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Open Access Article
1 - مطالبه مابه التفاوت نرخ ارز از سوی بانک در اعتبارات اسنادی
محمد رضا باقری جعفر جمالی محمود خادمان -
Open Access Article
2 - Jurisprudence-legal feasibility of using futures contracts in the international currency market
Omid tavakolikia Mohsen Aghasi Syed AhmadAli Ali HashemiA futures contract is an agreement to simultaneously buy and sell a certain amount of one currency against another currency at a certain time and at a certain rate in the future. In fact, the futures contract is a type of forward contract, with the difference that the b MoreA futures contract is an agreement to simultaneously buy and sell a certain amount of one currency against another currency at a certain time and at a certain rate in the future. In fact, the futures contract is a type of forward contract, with the difference that the buyer and the seller are not known to each other and only transact with each other through banks or brokers active in the currency market. The foreign exchange market is a virtual market where interested people around the world can buy and sell existing currencies through the Internet and selecting the desired broker. The distinguishing feature of this market compared to other markets is the limited selection of investment options, and the major forex transactions are carried out only on seven currencies and three currency pairs, and by examining the macroeconomic variables of the countries and the news available at the international level, you can choose your desired currency. Islamic jurists believe that it is possible to trade the currencies of different countries in cash or at different rates because the inherent price and purchasing power of the currencies of different countries are independent and the general agreement is about the inaccuracy of using futures contracts and currency advances in the state of delaying obligations and rights. There are parties to some time in the future, which in this article has been examined in jurisprudential and legal doubts related to the authenticity of these contracts. Manuscript profile -
Open Access Article
3 - Analyzing the structural breaks and the exchange market turbulence on volatility spillovers between exchange rates and Tehran Stock Exchange
alireza Erfani Mohammadmehdi GholizadehThis article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' moveme MoreThis article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To doing so, we used the exchange rate in the open market (in some periods, the black market) as one variable and the Tehran Stock Exchange Index (TEDPIX) as a second in the form of multivariate conditional heterogeneity variance (MGarch) model. According to the results, the time series suggests multiple structural breaks from Dec. 2018 to Jan. 2020. Using the so-called GLS-Based unit root test, we observed five structural breaks that produced stationary problems at the level and no evidence of stationary problems at the return of the data. Also, by using DCC and FDCC models we confirm that there is a fluctuation between the two markets during the period. This overflow shows a different performance if structural failures are considered. Manuscript profile -
Open Access Article
4 - Uncertainty in macroeconomic Assets Market: An Approach of Stochastic Portfolio
Hashem Zare Zeinab Rezaei Sakha Mohammad ZareInferring and inducing among the relations for many of the phenomenas is common in most of sciences. Accordingly, econophysics experts are trying to fill the gap between microeconomics and macroeconomics to explain complex financial systems, using the statistical physic MoreInferring and inducing among the relations for many of the phenomenas is common in most of sciences. Accordingly, econophysics experts are trying to fill the gap between microeconomics and macroeconomics to explain complex financial systems, using the statistical physics tools. Using a dynamic econometric model, the impact of exchange and gold markets shocks on the stock market is studied. The results show the more significant contribution of the foreign exchange market shocks than the gold market shocks on the fluctuations of stock market. Furthermore, this study forms an assumptive portfolio consisting of three assets including stock, exchange and gold and use random portfolio theory to analyze the risks and uncertainty. The level of uncertainty and risk is studied by using the characteristics of the Castaing, Gagne & Hopfinger distribution functions. The results indicate a high level of uncertainty and risk in the macroeconomic assets portfolio. In other words, the occurrence of financial crises in these markets is expected. Manuscript profile -
Open Access Article
5 - An investigation of the effects of foreign exchange market shocks on Tehran stock exchange by Markov regime switching model
عبدالناصر شجاعی محسن خضری تورج بیگیSeveral studies have been accomplished about the relationship between the exchange rate volatilities and stock market behavior. In theoretical methods, there is no general agreement about the relationship of foreign exchange market and stock market. This pa MoreSeveral studies have been accomplished about the relationship between the exchange rate volatilities and stock market behavior. In theoretical methods, there is no general agreement about the relationship of foreign exchange market and stock market. This paper which is based on a two regime MS-EGARCH(1,1) and with using monthly data between 2000 to 2010 intends to investigate this topic. According to estimation results, the first regime is related to variance regime and low average (recession)and the second regime is related to variance and high average (expansion). In average regime and low variance, foreign exchange market shocks had positive effect on stock return variance but it did not have any effect on the level of average return of stock market. But in variance regime and high average it did not have any significant positive effect on the level of variance and the level of stock return average. The above results showed the asymmetrical effects of foreign exchange market shocks on stock return in two stagnation regime and expansion regime. Manuscript profile -
Open Access Article
6 - Explain the shocks and fluctuations of the foreign exchange market and how to transfer these shocks to other markets
soqra razi kazemi Fraydoon Rahnamay Roodposhti gholamreza zomorodian Ebrahim ChiraniThe transmission of financial crises between different markets in an economy indicates the existence of channels of transmission of this crisis. Today, parallel currency markets are closely related to other markets such as gold, coins, stocks and oil. Channels that tran MoreThe transmission of financial crises between different markets in an economy indicates the existence of channels of transmission of this crisis. Today, parallel currency markets are closely related to other markets such as gold, coins, stocks and oil. Channels that transmit shocks and fluctuations of the foreign exchange market to other markets can include information, macroeconomic variables, investment behaviors, and so on. In this study, using daily data from 2009 to 2017, the explanation of overflow fluctuations and shocks in the foreign exchange market and how to transfer these shocks to other markets has been examined. The results indicate the existence of fluctuations overflow as well as structural fractures due to the presence of this overflow. The research model and determination of interruptions is based on the VAR model. Yields and fluctuations as well as the presence of the Arch effect in the model are determined based on the VAR model. The MV-GARCH model is used to determine the returns in the foreign exchange market. Fluctuations and shocks of the foreign exchange market and its impact on other markets as well as future prices in different markets are determined based on the VAR model. The results of this study indicate the effect of shock in the foreign exchange market on the trend of future prices in this market as well as the impact on other markets. Manuscript profile -
Open Access Article
7 - Investigating herd behavior in the digital currency market
gholamreza askarzadeh amin roohiThe purpose of this research is to investigate herd behavior in the digital currency market. Considering the important role of herd behavior in the digital currency market and its effect on the price of cryptocurrencies, this study focuses on mass behavior in digital cu MoreThe purpose of this research is to investigate herd behavior in the digital currency market. Considering the important role of herd behavior in the digital currency market and its effect on the price of cryptocurrencies, this study focuses on mass behavior in digital currency markets, because this herd behavior causes the direction of the market to change, so for the trader and investors, it is important for what reasons this herd behavior occurs. Bitcoin has been the largest cryptocurrency invested over the past decade, and mass phenomena in cryptocurrency markets are largely attributed to its price volatility. The data analysis method is linear regression, and the statistical population is currently the top 500 cryptocurrencies based on the project, and in this research, the top 200 cryptocurrencies based on their market value in the digital currency market, which have the greatest impact. on the market and cause herd behavior in the digital currency market has been selected in the period of 2019 to 2022. The method of collecting information has been done using the library method, by checking the Coin Market Cap website and Latin articles. Cross-sectional absolute standard deviation (CSAD) has been used to measure and test hypotheses. The results of the research show that the intensity of herd behavior in the bull market is higher than in the bear market, and there is also herd behavior in the cryptocurrency bull market. Manuscript profile -
Open Access Article
8 - Asymmetric Effects of Stock Market shocks on Foreign Exchange Market in Iran: Application of DDC and APARCH Models
Mansoreh Zeraati Masoud Soufi Majidpour Mamood Mahmoodzadeh Mhdi FathabadiAbstractIn this paper, the asymmetric effects of stock market shocks on the exchange rate in Iran were evaluated using the daily data from 20/03/2016 to 21/06/2023 using cointegration and APARCH methods. The evidence shows that both shocks (positive/negative) are repeat MoreAbstractIn this paper, the asymmetric effects of stock market shocks on the exchange rate in Iran were evaluated using the daily data from 20/03/2016 to 21/06/2023 using cointegration and APARCH methods. The evidence shows that both shocks (positive/negative) are repeatedly found in the Iranian stock market. Out of 2642 days, 1601 days of the market had negative returns and 1041 days had positive returns. In 511 days the market has fluctuated more than one standard deviation (big shocks). Estimates show that there is a strong long-term relationship between these two markets. The findings showed that the reaction of exchange rate to the positive and negative shocks of the stock market is asymmetric and has a long-term effect on the exchange rate. The behavior of the exchange rate towards negative and positive impulses is cyclical. The big negative shocks in the stock market gradually increase the return of exchange rate and eventually this effect does not disappear and puts the exchange rate at a higher level. But the effect of the big positive shocks in the stock market on the exchange rate is dampening. Negative shocks have a greater impact on conditional volatility compared to positive momentum. Also, the fluctuation of the stock market shows a very stable pattern. Keywords: shocks, stock market, exchange rate, asymmetric, APARCH.JEL Classification: G19, N25, F31, C58 Manuscript profile -
Open Access Article
9 - Evaluation of Exchange Market Pressure and Degree of Government Intervention by Co-integration Technique: Case Study of Iran
mahmood baghjari Ebrahim Hoseini nasab Reza NajarzadehAbstract Exchange market pressure (EMP) is an important index for evaluating the changes of exchange rate and foreign exchange reserves simultaneously. In this paper, exchange market pressure is calculated based on Weymark approach during 1989: Q1- 2012:Q4. The method MoreAbstract Exchange market pressure (EMP) is an important index for evaluating the changes of exchange rate and foreign exchange reserves simultaneously. In this paper, exchange market pressure is calculated based on Weymark approach during 1989: Q1- 2012:Q4. The method applied for estimating EMP is Co-integration technique by using Johansen-Juselius (JJ) technique. The results have represented that, during the period, there is a pressure on exchange rate and about 44% of exchange market pressure is attracted by foreign exchange and remaining 56% absorbed by the changes in exchange rate. Manuscript profile -
Open Access Article
10 - State Dependent Effects of Monetary Aggregates on Exchange Market Pressure in Iran's Economy
Mohsen Tooti Seyed Yahya Abtahi Jalil Totonchi Zohreh tabatabaeinasabThe purpose of the present study is to investigate the effects of monetary aggregates on exchange market pressure of Iran's economy using quarterly data and during the period of 2001:02- 2021:04. For this purpose, exchange market pressure index has been calculated MoreThe purpose of the present study is to investigate the effects of monetary aggregates on exchange market pressure of Iran's economy using quarterly data and during the period of 2001:02- 2021:04. For this purpose, exchange market pressure index has been calculated by Edwards (2002) and Kumah (2007) approach; The results show that the exchange market pressure index of Iran's Economy follows a nonlinear pattern. After that, using the unit root test of Lee and Strazisich (2003), which is based on the minimum Lagrange coefficient (LM) test, the time series has been confirmed in terms of the structural break point, and then using by the approach proposed by Lee and Strazisich (2003), the residual of the time series has been extracted. The results of Markov Switching GARCH model indicate that in the low regime of exchange market pressure, the monetary base variable with a coefficient of 0.29 has the greatest effect on the pressure of the Iranian currency market, followed by liquidity and money variables respectively with coefficients 0.06 and 0.01 increase the pressure of the currency market, with the switch of the regime and being in the high regime of exchange market pressure, the variables of monetary base, liquidity and money with the coefficients of 0.88, 0.54 and 0.31 lead to pressure in the currency market, therefore, the application of contractionary monetary policy and control of monetary aggregates should be considered as a strategic point for economic policy makers. Manuscript profile -
Open Access Article
11 - Evaluation of the Dynamic Relationship between Foreign Exchange Market, Stock Market and the Housing Market in Iran Using a Multivariate GARCH Model
Oranus Parivar Mahbobeh hassaniThis paper analyzes the dynamic relationship between housing market, stock market’s general index and real effective exchange rate of Iran using VAR and MGARCH models. For this purpose, monthly data of ti MoreThis paper analyzes the dynamic relationship between housing market, stock market’s general index and real effective exchange rate of Iran using VAR and MGARCH models. For this purpose, monthly data of time period between Farvardin 1383 till Ordibehesht 1395 (Persian calendar) have been used. Based on the obtained results, there is no significant effect of other markets’ returns on housing market returns, while there is a significant and negative effect of stock market and housing market returns on foreign exchange market returns. In addition, in this study, the effect of simultaneous fluctuations of the housing market, foreign exchange and stock markets have also been evaluated. The results show that each market is not independent from other markets and a single market fluctuations will affect on the other markets. Because of the degree of simultaneous fluctuations among three markets, in order to make decision in one market and reduce the errors in decision making, policy makers can also consider political tools in other markets. Furthermore, investors may allocate their assets to these three markets in order to reduce the risk of investment Manuscript profile -
Open Access Article
12 - مدلسازی ارتباط شاخص قیمت در بازارهای مالی و رابطه مبادله در اقتصاد ایران (الگوی پرش قیمتی مرتون و رویکرد توابع کاپیولای شرطی)
سیدعبدالمجید جلایی اسفندآبادی نوراله صالحی آسفیجی الهام شیوایی -
Open Access Article
13 - The Impact of Foreign Exchange Reserve Management Dynamics and the Structure of Central Bank Interventions on Foreign Exchange Market Stabilization Using Gerton and Roper Theory
هادی محبوبی هوشنگ مومنی وصالیان مرجان دامن کشیده شهریار نصابیانAbstract The purpose of this paper is to estimate the impact of the dynamics of foreign exchange reserves management and the structure of central bank interventions on the stabilization of the foreign exchange market using Gerton and Roper theory. For this purpose, fir MoreAbstract The purpose of this paper is to estimate the impact of the dynamics of foreign exchange reserves management and the structure of central bank interventions on the stabilization of the foreign exchange market using Gerton and Roper theory. For this purpose, first the central bank intervention index was calculated with the foreign exchange market pressure approach and then the intervention function of the intervention policy with the threshold approach (STAR) was estimated based on the annual data of 1365-1398. The results of estimating the linear part of the model show that the variables of foreign exchange market pressure index and budget deficit have a negative effect on the real exchange rate in Iran. Meanwhile, the results of estimating the nonlinear part of the model indicate the positive effect of the growth rate of foreign exchange earnings from oil sales, net exports, consumer price index and fiscal policy index on the real exchange rate in Iran. This indicates that as the growth rate of foreign exchange earnings from oil sales increases, the amount of foreign exchange resources of the country (nominal exchange rate) increases. With the increase of the country's foreign exchange resources, the real value of the domestic currency increases and this is a factor in reducing the real exchange rate and worsening the country's export situation. In fact, in Iran, due to high inflation, governments have always tried to keep the exchange rate low to prevent price increases. The result of this type of intervention has been the inflexibility of the nominal exchange rate in response to economic changes and developments, which can be a factor in reducing the real exchange rate in recent decades in Iran Manuscript profile -
Open Access Article
14 - Investigating the effect of central bank intervention on the profitability of commercial banks in the country: a mild transfer regression approach
Azam Sadat Atyabi Alireza DagigiASL Gholamreza GaryenjadAbstract In the present study, in the first stage, the central bank's policy intervention index and foreign exchange market pressure were calculated, and then, using gentle transfer regression (STR), the effect of central bank intervention on the profitability of the c MoreAbstract In the present study, in the first stage, the central bank's policy intervention index and foreign exchange market pressure were calculated, and then, using gentle transfer regression (STR), the effect of central bank intervention on the profitability of the country's commercial banks was investigated. According to the model results; In 24 of the 30 years surveyed, the country's economy has faced increasing pressure from the foreign exchange market. In other words, between 1370 and 1399, the central bank's intervention activities eliminated an average of 24% of the foreign exchange market pressure. Also, the results of STR model estimation show the positive effect of economic growth rate variable on bank profitability and the negative effects of central bank intervention, stock return rate, credit risk, inflation rate and interest rate on the profitability of commercial banks. The negative coefficient of the central bank intervention index can indicate that the central bank, in the face of increasing positive deviations in the exchange rate, is pursuing a decline in the growth of its foreign reserves. In other words, with a further increase in the supply of foreign exchange in the market, its value decreases and the exchange rate return to its long-term path. On the other hand, if there is a negative deviation in the exchange rate of the central bank, by increasing the volume of foreign reserves and reducing the supply in the foreign exchange market, it can increase this rate and approach its long-term path, which is in line with existing theories. This is the context. Manuscript profile -
Open Access Article
15 - تعیین شاخص استرس مالی در بازار های بانکداری، ارز و بیمه
حمیدرضا کردلویی فاطمه آسیایی طاهری -
Open Access Article
16 - Investigating and analyzing the spillover effects of stock market in interaction with currency, gold-coin, crude oil and housing markets: VARMA-BEKK-AGARCH Approach
mohammadbagher mohammadinejad pashaki seyed jalal sadeghi sharid Mohammad EqbalniaOne of the most important issues in financial knowledge which is related to portfolio selection, efficiency market and asset allocation is spillover effect between markets and this effect includes return, volatility and shock effect. These days every shock or volatility MoreOne of the most important issues in financial knowledge which is related to portfolio selection, efficiency market and asset allocation is spillover effect between markets and this effect includes return, volatility and shock effect. These days every shock or volatility in one market effect on other markets. Correct identification of spillover effect is very important. This paper aims to measure and analysis spillover effect between stock, currency, gold-coin, oil and housing markets. For these purposes we collect daily data of stock, currency, gold-coin, oil and housing for the time period of 2009 to 2020.we used VARMA-BEKK-AGARCH model for estimation. Results show return spillover from currency to stock and from stock to housing and shock spillover from currency, gold-coin and oil to stock and also volatility spillover from currency and gold-coin to stock and from stock to housing. Besides result show leverage effect of shocks from stock to housing market.so we suggest in order to minimize investment risk we had better to evaluate the spillover effects in selecting markets(assets)for our portfolio. Manuscript profile -
Open Access Article
17 - مدلسازی پیشبینی قیمت ارز با استفاده از شبکههای عصبی
مهدی غفاری راحله یوسفی
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