نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکتری، گروه اقتصاد، دانشکده علوم انسانی، دانشگاه آزاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران
2 دانشیار گروه اقتصاد، دانشکدۀ علوم انسانی، دانشگاه آزاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران.
3 دانشیار گروه علوم اقتصادی، دانشگاه آزاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران.
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
liquidity of financial markets have been different over time. Unpredictability of liquidity in these markets is a crucial source of risk for investors. The illiquidity of the financial market through financial channels can affect the real economy. The present study analyzed the relationship between financial market,s illiquidity shocks and macroeconomic dynamics by using Time-varying parameter vector autoregression (TVP-VAR) model and using quarterly time series data between 3:1387 and 4:1399. In order to achieve this goal, the Amihud index (2002) has been used to calculate the illiquidity variable. The results of the study indicate that the reaction of production growth to the illiquidity shock is negative and decreasing. Also, illiquidity shocks have an increasing effect on inflation, and the effect of liquidity growth on these shocks has been accompanied by a relative increase. Finally, the impact of the stock market illiquidity shock on the unemployment rate was increasing at the beginning of the period, and this effect decreased at the end of the period.
کلیدواژهها [English]