The Relationship of Return on Investment Markets with the Debold and Yelmaz Approach

Subject Areas : Financial engineering

SayyedAmirMahdi Hashemi ¹ , mohammad khodaei valahzaghard ² , Abbas Memarnejad ³ , asghar abolhasani Hastiani ⁴

1 - Department of Financial Management, Sience and Research Branch, Islamic Azad University, Tehran, Iran
2 - Department of Financial Management, Tehran North Branch, Islamic Azad University, Tehran, Iran
3 - Department of economic, Sience and Research Branch, Islamic Azad University, Tehran, Iran
4 - Department of Accounting and Economy.Payam- e –noor University ,Tehran. Iran

Received: 2020-03-30 Accepted : 2020-04-17 Published : 2020-09-22

Keywords: Economic Growth, Financial Development, Structural Dynamic models,

Abstract :

Financial development is one of the most important causes of economic growth. Economic growth is a key variable of every economy, so analysis the factors that affect Economic growth is important, too. In this paper, the effect of financial development on the economic growth of the country during the period of 1989 to 2016 has been studied. In order to increase accuracy and flexibility of results, we use the TVP-FAVAR model which make possible to change coefficient and participant of individual variables at any point of time. At first, latent financial development variable in Iran economy has been estimated; Then, we specify the model of study by using the variables of liquidity volume, oil revenues, economic growth and financial development.The results of the impulse- response functions show that a shock in the latent financial development has had a positive effect on economic growth during the years under study. The results also show that the shock caused by oil revenues will only lead to an increase in economic growth over the short term and will be adjusted over several years, while the effects of liquidity shocks on the results of most years have had a neutral effect on economic growth.

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Yoon.C., Furceri,D. Choi,S., Albrizio,S., “International bank lending channel of monetary policy” Journal of International Money and Finance,Volume 102, April 2020, 102124. DOI: 10.1016/j.jimonfin.2019.102124

Zhang, x. Charls, M. Boehmer, E. “Potential pilot problems: Treatment spillovers in financial regulatory experiments,” Volume 135, Issue 1, January 2020, Pages 68-87. DOI: 10.1016/j.jfineco.2019.05.016

Zhang. J, Wang. L and Wang. S, (2012), Financial Development and Economic Growth: Recent Evidence from China Journal of Comparative Economics, 40, 393-41.