| Home

Overview


Original Research

MEASURING THE IMPACT OF MONETARY POLICY VARIABLES ON THE GENERAL INDEX OF THE IRAQI STOCK MARKET USING TESTS OF STRUCTURAL BREAKS AND MARKOV MODELS WITH VARIABLE SYSTEMS

ATIYAH ALZUAETER 1, and

Vol 17, No 09 ( 2022 )   |  DOI: 10.5281/zenodo.7088865   |   Author Affiliation: Ph.D. student, University of Sousse, Faculty of Economic Sciences and Management of Sousse, Tunisia 1; University of Sousse, Faculty of Economic Sciences and Management of Sousse, Tunisia 2.   |   Licensing: CC 4.0   |   Pg no: 964–977   |   To cite: ATIYAH ALZUAETER, and ANISE BOUABID. (2022). MEASURING THE IMPACT OF MONETARY POLICY VARIABLES ON THE GENERAL INDEX OF THE IRAQI STOCK MARKET USING TESTS OF STRUCTURAL BREAKS AND MARKOV MODELS WITH VARIABLE SYSTEMS. 17(09), 964–977. https://doi.org/10.5281/zenodo.7088865   |   Published on: 16-09-2022

Abstract

In this study, the general index of the Iraqi Stock Exchange was chosen as the dependent variable (stock exchange index), and the independent variables were the wide money supply (M2), interest rate, exchange rate, and inflation. No reliance was placed on a monthly time series for the period from January 2004 to December 2020 to study the impact of monetary policy variables on this index. We tested (Bai-Perron) to identify structural breakdowns in the time series in order to understand the monetary decisions made by the monetary policy makers during the periods of shocks and crises experienced by the rentier economy of Iraq, which depends on crude oil to finance public spending. As a result, it is difficult to measure the monetary effects of the index of the Iraqi Stock Exchange. The monetary effects are asymmetrical as a tool for monetary policy's control over the stock index, and monetary policy does not immediately respond to a dramatic shift in prices; instead, it reacts gradually to obtain an inflation rate that is acceptable and does not significantly affect the economy.


Keywords

monetary policy, general index of the stock market, Markov models