نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشجوی دکترا اقتصاد دانشگاه ازاد اسلامی واحد اصفهان (خوراسگان)

2 دانشیار گروه اقتصاد دانشگاه آزاد اسلامی واحد اصفهان(خوراسگان)

3 دانشیار گروه اقتصاد دانشگاه آزاد اسلامی واحد اصفهان (خوراسگان)

10.22055/jqe.2020.26651.1916

چکیده

از عناصر مهم بازار سرمایه، سرمایه گذاران هستند. هدف نهایی هر سرمایه گذار از به جریان انداختن سرمایه خود، کسب حداکثر سود و بازدهی از آن می­باشد. برای اینکه سرمایه گذاران به سرمایه گذاری در دارایی­های مالی ترغیب شوند، باید بازدهی این دارایی­ها، از سایر گزینه­ها بیشتر باشد. توسعه کیفی و کمی بازار سرمایه در دو دهه اخیر، رواج انتشار اوراق مشارکت و ابزار­های مالی اسلامی به عنوان یکی از منابع اصلی تامین مالی، تدوین استانداردهای حسابداری و حسابرسی لازم الاجرا برای واحدهای اقتصادی و دیگر اقدامات اصلاحی و قانونی، توانسته­اند بورس را به عنوان گزینه­ای پر رنگ برای سرمایه گذاران مطرح کنند. به طوری که بر اساس آخرین آمارهای اعلام شده بیش از ده میلیون ایرانی دارای کد سهامداری بوده و در بخشی از منابع خود را در این بازار، سرمایه گذاری کرده­اند. بنابراین با توجه به اهمیت موضوع هدف مقاله بررسی اثر پایداری مالی بر مکانیزم­های انتقال سیاست پولی است. همبستگی بین اعتماد سرمایه گذاران در بازارها، رشد پول و رشد اقتصاد کلان بدون نفت، همراه همبستگی با نوسانات آنها تحلیل می­شوند. پژوهش­های کاربردی در بازارهای توسعه یافته نشان می­دهند که با تغییر متغیرهای کلان اقتصادی قیمت سهام نیز تغییر خواهد کرد، بنابراین انتظار می­رود که بین قیمت سهام و متغیرهای کلان اقتصادی ارتباط قوی وجود داشته باشد. شاخص قیمت سهام مهمترین عامل موثر بر تصمیم گیری سرمایه گذاران در بورس سهام است. از این رو، باید از عوامل موثر بر قیمت سهام آگاهی داشته باشیم. فرایند انتقال سیاست پولی از بازار دارایی­ها شروع می­شود. زیرا هزینه­های اطلاعاتی و مبادلاتی برای اغلب دارایی­ها از هزینه­های تغییر تولید یا تعدیل مصرف یا سرمایه گذاری کالاهای با دوام کمتر است. به ویژه هنگامی که عدم قطعیت
درباره­ی دائمی بودن یا موقتی بودن سیاست­ها وجود دارد. بازار دارایی­ها بسیار سریع جواب می­دهد، بنابراین قیمت دارایی­ها نقش مهمی را در مکانیزم انتقال پولی ایفا می­کند. با به کارگیری تخمین گر
MGARCH ، این پژوهش روابط موجود میان نسبت اعتماد سرمایه گذاران، رشد پول واقعی و فعالیت اقتصادی بدون صادرات نفت خام و نوسانات آنها را نشان می­دهد. استفاده از این تخمینگر، تخمین درونزا عدم قطعیت­ها و حصول معیارهای کاملا هماهنگ با همدیگر را ممکن می­سازد. در این مقاله برای متغیر اعتماد سرمایه گذاران از شاخصPEGنسبت قیمت- درآمد به رشد عایدی­ها که یک شاخص بهتری نسبت به PE، استفاده می­شود. این شاخص با در نظر گرفتن پتانسیل رشد شرکت­ها، حیات زیستی سرمایه گذاران را بیشتر منعکس می­کند زیرا از چندین عامل تولید کننده درآمد مانند برند، سرمایه انسانی و انتظارات و موانع وروداستفاده می­کند. در این پژوهش اثر پایداری مالی را بر مکانیسم های انتقال سیاست پولی در ایران مورد بررسی قرار می دهد. همبستگی بین اعتماد سرمایه گذاران در بازارها، رشد پول و رشد اقتصادی، بدون صادرات نفت خام ایران، همراه با نوسانات آنها تحلیل می­شوند. به ویژه ناهمسانی واریانس خطاها در یک چارچوب MGARCH، جهت به دست آوردن معیارهای عدم قطعیت برآورد شده، به صورت درونزا، مورد استفاده قرار می­گیرد. در این مقاله، داده­های فصلی، متغیرها از ابتدای 1370 تا انتهای 1395 در نظر گرفته شده است. نتایج به دست آمده وجود همبستگی مثبت نوسانات اقتصاد کلان بدون نفت، با نسبت اعتماد سرمایه گذاران PEG دارد. همچنین نوسانات حجم نقدینگی M2 تاثیر منفی بر نسبت PEG می­گذارد. نتایج پژوهش از تاثیر گرانجری دو طرفه بین نوسانات اقتصاد کلان بدون صادرات نفت خام و حجم نقدینگی حکایت دارد. از یافته­های دیگر پژوهش:
- سیاست پولی قادر به تاثیر گذاری مستقیم بر اعتماد سرمایه­گذاران و نوسانات آن تنها در دراز مدت می­باشند.
- بین عدم قطعیت اقتصاد کلان بدون نفت و رشد GDP رابطه گرانجری وجود ندارد.
- نتایج تاثیر منفی عدم قطعیت اقتصاد کلان بدون نفت بر رشد noil GDP و علت معلول منفی بین رشد تولید و نوسانات آن را در میان مدت و درازمدت نشان می­دهد.
- اگر سیاست پولی بتواند به طور مستقیم بازار سرمایه و پایداری آن راکنترل کند، با در نظر گرفتن همبستگی با noil GDP و نوسانات آن، به  نظر می­رسد تثبیت تولید و قیمت دارایی اهداف کافی باشند. البته هموارکردن سیکل اقتصادی برای داشتن بازارهای نسبتا پایدار نیز کافی است. اما تحلیل خاطر نشان کننده اهمیت سیاست پولی است، که این به خاطرهمبستگی منفی قوی بین نوسانات پول و پایداری اقتصاد کلان بدون نفت و مالی می­باشد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Analysis of the Effect of Investors’ Confidence on Monetary Policy Transmission Mechanism and Economic Growth without Crude Oil Export: A Multivariate GARCH Approach

نویسندگان [English]

  • seyd abdollah mousavi 1
  • Homayoun Rangbar 2
  • Majid Sameti 2
  • Hosein Sharifi Ranany 3

1 1-Phd candidate,Department of Economics, Isfahan Branch, Islamic Azad University, Isfahan(khorasgan)

2 Phd candidate,Department of Economics, Isfahan(khorasgan) Branch, Islamic Azad University,Isfahan

3 Phd candidate,Department of Economics, Isfahan(khorasgan) Branch, Islamic Azad University,Isfahan

چکیده [English]

The MGARCH approach is an important factor for the capital market and the investors. The main goal of investors is to get a maximum profit from the output of their investment. Financial assets must be greater than other options in order to encourage the investors to invest in them (Mehrani & Bahramfar, 2004). The implementation of efficient market economy theory by governors in the recent years has partially increased the capital market's share of money in financing firms. Qualitative and quantitative development of the capital market and Islamic financial affairs as the main sources of financing in the last two decades, formulation of accounting and auditing standards required for economic entities, and other corrective actions have turned the exchange market into one of the best options for investment. According to the latest statistics, more than ten million Iranians have stock code and have invested part of their resources in the exchange market. Considering the importance of the matter, this essay aims to study and survey the effect of financial sustainability on monetary policy transfer mechanisms. The correlation between investor confidence in the markets, money growth and macroeconomic growth without oil is going to be analyzed alongside their fluctuations.  
The practical research in the developed markets has shown that any change in macroeconomic variables brings about subsequent changes in stock prices; therefore, it is expected that there is a strong relationship between stock prices and macroeconomic variables. The stock price index is the most important factor influencing investor decision making in the stock market, and we need to be aware of the factors that influence stock price. The process of monetary policy transfer begins from the asset market because the costs of information and transaction for most assets are lower than the costs of changing the production or adjusting consumption or investment of durable goods, especially when there is uncertainty whether policies are permanent or temporary.  
The asset market responds very quickly, and thus assets prices play an important role in the money transfer mechanism. Using the MGARCH estimator, this study reveals the relationships between investors' confidence ratios, real money growth, and economic activity without crude oil exports and their fluctuations.  
Using this estimator helps estimation of uncertainties and produces perfectly consistent criteria. In this essay, the PEG index of price-earnings to earnings growth for a variable of investor confidence is used, which is a better indicator than PE. It should be put into consideration that the potential growth of the companies can reflect the life of the investors as it uses several revenue generating factors such as brand, human capital and expectations and barriers to entry.
 This study investigates the effect of financial sustainability on monetary policy transfer mechanisms in Iran. The correlation between investor confidence in markets, money growth and economic growth without Iranian crude exports is analyzed along with their volatility. We particularly consider the heterogeneity of error variances in an MGARCH framework to obtain the estimated uncertainty criteria endogenously.  
In this paper, seasonal data of variables from the beginning of 1991 to the end of 2016 are considered. The results have shown that there is a positive correlation between macroeconomic volatility without oil and PEG investor confidence.  The M2 cash flow fluctuation has negative effects on PEG. The results also indicate a bilateral Grange impact between macroeconomic volatility without crude oil exports and liquidity volume.
Other results of the study are:
-                      Monetary policy can only directly affect investor confidence and its fluctuations in a long term. There is no significant Granger relationship between macroeconomic without oil and GDP growth.
-                      The results show the negative impact of macroeconomic uncertainty on oil noilGDP growth and the cause of the negative effect between production growth and its medium- and long-term volatility.
-                       If monetary policy can directly control the capital market and its sustainability, given the correlation with the noilGDP and its fluctuations, production consolidation and asset price seem to be sufficient goals. Of course, having a smooth economic cycle can relatively and satisfactorily stabilize the market.
 
However, the analysis shows the importance of monetary policy, which reflects the strong negative correlation between currency fluctuations and macroeconomic stability without oil and assets.

کلیدواژه‌ها [English]

  • "monatary policy"
  • "Uncertainty"
  • "Investors confidence"
  • "multivariate GARCH-in-mean"

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The Relationship between Earninings Par share and dividends and investmens in companies listed in Tehran stock Exchange. The Journal of Accounting and Auditing, 36, 27-43, In Persian. ##Bansal, R. & Yaron, A. (2004). Risk, for the long run: A potential resolution of asset pricing puzzles. The Journal of Finance. (4)59, 1481-1509. ##Bekaert, G., Engsrom, E. & Xing, Y. (2009). Risk, uncertainty, and asset price. The Journal of Financial Economics, (1)91, 59-82. ##Bird, R. & Yeung, D. (2012). How do investors react under uncertainty? Pacific-Basin finance Journal, (20), 310-327. ##Bloom, N., Floetotto, M., Jaimovich, N., Saporta-Eksten, I. & Terry, S. (2012). Really uncertain business cycles, Tech, rep. National Bureau of Economic Research. ##Bloom, N. (2009). The impact of uncertainty shocks, Econometrico, (3) 77,623-685. ##Boyle, G. & Peterson, J. (1995). Monetary policy, aggregate uncertainty, and the stock market, Journal of Money, credit and Banking, 570-582. ##Boyle, G.W. (1990). 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Financial­strucre­and Development", New Haven, Us. Yale University press. ##Hydari, H. & Bashiry, S. (2012). Analysis of the relationship between real exchange rate uncertainty and stock price index in tehran stock exchange; Observation on model VAR-GARCH. The Journal economic modeling research. (3) 9. 71-92, In Persian. ##Ismihan, M. (2005) The Role of mancroeconomic Instability in public and private capital Accumulation and Growth: the case of Turkey 1963-1999. The Journal of Applied Economics (37), 239-251. ##Jongwanish, J. & Kohpaiboon, A. (2008). Private Invest ment, Trends and Deteminats in Thailand. World Development, (36) 10, 109-1724. ##Keller, P.N. (1980). Implications of credit policies on output and the balance of payments, IMF staf papers, September. ##Kraine, R.E. (2014). Monetary policy and banklending in the Euro axea: Is there a shock market channelor an interest rate channel. Journal money and finance, 49.283-298. ##Lashkari, M. (2014). Money and currency and banking. Payam  noor university press. 231-235, In Persian.  ##Lucas, C.D.L. & Ling, C.E. (2013). The effect of uncertainty on investment, Hiring, and R&D. causal evidence from equity options. IZA Discussion paper, (13) 61, 17-34. ##Mascaro, A. & Meltzera, H. (1983). Long and short-term Interest rates in a risky world, J Monet Econ, (12), 485-518. ##Mohammadi, T. & mombini dehkordi, M. (2014). The nonlinear impact of real exchange rate uncertainty on economic growth with and without Iranian oil. Journal economic research paper. (14)55.41-70, In Persian. ##Piraee, KH. & Shahsavar, M. (2008). The effect of macroeconomic variables on the Iranian stock market.Journal economic research. (9)1, 21-38, In Persian. ##Pakdin, M., Pakdin, M. & Pakdin, A. (2009). Prioritizing financial factors affecting price index in Tehran stock exchange using TOPSIS method. Journal Financial research .10(26). (2009). 61-76, In Persian. ##Puhan, T. (2011) .Asset Prices and macroeconomic uncertainty. The role of inflation and monetary policy implications. ##Rong- Gang, C., Yi- Ming, W., Jian-Lin, J. & ying, F. (2008). Relationships between oil price shocks and stock Market: An empirical analysis from china Energy Policy. (36)9. September (2008). 3544-3553. ##Salahesh, T., Kazerooni. A. & Asgharpur, H. (2016). Analysis of the nonlinear effects of monetary policy in the two - channel net value and cash flow framework of corporations (Panelquantilemethod). The Journal investment knowledge, (23) 6.213-228, In Persian. ##Samadi, S., Shirvanymofrad, Z. & Davarzadeh, M. (2007). Study the effectiveness of Tehran stock exchange price index on the world price oil and gold. The Journal economic studies, (4) 2, 21-51, In Persian. ##Samadi, S., Khorampur, A., Mosadeghi, A0. & Mirmahdi, SA. (2015). Analyzing the contagion of world oil price fluctuations in the stock market (Selected from OPEC member countries). The Journal economic reseach, (49) 3, 555-574, In Persian. ##Suliman, AB. & Amer, AQ. (2006). Financial development and economic growth nexus: time series evidence from midell east and north afrcan countries, research University of Negev, (12) 4. ##Schnabl, G. (2008). Exchange Rate Volatility and Growth insmall open Economies at the EMU periphery Economie systems, (32). ##Serletis, A. & Rahman, S. (2009). The output Effect of money Growth uncertainty: Evidence from a multivariate GARCH- in-mean VAR open Econ Rev. (20), 607-630. ##Taghavi, M., Bagheri, S. & Mohajeri, P. (2011). Surveying of Structural Break in Nexus of Financial Development and Economic Growth and Optimal Size of Lending of Bank Credit to Private Sector. Quarterly Journal of Economic Growth and Development, 1(14), 37-54. ##Teixeira, T.N. & Filho, D.S. (2007). Is the in Investment link really elusive the harm ful effecs of inflation uncertainty in Brazil, Banco central Do brasil. 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-      Abrahimi, M., Afatibaran, F. & Moftakhardaryaee Nejad, K. (2013). The Relationship between Inflation and economic Growth and Liquidity Growth in Iran: VARMA- MGARCH approach. Journal of modern Economic Theories, (1)4, 127-148, In Persian. ##Acosta, P. & Loza, A. (2005(. Short and long Run Determinants Of private Investment in Argentina. the Journal of Applided Economics, (8)2,389-406. ##Aghion, PH., et al. (2006). Exchange Rate Volatility and productivity Growth. The Role of Financial Development NBER Working paper. ##kazi, A.,  Hakimzadi, I., W. & Farhan, A. (2014). The chaning intermatinal transmission of U.S monetary policy shock. Is the evidence of contagion effect on OECD countries? Economic madelling, 30, 90-116, In Persian. ##Baker, H.K. & Haslem, J.A. (2006). The impact of investor socioecomic characteristics on risk and return prefernces,the Journal of Business Research, (2006), 469-476. ##Bahramfar. N. & Mehrani, K. (2004). The Relationship between Earninings Par share and dividends and investmens in companies listed in Tehran stock Exchange. The Journal of Accounting and Auditing, 36, 27-43, In Persian. ##Bansal, R. & Yaron, A. (2004). Risk, for the long run: A potential resolution of asset pricing puzzles. The Journal of Finance. (4)59, 1481-1509. ##Bekaert, G., Engsrom, E. & Xing, Y. (2009). Risk, uncertainty, and asset price. The Journal of Financial Economics, (1)91, 59-82. ##Bird, R. & Yeung, D. (2012). How do investors react under uncertainty? Pacific-Basin finance Journal, (20), 310-327. ##Bloom, N., Floetotto, M., Jaimovich, N., Saporta-Eksten, I. & Terry, S. (2012). Really uncertain business cycles, Tech, rep. National Bureau of Economic Research. ##Bloom, N. (2009). The impact of uncertainty shocks, Econometrico, (3) 77,623-685. ##Boyle, G. & Peterson, J. (1995). Monetary policy, aggregate uncertainty, and the stock market, Journal of Money, credit and Banking, 570-582. ##Boyle, G.W. (1990). Monetary demand and the stockmarket in a general equilibrium model with variablevelocity. Journal of political Economy, 1039-1053. ##Chiara, G. (2016) The effect of investors' confidence on monetary policy transmission mechanism A multivariate GARCH approach, Journal of Economics and Finance, 37, 248-266. ##Chow, W. & Oh, S. (2003). A mony demand function with output uncertainty, monetary uncertainty, and financial innovations.  The Journal of money, credit and Banking.685-709. ##Evans, P. (1984). The effects on output of money growth and interest rate volatility in the united states- The Journal of political Economy.204-222. ##Evans. P. (1984). The effects on output of money growth and Interest rate Volatility in the united states, Jpolit Economic. (92), 204-222. ##Gholami, A. & Karim Khaani, A. (2010).The relationship between inflation and inflation uncertainty in investment growth and economic growth in iran. Joural applied economics.3, In Persian. ##Goldsmith, R.W. (1969). Financial­strucre­and Development", New Haven, Us. Yale University press. ##Hydari, H. & Bashiry, S. (2012). Analysis of the relationship between real exchange rate uncertainty and stock price index in tehran stock exchange; Observation on model VAR-GARCH. The Journal economic modeling research. (3) 9. 71-92, In Persian. ##Ismihan, M. (2005) The Role of mancroeconomic Instability in public and private capital Accumulation and Growth: the case of Turkey 1963-1999. The Journal of Applied Economics (37), 239-251. ##Jongwanish, J. & Kohpaiboon, A. (2008). Private Invest ment, Trends and Deteminats in Thailand. World Development, (36) 10, 109-1724. ##Keller, P.N. (1980). Implications of credit policies on output and the balance of payments, IMF staf papers, September. ##Kraine, R.E. (2014). Monetary policy and banklending in the Euro axea: Is there a shock market channelor an interest rate channel. Journal money and finance, 49.283-298. ##Lashkari, M. (2014). Money and currency and banking. Payam  noor university press. 231-235, In Persian.  ##Lucas, C.D.L. & Ling, C.E. (2013). The effect of uncertainty on investment, Hiring, and R&D. causal evidence from equity options. IZA Discussion paper, (13) 61, 17-34. ##Mascaro, A. & Meltzera, H. (1983). Long and short-term Interest rates in a risky world, J Monet Econ, (12), 485-518. ##Mohammadi, T. & mombini dehkordi, M. (2014). The nonlinear impact of real exchange rate uncertainty on economic growth with and without Iranian oil. Journal economic research paper. (14)55.41-70, In Persian. ##Piraee, KH. & Shahsavar, M. (2008). The effect of macroeconomic variables on the Iranian stock market.Journal economic research. (9)1, 21-38, In Persian. ##Pakdin, M., Pakdin, M. & Pakdin, A. (2009). Prioritizing financial factors affecting price index in Tehran stock exchange using TOPSIS method. Journal Financial research .10(26). (2009). 61-76, In Persian. ##Puhan, T. 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