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The Effect of The Monetary Policy On The stocks Market | ||
| TANMIYAT AL-RAFIDAIN | ||
| Article 4, Volume 35, Issue 114, 2013, Pages 71-86 PDF (791.91 K) | ||
| DOI: 10.33899/tanra.2013.162057 | ||
| Author | ||
| dr. Aws Al- Jwejatee | ||
| Abstract | ||
| The current study aims to test the role of expected and unexpected monetary policy in effecting the revenues of the financial stocks market, by using Box–Jenkins method (GARCH) model. The stability test were conducted on time series using graphical analysis and Augmented Dickey-Fuller (ADF) test to ensure the stability of time series and treating the instability, in order to reach a stabilized time series in each of mean or variance in building predicted time series of (GARCH, ARCH) model. which represents the expected monetary policy up to specify the test model of expected or unexpected monetary policy on the revenue market by using (VAR) model. The results of the test showed the ineffectiveness of the expected and unexpected monetary policy on stocks market revenues for each of banking & insurance sector, as well as specifying the two policies effect in the stocks market for the industrial sector only in the short–term. . | ||
| Keywords | ||
| Expectation Un expectation; monetary policy; Shears Market; GARCH Model | ||
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