Investigation of relation between the currency rates of volatility on open position of Tejarat bank

Subject Areas : Financial Knowledge of Securities Analysis

H. Ebrahimi ¹ ( نویسنده اصلی و مسئول مکاتبه )

Received: 2009-05-10 Accepted : 2009-07-15 Published : 2009-03-21

Keywords: Open Position, currency Rate Volatility, Vector Auto&#x0D, &#x0D, Regressive, Vector Error Correction Model, Impulse Response Function, Variance Decomposition,

Abstract :

This research, Investigate the relation between the currency rates ofvolatility on open position Tejarat bank and its effects of the impulsesfrom the exchange rate volatility and other variables on open position. Inorder to do this , we have utilized open position items, reference rates ofCentral bank , Stock price index , Money supply and Balance ofcountry’s monthly payments over a six-year period from 1381 to1386.Foreign exchange position as it’s name signifies , shows the state ofbeing long or short in position. In other words, the differential of theassets and the liabilities of the bank in one foreign exchange is calledforeign exchange position.For this purpose, the new econometric procedures have been used.Vector Auto Regressive model has been used for variables which are inthe augmented level (Japan’s Yen and Swiss Frank) and Vector ErrorCorrection Model has been used for variables which became augmentedby a differential.(based on Dollar , Euro , Pound , and sum of foreigncurrencies).In the meantime , as per the standard pattern of SchwarzBayesian ,Akaike , and Hannan Quinn , Quantity 2 has been selected asthe optimum degree for VAR.Surveys in this research show that the reaction of open position offoreign currency against the impulse from the currency rate varianceinfluence the value of the foreign currency assets and the liabilities of thebank , and make the bank confront with the considerable risk in the valueof the foreign currency assets and liabilities.