH
 
* 
 
Abstract: 

One of the interesting topics in economic issues is asset markets. According to the theory, if the asset market is efficient in information context and behave rationally, asset prices will reflect the information about the expected events. On the other hand, another important issue that is widely discussed in macroeconomics, is selection of appropriate policies and tools in order to eliminate the imbalances and instability of the economy. The aim of this study is to investigate the effects of government spending and income shocks on asset prices such as housing prices, stock prices, and exchange rate by using structural vector autoregressive model (SVAR) with 5 variables and quarterly data from 1369 to 1390. The results showed that government spending has a significant effect on housing prices, stock prices, and exchange rate, and is the most important variables to explain the volatility of these asset prices. BEKK approach in GARCH Models is used to estimate the dynamic relationship between the variables uncertainty. The estimated covariance between the variables, show the negative relationship between stock prices and government spending, and between exchange rate and government spending, but the positive relationship between housing prices and government spending is estimated.

 
Keyword(s): FISCAL POLICY, ASSET MARKET, HOUSING PRICES, STOCK PRICES, EXCHANGE RATE, STRUCTURAL VECTOR AUTOREGRESSIVE MODELS (SVAR), BEKK APPROACH IN GARCH MODELS
 
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