اختبار أثر سعر الصرف الاسمي الفعال والتضخم على مؤشر سوق دمشق للأوراق المالية

Abstract

This study investigated the dynamic relationship between the stock market index, the inflation rate, and the real exchange rate in Syria using a Vector Autoregressive (VAR) model. Stationarity tests indicated that all variables became stationary at the first difference. Cointegration tests found no evidence of a long-run equilibrium relationship among the variables, thereby justifying the use of first-differenced data in the VAR model estimation.

The Granger causality test showed no statistically significant causal effect from inflation on the stock market index, while a weak causal relationship from the exchange rate was observed at the 10% significance level. The impulse response analysis revealed that inflation shocks had no meaningful or sustained impact on the market index. In contrast, exchange rate shocks induced a statistically significant short-term positive response. These findings were further corroborated by the forecast error variance decomposition, which indicated that the exchange rate explained approximately 14.7% of the forecast variance of the stock market index in the medium term, whereas the contribution of inflation remained marginal.

The study concluded that the real exchange rate played a relatively influential role in shaping stock market movements over the short to medium term, while inflation did not exhibit a statistically significant effect during the period under study.