The impact of demand management policies uncertainty on capital market output (A case study of Tehran Stock Exchange)

The present study aimed to investigate the impact of demand management policies uncertainty on Tehran Stock Exchange output. The uncertainty in money supply and government expenses variables on stock exchange output has been studied using monthly data over the period of 1387-1392. The results indicated that money supply variable has the problem of uncertainty while government expenses dont. The results of MSEGARCH model on money supply variable showed that uncertainty in money supply variable in both high and low volatility has a significant negative impact on stock exchange output. The results of MS-VAR model represent the fact that government expenses have a significant impact on stock exchange index in both upswing and stagnation phases. Accordingly, it is observed that the uncertainty in demand management policies is influencing stock exchange output and these influences are in conflict with each other, so it is suggested that the government managers and policy makers (government expenses) and Central bank (money supply) implement the policies with more coordination in order to decrease the amount of these conflicting impacts.