Investigating the Effects of Government Spending Fluctuations on Firms' Value in Selected Industries of Tehran Stock Exchange : TVP-FAVAR Approach

The objective of this paper is to examine the effect of government spending fluctuations on firms' value in Selected Industries of Tehran Stock Exchange, using the TVP-FAVAR approach and using seasonal data during the period (2011-2018). The results from the TVP-FAVAR model describe that the type and extent of the impact of government spending variable on firms value in selected industries during the years under consideration, has been different; This indicates that with the change of circumstances over time, the impact of government spending fluctuations has changed, and on the other hand, the response of industries to the behavioral changes in this macroeconomic variable has varied over the time; Which indicates the importance of using TVP approach in examining the effects of macroeconomic variables. Based on the results, The firms' value in the automotive industry in the entire period under consideration has shown a negative response and the food and beverage industry and pharmaceutical materials and products have shown a positive response to the behavioral changes of this variable; the type of impact of government spending on the cement, lime and plaster, base metals and chemical products industries has varied over the time, with positive (negative) effects in the short run and positive (negative) effects in the long run