Fiscal Policy Shock Impacts and Tehran Stock Exchange Yield
Mohammad Kazem Naziri, Fereshte Ebrahimi
This paper evaluated the effect of the shocks of fiscal policies and macroeconomic variables on Iranian stock exchange during 1996-2010. Vector Auto-regression (VAR) was used for experimental tests. This paper evaluated the effect of different economic shocks on the price index of Tehran Stock Exchange (TSH) over time usinginstantaneous response functions and analysis of variance(ANOVA) of prediction error. In addition, the effect of the variations of variables on stock pricewas studied. Data was analyzed using Eviews and Stata.the paper result show that expect of inflation rate that has a negative effect on stock price index, all variable have positive effect impact on this index.