أثر السياسات النقدية والمالية على سوق رأس المال: نموذج (VAR)

e study investigates the influence of the Jordanian monetary and fiscal policies on Amman Stock Exchange (ASE) performance using the Vector Autoregressive (VAR) approach. Market capitalization (MC), money supply (M1), and government expenditure (GE) were used as proxies for ASE performance, monetary policy, and fiscal policy, respectively. The analysis was undertaken with annual data spanning over twenty-seven years in logarithms form 1978 till 2004. Moreover, Dickey-Fuller and Johansen Cointegartion tests have been applied for testing stationarity and whether the variables have long relationship. Empirical results are consistent with previous literature, especially those related to emerging markets. The results show that these variables were not stationary in their levels and do not have long relationships. However, the second difference for MC and the first difference for GE and M1 were stationary. In addition, two main tools were used to investigate whether the variables have short-term relationships, namely impulse response analysis, and variance decomposition tests. For confirming the argument concerning the direction of the relationships among variables, Granger causality test was applied. Variance decomposition results showed that MC significantly influenced by M1 whereas GE had much less influence, since M1 and GE explain was 11% and 3%, respectively of the forecast error variance of MC. In addition, results show that stock market is responding to its own shocks since MC explained 87% of its forecast error variance in a ten-years period. The impulse response test shows that any shock to the M1 had a significant effect on the MC after almost two years, whereas GE shock had a marginal effect on the MC after three years. The response of the MC to its own-shocks was highly significant. Granger causality test showed that M1 has a significant effect on MC, while GE was not.