List of articles (by subject) Econometrics and Financial Applications of other Theories (Stochastic Processes, (Stochastic) Partial Differential Equations, Dynamical Systems)
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Open Access Article
1 - On Vector Equilibrium Problem with Generalized Pseudomonotonicity
Ali Farajzadeh Syyedeh Marzieh HalimiIn this paper, first a short history of the notion of equilibrium problem in Economics and Nash$\acute{'}$ game theory is stated. Also the relationship between equilibrium problem among important mathematical problems like optimization problem, nonlinear programming, va MoreIn this paper, first a short history of the notion of equilibrium problem in Economics and Nash$\acute{'}$ game theory is stated. Also the relationship between equilibrium problem among important mathematical problems like optimization problem, nonlinear programming, variational inequality problem, fixed point problem and complementarity problem is given. The concept of generalized pseudomonotonicity for vector valued bifunctions is introduced. By using it some existence results for the vector equilibrium problem, in the setting of topological vector spaces, are presented. Some examples in order to illustrate the main results and compare them with the corresponding published results are furnished. Further, the compactness of the solution set of vector equilibrium problem is investigated. Manuscript profile -
Open Access Article
2 - Effective strategies for the establishment of integration model for succession planning and career progression path of iranian azad universities administrators (Qualitative Research Based Grounded Theory Approach)
Ali Raeespoor Siros Tadbiri Alireza Afshar Nejad• AbstractThis research was done to provide effective strategies for the establishment of integration model for succession planning and career progression path of azad universities administrators from the perspective of higher education administrators and professio More• AbstractThis research was done to provide effective strategies for the establishment of integration model for succession planning and career progression path of azad universities administrators from the perspective of higher education administrators and professionals based on the systematic theoretical design of Strauss and Corbin grounded theory. Accordingly, using a targeted sampling method, semi-structured interviews were made with 22 middle and executive managers of universities, authors in the field of succession planning and career progression path, and key scholars on human resource management and higher education, and the data were extracted from the interviews.The approach used in this study is a mix approach and hence, for developing the comprehensive research model, qualitative and quantitative approaches (in combination with one another) were used.. For selecting sample volume, snow ball method was used and finally, the research model was developed based on the opinions of 22 experts. In the second stage, the presented research model was tested by using SPSS 20, Lisrel8.8 and results indicated that the relationships and components of the proposed model are significant. During a three-step coding process (open, axial and selective), the data analysis revealed seven main categories as the effective strategies for the establishment of integration model for succession planning and career progression path of governmental universities administrators, which included acquaintance, participation of university administrators, organizational learning, trust-making, futurism, academic independence and systemic insight Manuscript profile -
Open Access Article
3 - The investigation of the affectivity of various types of cash flows in a diversified capital structure based on the type of strategy
Mehrdad Ghanbari Mahsa MoradiThe intensity of competition in business markets is to the extent that even the slightest strategic mistakes will lead to the failure of the organizations. The lack of knowledge and implementation of appropriate competitive strategies in such markets and, on the other h MoreThe intensity of competition in business markets is to the extent that even the slightest strategic mistakes will lead to the failure of the organizations. The lack of knowledge and implementation of appropriate competitive strategies in such markets and, on the other hand, the failure to review the effects of these strategies on the types of cash flows in diverse capital structures is no also an exception to this rule. The subject of this study is to design and explain the affectivity model of types of cash flows in a diversified capital structure based on the type of strategy. The present study is an applied one in terms of objective, a quantitative one in terms of data type and a descriptive survey one regarding how to conduct. The statistical population consisted of all companies listed on the Tehran Stock Exchange during 2013 to 2017, among which 139 companies were selected as the sample by systematic elimination method. The statistical method used is the panel data method and fitting the regression models has been conducted using the same data. The results indicated that there is no significant difference between the effect of the differentiation strategy on the cash flow of accounting and cash flows to equity in companies that have a debt-based capital structure with companies whose capital structure is based on equity. Manuscript profile -
Open Access Article
4 - Comparison of Public Investment Approaches on Social Welfare Function: A Case Study of Iran
Mohammadhasan Fotros Esmael TorkamaniThe use of natural resource revenues for achievement of development has been a challenging issue for resource abundant countries. These challenges stem from the fact that incomes from natural resources are non-durable, unpredictable and uncertain. Different countries ha MoreThe use of natural resource revenues for achievement of development has been a challenging issue for resource abundant countries. These challenges stem from the fact that incomes from natural resources are non-durable, unpredictable and uncertain. Different countries have pursued various approaches and tools for managing these revenues to avoid economic fluctuations. The international organizations and economic experts propose a diversification in the use of resource revenues through different approaches of public investment. Maximizing the social welfare function has become a common guideline for resource revenue management in resource-rich countries. This article investigates the effect of public investment approaches and their impacts on intergenerational social welfare function of Iran. To this end, the impact of two public investment approaches, namely Permanent Income Hypothesis (PIH) and Bird In Hand (BIH), was examined and compared on a certainty equivalent of social welfare function. Results of the simulation with Iran's economic data indicated substantial positive loss in welfare if switching to the BIH approach. Calculations show that the certainty equivalent of social welfare function for PIH and BIH is 786.3 and 444.3, respectively. PIH provides a higher welfare level for the Iranian economy. Manuscript profile -
Open Access Article
5 - Evaluating the Performance of an Ambidextrous Bank Using an Agent-based Modeling Approach: A Case Study of Sepah Bank
Farzaneh Jahanseir Khararoudi Adel Azar Tooraj KarimiBanks are the financial institutions that collect assets from various sources and allocate them to the sectors that require liquidity. Therefore, banks are an inherent element in the system of every country. As private banks enter financial markets, the demand for diver MoreBanks are the financial institutions that collect assets from various sources and allocate them to the sectors that require liquidity. Therefore, banks are an inherent element in the system of every country. As private banks enter financial markets, the demand for diverse banking services increases dramatically. Banks seek to use various techniques to improve their performance in attracting customers to increase their market share and profitability. In this regard, assessing the performance of banks is of utmost importance and has become a major activity of bank managers. With the constant changes in the modern world and incessant attempts of competitors to increase their market share by gaining competitive advantage, special attention should be paid to ambidexterity as a key strategy to increase competitive advantage and achieve high performance in dynamic business environments. The present study aimed to identify the ambidextrous factors affecting the performance of banks and present a model to assess the performance of an ambidextrous bank using an agent-based modeling approach. The main objective of the research is to achieve an applied model for managing the performance of the banking industry. The simulation model is processed using the agent-based modeling approach in AnyLogic software environment. Manuscript profile -
Open Access Article
6 - Ranking the Efficiency and Soundness of Business Banks Using a Combined Method of Data Envelopment Analysis and Fuzzy VIKOR
Manouchehr Khorramin Ghodrat Allah Talebnia Mohammad Hossein Ranjbar Ali AmiriThe present study provides a systematic method for assessing the efficiency and soundness of banks. The analysis is based on a set of benchmarks related to the financial performance of banks. In this regard, this research has explored a model for evaluating accepted ban MoreThe present study provides a systematic method for assessing the efficiency and soundness of banks. The analysis is based on a set of benchmarks related to the financial performance of banks. In this regard, this research has explored a model for evaluating accepted banks in Tehran Stock Exchange using the data envelopment analysis method. One of the most important applications of this technique is measuring the efficiency of bank branches. In addition, paying special attention to the health of the banking system corresponds to the health of the society’s economics. It is essential to implement precise analysis benchmarks to evaluate banks and other financial institutions due to their importance in the economics. One of these benchmarks is efficiency. In this study, 18 Iranian business banks have been analysed using data envelopment analysis on the basis of financial ratios. Also, their efficiency has been computed using the output-based CCR envelopment model, assuming a constant efficiency-scale ratio. The results suggest that Gardeshgari bank has been selected as the most efficient and healthy bank between 2011 and 2015 on the basis of financial and non-financial criteria, and using the trapezoidal fuzzy number method. Manuscript profile -
Open Access Article
7 - Evaluation of Monetary and Fiscal Policy Based on New Keynesian Dynamic General Equilibrium Model in Iran’s Economy
Maryam Sharifnezhad Sadegh Bakhtiari Koohsorkhi Sara GhobadiThis paper examines monetary and fiscal policy through the estimation of a New-Keynesian dynamic general equilibrium model for Iran’s economy. In this New-Keynesian dynamic general equilibrium model, the consumers encounter the liquidity constraint and the firms f MoreThis paper examines monetary and fiscal policy through the estimation of a New-Keynesian dynamic general equilibrium model for Iran’s economy. In this New-Keynesian dynamic general equilibrium model, the consumers encounter the liquidity constraint and the firms face sticky prices, while they are changing them. In the model presented, a role is considered for both government spending and taxation, besides the monetary rule. Then, the model is estimated using Iran's data over the period of 2002-2017, through the method of generalized moments which leads into valuable insight. The results indicate that aggregate demand reacts to changes in interest rates. When inflation occurs, regardless of its source, it is persistent and inertia.The monetary policy has a forward-looking behavior. The output gap with a lag has a negative effect on government spending and the short-term impact of the output gap on government spending is smaller than its impact on taxation (Tax responses to the output gap are stronger and positive). Manuscript profile -
Open Access Article
8 - The Effectiveness of the Automatic System of Fuzzy Logic-Based Technical Patterns Recognition: Evidence from Tehran Stock Exchange
Abdolmajid Abdolbaghi Ataabadi Sayyed Mohammad Reza Davoodi Mohammad Salimi BaniThe present research proposes an automatic system based on moving average (MA) and fuzzy logic to recognize technical analysis patterns including head and shoulder patterns, triangle patterns and broadening patterns in the Tehran Stock Exchange. The automatic system was MoreThe present research proposes an automatic system based on moving average (MA) and fuzzy logic to recognize technical analysis patterns including head and shoulder patterns, triangle patterns and broadening patterns in the Tehran Stock Exchange. The automatic system was used on 38 indicators of Tehran Stock Exchange within the period 2014-2017 in order to evaluate the effectiveness of technical patterns. Having compared the conditional distribution of daily returns under the condition of the discovered patterns and the unconditional distribution of returns at various levels of confidence driven from fuzzy logic with the mean returns of all normalized market indicators, we observed that in the desired period, after recognizing the pattern, all patterns investigated at the confidence level 0.95 with a fuzzy point 0.5 contained useful information, practically leading to abnormal returns. Manuscript profile -
Open Access Article
9 - Confidence Interval for Solutions of the Black-Scholes Model
Mehran Paziresh Mohamad Ali Jafari Majid FeshariThe forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financia MoreThe forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financial markets. In the present paper, the Black Scholes model in the prediction of stock on year later value, on using data from mellat Bank and Ansar Bank shares in the year 2017-2018, in has been evaluated, and using a numerical method Euler Murayama and computer simulation with the Maple software, for simulated data, gained averages and Standard deviations, confidence interval and their normal histogram are plotted. Also, average of the answers obtained from computer simulations is compared with actual ones, and after ana-lyzing and reviewing the results, performance of the Black-Scholes model has been measured, in stock value prediction. And in the end, this research is com-pared with internal article, and suggestions for future research are raised. Manuscript profile -
Open Access Article
10 - Cost Malmquist Productivity index in non competitive environment of price in Data Envelopment Analysis and the use of it in the dealings of the Iranian Stock Exchange
Elham Rezaei hezaveh Reza FallahnejadThe Malmquist Index (MI) is a tool for analyzing the productivity. Considering its importance, different suggestions and studies have been offered on the Cost Malmquist Productivity Index (CMPI) according to existing conditions of decision making units (DMUs) and the av MoreThe Malmquist Index (MI) is a tool for analyzing the productivity. Considering its importance, different suggestions and studies have been offered on the Cost Malmquist Productivity Index (CMPI) according to existing conditions of decision making units (DMUs) and the available data. The present research aimed to provide a CMPI in a non-competitive environment in which the price data changes from one evaluation unit to another. Given the deficiency of Farrel’s cost efficiency (1957) and also the cost efficiency model presented by Tone (2002), and by taking advantage of the idea of changing the productivity of DMUs at different time periods, we presented cost Malmquist Productivity Index in the presence of non-identical prices for various DMUs, Then, we evaluate the data of the Iranian Stock Exchange by aforementioned Cost Malmquist Productivity index Manuscript profile -
Open Access Article
11 - Designing a Sustainable Supply Chain Model with an Emphasis on Behavioral Factors for Foodstuffs in Kermanshah Province
Seyed Reza Hasani Ahmad Jafarnejad Chaghoshi Hosein Safari Mohammad Reza MehreganThe purpose of this research is to design a sustainable supply chain model with an emphasis on behavioral factors for foodstuff in Kermanshah province. This is an applied research. The literature review was the outcome of a library study such as books, journals, dissert MoreThe purpose of this research is to design a sustainable supply chain model with an emphasis on behavioral factors for foodstuff in Kermanshah province. This is an applied research. The literature review was the outcome of a library study such as books, journals, dissertations, articles, and so on, and the data were collected through a questionnaire which was analyzed by statistical methods. Regarding the subject of this research, the study population consists of managers and staff associated with the supply chain in Kermanshah food companies, involving 100 people. Having analyzed the data using the structural equation modeling and PLS software, it was turned out that the training environment, innovation, motivation, staff empowering, mutual trust and respect, as well as teamwork had a positive and significant effect on the sustainable supply chain with three environmental, social and economic indicators. Manuscript profile -
Open Access Article
12 - Stock Option Pricing by Augmented Monte-Carlo Simulation models
Jalal SeifoddiniStudying stock options is still a pristine area of research in the Iranian capital market. This is due to the lack of data as well as the complexity of valuation methodologies. In the present paper, using the Monte-Carlo simulation, we have estimated the value of stock MoreStudying stock options is still a pristine area of research in the Iranian capital market. This is due to the lack of data as well as the complexity of valuation methodologies. In the present paper, using the Monte-Carlo simulation, we have estimated the value of stock options traded on Tehran Stock Exchange and examined whether the use of a control variate or antithetic variate augmented methods can lower the standard error of estimates. Furthermore, the estimated values of the three models under consideration, including crude Monte-Carlo, control variates augmented Monte-Carlo, and antithetic variates augmented Monte-Carlo are compared with each other and with options market prices. The results show that the standard error of the antithetic variate method is less than the crude method and control variate method. However, the control variate augmented Monte-Carlo model is more powerful than the crude Monte-Carlo and antithetic variate augmented Monte-Carlo method. Therefore, we can conclude that the control variate augmented Monte-Carlo model has a better performance in estimating the value of trading stock options and its estimated values are closer to the market prices. Manuscript profile -
Open Access Article
13 - Application of Resource-Based View Theory in Assessing of Efficiency of Companies Accepted in Tehran Stock Exchange by Data Envelopment Analysis
Zahra Moradi Mona Ghilavi Mohammad Hamed Khan Mohammadi Zohreh HajihaResource-based view (RBV) theory analyzes and interprets company's resources in order to find out how organizations gain a competitive advantage. This theory fo-cuses on the implications of the complicated features of a company as the resources for excellent performance MoreResource-based view (RBV) theory analyzes and interprets company's resources in order to find out how organizations gain a competitive advantage. This theory fo-cuses on the implications of the complicated features of a company as the resources for excellent performance and comparative advantage. According to this view, capa-bilities and resources of the company are the main factors in explaining the func-tional results or competitive advantage. Resources can be considered as inputs which enable companies to do their activities. The purpose of this research is to introduce a resource-based theory for calculating the efficiency score of accepted companies in Tehran Securities Exchange by using Data Envelopment Analysis (DEA). In this regard, the financial statements of 190 companies accepted in the exchange for the 2009 – 2018 period have been analysed. Efficiency indicators, which include 4 categories of resources (10 inputs) and 5 outputs, have formed the axis of the mentioned technique. The results of implementing this model for compa-nies with the efficiency score of one, indicates first a minimal input consumption compared to competing companies in the same industry while producing more out-put, and second, using the resource-based view theory (integration of tangible and intangible resources) enables the company to push the boundaries of efficiency. Finally, it can be said that utilizing minimum and maximum resources simultaneous-ly leads to a focus strategy-type competitive advantage. Manuscript profile -
Open Access Article
14 - A quantum Model for the stock Market
Neda Allahyaribeik Hashem Nikoomaram Sara Allahyaribeik Fraydoon Rahnamay RoodposhtiPrice return and P/E are two interesting factors for a lot of investors; The Bohmian quantum mechanics used referring to the time correlation of return and P/E of the stock market under consideration. In this study, we extend the quantum potential concept to determine t MorePrice return and P/E are two interesting factors for a lot of investors; The Bohmian quantum mechanics used referring to the time correlation of return and P/E of the stock market under consideration. In this study, we extend the quantum potential concept to determine the behaviour of P/E and also price return in two different industry of Tehran stock market during a time interval of April. 2008 to march 2019. The obtained results show that the quantum potential behaves in the same manner for P/E and price return, also confines the variations of the P/E and price return into a specific domain. Furthermore, a joint quantum potential as a function of return and P/E is derived by the probability distribution function (PDF) constructed by the real data of a given market. It serves as a suitable instrument to investigate the relationship between these variables. The resultant PDF and the corresponding joint quantum potential illustrate that where we have light points in joint quantum potential chart, the probability of those amount of P/E and price return are more than other points. In addition, because of the rectangular shape of the joint quantum potential chart we can say that these two variables behave as two independent variables in the Market. Manuscript profile -
Open Access Article
15 - Network Analysis of Interpersonal Relationships in Tehran Stock Exchange
Reza Taghizadeh Amin Nazemi Mohammad Sadeghzadeh MaharluieThe stock market has an important role in growth and development of countries. Network analysis is one of the latest method in analyzing the stock market. In quantitative science literature, It is a new concept for a macro view to whole market. Therefore, this research MoreThe stock market has an important role in growth and development of countries. Network analysis is one of the latest method in analyzing the stock market. In quantitative science literature, It is a new concept for a macro view to whole market. Therefore, this research analyzes the interpersonal relationships’ network in the Tehran Stock Exchange (TSE). From the type of data collected and analyzed point of view, this study is a quantitative research in network analysis domain. The research period is from 2013 to 2017. Softwares such as PreMap and UCINET used for analyzing data. The research results indicated that some individuals, in comparison with others, have a better position in communicative networks. Having better position has caused these individuals to encounter fewer mediators in gaining access to others, and in turn easier access to available resources. In addition, their ability in gaining access to information enhanced via the cluster of network members. Therefore, it might be concluded that these individuals are key actors in governing structure of the TSE. Furthermore, this network follows a kind of bus morphology i.e. individuals act as a bridge for other units and connect them to the core of the communication network. Manuscript profile -
Open Access Article
16 - Measuring Economic Efficiency of Kidney Bean Production using Non-Discretionary Data Envelopment Analysis
Alireza Khoshroo Sanjeet SinghEfficient use of assets in agriculture is a goal for policy-makers and farmers. Agricultural input resources are scarce therefore optimum use of inputs in different agricultural operations is important. Mathematical programming technique such as data envelopment analysi MoreEfficient use of assets in agriculture is a goal for policy-makers and farmers. Agricultural input resources are scarce therefore optimum use of inputs in different agricultural operations is important. Mathematical programming technique such as data envelopment analysis (DEA) is a well-known approach for estimation efficiency of agricultural DMUs. In this study, efficiency of kidney bean production in twelve provinces of Iran has been studied. Inputs were cost of tillage, planting, cultivation, harvesting and land. Output included total production value of kidney bean. Land cost is a non-controllable variable. Therefore; a non-discretionary DEA approach was applied to estimate efficiency of kidney bean production. The average value of technical efficiency score of kidney bean production was 0.74. Results showed that 58 percent of DMUs were efficient and the rest were inefficient. In optimum condition based on the proposed model, tillage, planting, cultivation and harvesting costs is decreased by 34.48%, 11.92%, 27.87% and 7.27%, respectively, without decreasing kidney bean production level. Manuscript profile -
Open Access Article
17 - Investigation And Evaluation Of Monetary Policy Transmission Channels In The Iranian Economy
Parisa Rafiei Shamsabadi Gholamali Haji seysd fakhrodin Fakhr HosseiniMonetary policy plays an important role in managing the economy, but success in applying this policy requires that the monetary authority understands the process of monetary transmission in the economy. Thus, it is not possible to study the effects of monetary policy on MoreMonetary policy plays an important role in managing the economy, but success in applying this policy requires that the monetary authority understands the process of monetary transmission in the economy. Thus, it is not possible to study the effects of monetary policy on the economy without studying the channels of monetary policy transmission. Therefore, in this paper, the effect of a monetary policy through different channels of monetary policy transmission on inflation and production in terms of time process and extent of effectiveness by using Iran's data over the period of (1960 to 2018) through the method of new Keynesian dynamic stochastic general equilibrium have been investigated. The accuracy of the model was confirmed by analysing the impulse-response functions and calculating the method of moments of the second order. The results of the model show that the effects of monetary policy shock are transmitted through the nominal growth rate of money, the real exchange rate on inflation and production without oil. Also, this effects by increasing the interest rates on bank deposits through the monetary base lead to increase production without oil, and through the monetary base, the exchange rate and the price index of domestic goods reduce inflation. Manuscript profile -
Open Access Article
18 - Daily net cash flow analysis and forecasting : Transition from Microscopic to Macroscopic Stochastic Equations
Elham Danesh Ali Saeedi Ehsan Rahmaninia Amir GholamiThe purpose of this study is a new understanding behaviour and net cash flow forecasting. The data of this research contains the daily trial balance for one year, which has been received from 48 bank branches. For this purpose, the optimal model out of 4 models; Geometr MoreThe purpose of this study is a new understanding behaviour and net cash flow forecasting. The data of this research contains the daily trial balance for one year, which has been received from 48 bank branches. For this purpose, the optimal model out of 4 models; Geometric Brownie, Arithmetic Brownie, Vasicek and Modified Square Root at three levels of microscopic, mesoscopic and macroscopic have been investigated and the Geometric Brownie model has been approved as the optimal model in microscopic level . The results show that Geometric Brownian Motion model can simulate the net cash flow highly accurate in accordance with the criteria of mean absolute percentage error. also forecasting net cash flow for each under study time series has been done in various forecasting horizons involved 7, 14, 21, 30, 60, 90 and 180 day time period accordance with the criteria of mean absolute percentage error. Also The other results obtained from this study is that according to 8 different prediction accuracy criteria, By increasing the forecast hori-zon, ability of the GBM model in simulation and forecasting the net cash flow de-creases. Manuscript profile -
Open Access Article
19 - A Model of Investor Sentiment Based on Grounded Theory Approach
Akram Davoudi Ali Khozein Arash NaderianInvestor expectations future economic processes are among the crucial factors affecting their decisions. The expectations seem to play a specific role since they are unsupervised variables capable of forming observable economic phenomena. Psychological factors influence MoreInvestor expectations future economic processes are among the crucial factors affecting their decisions. The expectations seem to play a specific role since they are unsupervised variables capable of forming observable economic phenomena. Psychological factors influence investor expectations and corporate market value. Investor sentiments was modelled with an emphasis on psychological factors based on the Grounded Theory (GT). This applied and mixed-methods at its first and second stages. The statistical population comprised 13 experts, senior managers of investment companies, and university professors. The participants were selected through purposive and snowball sampling and the process was continued until theoretical saturation. The data were collected via semi-structured interviews coded via Atlas.ta.8 software. The research data were analysed using an open coding method. The results of the research were presented in 46 categories and 6 key dimensions. Manuscript profile -
Open Access Article
20 - Analyzing the Effect of Monetary Volatility on the Iranian Stock Market
Nafiseh Vatanchi MirFaiz Falah Shams Lialestani Gholamreza ZomorodianNowadays, financial markets and especially the stock market are important and undeniable sources of financing for investment toward the economic growth and development of countries. These markets also have a tangible role as a basis for implementing monetary policy. Thi MoreNowadays, financial markets and especially the stock market are important and undeniable sources of financing for investment toward the economic growth and development of countries. These markets also have a tangible role as a basis for implementing monetary policy. This study aims to investigate the effect of monetary volatility on the seasonal performance of the Iranian stock market from April 2001 to March 2021.The TEDPIX index of the Tehran Stock Exchange was used for designing and explaining the research model for measuring monetary policy uncertainty in terms of the debt of banks to the Central Bank and to measure the Iranian stock market’s performance. With portfolio theory as the theoretical basis for the study, the housing price index and the exchange rate were added to the research model as other independent variables due to their importance to the portfolio of individuals. In this regard, monetary policy uncertainty was first calculated using the exponential general autoregressive conditional heteroskedastic (EGARCH) method. Then, the effect of uncertainty on the TEDPIX index was calculated using the vector auto regression (VAR) statistical method in EVIEWS 12. The findings indicate a significant negative correlation between monetary policy uncertainty and short and long term TEDPIX index. Moreover, exchange rate and housing price index has a significant positive effect on the TEDPIX index. Manuscript profile