اقتصاد کلان

Open Access Article

1 - Credit Risk Test Stress Model of the Banking Industry under Macroeconomic Scenarios
mohsen Ziaee Bidhendy Mehrzad Minooee Mirfaz Fallah shams

The main reason for conducting the present study is to design and explain the credit crunch risk test model of the banking industry under macroeconomic scenarios. In addition to the use of documents and reports related to the banking industry, the panel data related to More

The main reason for conducting the present study is to design and explain the credit crunch risk test model of the banking industry under macroeconomic scenarios. In addition to the use of documents and reports related to the banking industry, the panel data related to the annual reports and datasets of the banking industry were used. In the present study, in order to perform econometric analyzes, E-Views software was used and Matlab artificial intelligence environment was used to design an intelligent system. Then, based on the GARCH method, the regression statistics related to the GARCH model for the fluctuations between the research objective function and GDP growth rate, interest rate, unemployment rate, inflation rate and per capita income growth rate are calculated equal to 0.927, which indicates very high predictive power. The econometric model of research is. One of the most important results of the present study is that according to the calculations performed, the bank's credit portfolio to reduce the probability of default is exactly 91 percent (the fifth level of system output is excellent). Manuscript profile

Open Access Article

2 - Designing and presenting a model to determine the effect of macroeconomic and banking variables on the occurrence of asset freezing in the country's banking system
Fateme Davoudi Farkoosh mohammad ebrahim Mohammadpoor zarandi mehrzad minouei

In this article, the goal is to design and present a model to determine the effect of macroeconomic and banking variables on the occurrence of asset freezing in the country's banking system using meta-heuristic models. The current research is applied in terms of purpose More

In this article, the goal is to design and present a model to determine the effect of macroeconomic and banking variables on the occurrence of asset freezing in the country's banking system using meta-heuristic models. The current research is applied in terms of purpose, in terms of research method, correlation analysis type and in terms of overall research design, post-event and retrospective. In order to answer the research questions, the annual data of macroeconomic and banking variables, during the period of 1399-1390, were collected and using the test of regression models in EViews, Smart PLS software and also the neural network model. It was estimated in SPSS Modeler software. The estimation results of the regression model of the first hypothesis in EViews software showed that the economic variables of GDP, unemployment rate and interest rate, consumer price index, currency strength at the error level of one percent and the economic growth rate variable at the error level of ten percent have a significant relationship. They have a dependent variable (asset freezing). Also, the estimation results of the structural model of the first hypothesis in the PLS software are significantly aligned with the output of the Eviuse software. So; The first research hypothesis is confirmed. Also, the results of the regression model estimation of the second hypothesis in EViews software showed that the intra-bank variable of the bank size ratio, return on equity, and the amount of liquidity at the error level of ten percent, and the variables of capital adequacy, return on assets, bank capital, at the error level of one percent. The percentage has a significant relationship with the dependent variable (asset freezing). Also, the estimation results of the structural model of the second hypothesis in the PLS software are significantly aligned with the output of the Eviuse software. So; The second research hypothesis is also confirmed. Manuscript profile

Open Access Article

3 - The Design and Calibration of a New Keynesian DSGE Model with Stock Market Dynamics in Iran Economy
Ahmad Salahmanesh Seyed Aziz Arman Ebrahim Anvari Abdollah Pourjavan

Financial markets especially capital market can make strong connections with other parts of the economy. After 2007/2008 financial crisis and global extensive economic recession, the economists show interest in the financial markets function again. The purpose of this s More

Financial markets especially capital market can make strong connections with other parts of the economy. After 2007/2008 financial crisis and global extensive economic recession, the economists show interest in the financial markets function again. The purpose of this study is to design and calibrate a Dynamic Stochastic General Equilibrium new Keynesian model with Stock market dynamism to investigate the stock market channal effectiveness mechanism on macroeconomics variables. So an open DSGE model containing households, firms, banks, government and central bank was designed and after log-linearization, then the model’s parameters were calibrated using quarterly data 1996:3-2013:2 and experimental studies results. This study shows that a negative shock to stock price index in the DSGE model via financial accelerator and bank capital channel will result in decrease production, consumption, investment, deposits and inflation and therefor the macroeconomic variables such as consumption, investment and production have stronger relationship with stock market dynamism Manuscript profile

Open Access Article

4 - برآورد تابع سرمایه گذاری بخش خصوصی تحت شرایط نااطمینانی های اقتصاد کلان
مهدی یوسف زاده علی امامی میبدی فرزانه خلیلی

10.30495/jae.2022.70710.1454

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Open Access Article

5 - Evaluation of long term relations between Tehran Stock Exchange index and macroeconomic variables
Majid Abdi

Stock Exchange as the most important element of the capital market, is affected by economic conditions. Returns and Exchange price of the exchange, is the result of the economic situation and macroeconomic variables. Also, index of Stock Exchange, which reflects the gen More

Stock Exchange as the most important element of the capital market, is affected by economic conditions. Returns and Exchange price of the exchange, is the result of the economic situation and macroeconomic variables. Also, index of Stock Exchange, which reflects the general state of market, always, has been affected by macroeconomic variables. The main objective of this study is to investigate the relationship between the index of Stock Exchange and macroeconomic variables. For this purpose, quarterly data related to the index and macroeconomic variables during years 1992-2012 as a time sequence are used. Method used in this research is Autoregressive model. Distributed Lag (ARDL) is. Phillips - Perron test showed that, all variables in the lower bound has a unit root with Distributed Lag, but at the upper bound they are static. The results of Granger causality error correction model, represents a long term equilibrium relation and cointegration between the index and variables of consumer index, money supply, exchange rates, GDP, liquidity, governmental payments, coin price and manufacturer index prices. Manuscript profile

Open Access Article

6 - Classification the Economic Entropy Index in a Macroeconomic Model
Behrouz Sadeghi Amroabadi mohsen renani

10.30495/eco.2021.1910638.2430

The aim of this paper is the classification the economic entropy index in a macroeconomic model. Therefore, the descriptive-analytical methodology and econophysics and systems theory were used. The results show that the economic entropy was divided in four sections, sho More

The aim of this paper is the classification the economic entropy index in a macroeconomic model. Therefore, the descriptive-analytical methodology and econophysics and systems theory were used. The results show that the economic entropy was divided in four sections, shock entropy, respiration entropy, sleep entropy, and entropy of waste. Increasing the economic entropy index due to the scarcity of environmental resources, predicts the likelihood of an economic catastrophe. This will not only bring about economic growth faces serious problems, but the environment poses a serious problem as a place of residence. According to the results, reducing the instabilities and external stresses to reduce shock entropy, developing the appropriate rules for firms to reduce respiratory entropy, policies based on the reduction of physical and social waste to reduce the entropy of waste and policies for the use of production spaces that are not currently in use to reduce sleep entropy recommended. Manuscript profile

Open Access Article

7 - Effect of Corporate Debt Convergence on Relationships of Macroeconomic Risks, Corporate Risks in Similar Industries, and Specific Risks of Companies with Capital Structure Adjustment Speed
Sayed Mojtaba Ahmadi Mehdi Aghabeikzadeh afsaneh soroushyar

In this study, the data of companies listed in the Tehran Stock Exchange were used to compare the effects of macroeconomic risks, corporate risks in similar industries, and specific risks of companies on the capital structure adjustment speed between convergent and non- More

In this study, the data of companies listed in the Tehran Stock Exchange were used to compare the effects of macroeconomic risks, corporate risks in similar industries, and specific risks of companies on the capital structure adjustment speed between convergent and non-convergent companies in terms of financial leverage. This study aims to determine whether the corporate debt convergence affects the roles of macroeconomic, industrial, and corporate risks in the capital structure adjustment speed. For this purpose, the data of the TSE-listed companies were collected concerning the 2015–2021 period. Firstly, convergent and non-convergent companies were differentiated using the method proposed by Philips and Soul (2007). The generalized method of moments (GMM) regression was then employed to estimate the results. According to the research results, macroeconomic risks and peers risks and specific risks of companies increases the capital structure adjustment speed, Furthermore, the effects of macroeconomic risks, peers risks, and specific risks of companies on adjustment speed of capital structure differentiated between converging and nonconverging firms. Manuscript profile

Open Access Article

8 - Forecasting Future Trends of the Stock Market Using the Probit Regression Approach with Emphasis on Value at Risk
Seyed Ali Mousavi Loleti Emran Mohammadi Saeed Shavvalpour

Forecasting has always been recognized as an important issue in financial markets and is considered a unique factor in estimating future unknown values. The aim of this research is to identify and forecast the conditions of the Tehran Stock Exchange(TSE) and the factors More

Forecasting has always been recognized as an important issue in financial markets and is considered a unique factor in estimating future unknown values. The aim of this research is to identify and forecast the conditions of the Tehran Stock Exchange(TSE) and the factors affecting them, focusing on the correlation between market prosperity and value at risk. To achieve this, in the first step of this study, the time series of the value at risk index on the capital market TSE was estimated using daily data and the first-order GARCH method from spring 2010 to June 2023. Then, the factors influencing prosperity in TSE were evaluated based on seasonal data from spring 2010 to June 2023 using the probit regression approach. In addition, value at risk index was calculated seasonally and the relationship between the probability of market prosperity and the value at risk index was examined using correlation coefficients.The research results show that the probability of market prosperity in the Iranian capital market has a significant negative relationship with the bank interest rate, liquidity growth and the occurrence of sanctions. There is also a significant positive relationship with the inflation rate and the growth of the exchange rate. Furthermore, the correlation analysis shows that market prosperity is directly related to equity value at risk. Assuming stable conditions, the research suggests that the probability of a prosperity market in the next three seasons is significantly higher than the occurrence of a recession. Manuscript profile

Open Access Article

9 - اثرات متغیرهای کلان اقتصادی بر شاخص کل بورس اوراق بهادار تهران
اسماعیل فدایی نژاد رضا فراهانی

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Open Access Article

10 - The Evaluating of the Effectiveness of Expansionary Fiscal Policies: Comparative Linear and Threshold VAR
عبدالرسول قاسمی صبا نظری

This paper aims to answer the question of whether expansionary fiscal policy (increasing government spending and tax cuts) on economic growth in Iran is in linear or non-linear effects ? On this purpose, the performance of each of these programs using both linear and th More

This paper aims to answer the question of whether expansionary fiscal policy (increasing government spending and tax cuts) on economic growth in Iran is in linear or non-linear effects ? On this purpose, the performance of each of these programs using both linear and threshold vector autoregressive model and the data years 1338 to 1391 is investigated. In this connection, when using the threshold model, the studied period observationsbased on positive or negative output gap was divided into two regimes. Impulse response functions results from the linear model indicate that reduced tax revenues and increased government spending as fiscal stimulus have led to increasing economic growth, but the impact of government spending is greater than tax revenues. Increasing government  spending is  most effective in threshold model, also. In addition, comparison of Impulse response functions from linear and  threshold model show that response of GDP  to tax revenues in linear model and positive output gap are almost identical. However, the effect  of  increasing government spending on GDP in linear model is very different from high regime. GDP response to tax revenues and government spending in lower regime is also different from the linear model. Accordingly, the expansionary fiscal policies multipliers are dependent on economic conditions in terms of the output gap. Manuscript profile

Open Access Article

11 - Price Bubble and the Effect of Economic Variables on the Exchange Rate in the Iranian Financial Market Using ARIMA and TAR Methods
Yagoob Zahedi Nader Rezaei Vadoud Najjari

10.30495/fed.2023.705599

Abstract Many financial crises follow the bursting of the financial asset bubble, and it is important to examine the bubble behavior in these markets and make an early diagnosis to prevent adverse economic consequences; Therefore, the main purpose of this study was to More

Abstract Many financial crises follow the bursting of the financial asset bubble, and it is important to examine the bubble behavior in these markets and make an early diagnosis to prevent adverse economic consequences; Therefore, the main purpose of this study was to investigate the effect of four economic and financial variables including GDP, auto index and parts of stock exchange indices, inflation rate and oil income on the exchange rate by quasi-experimental studies with two statistical models ARIMA and model The return itself is the TAR threshold. Considering that previous studies in this field, which have mostly dealt with the formation and explosion of bubbles, and in this field, studies have not been done or are limited; Therefore, in this study, first, data were collected quarterly in the time yield of spring 2011 to spring 1400 and were analyzed by descriptive statistics and econometrics. The results of ARIMA model analysis show that an increase in the exchange rate unit in a past period will lead to an increase of 1.94 exchange rates in the current period. The results of TAR model analysis show that there is a nonlinear relationship between the variables studied in the study and two thresholds for GDP (2130- and 15460) were estimated, indicating different effects of GDP, inflation rate, car index and parts. One of the indicators of the stock exchange and oil income in the regime is high, medium and low (threshold level of 2130-15460) on the exchange rate. Manuscript profile

Open Access Article

12 - Company value prediction based on deep learning methods
Seyedeh Maryam Babanezhad Bagheri Abbasali PourAghajan M. Mehdi Abbasian Feridoni

10.30495/fed.2023.705603

Abstract Prediction and clear understanding of the behavior of a phenomenon plays a major role in adopting strategies and decisions. All-round development and deepening of the capital market as the driving engine of economic development requires the public trust of par More

Abstract Prediction and clear understanding of the behavior of a phenomenon plays a major role in adopting strategies and decisions. All-round development and deepening of the capital market as the driving engine of economic development requires the public trust of participants in its efficiency and correctness in determining the fair price of securities. On the other hand, predicting company value, price fluctuations, or stock returns is very important in portfolio selection, asset management, and even stock pricing of newly listed companies.In this research, using the data of 159 companies during a 10-year period including 2011-2020 and the factors affecting the company's value, including financial ratios, corporate governance mechanisms, macroeconomic factors, and the stock market, the company's value has been predicted. In this research, two structures of deep learning methods including GRU and BLSTM are used for better evaluation. The results of examining the data collected using deep learning techniques indicated that the combined model with a lower RMSE error than the GRU model predicted the value of the company. Manuscript profile

Open Access Article

13 - تاثیر متغیرهای کلان اقتصادی بر ریسک و بازده کل سهام با تاکید بر مدل بازده سهام – تورم
رویا دارابی ملیحه علی فری

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Open Access Article

14 - Analysis of Comovement between Tehran Stock Market and Global Macroeconomic Indicators Using a Time-Frequency Analysis
Khadijeh Dinarzehi Mohammad Nabi Shahiki Tash Gholamreza Zamanian

Study of the comovement between financial markets plays a crucial role in increasing the performance of trading strategies. Due to the strong dependence of Iran economy on oil prices and the fluctuation of the dollar exchange rate in the open market, it is very importan More

Study of the comovement between financial markets plays a crucial role in increasing the performance of trading strategies. Due to the strong dependence of Iran economy on oil prices and the fluctuation of the dollar exchange rate in the open market, it is very important to study these macroeconomic level factors on stock market performance for portfolio management. In this research, using time-frequency domain analysis, while discovering the interdependence between financial markets, capital turnover trends in Tehran stock exchange are analyzed and the effect of exchange rate fluctuations and the price of the OPEC oil basket on the indices including TEPIX, industry, banking, automobile, and oil products are studied. The results show that the longer the investment horizon, the stronger this effect is, and the increase in the exchange rate causes the index to increase in order for the market to prosper more, while there is a weak interdependence between TEPIX and oil price. During the investment horizon of 4 to 9 months, any increase in USD encourages shareholders to trade more, while in similar conditions, the increase in oil prices, except in the banking and the petroleum sectors, cause money to flow out of the market in other sectors. Manuscript profile

Open Access Article

15 - The Impact of Macroeconomic Policies on Economic Growth, with Emphasis on External Debt
F. Nazari N. A. YadollahzadehTabari

The purpose of this study is to examine the impact of macroeconomic policies on economic growth, with an emphasis on external debt. In this regard, using the econometric model autoregresive Distributed Lag and using annual time series data over the years of 13 More

The purpose of this study is to examine the impact of macroeconomic policies on economic growth, with an emphasis on external debt. In this regard, using the econometric model autoregresive Distributed Lag and using annual time series data over the years of 1359-1391 has been dealt with,Variables in the long-term external debt, multilateral debt, trade,the ignificant positive effect of inflation, public sector debt to the Central Bank (representing the deficit), and a significant negative effect on economic growth in the dummy variable. Manuscript profile

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