Consumer price Index, industrial production, stock market Index and oil prices (case study: Iran)

This paper examines the relationship between stock market index, consumer price index, industrial production and crude oil prices in Iran. The studied period includes 144 (Persian) months from March 20, 1998 to March 20, 2011. At first We employ Johansen-Joselius test to examine existence of long-run relationship between studied variables and We employed a Vector error correction Model(VECM) to examine the short-run relationship and then we used a multivariate vector auto regression (VAR) model for examining the relation between periodic components of time series for the studied variables in long-run and we address two main applications of the model (VAR), impulse response functions and variance decomposition using Hodrick–Prescott filter. .Findings suggests that in long-run oil price have positive effect on CPIand industrial production exercise negative effect on CPI in long-run. Also findings show that in long-run oil price have positive influences on stock market index. No relationship can be documented between the CPI and stock market for the Iran market.

کلیدواژه ها:

macroeconomic variables ، stock market ، VAR model ، VECM model ، oil prices ، Hodrick-Prescott filter