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Open Access Article
1 - Assessment and Presentation of a Proper Paradigm to Identify, Measure, and Control Financial Risks in Financial and Credit Institutions (Case Study of Mellat Bank)
M. Taghavi M. Khodaei ValahzaghardFinancial and credit institutions are threatened by different types of risks. The main objective in thisresearch is to assess and present a proper paradigm to identify, measure, and control financial risks infinancial and credit institutions. The method of research acco MoreFinancial and credit institutions are threatened by different types of risks. The main objective in thisresearch is to assess and present a proper paradigm to identify, measure, and control financial risks infinancial and credit institutions. The method of research according is applied upon implementation andcorrelation methods, and ex-post facto is accomplished in Bank Mellat. Sampling is intentional, andthe sample volume was determined by the researcher. Required data for this research were collecteddaily from 39 regional offices of Mellat Bank between 2005 and 2007. Structural Equation Modeling(SEM) and Linear Structural Relationships (LISREL) were used to analyze the research data. Thisstudy shows that the impact of loans and investment on liquidity risk, the impact of assets and foreigncurrency debts on foreign currency risk, and the impact of interest sensitive assets and debts volatilityvariant on interest risks are meaningful. Manuscript profile -
Open Access Article
2 - A comparison between the power of artificial neural network models and dynamic neural network in predicting exchange rate: an application of wavelet transformation
Mohammad Ali Khatib Semnani Manijeh Hadinejad Roxana KhoshouieThe present study is an attempt in applying the combination of dynamic neural network and decomposition of wavelet in order to make possible the selection of an optimized pattern for predicting considered variable. For the purpose of research, monthly time series of exc MoreThe present study is an attempt in applying the combination of dynamic neural network and decomposition of wavelet in order to make possible the selection of an optimized pattern for predicting considered variable. For the purpose of research, monthly time series of exchange rate from April 1998 to December 2012 were used including 177 observations from which 150 observations were used for modeling purpose and 27 observations were used for simulation or in other words for presenting predictions out of samples. The findings of present study imply that firstly, dynamic neural network models compared to feed-forward multilayer neural networks have better performance in predicting exchange rate out of sample, based on both criteria for prediction error calculation: MSE & RMSE and secondly, applying wavelet decomposition technique improves prediction results of mentioned models based on both criteria. The third point is that among mentioned models, the best result belongs to predictions obtained from dynamic neural networks based on decomposed data by wavelet technique. Therefore, applying this combination of models as an optimized combination is suggested to monetary researchers, analysts and decision makers of country. Manuscript profile -
Open Access Article
3 - Identifying the effect of economic uncertainty factors on the performance of insurance joint stock companies
Ali Zamiri Mahnaz RabieeBackground: The main problem of this study is to identify the effect of economic uncertainty factors on the performance or profit of the insurance company. One of the important goals that institutions pursue is to create more efficiency in allocating resources. Therefor MoreBackground: The main problem of this study is to identify the effect of economic uncertainty factors on the performance or profit of the insurance company. One of the important goals that institutions pursue is to create more efficiency in allocating resources. Therefore, paying attention to the effects of these uncertainties and the overall macroeconomic environment on the financial system is of particular importance. If these uncertainties lead to deviations in the portfolio and credit behavior of institutions, it can leave negative effects on the efficiency of the country's economic system. Research method: The method of this study is quantitative-survey type. The statistical population of the research is managers and employees of the insurance company, of which 415 people were selected as a sample and the data required for the research was given in the conceptual model. The independent variable is the factors of economic uncertainty, for its calculation, macroeconomic variables include economic growth rate, inflation rate, and unemployment rate, and the dependent variable of insurance performance was measured with three indices: profit margin, asset return, and customer satisfaction. In this research, in order to test the hypotheses in the inferential statistics section, structural equations using pls and sem methods were used. be The data from 1394 to 1397 are considered for macroeconomic variables. Findings: The results showed that macroeconomic variables (growth rate, inflation rate, unemployment rate) have a significant effect on the performance of the insurance industry, and non-financial variables (political stability, independence of insurance companies from the government) have a significant effect on the performance of the insurance industry. you have Results: The insurance industry is one of the indicators of development and is considered as one of the most important economic institutions that supports the activities of other institutions. The increase in the instability of the exchange rate and the uncontrollable financial and economic monetary policies will disrupt the existing order in the market and create financial crises. External reactions in this type of financial crisis include disruption in cash flow and accumulation of arrears by bank and insurance joint-stock companies. Since macroeconomic factors affect the profitability of insurance companies, creating a favorable macroeconomic environment can be effective in reducing the effect of shocks, and reforming the structure of insurance companies can reduce the vulnerability and losses of these companies against fluctuations. exchange rate and other macroeconomic variables. Manuscript profile -
Open Access Article
4 - Evaluating Forecasting ability of Stock Price by Grey Models, Static and Dynamic Neural Networks (Case Study: Insurance Companies of Tehran Stock Exchange)
Hanif Heidari Seyed Rohollah Ahmadi Haji Abadi Mahboubeh Faghih Mohammadi JalaliPredicting stock price is an important issue in both theoretical and practical aspects. Researchers develop prediction methods to get more accurate forecasting and investors try to find best investing program which depends on future prediction of their markets. The aim MorePredicting stock price is an important issue in both theoretical and practical aspects. Researchers develop prediction methods to get more accurate forecasting and investors try to find best investing program which depends on future prediction of their markets. The aim of this paper is comparing artificial neural network (ANN), nonlinear autoregressive exogenous model (NARX) and grey model (GM) for predicting stock price. The stock prices of insurance companies in Tehran Stock Exchange are considered in the period 7-10-2009- 9-10-2017. The variables 5 days simple moving average (MA-5), 20 days simple moving average (MA-20), moving average convergence divergence (MACD), gold price, oil price and exchange rate are considered for the prediction. Based on these variables, the models GM(1,1), GM(1,4) and GM(1,7) are selected for the prediction. The results show that ANN and NARX are in the same performance level while grey models have lower performance. The numerical simulations demonstrate that ANN and NARX provide reasonably good prediction with the average error RSME=2.04. Manuscript profile -
Open Access Article
5 - مطالبه مابه التفاوت نرخ ارز از سوی بانک در اعتبارات اسنادی
محمد رضا باقری جعفر جمالی محمود خادمان -
Open Access Article
6 - Evaluating and study of the Fractal Properties of Capital Markets Based on DE trended Fluctuation Analysis (Case Study: Exchange Market and Stock Index of Tehran)
Arash Azaryoun narges yazdanian seyedalireza mirarab baygi hoda hemmatiIn this study, the long-term memory of the stock market index and exchange rate (dollar) was estimated using detrended fluctuation analysis. In order to detrend the data, the GARCH approach was proposed and the long-term memory estimation model was implemented separatel MoreIn this study, the long-term memory of the stock market index and exchange rate (dollar) was estimated using detrended fluctuation analysis. In order to detrend the data, the GARCH approach was proposed and the long-term memory estimation model was implemented separately for both conventional and GARCH methods. For this purpose, daily data of stock market index and dollar exchange rate in the market during the years 2014 to 2020 were used. The results showed that the conventional method in calculating the detrended fluctuations is not able to estimate the long-term memory of the exchange rate, while the results for the stock index showed the existence of short-term memory. The results showed that the proposed method in detrending data and calculating detrended fluctuations based on Garch model has a higher power in controlling changes in market fluctuations and according to the findings of this method, stock index and dollar exchange rate have long-term memory. The results showed that these two methods provide significantly different estimates of long-term memory of the market and according to the results of the correlation test between the values of long-term memory of data and the value of parameter q in detrended fluctuation analysis; it was observed that the stock market index and exchange rate in Iran have multifractal properties. Manuscript profile -
Open Access Article
7 - پیش بینی نرخ ارز در بازار سرمایه با استفاده از مدل های میانگین متحرک خود رگرسیون انباشته و شبکه عصبی )مطالعه موردی: دلار استرالیا، دلار کانادا، ین ژاپن و پوند انگلستان(
Mohammad Ehsanifar Reza Ehtesham RasiMonetary policy in order to prevent losses arising from changes in exchange rates of disruptive are Always trying to find a suitable method to predict exchange rates. However, multi-dimensional characteristics of the converter makes it is complicated and nonlinear behav MoreMonetary policy in order to prevent losses arising from changes in exchange rates of disruptive are Always trying to find a suitable method to predict exchange rates. However, multi-dimensional characteristics of the converter makes it is complicated and nonlinear behavior. One of the traditional methods of forecasting, time series analysis, which is based on two as sumptions static linearity. Some doubts about the performance of these traditional models have been created One of the alternative methods, artificial neural networks that In some cases are shown a good potential for time series prediction. In this Article , After reviewing the research conducted to clarify the predictive ability of mass moving average models and Artificial Neural Networks to compare The two methods for the prediction of the daily exchange rate has been made in the period from 01.01.1990 till 01.01.2012. The results showed that the neural network approach estimates the Autoregressive Integrated Moving Average (ARIMA) method provides better responses. In this study, MATLAB software and computational tools and data STATGRAPHICS economies of Australia, Canada, Japan and the United Kingdom, and the dollar exchange rate in those countries than in America is using. Manuscript profile -
Open Access Article
8 - Analyses the Balance of Payment Interact from Foreign Exchange Market Events: The Case of IRAN
Nasredin AghazadehKamali Majid Delavari Ali asghar AsgharEsfandiyariThe balance of payments is one of the most important economic indicators for each country, because this variable is important information to the international situation and shows how the national economy conecte to other countries, foreign exchange and gold stock change MoreThe balance of payments is one of the most important economic indicators for each country, because this variable is important information to the international situation and shows how the national economy conecte to other countries, foreign exchange and gold stock changes. In other words, the importance and reviews the balance of payments and thus the foreign exchange market is obvious because the majority of developing countries including Iran are suffering from the foreign trade imbalance due to its unpleasant effects on the domestic economy (production, inflation, etc.). Therefore, this study is trying to investigating the effect of implications and consequences of exchange rate shocks on the balance of payments. This study uses monthly time series data for the period 1385 Fravardin to 1392 Mordad and has been using Near-VECM model. Near-VECM which have higher explanatory power in comparing VECM base on the study result, analysis the effect of exchange rate volatility on The balance of payments, in addition to the exchange rate changes. According to the study findings, there were strong and significant short-run and long-run relationships between the research variables and also negative and significant short-run and long-run relationships between the foreign exchange volatility and the balance of payment. In addition, the coefficient of error correction term is equal to (-0.6) and it is negative and significant that shows the high speed adjustment process. Therefore, considering the research results, it is necessary that government executive economic policies to be designed and implemented with emphasis on reducing the volatility in the foreign exchange market. Manuscript profile -
Open Access Article
9 - The Effect of Exchange Rate Volatility on the Iran Stock Market Exchange
مهدی پدرامThis paper looked at the relationship between Stock Markets and ForeignExchange rates, and determined whether movements in exchange rates had an effecton stock market in Iran. The Exponential Generalized Autoregressive ConditionalHeteroskedascity (EGARCH) model was used MoreThis paper looked at the relationship between Stock Markets and ForeignExchange rates, and determined whether movements in exchange rates had an effecton stock market in Iran. The Exponential Generalized Autoregressive ConditionalHeteroskedascity (EGARCH) model was used in establishing the relationship betweenexchange rate volatility and stock market volatility. It was found that there waspositive relationship between exchange rate volatility and stock market returns.Additionally, there is volatility persistence in most of the macroeconomic variables. Itwas also revealed that an increase (decrease) in trade deficit and expectation in futurerise in trade deficit would decrease (increase) stock market volatility. In addition, theconsumer price index has a significant relationship with stock market volatility. Manuscript profile -
Open Access Article
10 - Investigation of relation between the currency rates of volatility on open position of Tejarat bank
H. EbrahimiThis 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 MoreThis 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. Manuscript profile -
Open Access Article
11 - بررسی رابطه ی بین نوسانات نرخ ارز و بازده سهام شرکتهای صادرکننده پذیرفته شده در بورس اوراق بهادار تهران
رضا تهرانی علی دریکنده کامبیز نوابی زند ابوالفضل آرین سید حسن حسینی -
Open Access Article
12 - Study the Relation between Exchange Rate as one of the Microeconomic Variable and Stock Return with APT Model (Examined Export Company in Tehran Stock Exchange)
Zahra FarshadfarThis research trying to study the effect of exchange rate on risk and return of Export Company with Arbitrage Pricing Model and panel data in 2008- 2012 duration. Because increasing international trade case to risk and return in Export Company goes up. Result show that MoreThis research trying to study the effect of exchange rate on risk and return of Export Company with Arbitrage Pricing Model and panel data in 2008- 2012 duration. Because increasing international trade case to risk and return in Export Company goes up. Result show that there is positive relation between stock return, exchange rate and its differences Manuscript profile -
Open Access Article
13 - Analysis of the the Impact of Symmetric and Asymmetric Shocks of Oil Price on Investor Sentiment in IRAN: Markovs-Switching Approach
Maryam Yosofinezhad Hossein Sharifi-Renani Saeed Daei-KarimzadehAccording to the special role of oil in the international economy and also the effect fluctuations of this global variable on the performance of financial market and its role in financial dicisions always has been considered by investors.Therefore, the role of oil in th MoreAccording to the special role of oil in the international economy and also the effect fluctuations of this global variable on the performance of financial market and its role in financial dicisions always has been considered by investors.Therefore, the role of oil in the economy is not only for macroeconomic indicators, rather it has affected on the stock market indicators and variables. Also, according to the special role of oil in the economy of Iran and foreign exchange earnings, the stock market can be affected by fluctuations of oil price. Therefore, determining and recognizing the impact of stock price has played a significant role in forcasting and the overall market trend. And it should also be considered important in the level of investor sentiments and desire to invest. One of the components that always fluctuate the investor sentiments is oil price. In countries such as Iran , Which are heavily dependent on oil revenues the effects of oil price fluctuations are also more sever.Considering that the result of oil exports is the entry of currency in to the country and these currencies are used by the government to developthe country.So the exchange rate is one of therelated categories with investor sentiments.According to the description provided to achieve prosperity and stability development ,studing and recognizing the investor sentiments and the effective factors are special important.Accordingly , in present study using the monthly data for the years from 1391 to 1398 with the approach of markovs swiching identify the factors affecting the investment.Research results show that fluctuation in oil prices, exchange rate , money supply and consumer price index can be effective on the investor sentiment. Manuscript profile -
Open Access Article
14 - The Effectof The Real Effective Exchange Rate Misalignment on Iranian Non-Oil Exports: The BEER approach
Alireza Kazerooni Zana Mozaffari Maryam Krimi Kandoleh Moslem AminiThe main objective of this study is to examine the effect of real effective exchange rate misalignment on Iranian non-oil exports over 1982 - 2013.For this purpose, the equilibrium real effective exchange rate has been estimated by BEER approach. The relevant literature MoreThe main objective of this study is to examine the effect of real effective exchange rate misalignment on Iranian non-oil exports over 1982 - 2013.For this purpose, the equilibrium real effective exchange rate has been estimated by BEER approach. The relevant literatures indicate that oil price, fiscal policy indicator, foreign capital flow, trade openness, and terms of trade are main determinants of the equilibrium exchange rate. Using Johansen test indicates that there exist a long run relationship between real exchange rate and other variables. By using predicted value of real effective exchange rate and observe exchange rate the misalignment of real effective exchange rate is calculated. The empirical result of the misalignment indicates that in 2006, the misalignment reached to highest point, 18.67 percent which presents the overvalued Iranian currency. Moreover, the results of estimation show that all explanatory variables in the long term have a significant effect on non-oil exports. In this regard, GDP has a positive impact; the misalignment of the real effective exchange rate, real exchange rate and the terms of trade have a negative and significant effect on the non-oil exports. Manuscript profile -
Open Access Article
15 - Relationship between real effective exchange rate and trade balance, considering savings rate: Smooth Transition Regression (STR) Approach
M. Mahdi Barghi Oskooei Alireza Kazerooni Behzad Salmani Saber KhodaverdizadehAmong the important policy objectives and economic programs, the implementation of policies for reducing the trade deficit. Empirical studies provided conflicting results regarding the effect of devaluations on the trade balance reached. This study aimed to investigate MoreAmong the important policy objectives and economic programs, the implementation of policies for reducing the trade deficit. Empirical studies provided conflicting results regarding the effect of devaluations on the trade balance reached. This study aimed to investigate the nonlinear relationship between the real effective exchange rate and trade balance, considering the savings rate using a smooth transition regression approach during period 1960-2014. The results of smooth transition regression (STR) model estimation, confirmed that the savings rate had non-linear effect on the trade balance. Our estimation results showed that effectiveness of savings rate, the real effective exchange rate and terms of trade on trade balance depended to the regimes which Iranian economy was in there. Also we fund that generally in first regime savings rate and the effective real exchange rate had statically meaningful and positive effect on the trade balance and the terms of trade had a statically meaningful and negative effect on the trade balance. While crossing the threshold and entering into the second regime savings rate and terms of trade coefficients had statically meaningful and positive effect, but the real effective exchange rate had a statically meaningful and negative impact on the trade balance Manuscript profile -
Open Access Article
16 - Time-varying effect of oil price shocks on the stock market return of Iran by it
Vali Nadi Ghomi Nastaran FarnianThe main objective of this study was to investigate the effect of oil price shock on stock returns in Tehran Stock Exchange ( TSE ) using Bayesian vector autoregressive model and seasonal time series data during the period of 1380-1394. Using the above model and conside MoreThe main objective of this study was to investigate the effect of oil price shock on stock returns in Tehran Stock Exchange ( TSE ) using Bayesian vector autoregressive model and seasonal time series data during the period of 1380-1394. Using the above model and considering the coefficients of the variables of the oil price growth rate, the effective rate of the real exchange and the gross domestic product, it can be seen that the effect of these variables on the stock market index is much higher than the rate of the concessional facilities rate. By comparing the action and reaction diagrams, it can be said that the shock of the oil market significantly reflects the fluctuations of the stock price index and, as time passes, shocks to the stock index will decrease. In fact, the shorter the period we take, the effect of the price shock on the stock price will increase. Manuscript profile -
Open Access Article
17 - The impact of gold prices on global exchange rate fluctuations and ounces
behzad fakari Ameneh Anooshehpour Hossein Hossein AbadiThe impact of gold on other economic and non-economic variables, as well as the impact of gold prices on other financial and investment markets, has made planning and policy-making in this area difficult. One of the common mistakes in the same policy is to consider the MoreThe impact of gold on other economic and non-economic variables, as well as the impact of gold prices on other financial and investment markets, has made planning and policy-making in this area difficult. One of the common mistakes in the same policy is to consider the degree of impact and the impact of the price of gold on other variables. For this purpose, in this study, using Markov switching method and with daily data from August 2013 to August 1400, excluding non-common days, the main variables affecting the price of gold in Rials were investigated. The results of the study showed that there are two regimes in the study period, the point of separation of these two regimes was the withdrawal of the United States from the UN Security Council. The elasticity of the rial price of gold to the exchange rate fluctuations in the second regime compared to the first regime has increased sixfold. The elasticity of the rial price of gold to the dollar price in the second regime compared to the first regime has increased 1.6 times. The pull of gold prices to exchange rate fluctuations has replaced its pull against the exchange rate in the second regime. According to the results of the study, it is suggested that policy makers in the decision for parallel gold markets, pay attention to its different tendencies to different variables in different regimes Manuscript profile -
Open Access Article
18 - The Designing Early Warning System of Financial Crisis Outbreak in Tehran Stock Exchange by Logit & Probit Model
alireza gholizadeh Mir Feiz Fallah Shams Mohammad Ali Afshar KazemiEncountering with financial crises of supervision and predicting such these events which are necessary to decrease their negative effects on finanicial and economical markets. The current paper is aimed to review the designing the early warning system of financial crisi MoreEncountering with financial crises of supervision and predicting such these events which are necessary to decrease their negative effects on finanicial and economical markets. The current paper is aimed to review the designing the early warning system of financial crisis outbreak in Tehran stock Exchange. Due to this purpose, it’s used the weekly datas during the years from 1997 to 2019 (1121 weeks). The mean of crises in this present papper is the falling more than 15% of price index (TEPIX) toward last three months. Hence, it’s been used the dummy variable for operating the dependent variable. It’s been used the residual of auto regressive integrated moving average (ARIMA) for measuring the shocks caused by the price of stocks, exchange rate, price of oil and gold. The result is modeled by Logit & Probit model and showed that probability of the crisis outbreak is increased by decreasing the stock price in past period as well as the outbreaking of crisis in past period after reviewing and analyzing the data. While the decreasing of exchange rate, increasing of the gold price, and decreasing of oil price don’t affect on crisis outbreak in current periods as meaningfully. Based on weekly data, 44 crisis has occurred which both models have predicted 36 crisis. The power of crisis predicting is 82% and the power of predicting for total model is about 99%. Manuscript profile -
Open Access Article
19 - 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
20 - بررسی اثر تولید سبز بر رفتار نرخ ارز حقیقی در اقتصاد ایران و کشور های گروه شانگهای با رهیافت الگوریتم PSO و ARDL و شبکه عصبی پرسپترون چند لایه
سعید ایرانمنش سید عبدالمجید جلایی -
Open Access Article
21 - رهیافت کینزی جدید قابلیت جایگزینی نرخ ارز در انتظارات تورمی: مدل تعادل عمومی پویای تصادفی
زهرا مختاری جلیل توتونچی عباس علوی راد -
Open Access Article
22 - بررسی تاثیر متغیرهای کلان اقتصادی بر بازدهی صنایع در بورس اوراق بهادار تهران با رویکرد گشتاورهای تعمیم یافته
علی اکبر محرابیان یزدان گودرزی فراهانی -
Open Access Article
23 - تحلیل اثرات وابسته به وضعیت کلهای پولی بر نرخ ارز واقعی: مدل مارکوف سوئیچینگ گارچ
الهام امراللهی بیوکی کامبیز هژبر کیانی عباس معمارنژاد سید یحیی ابطحی -
Open Access Article
24 - اثر شوک نرخ ارز بر تورم کشورهای منتخب در حال توسعه با رویکرد خودرگرسیون برداری ساختاری پانلی برای دوره 2020-1990
مرجان محمداسماعیل رضا معبودی محمد خرسند -
Open Access Article
25 - رابطه شوکهای سیاست پولی و اشتغال زنان با پویایی قیمت طلا در ایران
منیره دیزجی آرش کتابفروش بدری -
Open Access Article
26 - تأثیر توسعه گردشگری بر توسعه اقتصادی
فرشته نفر پویا ابوالحسنی -
Open Access Article
27 - The estimation of exchange rate of (IRR-Dollars) based on Purchasing Power Parity and Monetary Approach
مهدی تقوی مهدیه مرادیThis research is an estimation of the exchange rate between the US Dollar and the Iranian Rial, for the period between 1352 and 1387. Using ARDL method for hypothesis testing, and selecting the optimal model, the Mean Square Error (MSE) and Root Mean Square Error (RMSE) MoreThis research is an estimation of the exchange rate between the US Dollar and the Iranian Rial, for the period between 1352 and 1387. Using ARDL method for hypothesis testing, and selecting the optimal model, the Mean Square Error (MSE) and Root Mean Square Error (RMSE) are used to test our hypothesis. The selection of the optimal model for prediction is based on the Purchasing Power Parity (PPP) theory and the Monetary Approach to Balance of Payment. The results of this study indicate that the PPP model is a more accurate indicator of the exchange rate, and is therefore preferred to the monetary approach. Manuscript profile -
Open Access Article
28 - Comparative study of impact of oil price and exchange rate volatility on stock price (case study Iran and selected countries
کامبیز پیکارجو تیمور محمدی موسی تاتارThe study examines impact of oil price and exchange rate volatility on stock price of Iran, Mexico, Canada, Norway, Chile, Australia, New Zealand and Swiss. In this study we used Multivariate VAR analysis and monthly data ranging: stock price, oil price and exchange ra MoreThe study examines impact of oil price and exchange rate volatility on stock price of Iran, Mexico, Canada, Norway, Chile, Australia, New Zealand and Swiss. In this study we used Multivariate VAR analysis and monthly data ranging: stock price, oil price and exchange rate over 2000 to 2010. The results of impulse response function show positive response of stock price to an oil price shock in all countries except Swiss. According to variance decomposition analysis in average approximately 67 percent of the variation of stock price explained by stock shocks and exchange rate and oil price contribute 30 and 3 percent respectively. The Granger causality test indicates that causation run from exchange rate and oil price to stock price in New Zealand and Swiss.. A negative response of stock price to an exchange rate shock and positive response of stock price to a generalized impulse shock in all countries except Swiss. Manuscript profile -
Open Access Article
29 - تأثیر سهم واردات بر قیمتهای داخلی صنایع پتروشیمی ایران
علیرضا کازرونی نسرین فرضی -
Open Access Article
30 - انحراف نرخ واقعی ارز و تورم در ایران: شواهدی جدید بر پایهی رهیافت چرخشی مارکوف
محمدعلی احسانی صالح طاهری بازخانه حمید لعل خضری -
Open Access Article
31 - بررسی تاثیر متغیرهای خرد و کلان پولی بر شاخص قیمت سهام دوازده گروه شرکتی فعالتر در بازار بورس اوراق بهادار با استفاده از روش دادههای تابلویی پویا
ویدا ورهرامی رعنا عباسقلی نژاد اسبقی -
Open Access Article
32 - Currency Devaluation and Demands for Imports: Case of Iran (1959‐2008)
یداله رجایی شهلا احمدیIn this study, we investigate the long‐run relationship between demand forimports and the relevant determining factors. We use the method of leastSquares Engel Granger (1987) and Maximum Likelihood Johansen (1988) aswell as Joe Hansen and Joe Sylyvs (1990) to estimate t MoreIn this study, we investigate the long‐run relationship between demand forimports and the relevant determining factors. We use the method of leastSquares Engel Granger (1987) and Maximum Likelihood Johansen (1988) aswell as Joe Hansen and Joe Sylyvs (1990) to estimate the Long‐Run ImportDemand Function.To have a better assessment of the effectiveness of trade policies; a logicalunderstanding of demand for imports is of particular importance. Our studyshows that the oil revenue, real income, and GDP evaluated at domesticprices, are positively related to demand for imports. On the other hand, therises of price of imported goods relative to the price of domestically producedgoods and currency devaluation have a negative effect on demands forimports of intermediate goods as well as consumption and capital goods. Manuscript profile -
Open Access Article
33 - Examining the Instability and Asymmetry Model of Attracting Foreign Direct Investment (FDI) in Iran
کامبیز هژبر کیانی محمدرضا ناهیدیIn the past few decades several countries in the world have attracted foreign direct capital as one of the instruments needed for financing the increasing level of internal investment. In this connection, the economic conditions of host countries for increasing the leve MoreIn the past few decades several countries in the world have attracted foreign direct capital as one of the instruments needed for financing the increasing level of internal investment. In this connection, the economic conditions of host countries for increasing the level of FDI have been considered as an important factor in achieving their objective. In this study, the impact of some macro-economic variables on FDI is examined in detail in Iran. The period selected is 1352-1388 years and the econometric technique used in this article is the Generalized Auto-Regressive Conditional Heteroskedasticity(GARCH) for evaluating the conditions of instability and Power Generalized Auto-Regressive Conditional Heteroskedasticity (PGARCH) for the conditions of asymmetry. The estimated results of the model show that under conditions of instability, increasing the exchange rate has a negative impact on FDI, whereas raising labor productivity, protecting investment security and keeping the degree of openness of the economy has a positive effect on attracting FDI. The estimated outcomes obtained under the unstable conditions, due to the type of impact that the explanatory variables may put on the dependent ones, are similar with those under the stable short-run and long-run model with different effective coefficients[1] and that on the other hand they show a positive effect of the shock caused under the unstable conditions on net decrease in FDI. In sum, the results show the asymmetric effects of the shocks on net FDI. Manuscript profile -
Open Access Article
34 - بررسی اثر تغییرات قیمت نفت و طلا بر نرخ ارز در ایران
بهزاد فکاری هانی حمزه کلکناری عاطفه بیانی -
Open Access Article
35 - بررسی پدیده جانشینی پول و اثر تنش نرخ ارز بر تقاضای پول در ایران
سعید دائی کریم زاده مجید صامتی نجمه محمودی -
Open Access Article
36 - تأثیر بی ثباتی نرخ ارز بر صادرات خرمای کشورهای عمده صادرکننده با استفاده از مدل دوربین فضایی
عاطفه دکالی سید مهدی حسینی امیر دادرس مقدم -
Open Access Article
37 - The Effect of Exchange Rate and its Volatility on Stock Price Index in Iran
Azadeh Mehrabian Ilnaz ChegeniOne of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates an MoreOne of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates and its volatility on stock price index can be different. This article uses monthly mean of Tehran price index (TEPIX) and real exchange rate between 1380/M1-1391/M3 with purpose of studying the effect of exchange rate and its volatility on TEPIX. By Using Eviews6 software, at first, volatility of exchange rate is calculated by GARCH method and then the effect of exchange rate and its volatility on TEPIX is estimated by VAR model. The results indicate that in all periods the effect of exchange rate is more than its volatility. Based on the results of Johansen test, exchange rate and its volatility has a significant long-run equilibrium relationship with TEPIX. Exchange rate has negative effect on TEPIX and its volatility has a positive one. Manuscript profile -
Open Access Article
38 - The effect of exchange rate on export price for the selected countries in south and southeast of Asia
علی امامی میبدی علی اکبر شوره کندیThis paper intends to investigate the effect of exchange rate on export price for the selected countries in south and southeast of Asia .The method used in this study for estimating the relationships between variables is the fixed effect panel data. In this MoreThis paper intends to investigate the effect of exchange rate on export price for the selected countries in south and southeast of Asia .The method used in this study for estimating the relationships between variables is the fixed effect panel data. In this research, exchange rate, producer price index have been and import price index used as a regressor for export price and the mentioned variables have been used as logarithmic in the model. In this research annual data are used for the period 1980-2008. The result of this study shows that, import price index and producers price index have positive effect on export price, but exchange rate has negative effect. Manuscript profile -
Open Access Article
39 - Investigation the effect of real exchange rate fluctuations on the import and export in Iran (1340-87)
نسرین رستمی مجید احمدلوInvestigation the Relation between fluctuation of real exchange rate and macro economic variables such as export and import in irans economy as a joint national economy with global economy has a particulary importance. The main objective of this paper is to investigate MoreInvestigation the Relation between fluctuation of real exchange rate and macro economic variables such as export and import in irans economy as a joint national economy with global economy has a particulary importance. The main objective of this paper is to investigate the impact of foreign exchange rate fluctuations on the Iranian export and import. For investigate the impact of foreign exchange rate fluctuations, at the first phase by using hodrick prescott filter the fluctuations decomposed into anticipated and unanticipated fluctuations and negative and positive fluctuations. at the next phase, they are regressed on export and import. The main findings of this research indicate that the exchange rate fluctuations have a non-symmetric impact on the export and import. in the way that the anticipated and unanticipated fluctuations, effect on export differently. Providing that anticipated fluctuations more than unanticipated fluctuations, fluctuation the export. Also these fluctuations affect on import differently. An the way that, unanticipated fluctuations in comparision with anticipated fluctuations, has mor efficacy on import. the results of this research show that negative exchange rate fluctuations (dippreciaion) more than positive exchange rate fluctuations, influence on export, but about import, it is on the facor of positive exchange rate. Manuscript profile -
Open Access Article
40 - Evaluation the Effect of Exchange Rate Fluctuations on Medical Care Price Indexes in Iran
Hamid Kordbache Zahra AhmadiIntroduction: Given the importance of medical care on the public health and its high inflation rate relative to the changes in the cost of living in Iran, this research is to study the effects of exchange rates on the inflation of medical care. Methods: In this study, a MoreIntroduction: Given the importance of medical care on the public health and its high inflation rate relative to the changes in the cost of living in Iran, this research is to study the effects of exchange rates on the inflation of medical care. Methods: In this study, an ARCH model has been used to examine the effects of exchange rate fluctuations on the consumer and producer price indexes of medical care for a quarterly dataset over the period 2004 -2014. Moreover, ECM integration method has been applied to investigate the long-term relationship between the variables. Results: Based on the results of ARCH and ECM models, exchange rate, liquidity and GDP have the significant and positive impact son medical care price index in the short and long-term. The finding show that the effects of exchange rate changes on medical care price index for consumer price index and producer price index are0/23 and 0/14 in the short-term and 0/327 and 0/256 in long-term respectively. Conclusion: However the finding of this study asserts a stronger relationship between exchange rate and medical care over the consumer price index compare to the producer price index. Manuscript profile -
Open Access Article
41 - The Effect of Exchange Rate on the Iran’s Pharmaceutical Industry Balance: Vector error Correction Approach
sara Masoomzadeh mehdi ShirafkanIntroduction: The effect of exchange rate fluctuations on the balance of payments is very important in economic literature. Pharmaceutical is one of the sub-sections of the balance of payments. Methods: By using vector error correction model, this paper seeks to identif MoreIntroduction: The effect of exchange rate fluctuations on the balance of payments is very important in economic literature. Pharmaceutical is one of the sub-sections of the balance of payments. Methods: By using vector error correction model, this paper seeks to identify the effect of exchange rate changes on the balance of payments by evaluation the existence of J-Curve in Pharmaceutical industry over the period of 1991 to 2012. Results:The results show the existence of J curve in Iran'sPharmaceutical industrybalance of payments. It means that exchange rate appreciation has reduced Pharmaceutical industrybalance of payments in the first period but after a period it has increased Pharmaceutical industry revenues and improved its balance of payments. According to the analysis of variances of export and import functions the pharmaceuticalindustryhas highly been affected bychanges in exchange rate. 0.19 And 0.016 Changes in these functions have been caused by exchange rate changesand the balance of payments is more sensitive to changes inforeign income.The rate of effectiveness of the income variation is 0.25. Conclusion:The increase in the exchange rate has improved the pharmaceutical industry trade balance of the country in the last periods of shocks. Also, changes in gross domestic product have had the greatest impact on the fluctuation of Iran's pharmaceutical trade balance. Manuscript profile -
Open Access Article
42 - “Iran Export Engineering &Technical Services” (Identifying Barriers & Offering Suggestions)
H. Nezakati Alizadeh, F. FarzmAccording to the performed research in the field of engineering & technical services export in Iran .And with consideration of existing problems in this section, 4 effective categories has been identified in main activities with their relevant sub-cat MoreAccording to the performed research in the field of engineering & technical services export in Iran .And with consideration of existing problems in this section, 4 effective categories has been identified in main activities with their relevant sub-categories including: Bank activities; Financing methods; Presenting exchange facilities; Exchange bank guarantee issuing conditions; Establishing international bank relationships; Insurance coverage, Companies capabilities, Machineries & equipments conditions, specialized humans resources abilities; attendance of Iranian consultant companies in target countries; Marketing techniques & approaches used by Iranian exporters; Economic environment (exchange); Exchange rate fluctuation, Internal inflation rate, Government activities; political supports by Government; Cooperation & expediting the administrative affairs by relevant organizations; Governmental rules & regulation stability; Export promotions & awards. And each subcategory has been specified on the basis of testing according to priority. Manuscript profile -
Open Access Article
43 - The effect of inflation and money on non-national economic ford mental variables using regression approach to capture
دکتر سید عباس حیدری میر فیض فلاح شمس حسین فضل الهی حمیدرضا کردلوییImportance due to the nature of important economic variables affecting theeconomic system, the relationship between these variables and each of their priorityresearch and studies of political economics and economists. Ford mental variablessuch as inflation important pro MoreImportance due to the nature of important economic variables affecting theeconomic system, the relationship between these variables and each of their priorityresearch and studies of political economics and economists. Ford mental variablessuch as inflation important problem affectation the economic system that optimalresource allocation and income distribution over time and prevent fine in theproduction and economic exchange and non-national currency (exchange rate) in termof the countries dependence on income foreign currency from oil sales that thevariable are evaluated and analyzed for their affect on each other and other variablessuch as GDP and volume have been used income volume.In this paper using the vector regression (VAR) in which all variables areendogenous and on any particular economic theory does not rely on the above subject.VAR analysis tools in this article include: immediate response (IRF).Functional and how immediate shock affect on the variable period of desired showand analysis of variance contribution rate due to shocks other variables shows.According to the results of the granger causality response function, the effect ofinflation on exchange rate on inflation but the effect is statistically unique so thatshock in deuced inflation in the third period and the basis of shock induced inflationthird period on folly additive has affected the exchange rate. Manuscript profile -
Open Access Article
44 - Exchange rate fluctuations and reaction Tehran Stock Exchange
mohammad osoolian mohammad hassannezhad alireza shokrolahnia roshanAbstract: In this study, the effect of exchange rate fluctuations on abnormal returns of companies listed on the Stock Exchange were studied. In this study, Auto Regressive Distributed Lag model due to its ability to explain this connection was used for short-term and l MoreAbstract: In this study, the effect of exchange rate fluctuations on abnormal returns of companies listed on the Stock Exchange were studied. In this study, Auto Regressive Distributed Lag model due to its ability to explain this connection was used for short-term and long-term. To evaluate the effect of exchange rate fluctuations , the banks' legal deposit at the central bank, GDP, inflation, current account and capital account on the stock market according to the designated filters, exporting companies that gained the research conditions, were determined. In this study, the company's export price index was calculated at the end of each quarter and abnormal returns were calculated for the group of companies. After calculating abnormal returns of firms, independent and control variables in the ARDL model imported and the effects of the explanatory variables investigation revealed abnormal returns. The results show that the exchange rate fluctuations variable has a positive and significant impact on exporting companies are abnormal returns. Manuscript profile -
Open Access Article
45 - Risk Preferences and Crisis in Tehran Stock Exchange
Mehdi Aminirad Nader Mehregan Davood Jafari Seresht Abolfazl ShahabadiThe capital market plays an important role in the economy of any country and can contribute to economic growth and development by financing the capital needed by manufacturing firms. Given the importance of the capital market, stock prices as the most important componen MoreThe capital market plays an important role in the economy of any country and can contribute to economic growth and development by financing the capital needed by manufacturing firms. Given the importance of the capital market, stock prices as the most important component of this market must be closely monitored, as a steady and dramatic decline in stock prices can lead to a crisis in the capital market. One of the key tools of capital market surveillance is an early warning system that can give policymakers pre-crisis warnings to minimize the negative effects of this phenomenon by making timely and accurate decisions. The purpose of this study is to investigate the role of risk preferences in the occurrence of crises in the Tehran Stock Exchange. For this purpose, in this study, firstly, using monthly data from April 2007 to July 2019, investors' risk aversion index was estimated and then this variable, along with other control variables, was used to modeling the capital market crisis. The results showed that the research model is able to predict approximately 78% of crisis situations and 95% of non-crisis situations. Empirical evidence suggests that the key role of investors' preferences for risk in the event of a capital market crisis. Manuscript profile -
Open Access Article
46 - Management of Downside risk and Upside risk with exchange rates and stock prices
Hosein Rad Kaftroudi Mohammadhasan Gholizadeh Mehdi Fadaei EshkikiThe purpose of this research is to manage downside risks and upside risk with exchange rates and stock prices. This research is descriptive in nature and in terms of its purpose. The statistical population of the research is the companies accepted in the Tehran Stock Ex MoreThe purpose of this research is to manage downside risks and upside risk with exchange rates and stock prices. This research is descriptive in nature and in terms of its purpose. The statistical population of the research is the companies accepted in the Tehran Stock Exchange and the sample of the companies accepted in the cement and pharmaceutical industry, which can be extracted from the research data. The research period is from 1391 to 1396. This research has a theoretical model and the self-regression model was used to test the hypotheses. In the cement industry, the exchange rate variables are combined with adverse risk combination and optimal risk. But the stock price variable does not have this capability. Also, in the pharmaceutical industry, the exchange rate changes with the combination of undesirable risk and optimal risk of correlation. But the stock price variable does not have this capability. Manuscript profile -
Open Access Article
47 - The Effect of Economic Uncertainty on Earnings Response Coefficient using two-factor Fama-McBeth Model
Babak Salem Dezfouly Allah Karam Salehi Alireza Jorjorzadeh Saeed NasiriThe aim of this study is to investigate the effect of Economic Uncertainty on Earnings Response Coefficient of listed Companies in Tehran Stock Exchange. These Four dimensions of Economic Uncertainty in our tests: GDP growth, Inflation rate, Exchange rate and Interest r MoreThe aim of this study is to investigate the effect of Economic Uncertainty on Earnings Response Coefficient of listed Companies in Tehran Stock Exchange. These Four dimensions of Economic Uncertainty in our tests: GDP growth, Inflation rate, Exchange rate and Interest rate. Using ARCH and GARCH for this purpose one hypothesis developed and data on the 142 companies in Tehran Stock Exchange for the period of 1387 to 1396 were analyzed. The regression model using two-factor Fama and McBeth reviews has been tested.The results showed that the concentration of Economic Uncertainty (GDP growth, inflation rate, exchange rate and interest rate) has significant negative impact on Earnings Response Coefficient. Manuscript profile -
Open Access Article
48 - Asymmetric Co-integration based on Nonlinear ARDL: Evidence from Tehran Stock Exchange
hamid hooshmandiInvesting in the stock market is very important as a profitable opportunity in the economy. The purpose of this article is to investigate the asymmetry in the amount and direction of the influence of exchange rate impulses and global crude oil prices on stock returns in MoreInvesting in the stock market is very important as a profitable opportunity in the economy. The purpose of this article is to investigate the asymmetry in the amount and direction of the influence of exchange rate impulses and global crude oil prices on stock returns in the Tehran Stock Exchange. For this purpose, daily data (2011:11:26--2021:3:19) and the Nonlinear Autoregressive Distributed Lag Model approach of NARDL have been used. The results of Pesaran et al.'s co-integration test (2001) showed the existence of long-term relationship between stock returns with exchange rate and global crude oil price. In the following, based on the results of the Wald test and the research model, the asymmetric effects of exchange rate shocks on stock returns in the short and long term were confirmed. In the short term, positive exchange rate impulses on stock returns were not significant. Also, in the long term, the effect of negative exchange rate shocks is more than its positive shocks on stock returns. The impact of oil prices on stock returns was confirmed in the short term. The findings of the research showed that the exchange rate has a greater impact on stock returns in the Tehran Stock Exchange than the price of oil. Manuscript profile -
Open Access Article
49 - The effect of exchange rate volatilities and it's spillover effect on the index of Tehran Stock Exchange
Farnaz Barkhordari Somayeh Pour azizi gelin gheshlaghi Abolfazl HoseiniGiven that in recent years due to reduction of banking sources, the role of stock market in financing of investment projects highlighted more day by day. So analyzing the factors that caused the volatility and risk which transfer to stock market is Essential. Also accor MoreGiven that in recent years due to reduction of banking sources, the role of stock market in financing of investment projects highlighted more day by day. So analyzing the factors that caused the volatility and risk which transfer to stock market is Essential. Also according to importance of currency market on the countries' economy, on the other hand, due to high volume of exports and imports changes of exchange rates have a significant impact on the economy’s boom and bust. In this paper, researcher study on the effect of exchange rate volatility and its spillover effect on the index of selected industries in Tehran Stock Exchange with using of daily data "2008 to 2013" and VAR-BEKK. Based on the research results and according to estimated coefficients of ARCH and GARCH the exchange rate volatilities were positive and significant on the index of selected industries in Tehran Stock Exchange on three sectors such as automotive, coal and machinery" that indicate the exchange rate volatilities have positive effect on the index of selected industries In Tehran Stock Exchange. In addition, exchange rate volatility during the studied period caused increasing of index of selected industries in the Tehran Stock Exchange. Manuscript profile -
Open Access Article
50 - Simulation of Model Changes by Exchange Rates and Gold Price on the Tehran Stock Exchange Performance with System Dynamics Approach
A. Naghi Mosleh Shirazi M. Hashem Moosavihaghighi Hooman PashootanizadehIn this study, after considering the important impact of Stock market on the country’s economy, it will analyze the long-term relationship between Tehran Stock exchange market and the variables of exchange rate and gold’s price. Keeping this in mind, by usin MoreIn this study, after considering the important impact of Stock market on the country’s economy, it will analyze the long-term relationship between Tehran Stock exchange market and the variables of exchange rate and gold’s price. Keeping this in mind, by using the System Dynamics method and the relationship between Financial, Stock exchange, exchange rate and gold market’s data, it will analyze and simulate the movement of large capitals from the stock market (in this study, Chemical industry) to the currency and gold market and vice versa. The simulation is done with the Vensim DSS Software. The overall result is showing that the change in the Macro Economic variables will increase the value of the stock market. In this study, it has used different scenarios for changing the macro economic variables and the results are showing that decreasing and increasing the interest rate by 5% will increase and decrease the stock market’s value respectively 21.86% and 3.14% on future. Manuscript profile -
Open Access Article
51 - Comparative Analysis of Oil Price and Exchange Rate Volatility in Industries Return Relating to Petroleum Based On Arbitrage Pricing Theory and Dynamic Regression Model
Fraydoon Rahnamay Roodposhty Hamed Tajmir Riyahi Salman Esmaeeli Atooie Mansour Feizollah ZadehMacroeconomic factors are important for multifactor asset pricing at the industry level. Apart from oil prices, the market portfolio is a significant pricing factor in all industry excess returns. Exchange rates are also an influential factor for excess returns. This pa MoreMacroeconomic factors are important for multifactor asset pricing at the industry level. Apart from oil prices, the market portfolio is a significant pricing factor in all industry excess returns. Exchange rates are also an influential factor for excess returns. This paper aims to examine the impact of crude oil prices and exchange rate on industry relating to petroleum stock returns. Multifactor static and dynamic models consider crude oil and exchange rate as pricing factors in the industries excess returns from 1384 to 1388. The macroeconomic factors comprise the market portfolio, oil prices, and exchange rates. Oil prices are an important determinant of returns in all of the studying industries. The findings also suggest oil price movements are persistent. Nonetheless, the proportion of variation in excess returns explained by the one to three lagged oil prices appears to have significant for just oil products industry and one month lag is significant for plastic industry and finally no legs are significant for remaining industries. Manuscript profile -
Open Access Article
52 - Comparing the performance Of Artificial Neural Networks(ANN) and Auto Regressive Moving Average(ARIMA) Model in Modeling and Forecasting Short-term Exchange Rate Trend in Iran
Abbas Ali Abunoori Fardad Farokhi Seyedeh Fatemeh ShojaeyanExchange rate and its related fluctuation plays a significant role as one of the most important issues of each country's foreign trade sector. Many factors such as economic, politics, and psychological factors impress on exchange rates and these factors create more unce MoreExchange rate and its related fluctuation plays a significant role as one of the most important issues of each country's foreign trade sector. Many factors such as economic, politics, and psychological factors impress on exchange rates and these factors create more uncertainty situations. Policymakers’ attempt is to reduce this uncertainty via forecasting this variable with minimal error.Artificial neural networks have high potential in modeling complex processes and forecasting dynamic nonlinear paths .Therefore, in this study has tried to use the artificial neural network (ANN) In addition to modeling and forecasting daily exchange rates during the period of March 2002 to March 2005, and minimizing the forecast error by this method, its results were compared with that of ARIMA based on forecasting accuracy evaluation criteria , and to examine the sensitivity of model results toward exchange rates.Estimation of the model with the same method for three data sets exchange rate including dollar,euro and pound have been performed .Results indicate that used neural network has better predictive power in comparison with arima model while pound and Euro exchange rates’ prices are function of their yesterday prices and dollar exchange rate price is a function of its price over the past 6 days . Manuscript profile -
Open Access Article
53 - Effect of exchange rate pass on Stock Returns in Tehran Stock Exchange
S. Abdolmajid Jalaee Hedyeh Mir Akbar RahimipoorExchange rates is one of the key factors in a small open economy and the rest of the world. Currency can macroeconomic variables such as prices of goods and services imports in the domestic market, the price of imported capital goods made in and will affect stock return MoreExchange rates is one of the key factors in a small open economy and the rest of the world. Currency can macroeconomic variables such as prices of goods and services imports in the domestic market, the price of imported capital goods made in and will affect stock returns. It is also one of the most important factors of economic growth and prosperity of the stock market, stock return. Accordingly, the main research question is whether the cross exchange rates will affect the performance of the shares on the Stock Exchange? To answer the first pass and then the OLS method to estimate the fixed exchange rate stipulated in the exchange rate of the passage there. The results show that the effect of exchange rate pass on stock returns is positive. Positive shocks due to the currency exchange and increase productivity and export companies in these companies. Manuscript profile -
Open Access Article
54 - Comparing Between Multivariate Volatility Models in Estimation of Exchange Rate and Stock Index Relationship
Hosein Abbasinejad Shapour Mohammadi Sajad EbrahimiFinancial variables volatility as basic factor of financial assets pricing, has been observed by many studies. In addition to GARCH model as common model for volatility estimation, stochastic volatility (SV) model is another approach that rarely is applied in research. MoreFinancial variables volatility as basic factor of financial assets pricing, has been observed by many studies. In addition to GARCH model as common model for volatility estimation, stochastic volatility (SV) model is another approach that rarely is applied in research. In this paper base of daily data from 1381 until 1392 exchange rate and Tehran stock index volatilities are estimated by applying bivariate stochastic volatility (SV). In order to evaluating the result, a loss function is formed based on value at risk(VaR) and then volatility models result(including stochastic volatility(SV) and GARCH) compare to each other. According to Loss function comparing result, BEKK-GARCH with t student distribution has more accurate estimation of exchange rate and stock market index volatilities. In addition, the results of the best model show that increasing exchange rate growth leads to stock index growth, but stock market changes have not significant effect on exchange rate growth. Also rising in volatility of a market causes increasing in volatility in another one. Manuscript profile -
Open Access Article
55 - The impact of financial and money market developments on foreign direct investment in Iran
Gholamreza Zomorodian Farhad Hanifi Babak MahboubiForeign direct investment is one of the most important economic variables that due to its features can have a positive impact on economic growth. It will be useful Identifying the factors effecting foreign investment in countries that have failed in good use of FDI. In MoreForeign direct investment is one of the most important economic variables that due to its features can have a positive impact on economic growth. It will be useful Identifying the factors effecting foreign investment in countries that have failed in good use of FDI. In this paper, we investigate the effects of financial markets (money and capital markets) on foreign direct investment in Iran’s Economy during the period 1350 to 1393 ; using the form of an econometric model and a Auto Regressive Distributed Lag method. The results show that firstly long-term balance for foreign direct investment is established. Second, In the short-term development of financial markets has a direct positive impact on foreign investment; This impression is confirmed in long term money markets, but the market will not be approved. Third, the real exchange rate and the development of money and capital market has a positive impact and Conversely, capital stock, tariffrates and the nominal wage index has a negative impact on foreign investors. Manuscript profile -
Open Access Article
56 - Expression and design a model to forecast the exchange rate shocks and stress testing of the currency in Iran
Abdollah Rajabi Khanghah Hashem Nikomaram Mehdi Taghavi Fereydoon Rahnamay Roodposhti Mirfiyaz Fallah ShamsThis paper attempts to Expression and design a model to forecast the exchange rate shocks and stress testing of the currency in Iran . In other words, what factors influence the currency shock and is there the shock predictability in the currency marke MoreThis paper attempts to Expression and design a model to forecast the exchange rate shocks and stress testing of the currency in Iran . In other words, what factors influence the currency shock and is there the shock predictability in the currency market. On the other hand, are there in critical condition (shock) the ability to predict currency risk through stress tests? The research method is descriptive-analytic and data collection library using econometric regression model using econometric software Eviews is carried out. The research is method in this study (time series modeling) . The results suggest that based on estimations made clear that the exchange rate shock predictable feature of the model is capable MGARCH. . In other words, using multivariate GARCH model and Conditional value at risk predictability of the exchange rate shock and influence the variable of Macroeconomic variables has been clarified. Finally, using the Back Testing the validity and effectiveness model was estimated and validation tests with stress tests to estimate the shock has been in critical condition. Manuscript profile -
Open Access Article
57 - Application of Geometric Brownian motion in prediction of gold price and currency rate
Hojjatollah Sadeqi Mohammadesmaeil Fadaeinejad Alireza VarzidehVariables such as exchange rates and gold prices has a great importance for economic actors therefore the aim of this study were determined as prediction of U.S Dollar exchange rate and gold coin price in Iran Market. Forecasting has been done by Geometric Brownian Moti MoreVariables such as exchange rates and gold prices has a great importance for economic actors therefore the aim of this study were determined as prediction of U.S Dollar exchange rate and gold coin price in Iran Market. Forecasting has been done by Geometric Brownian Motion model that is considered as one of the stochastic differential equations. Data were collected and analyzed in the period from the beginning of 1392 until the end of 1395. also forecasting prices for each under study time series has been done in various forecasting horizons involved 7, 14, 21, 30, 60, 90, 180 and 360 day time period. The results show that Geometric Brownian Motion model can simulate the prices of gold coin and exchange rate highly accurate in accordance with the criteria of mean absolute percentage error. Also The other results obtained from this study is that According to ten different prediction accuracy criteria, By increasing the forecast horizon, ability of the GBM model in simulation and forecasting exchange rates and the price of gold coin decreases. Manuscript profile -
Open Access Article
58 - Investigating the Short-Term and Long-Term Effects of Real Currency Value on Iran's Stock Exchange
Masoume Karimi Gholamreza ZomorodianMoney and monetary policy, on the one hand, are the source of economic activity and on the other hand, the value of money and the speed of its circulation are influenced by the conditions and economic activities. According to many scholars, the criterion of the importan MoreMoney and monetary policy, on the one hand, are the source of economic activity and on the other hand, the value of money and the speed of its circulation are influenced by the conditions and economic activities. According to many scholars, the criterion of the importance of money is that it can have a decisive impact on the economical structure of the countries. Along with this approach the present study is looking for to determine and quantify the effect of the real value of money on Iran's gross domestic product, it will be a useful guide for policy makers to properly plan future programs. According to objectives this research is practical and according to the methodology inductive reasoning and the research design is retrospective study; the time period for doing this research is 1991- 2016. In this study, inferential statistics were used to analyze the relationship between variables. Accordingly, based on theoretical foundations and various studies which have been carried out both inside and outside the country, all the variables that influenced the Iran Stock Exchange were identified.In the following, according to the statistical characteristics of the variables, the Autoregressive Distributed Lag(ARDL) was selected as an appropriate econometric model. Based on the real value of money, short-term and long-term money does not have a significant effect on gross domestic product; but government expenditures, exports, imports and exchange rates have a positive and significant impact on Iran Stock Exchange over the short term and in the long termperiod. The results also indicated that the error correction model (ECM) coefficient in the study was about 0. 347; in other words, about 34.7 percent of the Iran Stock Exchange's imbalance variable from its long-term values disappears after a period of time. Accordingly, if the Iran Stock Exchange exits from the initial equilibrium due to the shock, 3 courses of time are needed to correct short-term imbalances and gross domestic product will return to the original long-term equilibrium. Manuscript profile -
Open Access Article
59 - The Effect of Economic Uncertainty on Cost Stickiness Behavior
behzad rezazadeh shokrollah khajavi Allah Karam SalehiThe purpose of this research is to study macroeconomic uncertainty measures effect on cost stickiness conducting two steps Fama-Macbeth regression models on listed companies of Tehran Stock Exchange. In order to estimate macroeconomic uncertainty four measures of GDP gr MoreThe purpose of this research is to study macroeconomic uncertainty measures effect on cost stickiness conducting two steps Fama-Macbeth regression models on listed companies of Tehran Stock Exchange. In order to estimate macroeconomic uncertainty four measures of GDP growth, inflation rate, exchange rate and interest rate have been utilized by Arch and Garch models. For this purpose, a hypothesis is developed and the data of108 listed companies of Tehran Stock Exchange is analyzed during the period of 2011 to 2019. The research regression model is tested by two steps Fama-Macbeth regression model. Results show a positive significant effect of macroeconomic uncertainty measures (measures of GDP growth, inflation rate, exchange rate and interest rate) on cost stickiness. Thus, results hold that macroeconomic uncertainty measures increase cost stickiness. Manuscript profile -
Open Access Article
60 - Estimation model of oil productions Price in Iran
ramiar refaei Mostafa BaghbanyanAbstract:One of the most important factors in determining the price of oil products is the price of crude oil and the exchange rate. Crude oil is the main source of refiners in the production of petroleum products, and exchange rate changes are expected to be expected b MoreAbstract:One of the most important factors in determining the price of oil products is the price of crude oil and the exchange rate. Crude oil is the main source of refiners in the production of petroleum products, and exchange rate changes are expected to be expected by producers and demanders, and ultimately oil products. In this paper, taking advantage of influential factors, using The convergence approach (FMOLS, CCR, DOLS) and for the period 1969-1999, the oil price model is evaluated. The estimated results showed that in three models (except for the model of furnace as dependent variable), the price of crude oil has a positive and significant effect on the price of long-term oil products, and in all four models, the exchange rate has positive effects of meaning You have the price of oil products in Iran. Short-term results also indicate that the process of moving the variables toward satisfactory long-term equilibrium is satisfactory. Among the other points examined in the paper is the comparison of the relative effect of these two variables on the price of oil products, which indicate that the exchange rate coefficient in the models is larger than the crude oil price coefficient, ie any increase in the price of crude oil, the price of the products to the exchange rate, will further increase. Therefore, for the Iranian economy, stabilizing the exchange rate and reducing its fluctuations will create a more stable trend in the price of oil products. Manuscript profile -
Open Access Article
61 - Using Lucas Experimental Method to Investigate the Relationship between Exchange Rate Overshooting and Business Cycles in Iran
Farzad Moayeri Mohsen Zayandeh Rood Seed Abdolmajid Jalaei Esfandabadi Hossien Mehrabi BasharabadiExchange rate shocks due to increased risk and uncertainty of production are concerned as a leader variable in creating economic instability in the country. The proof of this can help to adopt economic policies. During 1989 -2013, this has repeatedly been met with Excha MoreExchange rate shocks due to increased risk and uncertainty of production are concerned as a leader variable in creating economic instability in the country. The proof of this can help to adopt economic policies. During 1989 -2013, this has repeatedly been met with Exchange rate overshooting. This article attempts to answer this question that the exchange rate overshooting plays a key role as a leading variable in business cycles in Iran economy. In this regard, using Hodrick-Prescott filtering method, trends, and exchange rate shocks and economic cycles in 1989 -2013 calculated. Then, four complete cycles of currency (peak-peak) were identified. Next, applying Lucas experimental method, the relationship between Log of GDP shock and the exchange rate cycles was investigated at the time of each four cycles. The results showed that exchange rate shocks played as a leading variable in all periods Manuscript profile -
Open Access Article
62 - رابطه بین متغیرهای کلان اقتصادی بهای نفت نرخ ارز و تورم و عملکرد شرکتهای پذیرفته شده در بورس اوراق بهادار تهران
محمد اسمعیل خباززاده ابرقوئی احمد یعقوب نژاد -
Open Access Article
63 - Economic policy of Forouqi's government during occupation of Iran (August 1941)
sadegh bafandehMohamad Ali Forouqi has multidimensional character. Critical role that he did when Iran had been occupied was not possible for any politician. A hotly debated controversy in Iranian history is the devaluation of the rial immediately after the occupation of Iran by MoreMohamad Ali Forouqi has multidimensional character. Critical role that he did when Iran had been occupied was not possible for any politician. A hotly debated controversy in Iranian history is the devaluation of the rial immediately after the occupation of Iran by the Allied forces. Dr Mosharraf Naficy, the finance minister who is associated with this devaluation, is criticized severely and even branded a traitor and foreign agent. He, on the other hand, has defended his decision with regard to the exchange rates and claimed that there was no devaluation. The Second World War as an episode in the modern history of Iran has received little attention.1 In particular, the economic condition of the country is rarely mentioned let alone studied. The present article aims at making a small contribution to the subject by studying the controversial issue of the devaluation of the rial. Manuscript profile -
Open Access Article
64 - Forecasting the exchange rate using futures studies methods and examining the effect of currency fluctuations on the performance of companies: A case study of Iran Tobacco Company
Alireza Fathinia Ali BadizadehExchange rates always have a high priority and attractiveness in society, especially among companies. Different methods are used to predict the exchange rate, among which structural methods as methods of fundamental analysis, a little precision in advance. They have an MoreExchange rates always have a high priority and attractiveness in society, especially among companies. Different methods are used to predict the exchange rate, among which structural methods as methods of fundamental analysis, a little precision in advance. They have an accurate forecast of the exchange rate, but they are very useful as a long-term perspective and illuminate the movement of the exchange rate. Technical compensation can be used to compensate for the shortcomings of these methods. Using futures research techniques, in addition to covering the study gap of futures research techniques in forecasting exchange rates, errors due to quantitative methods have been minimized so that companies are prepared for the occurrence of various situations. In the final part of the article, the effect of currency fluctuations on the performance indicators of the tobacco company during the last three years is examined. The results of the study indicate that currency fluctuations have the first and greatest impact on the implementation of development projects and also sudden economic shocks are not immediately reflected in the performance of companies and due to the presence of shock absorbers such as inventory in Warehousing, borrowing purchases and long-term debt creation, over time, gradually affect and weaken the company's performance. Manuscript profile -
Open Access Article
65 - The effect of Labor Productivity, Investment Security, Exchange Rate, and Economic Openness on Foreign Direct Investment in Iran under Stable and Nonstable Conditions
Kambiz Hojabr Kiani Mohammadreza NahidiThe main Purpose of this study is to examination the effect of the main economic variables on the foreign direct investment in Iran under stable and nonstable conditions during 1973-2006. The study of stable conditions is based on Auto Regressive Distribution Lag (ARDL) MoreThe main Purpose of this study is to examination the effect of the main economic variables on the foreign direct investment in Iran under stable and nonstable conditions during 1973-2006. The study of stable conditions is based on Auto Regressive Distribution Lag (ARDL) models, and the study of nonstable conditions is based on Hitrosidacity group (GARCH) models. The study examines the effect of Positive and negative shocks on the net foreign direct investment under nonstable conditions. The results indicate the positive effects of labor productivity, economic openness and investment security, and the negative effect of the exchange rate on the net foreign direct investment under stable and nonstable conditions. Manuscript profile -
Open Access Article
66 - Spillover Effects of Trade and Exchange Rates Shocks from Iran`s Major Trading Partners: GVAR approach
Aziz Saki Seyed Aziz Arman hasan farazmandThis article deals with how trade and exchange rates shocks of major trading partners affect the Iranian economy. For this purpose, quarterly data of 10 major Iranian trading countries, including Brazil, China, Germany, India, Italy, Korea, Turkey, Russia, UAE and Switz MoreThis article deals with how trade and exchange rates shocks of major trading partners affect the Iranian economy. For this purpose, quarterly data of 10 major Iranian trading countries, including Brazil, China, Germany, India, Italy, Korea, Turkey, Russia, UAE and Switzerland during the period 1996 to 2019 has been used. Econometric parameters has been estimated by Global Vector Autoregressive approach.The modeling results show that the increase in the real exchange rate in Brazil, in some cases, increases the real exchange rate in Iran. Rising real exchange rate in China first reduces and then increases the real exchange rate in Iran. In addition, Increasing China's trade increases the level of Iran's trade. According to the results, when Iran's imports from a country are higher, it is more affected by exchange rate shocks in that country, which can be seen in response to real exchange rate shocks in China. Manuscript profile -
Open Access Article
67 - The effect of exchange rate volatility on outward migration: A Synthetic Control Group approach
Tamina Asghari Saeed Eisazadeh Ali Akbar GholizadehThe purpose of this research is to investigate the effect of exchange rate jump on the outflow of migration using the Synthetic Control Group approach during the period of 1980-2015 in Iran. For this purpose, based on this approach, the countries with real exchange rate MoreThe purpose of this research is to investigate the effect of exchange rate jump on the outflow of migration using the Synthetic Control Group approach during the period of 1980-2015 in Iran. For this purpose, based on this approach, the countries with real exchange rate stability were selected and among them, the weighted composition of the countries that had the most similarity in the situation before the real exchange rate jump of Iran was estimated. Therefore, two groups were formed, including the group of selected countries named artificial Iran and the other, real Iran. Finally, the results of the estimates of these two groups were compared and analyzed. The results indicate a 15% difference in the immigration process of artificial Iran and real Iran. The analysis of the results showed that the impact of the jump in the real exchange rate on the migration flow in Iran was positive. Based on the results, it is suggested that policymakers pay attention to the destructive effect of real exchange rate jumps on the flow of migration from the country and adopt appropriate economic policies to stabilize the real exchange rate. Manuscript profile -
Open Access Article
68 - Long-run Relationship between the Volatility of Effective Real Exchange Rate and Industrial Return Index in Tehran Stock Exchange Market (Multivariate GARCH Approach)
Esmaeil Aboonouri AmirMansour Tehranchian Mostafa HamzehThis paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data du MoreThis paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data during 2001-2011. The results represent that there is no long-term significant relationship between effective real exchange rate and industry index. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets. There is a bidirectional volatility spillovers effects between two markets. This indicates that previous innovations in stock market affects on the future volatility in foreign exchange market, and vice versa. Manuscript profile -
Open Access Article
69 - Evaluation of Home Bias in Consumption and Exchange Rate Fluctuations (DSGE Approach)
Mohammad Akbari mohammad javad sharifzade ali ranjbarakiThe aim of this study is to evaluate the result of the exsictance and change in consumer home bias on macroeconomic variables (such as consumption and inflation), in the event of exogenous shocks to the economy. In order to do so, seasonal data of the period 1394-1370 a MoreThe aim of this study is to evaluate the result of the exsictance and change in consumer home bias on macroeconomic variables (such as consumption and inflation), in the event of exogenous shocks to the economy. In order to do so, seasonal data of the period 1394-1370 and a dynamic stochastic general equilibrium model has been used. After designing the model, parameters of the suggested model are estimated by Bayesian approach. Reviewing the impulse response functions in the event of exogenous shocks (such as oil revenue shock and technological shock) shows that, with home bias exsictance in the model, inflation and consumption volatility will reduced due to the increased volatility of exchange rate. Based on the results it is recommended that, In order to control endogenous variables (including inflation), In the event of exogenous shocks, especially oil revenue shock, the exchange rate should be allowed to fluctuate more. Manuscript profile -
Open Access Article
70 - Use of Black Market premium (BMP) to Investigate the Changes of Exchange Rate on the Added-value of Industry
hamidreza izadi maryam izadiInstability of exchange actual rate increases the risk and uncertainty, decrease of investment, shortening of investment horizon, instability of financial markets, reduction of foreign trade, allocation of the resources to the non-productive activities, reduction of ind MoreInstability of exchange actual rate increases the risk and uncertainty, decrease of investment, shortening of investment horizon, instability of financial markets, reduction of foreign trade, allocation of the resources to the non-productive activities, reduction of industry added value and the growth of production rate and economy. By using Black Market Premium, this paper tries to evaluate the exchange rate fluctuations and its deviations during 1971-2010 due to the importance of the exchange rate variations, and then survey the negative effects of these fluctuations and deviations on the surplus value of industry. Manuscript profile -
Open Access Article
71 - Exchange Rate Pass-Through into Import Price in Iran Economy with Emphasis on Volatility of Oil Revenues (Nonlinear Approach)
Mana Mesbahi Hosein Asgharpour Jafar Haghighat Seyed Alireza Kazerooni firooz fallahiAbstract The main objective of this paper is to investigate the impacts of fundamental variables and volatility of oil revenue (as one of the most important of environment prevailing components in Iran economy) on degree of exchange rate pass through (ERPT) into import MoreAbstract The main objective of this paper is to investigate the impacts of fundamental variables and volatility of oil revenue (as one of the most important of environment prevailing components in Iran economy) on degree of exchange rate pass through (ERPT) into import price. For this, Markov-Switching and EGARCH methods were used on the base of data for 1990:3 to 2014:1. The findings indicate that there are two ERPT into import price regimes in Iran economy. The ERPT is more than unitary in both regimes. Also, volatility of oil revenues has asymmetric impacts on ERPTs of regimes in terms of size and sign but it increases ERPT into import price in both regimes. Therefore, managing of volatility of oil revenues and exchange rate changes are suggested. Manuscript profile -
Open Access Article
72 - Investigating the Commercial Relations between Iran and Its Other Major Trading Partner Focusing on J-Curve Test
Hasan Heidari Fatemeh ZareiThe appearance of J-curve phenomenon to the issues of international economics in 1970s attracted the attention of researchers to short-run dynamics of trade balance response to the exchange rate changes. While, before 1970s; the studies investigated the reaction of trad MoreThe appearance of J-curve phenomenon to the issues of international economics in 1970s attracted the attention of researchers to short-run dynamics of trade balance response to the exchange rate changes. While, before 1970s; the studies investigated the reaction of trade balance statically. J-curve hypothesis violates the positive effectiveness of currency depreciation on the trade balance in short-run. In this paper, we attempt to combine short-run dynamics of trade balance to its long-run changes by using appropriate method to test J-curve between Iran and other major trading partners in Asia. Bound test method in co-integration and Error Correction Model are used during 1991Q2-2007Q3. Outcomes of our study suggest that there is J-curve effect in bilateral trade balance between Iran and its two other partners, China and Japan. Also, the depreciation of Rial versus other currencies has a favorite effect on bilateral trade balance in long-run. Manuscript profile -
Open Access Article
73 - 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
74 - Comparing the Exchange Rates Predicted by STAR Non-linear Models and Alternative Models
Hasan Khodavaisi Ali VafamandExchange rate known as a strategic variable plays an important role in the economy, because of affecting on different sectors in economy all over the world. So, exchange-rate predictions have always been an important subject for the researchers in Economics. This paper MoreExchange rate known as a strategic variable plays an important role in the economy, because of affecting on different sectors in economy all over the world. So, exchange-rate predictions have always been an important subject for the researchers in Economics. This paper tries to study the attributes of exchange rate developed by monthly official data of Iran Stock Exchange based on Smooth Transition Autoregressive (STAR) models. The result of simulation based on STAR models and estimated by Genetic Algorithm method, outperforms linear time series models, such as ARIMA out of sample predictions based on RMSE, MAE and DA criteria. Manuscript profile -
Open Access Article
75 - The Study of Exchange Rate Dynamics in Iran by Using Dynamic Stochastic General Equilibrium (DSGE) Models
mojtaba asghari ali haghighat masoud nonejad Hashem zareThe purpose of this paper is to examine the dynamics of exchange rates and the role of monetary and financial policies. For this purpose, we use a dynamic stochastic general equilibrium (DSGE) for a small open economy during the period of 1990-2016. The results show tha MoreThe purpose of this paper is to examine the dynamics of exchange rates and the role of monetary and financial policies. For this purpose, we use a dynamic stochastic general equilibrium (DSGE) for a small open economy during the period of 1990-2016. The results show that in different scenarios there are signs of Dutch disease as a weakening of the trade sector, the strengthening of the non-trade sector, the increase in prices in the trade sector, the reduction of prices in the commercial sector and the reduction of the real exchange rate. Based on the results, active financial policies are recommended to control exchange rate fluctuations. Manuscript profile -
Open Access Article
76 - آیا شاخص قیمت کشاورزی به نوسانات نرخ ارز در ایران واکنش نشان می دهد؟
محمد عبدی سیّدکلایی امیر منصور طهرانچیان احمد جعفری صمیمی سیّد مجتبی مجاوریاناز آنجایی که برخی از مواد اولیه، کالاهای نیمه­ساخته، واسطهای و سرمایهای در بخش کشاورزی از محل واردات تأمین میشوند بنابراین نوسانات نرخ ارز میتواند روی قیمت تمام شده محصولات این بخش اثر بگذارد. در سالهای اخیر با نوسانات قابل ملاحظهای در نرخ ارز روبرو بودهایم ک Moreاز آنجایی که برخی از مواد اولیه، کالاهای نیمه­ساخته، واسطهای و سرمایهای در بخش کشاورزی از محل واردات تأمین میشوند بنابراین نوسانات نرخ ارز میتواند روی قیمت تمام شده محصولات این بخش اثر بگذارد. در سالهای اخیر با نوسانات قابل ملاحظهای در نرخ ارز روبرو بودهایم که تأثیر بسزایی بر همه بخشها و از جمله بخش کشاورزی داشته است. نرخ ارز از طریق افزایش قیمت واردات مواد اولیه کشاورزی بر افزایش قیمت محصولات کشاورزی مؤثر است. به عبارت دیگر، کاهش عرضه داخلی به دلیل تحریک صادرات محصولات کشاورزی ناشی از افزایش نرخ ارز رابطه فوق را تقویت میکند. در این پژوهش، تأثیر نوسانات نرخ ارز بر شاخص قیمت در بخش کشاورزی ایران با استفاده از روش گارچ چند متغیره مورد بررسی قرار گرفته است. نتایج به دست آمده نشان میدهند که در سطح معنیداری یک درصد، تکانههای گذشته نرخ ارز اثر مثبت روی شاخص قیمت بخش کشاورزی دارد. علاوهبر این، بهرغم اینکه نوسانات جاری شاخص قیمت بخش کشاورزی از نوسانات گذشته خود تأثیر نمیپذیرد اما نوسانات گذشته نرخ ارز اثر مثبت بر نوسانات جاری نرخ ارز دارد. Manuscript profile -
Open Access Article
77 - بررسی وجود تبعیض قیمت در بازار زعفران صادراتی ایران
الهه محمودی مجید محمودییکی از مهم­ترین اثرات نوسانات نرخ ارز اثر آن بر قیمت صادراتی محصولات مختلف است. بر اساس تئوری­های جدید تجارت، ساختار بازار نقش مهمی در مرتبط کردن کاهش بهای نرخ ارز و کاهش قیمت­ها دارد. در ایران نرخ ارز در دهه­ی اخیر افزایش یافته است . بنابراین این مطالعه Moreیکی از مهم­ترین اثرات نوسانات نرخ ارز اثر آن بر قیمت صادراتی محصولات مختلف است. بر اساس تئوری­های جدید تجارت، ساختار بازار نقش مهمی در مرتبط کردن کاهش بهای نرخ ارز و کاهش قیمت­ها دارد. در ایران نرخ ارز در دهه­ی اخیر افزایش یافته است . بنابراین این مطالعه در تلاش است تا اثر تغییرات نرخ ارز را روی قیمت صادراتی زغفران ایران (که مهم­ترین محصولات صادراتی غیر نفتی ایران بعد از پسته است) را در طی دوره 2001-2012 در بین 12 کشور وارد کننده بررسی نماید. بر اساس نتایج، اثر مقطع برای تمام مقاصد صادراتی به جز ایالات متحده آمریکا معنی دار است. هم­چنین ضریب نرخ ارز برای تمام کشورهای نمونه معنی­دار است. بنابراین براساس ادبیات مربوطه روشن است که فرضیه وجود بازار رقابتی برای بازار زعفران صادراتی رد شده و این شاهدی بر اعمال تبعیض قیمت توسط صادرکنندگان است . بنابراین پیشنهاد می­شود که دولت برای حمایت از این محصول استراتژیک با سیاست­های مناسب تلاش نماید. Manuscript profile -
Open Access Article
78 - Mutual volatility of stock price index, gold and exchange rate: MSVAR approach
hamid hooshmandiThe main goal of the current research was to investigate the mutual effects of the stock exchange and two gold and foreign exchange markets using time series 2009(4) - 2022(11). The implementation of Lee-Strazicich unit root test indicates the occurrence of two structur MoreThe main goal of the current research was to investigate the mutual effects of the stock exchange and two gold and foreign exchange markets using time series 2009(4) - 2022(11). The implementation of Lee-Strazicich unit root test indicates the occurrence of two structural failures in the stock exchange and gold and foreign exchange markets in the decade of 2010. The optimal model, MSIAH-VAR(2), was selected. The findings of the research showed that the behavior of the total stock price index in Tehran Stock Exchange can be evaluated in two regimes (high volatility and low volatility). The results of the regime transition probability matrix indicated the stability and permanence of the low volatility regime and the weak possibility of transition between regimes. Therefore, when explanatory discussions enter the Tehran stock market, there is a possibility that these fluctuations or turbulences (in the form of a regime) will last a long time.The findings of the first model showed that there was a one-way shock transfer from the gold market to the Tehran Stock Exchange during the investigated period. According to the results of the second model, there is a one-way shock transfer from the stock exchange to the currency market. It can be concluded that in the Iranian economy, gold is of special importance in the portfolio of investors. In addition, shares, like currency, are an investment opportunity in the portfolio of Iranian investors. Manuscript profile -
Open Access Article
79 - Factors affecting the inflation rate in selected developing countries with the TVP-VAR approach
Marjan Mohammad Esmaeil Reza Maaboudi Mohammad KhorsandInflation has been considered as one of the important economic indicators and one of the most important goals of governments is to control it. Inflation has significant economic consequences in the economy. Therefore, investigating factors affecting inflation is of part MoreInflation has been considered as one of the important economic indicators and one of the most important goals of governments is to control it. Inflation has significant economic consequences in the economy. Therefore, investigating factors affecting inflation is of particular importance. Among them is the shock of the exchange rate. so, this article examines the effect of exchange rate shock along with some explanatory variables on inflation in 47 developing countries by using panel structural vector autoregression model (Panel-SVAR) and vector autoregression with time-varying parameters (Panel-TVPVAR). It has been paid for the years 1990 to 2020. The criterion for selecting countries was the level of development and access to their information. In this research, in the first place, tests of unit root, co-accumulation and cross-sectional dependence have been performed. Also, the results indicate that in this period, one of the factors affecting inflation is the exchange rate changes in the countries. So that positive exchange rate shocks have a negative effect and negative exchange rate shocks have a positive effect on inflation. The results show that the increase in production and the degree of openness of the economy causes a decrease in inflation, as well as an increase in the size of the government and money supply, which causes an increase in inflation in selected developing countries. the effect of the mentioned variables on the inflation rate has been different in terms of size over time, but it has been constant in terms of the direction of the effect. Manuscript profile -
Open Access Article
80 - Investigating The Determinants of Exchange Rate and Forecasting the Future Trend Using Econometrics and Machine Learning
Alireza Orangian Behzad Bolourian Elaheh OrangianThe main purpose of this paper is to investigate the factors affecting exchange rate and to forecast the future trend using econometrics and machine learning methods. The seasonal moving average of IR Rial to US Dollar rate from spring 1392 to spring 1401 is the proxy o MoreThe main purpose of this paper is to investigate the factors affecting exchange rate and to forecast the future trend using econometrics and machine learning methods. The seasonal moving average of IR Rial to US Dollar rate from spring 1392 to spring 1401 is the proxy of exchange rate as the dependent variable and balance of trade, debt to GDP, GDP, inflation rate, liquidity volume, OPEC oil price and unemployment rate are considered as the independent variables. For determining the factors influencing the exchange rate, Sobol' Sensitivity Analysis, a machine learning method, is used and VECM is harnessed for regressing and forecasting. Variance decomposition and impulse response function are also utilized as instruments of VAR for measuring the future shocks effects of independent variables on exchange rate and the periods in which these shocks will be neutralized. The results show that liquidity volume, oil price, unemployment rate and inflation rate are the most significant determinants, respectively and the future shocks of liquidity volume, inflation rate, oil price and unemployment rate have the longest period of impacts on the exchange rates, respectively. The study outcomes also show an affinity between econometric and machine learning results in this case. The predicted amounts of exchange rate until winter 1402 are also included in the results. Manuscript profile -
Open Access Article
81 - The Impact of Exchange Rate Volatility and Uncertainty on Stock Returns in Tehran Stock Exchange (Case Study: Agriculture and Food Industry)
Ehsan RajabiExtended Abstract Based on macroeconomics and development economics theories, developing countries, like Iran, are facing a high degree of instability of macroeconomic variables. Fluctuations and exchange rate shocks, create an uncertain environment for investors and MoreExtended Abstract Based on macroeconomics and development economics theories, developing countries, like Iran, are facing a high degree of instability of macroeconomic variables. Fluctuations and exchange rate shocks, create an uncertain environment for investors and make decisions unconfident situation for future investments. The empirical study of the relationship between fluctuation and instability exchange rate and share returns in the Tehran Stock Exchange market is discussed. The empirical results make it possible for the decision-making managers of the agriculture and food industries to analyze the interaction and behavior of stock returns and exchange rates simultaneously. Second, a better understanding of the short-term movements of these two markets allows financial managers to make informed financial decisions and investments. In such a situation, the policy maker should be aware of applying policies that cause more volatility in the currency market and create uncertainty in it, in order to provide the basis for the sustainable growth of the capital market. Purpose The fluctuations of the exchange rate as an effective contribution to the proper direction, and a more favorable opportunity to be made for trade, and your investment; for the exchange rate from canal of export and import affect the cost of export, stock prices, and returns. This research investigates the effects of volatility and uncertainty of exchange rates on the stocks return of share in cluster of export-oriented, and the import-oriented and agri-food industries. As a result, the research question is: the share returns of companies listed on the Tehran Stock Exchange (separated to export-oriented, import-oriented, and agricultural and food industries), in case of exchange rate instability and uncertainty (currency fluctuations), in the period of 2010 to 2019 how will it be affected by it? Methodology This investigation led to a series of 165 holding companies for period of 2010-2019. The volatility measure by Generalized autoregressive conditional heteroscedasticity (GARCH) method and based model estimate by Structural vector autoregressive model (SVAR). In the first stage, the conditional and generalized heterogeneity variance model is used to extract exchange rate fluctuations. In the next step, the structural vector explanatory model (SVAR) has been used to investigate the effect of currency instability and uncertainty (currency fluctuations) on the returns and stock prices of companies. To estimate the SVAR model, the self-explanatory vector model or the normal VAR model must be estimated first. After determining the optimal interval and performing model validation tests, by applying structural constraints, reaction functions based on structural constraints are specified. Finally, by using shock reaction functions, the effects of currency instability and uncertainty (currency fluctuations) on the stock returns of companies are evaluated. Finding The result shows that there is significant relationship between the exchange rate fluctuations stock return of import - oriented company but in other cases, the export- oriented and Agri-food companies there is no relationship between shares return, and fluctuations of exchange rate even by year lag. Conclusion The impact on the exchange rate and its fluctuations on import-oriented industries is due to the dependence of the industries on imported raw materials (including inputs and machinery and equipment), which imposes costs on producers at rates higher than the supporting exchange rates, and against the stability policy of central bank of Iran leads to the impossibility of foreign exchange rates with the market exchange rates and their foreign exchange income acquisition. This policy constitutes a disconnection of the effect of the exchange rate and its fluctuations on stock returns. The change in the exchange rate from the import channel will affect the cost of intermediate goods, as a result, the prices of the companies' shares will change. For example, with the decrease in the value of the domestic currency, the import price of intermediate and capital goods increases and their import decreases. As a result, stock returns decrease due to the decrease in investment. According to the results of the research, it is suggested to shareholders and lenders to pay attention to exchange rate fluctuations as a factor affecting stock prices in order to make correct and principled decisions of investing in companies' shares and granting credit. If the exchange rate fluctuations are directed in the right direction as a factor affecting stock prices, a more favorable environment for trade and investment will be provided; Because the exchange rate change from the import channel will affect the cost of intermediate goods, as a result, the stock price of the companies will change. For example, with the decrease in the value of the domestic currency, the import price of intermediate and capital goods increases and their import decreases. As a result, stock returns decrease due to the decrease in investment. Manuscript profile -
Open Access Article
82 - The Impact of Islamic Financial Instruments on the Occurrence of Business Cycles in the Iranian Economy: A Case Study of Participation Bonds
Yazdan Gudarzi Farahani Vahid Mahboubi MatinThe aim of this study was to investigate the role of Islamic financial instruments inthe occurrence of business cycles in the Iranian economy. In this regard, theemphasis has been on Islamic participation bonds offered by the Central Bank. Forthis purpose, statistical d MoreThe aim of this study was to investigate the role of Islamic financial instruments inthe occurrence of business cycles in the Iranian economy. In this regard, theemphasis has been on Islamic participation bonds offered by the Central Bank. Forthis purpose, statistical data from the period 1992-2020 and structural vectorautoregression model (SVAR) were used. The results of this study showed that theimpetus from the supply of participation bonds as a tool for monetary policy and anIslamic financial instrument has led to the fact that the amount of business cycles inthe Iranian economy is not moderated. In fact, the results showed that the variablesof budget deficit, exchange relationship and price were the most important variablesaffecting business cycles in the Iranian economy. The results showed thatparticipation bonds could not act as an anti-cyclical policy tool in the Iranianeconomy. Considering the results of how Islamic financial instruments affectbusiness cycles in the Iranian economy, it is necessary to recognize the impact ofgovernment budget deficit and its financing. Manuscript profile -
Open Access Article
83 - Asymmetric Effect of Exchange Rate Fluctuations on Stock Return in the Iranian Stock Market
Mohammadreza Nahidi AmirkhizIn this paper, the asymmetric effect of exchange rate fluctuations on the stock return in the Iranian stock market was investigated. Using a graph model, exchange rate fluctuations are measured and then, stock return is estimated by considering these fluctuations for th MoreIn this paper, the asymmetric effect of exchange rate fluctuations on the stock return in the Iranian stock market was investigated. Using a graph model, exchange rate fluctuations are measured and then, stock return is estimated by considering these fluctuations for the period between 1979 and 2021. The results of this study indicated that exchange rate fluctuations have a significantly positive effect on the stock return. In addition, this study tested the effect of fluctuations between the foreign exchange market and the stock market. Due to the low degree of simultaneous fluctuations between these two markets, investors can reduce their investment risk by allocating their capital between currency and stocks. Manuscript profile -
Open Access Article
84 - Investigation of the inflation's effect on poverty using econometric model and views of the Holy Quran.
Mohammad Afrasiabi marjan damankeshideh Reza RahimiOne of the most fundamental economic problems in Iran is an issue called inflation and its adverse effects on society. Research has examined this issue from various aspects. One of these cases is to study the effect of inflation on poverty. Inflation affects poverty by MoreOne of the most fundamental economic problems in Iran is an issue called inflation and its adverse effects on society. Research has examined this issue from various aspects. One of these cases is to study the effect of inflation on poverty. Inflation affects poverty by changing the general level of prices and puts the poverty index in a worse situation.This study tries to express the view of the Holy Quran on poverty and inflation and to determine the position of these two phenomena in comparison with other things that God has forbidden to human beings. In this regard, first, using time series data from 1368 to 1399 and econometric techniques, we have examined the effect of inflation on the relative poverty line as the main purpose of the study and stated the results.Also, Gini coefficient data, national income growth, unemployment rate and exchange rate in the mentioned period are included in the model as auxiliary variables and their impact is expressed as sub-objectives of the research. At the end, suggestions related to the centrality of Quranic verses are presented. It is hoped that this research will open a window to the truth. Manuscript profile -
Open Access Article
85 - Short-run and Long-run Effects of Exchange Rate on Balance of Payments
Narges Khaton Pirhadi Tavandashti Ali. Dehghni Fatemeh. ZandiThe monetary approach to the balance of payments in Iran has been considered in this research. For this purpose the model of time series, VAR and VECM are employed. Results indicated a two-way causality between money supply and inflation; exchange and inflation rates MoreThe monetary approach to the balance of payments in Iran has been considered in this research. For this purpose the model of time series, VAR and VECM are employed. Results indicated a two-way causality between money supply and inflation; exchange and inflation rates in short-run and long-run. However, the effects of national currency devaluation on export, current account and balance of payments are not verified authentically enough. Manuscript profile -
Open Access Article
86 - Investigating the Relationship Between Interest Rate, Exchange Rate and Herding Behavior in TSE
Roya Darabi Hossein Rajabdorri manoochehr khoraminThe purpose of this research is to investigate the relationship between the interest rate, exchange rate and herding behavior in Tehran Stock Exchange. This research is applied to the target and its statistical society includes all companies accepted in Tehran Stock Exc MoreThe purpose of this research is to investigate the relationship between the interest rate, exchange rate and herding behavior in Tehran Stock Exchange. This research is applied to the target and its statistical society includes all companies accepted in Tehran Stock Exchange. The studied period is 2012 to 2016 and the sample is 2055 daily views. To test the hypothesis of the research, regression method of least squares was used. The findings showed that there is a positive and significant relationship between exchange rate and interest rate with herding behavior in all cases of daily and weekly and all levels of 1%, 5%, and 10%. Also, the effect of interest rates and exchange rates on herding behavior is higher in the more limited periods (daily or weekly) and at the lower levels (1%, 5%, and 10%), and with increasing time intervals and disclosure, this herding is reduced. Manuscript profile -
Open Access Article
87 - The Impact of Tourism Development on Iran's Economy
Bahram Shakouri Soheila Khoshnevis Yazdi Niloofar NateghianOver the past several decades, the relationship between tourism spending and economic growth for both developing and developed countries has been extensively researched.1 Knowledge of the causal relationship between tourism spending and economic growth is of particular MoreOver the past several decades, the relationship between tourism spending and economic growth for both developing and developed countries has been extensively researched.1 Knowledge of the causal relationship between tourism spending and economic growth is of particular importance to policy makers, as tourism policies are becoming major concerns for these countries.. In many instances they are important in offsetting current account deficits and negative balance of payments. On the other hand, since international tourism contributes to every sector of the economy, budget deficits also benefit from these activities via tax revenues. International tourism brings foreign exchange that can be used to import intermediate and capital goods to produce goods and services, which in turn leads to economic growth. The significance of this sector can be manifested from the fact that it raises revenues, generates employment.This study investigated the relationship between tourism arrivals and economic growth in Iran for1980 to 2012, using relationship between international tourism arrivals, real gross domestic product, real effective exchange rats and political instability, using ARDL and Granger tests. The results show there are short -run and long -rung between tourism expenditure, real gross domestic product, real effective exchange rates and political instability in Iran are cointegrated during the sample period. The results Granger causality test suggest that there is a bidirectional causality between real effective exchange rate and real output and in the short-run and long-run. However, between the international tourism arrivals, real output and real effective exchange rates are bidirectional causality in short-run and long- run.These findings show that tourism is in part an endogenous growth process, and verified the presence of the tourism led growth in the case of Iran. Moreover, they indicate that tourism has mattered in the economic growth process. In addition, our results showed that the hypothesis of tourism exports driven by economic growth is better suited for both studied economies.The prospective tourists will have more confidence to visit Iran. It is therefore imperative that government institutions, tourism planners and investors recognize the implications of their actions in the interest of long-term economic viability of the tourism sector. A successful strategy for tourism development should not be measured only in terms of increasing tourist numbers or receipts. Tourism should also be evaluated in terms of its role in the overall development objectives of host countries. Manuscript profile -
Open Access Article
88 - The Impact of Real Exchange Rate Changes on Non-oil Exports of Iran
Soheila khoshnevis yazdi ramin rajabzadehSetting Exchange rate in a good manner, paying attention to its changes and the factors affecting it in any circumstances, can be a topic of discussion. On the other hand, an increase in non-oil exports has been the main economic policy of the Iranian government in rece MoreSetting Exchange rate in a good manner, paying attention to its changes and the factors affecting it in any circumstances, can be a topic of discussion. On the other hand, an increase in non-oil exports has been the main economic policy of the Iranian government in recent decades. To get rid of single-product economy, the development of non-oil exports for the Iranian government is a necessity. Iran's share of global exports has not been dramatic over the past years, and this makes the development of non-oil exports necessary in order to reduce the country's economic dependence on oil revenues. In the present study, by stipulating appropriate model, from econometric method, ARDL model was used to examine the short-term and long-term effects of real exchange rate changes on Iran's non-oil exports during the period 1983-2013. Non-oil exports in this study have been measured using the variables of the real exchange rate, Iran's trading partners GDP, GDP and credit to the private sector. Estimation results suggest that symptoms of estimated coefficients are consistent with the theoretical basis of all variables, and results show that changes in the real exchange rate at level of 5% error in the short and long term have a positive effect on non-oil exports. Effect of Iran's trading partners GDP, GDP and credit to the private sector on non-oil exchange has been positive. Manuscript profile -
Open Access Article
89 - The Influence of Real Exchange Rate Fluctuations on the competition indices in Iran’s Economy (1979-2013)
وحید منافی انور فرهاد خداداد کاشی جهانگیر بیابانی فاطمه پاسبانAbstract In every country the value of money is closely related to economic power, continual and stable growth of physical commodities and the more production stability would continue, the cost index is more steady.One country that has desirable and fast economic growt MoreAbstract In every country the value of money is closely related to economic power, continual and stable growth of physical commodities and the more production stability would continue, the cost index is more steady.One country that has desirable and fast economic growth, as compared with other countries , its money will be strengthened. Growth of each economic factors such as gross domestic product and partial sale and employment result in demand increasing for that foreign currency and consequently its strengthening.On other hand, some policies can increase the international competition power for one country in clued micro economics and macro economics.The purpose of this research would be considering the change real exchange rate and its effects on the competition indices in Iran’s economy during the period of 1979-2013 The equations are estimated by VAR test and using eviews6. Estimation results show that oil incomes and budget deficits had negative effects on real exchange rate, and GDP and liquidity had positive effects on real exchange rate. Manuscript profile -
Open Access Article
90 - The Effect of Uncertainty of Oil Revenue on Exchange Rate In Iran
Mahmod Khataee Roya SayfipourOil revenue is the major source of foreign exchange revenues in Iran economy. Since the oil sector managed by the government, the exchange rate in Iran is highly affected by the government decision. Also oil revenue is a function of oil price and its world demand. So th MoreOil revenue is the major source of foreign exchange revenues in Iran economy. Since the oil sector managed by the government, the exchange rate in Iran is highly affected by the government decision. Also oil revenue is a function of oil price and its world demand. So the Iranian economy was fluctuated by uncertainty in the amount of oil revenue. Consequently uncertainty should have the major role in determining exchange rate. The main aim of this article is to analyses main factors of determining exchange rate including uncertainty in the market. For this purpose , future equilibrium exchange rate is estimated based on the assumptions of two scenarios including uncertainty factors. Comparing the equilibrium and controlled exchange rate shows that there is a high deviation between current rate and equilibrium exchange rate which will create a sharp increase of exchange rate in the future. Manuscript profile -
Open Access Article
91 - Transitional related to exchange rate changes and the index of export prices: 1385: 4-1369: 1
کریم Emami سیمین Ale aliIran due to oil resources is component of indeveloping countries that it’s export is dependent on agricultural products and underground reserves. So starting price fluctuations in world market of these products are caused balance of payment disequilibrium. In this MoreIran due to oil resources is component of indeveloping countries that it’s export is dependent on agricultural products and underground reserves. So starting price fluctuations in world market of these products are caused balance of payment disequilibrium. In this case on way for reducing balance of trade deficit is currency devaluation (increasing in exchange rate) because it is a reason for increasing export. The aim of this article is to analysis exchange rate pass through on the export price index in the long-run. The Johansen-Juselius Cointegration Technique is used to estimate and with using seasonal data over the period spring 1369 till winter 1385 imperical model is estimated for Iran’s economy. The results of estimate show that there is an incompelet relation in domain of taking influence export price index exchange rate changes in long-run. Exchange rate pass through coefficient on export price index is 0.16 in long-run, so according the results, pricing to market is based on local common prices (LCP) in long-run. Manuscript profile -
Open Access Article
92 - Investigation of effective factors on non-oil exports with emphasis on non-price variables
Farhad Dejpasand Meysam Amiry1 Benyamin SavehOne of the ways for encouraging economic development in oil exporting countries like Iran (which is known as an oil-dependent economy) is moving toward diversification of export revenues rapidly by increasing non-oil exports. This goal is not accessible without a compre MoreOne of the ways for encouraging economic development in oil exporting countries like Iran (which is known as an oil-dependent economy) is moving toward diversification of export revenues rapidly by increasing non-oil exports. This goal is not accessible without a comprehensive survey and examination of factors that affects non-oil exports condition. Although, in many developed countries, export and import analysis is performed in framework of relevant price variables (Also in our country most of the surveys have not gone beyond this framework).But it seems that institutional, scientific, technological and management factors have much greater effect on export variables in Iran in comparison to other countries. Hence, in this article we have tried to go beyond previous studies by adding real and non-price factors to quantitative model of non-oil export in order to estimate their impacts.In order to do this, we have considered non-oil exports to be a function of real exchange rate, total factor productivity, gross national product and the degree of openness of the economy. In addition, we have used ARDL for estimating the model and investigating the effects of each of these factors on non-oil export during 1975-2007. Finding of this paper shows that non-oil export is significantly and effectively, dependant on non-price variables. The results of our estimation show that productivity, degree of economic openness and GDP have positive effects on non-oil export. Albeit according to basic problems in production and export and according to our estimations, we claim that exchange rate does not have a significant impact on non-oil export. Manuscript profile -
Open Access Article
93 - تأثیر انحراف نرخ ارز واقعی بر صادرات صنعت فولاد در ایران
هدی مشهدی محمدی عباس شاکری محمود محمودزاده -
Open Access Article
94 - بررسی اثرات نامتقارن نوسانات نرخ ارز بر تراز تجاری ایران و چین با رویکرد ARDL غیرخطی
مریم ابراهیمی کامبیز هژبر کیانی عباس معمار نژاد فرهاد غفاری -
Open Access Article
95 - Evaluating the Impact of Oil Price Volatilities and Output Gap on Trade Balance in Iranian Economy
mehdi yazdani tahereh noorafroz More Abstract The macroeconomic variables have been affected by the volatilities and changes in oil price in the world countries and they have faced with serious challenges and lead to consider various tactics to avoid the negative effects of these shocks. However the instability of the oil market will make long-run planning impossible for policy making which is based on oil revenues in the oil exporting countries. Hence the purpose of this study is to evaluate the effect of volatility of oil price on the trade balance in Iranian economy during 1357-1390 with ARDL method. The results of this study indicate that the coefficients of oil prices and the output gap are significant in the 95% level and their relationships are negative with the trade balance. Moreover, the coefficient of exchange rate on the trade balance is positive and is statistically significant in 99% level. According the estimated relationship between oil price and the trade balance, policymakers can adopt suitable strategies in the face of volatiles in oil price and utilize it in economic development, codify social programs, set the annual budgets of the country and design appropriate policies to maintain economic stability. Manuscript profile -
Open Access Article
96 - Analyzing the Impact of Exchange Rate Unification on TOT (Terms of Trade) in IRAN
سید کمیل طیبی محسن نظری فارسانی احمد گوگردچیان زهرا زمانیAbstractTerms of trade is one of the most important tools using for analyzing macroeconomic problems because, during time, it is a good criteria for assessing a country’s profit from international trade and its changes have direct effects on countries’ welfa MoreAbstractTerms of trade is one of the most important tools using for analyzing macroeconomic problems because, during time, it is a good criteria for assessing a country’s profit from international trade and its changes have direct effects on countries’ welfare.Besides, unification of exchange rate is an important issue in economical policiesConsidering the impact of exchange rate changes on terms of trade as well as to the terms of the importance of exchange rate unification policy,the purpose of this study is to analyze the effect of exchange rate unification on the terms of trade in Iran during the years 1991-2015. For this purpose, the structural vector autoregression (SVAR) model is used.Results of structural vector auto regressive model for Iran’s economy during the period under reviewsuggest that exchange rate unification destroys the trade relationship in the short run but improves in the long run. If the rate of exchange rate unification is higher, it will have a greater effect on the trade relationship. Manuscript profile -
Open Access Article
97 - The Relationship between Exchange Rates and Other Effective Factors on Unemployment in Selected Countries of the Islamic Conference’s Members
Homayoun Ranjbar Somayeh MoazenToday, unemployment is a great problem of many developing societies. This article examines factors related to unemployment and the impact on the real exchange rate in the eight-nation Islamic Conference, mainly in developing countries or less developed, deals. Beginning MoreToday, unemployment is a great problem of many developing societies. This article examines factors related to unemployment and the impact on the real exchange rate in the eight-nation Islamic Conference, mainly in developing countries or less developed, deals. Beginning with the introduction of an analytical model includes a two-sector open economy, unemployment and analysis component channel effect. Then we use model obtained to investigate relation between macroeconomic variables and unemployment with panel data method. Results confirm this model from statistically significant coefficients and indicate that unemployment with variable gross domestic product (GDP), real exchange rate and the share of industrial exports has indirect relationship and with the variable volume workforce have direct relationship. Manuscript profile -
Open Access Article
98 - تأثیر نامتقارن تکانههای نرخ ارز بر توزیع درآمد در ایران: رویکرد Asymmetric Effect of Exchange Rate Shocks on Income Distribution in Iran: NARDL ApproachNARDL
حمید لعل خضری احمد جعفری صمیمی -
Open Access Article
99 - Investigating the Impact of Financial and Trade Sanctions on the Exchange Rate in Iran (Fuzzy Approach)
Asghar Abolhasani Hestiani Mostafa Elmimoghadam Nasrin Mansouri Minoo Amini MilaniAbstract Exchange rate is one of the important economic variables that are affected by various factors. Since the exchange rate in any country is considered one of the basic indicators in determining the degree of international competition and explaining the internal s MoreAbstract Exchange rate is one of the important economic variables that are affected by various factors. Since the exchange rate in any country is considered one of the basic indicators in determining the degree of international competition and explaining the internal situation of that country's economy, with the aim of investigating the role of economic sanctions imposed on the exchange rate in Iran, this research was carried out. According to empirical studies, several visible and invisible factors have affected the exchange rate in the country; Factors that sometimes can not all be considered in one economic model; therefore, even with conventional methods, it is not possible to comment with certainty on the extent to which some of these factors affect the exchange rate. Based on this argument, in order to use an appropriate method, in order to investigate the effect of financial and commercial sanctions imposed on Iran along with other variables affecting the exchange rate in the period after the Islamic Revolution (1978-2020) from a fuzzy approach is used. The results show that severe economic sanctions with a high and strong fuzzy coefficient have had a positive and significant effect on the exchange rate in Iran. Also, liquidity, budget deficit, balance of payments, inflation and adaptive exchange rate expectations, respectively, after the severe sanctions, have had the greatest impact on increasing the exchange rate in recent years. The fuzzy coefficients obtained for the variables of oil revenues, the degree of openness of the economy, economic growth and interest rate on account of domestic investment deposit, indicate the negative effect of these variables on the exchange rate in Iran in this period. Manuscript profile -
Open Access Article
100 - بررسی اثر صادرات غیرنفتی بر نرخ ارز حقیقی در ایران
بهمن طهماسبی احمد جعفری صمیمی غلامعلی فرجادی -
Open Access Article
101 - Hedging stock price of listed industries with exchange rate (Multidisciplinary industry, banking and investment)
مریم بذرائی صالح قویدل قدرت اله امام وردی محمود محمودزادهThis study investigates hedging stock price of the selected industries listed in stock exchange with exchange rate, in order to manage risks of investors in capital market. To do se, the ADCC and DCC models are used. The data for this investigation includes daily stock MoreThis study investigates hedging stock price of the selected industries listed in stock exchange with exchange rate, in order to manage risks of investors in capital market. To do se, the ADCC and DCC models are used. The data for this investigation includes daily stock return of the listed industries and exchange rate during 2008-2020. The results suggest that there exists symmetric correlation between stock price of these industries and exchange rate in both currency crises. Moreover, in both crises, the highest hedging effectiveness is associated with multidisciplinary industry and investment, whereas the lowest effectiveness is for banking. On the other hand, the biggest rate of hedging in the first and second currency crisis belongs to multidisciplinary industry and banking, respectively. The lowest rate of hedging in both crises belongs to investment industry and the highest weighted mean of optimal portfolio in both crises is found in banking industry. The results of this study provide the investors the opportunity to use hedging and asset allocation strategies in optimal way. Manuscript profile -
Open Access Article
102 - شبکههای اجتماعی، رفتار تودهای و نوسان نرخ ارز؛ یک شبیهسازی
عباس شاکری جاوید بهرامی جواد طاهرپور رضا طالب لو حمیدرضا درخشان -
Open Access Article
103 - بررسی ارتباط نرخ بهره با نرخ ارز بر اساس تئوری اثر بین المللی فیشر در اقتصاد ایران
حسن ولیان محمدرضا عبدلی مهدی کابوسی -
Open Access Article
104 - The role of effective factors on Net Spread on private and State-owned Commercial Banks in Iran
Rafik Nazarian Amirabbas HasheminejadThe Spread is generally considered as a sign of efficiency in any Banking system throughout the world. This important indicator is equal to the difference of two ratios which are the revenues from facilities to total facilities of the bank ratio. An increase of this ind MoreThe Spread is generally considered as a sign of efficiency in any Banking system throughout the world. This important indicator is equal to the difference of two ratios which are the revenues from facilities to total facilities of the bank ratio. An increase of this indicator means more cost of raising funds for demanders of funds. But it is, on the contrary, a signal for higher efficiency of banking system. The main objective of this research is to measure the net spread of public banks and appraisal of effects of three groups of banking policy making and aggregate economy variables on net spread changes throughout the years 1377 to 1386.Calculations show that the average net spread of public banks throughout 1377 to 1386 equals 6.161 and from 1382 to 1386. it has fallen to 5.361.The outcomes of econometrics model reveal that the rate of change in most banking financial indications (such as sight deposit to total deposit ratio, non performing loan ratio, legal deposit ratio and non-interest based revenue to total revenue generating asses ratio) exert meaningful but different effects on the rate of change of underlying variable. Although the private banks have been operating since 1381, the positive multiplier of the herfindahl – Hirschman Index or HHI concentration indicator shows that banking industry in Iran has continually been a monopoly of public sector. However the related numeral multiplier implies a gradual change of current structure towards less monopoly. Manuscript profile -
Open Access Article
105 - چگونگی اثر گذاری کانال توسعه مالی بر نوسانات نرخ ارز و رشد اقتصادی
نازی محمدزاده اصل کیژان حسن نژاد شبنم سر خیل -
Open Access Article
106 - The impact of the real exchange rate on the eve of the trade-growth nexus in Iran threshold regression model (TR)
جعفر قادری بهنام ایزدی زهور نژاد حلافی فرانک خسرویBased on the impact of foreign trade on economic growth, various theories has established which according to them many policies and strategies have introduced. As a fact, the performance of trade depends on many factors, like, real exchange rate; the effect MoreBased on the impact of foreign trade on economic growth, various theories has established which according to them many policies and strategies have introduced. As a fact, the performance of trade depends on many factors, like, real exchange rate; the effect of real exchange rate on economic growth efficiency has studied in this paper. In this regard, the main point of this study is to estimate optimum threshold point of real exchange rate in growth- trade link in Iranian economy during 1971-2012.in doing so, TR technique has used for considering the data extracted from Iranian central bank reports and statistical center of Iran. Results confirm a negative influence of foreign trade on economic growth in high level of the optimum exchange rate. Also, according to the main findings, efficient rate of real exchange rate for Iranian economic is equal to 9892 Rials. So, by increasing real exchange rate more than this level, one percentage of increasing economic openness index, due to decreasing economic growth to 0.090517 %, while the same increasing of exchange rate in lower level of threshold rate make positive economic growth to 0.054%. Manuscript profile -
Open Access Article
107 - بررسی اثر نوسانات نرخ ارز بر اشتغال در ایران
کریم امامی الهه ملکی -
Open Access Article
108 - بررسی اثرگذاری نحوه تعیین نرخ ارز بر رفاه اقتصادی Investigation of the Effect of Exchange Rate determination on Economic Welfare
نغمه پور فتحی سید محمد علی کفایی -
Open Access Article
109 - Consequences of the policymaker's reaction to speculative attacks in the foreign exchange market: The role of the quality of political institutions
Shahram Jafarzadeh Gollo Hossein Abbasinejhad Teymour rahmani Sajjad BarkhordariAbstract Monetary policymakers can choose between intervention or non-intervention to defend the national currency against speculative attacks in the foreign exchange market. Given the incomplete information of the central bank about the severity of the attack, it is n MoreAbstract Monetary policymakers can choose between intervention or non-intervention to defend the national currency against speculative attacks in the foreign exchange market. Given the incomplete information of the central bank about the severity of the attack, it is necessary to be aware of the relative consequences of each of the reactions in the unit of economic indicators as a result of each of its possible responses. This study examines these consequences in the unit of changes in GDP and inflation for developing and emerging countries and in the period 1960 to 2018 examines the role of the quality of political institutions between selected countries. The results obtained from the instantaneous reaction functions for GDP and inflation as a result of three possible types of central bank responses including intervention with success, intervention with failure and non-intervention in the foreign exchange market show that in the absence of quality indicators of political institutions Low cost will not face a clear and unequivocal answer. In terms of the quality of political institutions, intervention in the foreign exchange market is preferred in the group of countries with high quality political institutions due to the increasing reputation and credibility of the policies announced by the Independent Central Bank. Findings show that in the group of countries with moderate quality of political institutions, non-intervention of policymakers in the foreign exchange market is associated with increased GDP growth and low inflation and is preferable to intervention in the foreign exchange market. In the group of countries with low quality political institutions, intervention in the foreign exchange market is less risky than non-intervention, and the low-cost response is to defend the national currency. Manuscript profile -
Open Access Article
110 - Of aiming to attract foreign direct investment in 27 selected countries (developed and developing), Iran
H.R Raufi کاملیا GHalamzanThis article has surveyed the unit effectiveness of economic variables such as gross domestic production, foreign currency rate, inflation, real portion rate, bargain value share of stock market GDP on FDI flow for 27 various countries such as Iran and in two groups of MoreThis article has surveyed the unit effectiveness of economic variables such as gross domestic production, foreign currency rate, inflation, real portion rate, bargain value share of stock market GDP on FDI flow for 27 various countries such as Iran and in two groups of developed country and under develop within time period of 1992-2010. In this survey, foreign direct investment is the subsidiary of the level of GDP, foreign currency, real portion rate, bargain value share of stock market GDP, and value added share of industrial part GDP for 27 chosen countries such as Iran, developed country and developing. For estimate the pattern, the method of Ordinary Least square can be used. Then, in propose of choosing the stable affect and random affect pattern, it has used HASMAN TEST in Eviews 6 software.The result of HASMAN TEST is confirming the stable affect pattern. Result of this survey is indicating which GDP within ed 27 countries has positive influence in entrance of direct foreign investment which has positive coefficient and significant in statistic.In the other hand, vast economy of the countries which make the bigger GDP has positive effect on FDI. Foreign currency rate has negative & significant affect on direct foreign investment. Foreign currency rate increscent or value weakening of countries’ national money will cause the FDI decrease.Real portion rate which has made variance of nominal portion rate minus inflation rate, has negative & significant affect on direct foreign investment and share of stock market transaction on GDP and direct foreign investment with one time suspension, has positive and significant affect on direct foreign investment. Also, the results shows, in developed countries, the variants such as market share of stock is very important in absorbing the FDI and within under developed countries, GDP has positive and significant affect on FDI, but inflation and market share variant of GDP has negative and significant affect on FDI. Manuscript profile -
Open Access Article
111 - اثر سیاست پولی بر نرخ ارز در ایران با استفاده از الگوی خود همبسته با وقفه توزیع شده (ARDL)
سید مجتبی حسین زاده یوسف آباد علی حقیقت -
Open Access Article
112 - تاثیر نرخ ارز بر عملکرد سودآوری شرکتهای بیمه (رویکردPanelVAR) The Impact of Exchange Rate on Profitability of Insurance Companies by Panel VAR Approach
بهروز ناظمی حسین شریفی رنانی سعید دایی کریم زاده -
Open Access Article
113 - The introduction of the international exchange market (FOREX) and identify factors that predict the real exchange rate in Iran
مرجان Daman keshideh نازی Mohamadzadeh aslFOREX is one of the most important and largest financial markets in the world. This market primarily used to reduce the risk of exchange rate changes and the second place as a way to profit the difference in rates. This article has two main approaches: First to introduc MoreFOREX is one of the most important and largest financial markets in the world. This market primarily used to reduce the risk of exchange rate changes and the second place as a way to profit the difference in rates. This article has two main approaches: First to introduce and review how activity in the FOREX market, the second, most important preconditions for the presence in this market forecast exchange rate changes, the factors affecting the real exchange rate in using the ARDL method is studied. The survey results show that the variables government spending, oil revenues, capital flows and the degree of openness of the economy, including the main factors influencing the real exchange rate in Iran. Manuscript profile -
Open Access Article
114 - The Effect of Exchange Rate Fluctuations on the Economic Growth Due to Financial Markets Deepening in Some Selected OPEC Countries
مهدی بصیرت آرزو نصیر پور علیرضا جرجرزاده Abstract Fluctuations in the real exchange rate, including factors that could affect macroeconomic performance and especially economic growth. It can be said that a factor in the analysis of the relationship between exchange rate volatility and economic growth More Abstract Fluctuations in the real exchange rate, including factors that could affect macroeconomic performance and especially economic growth. It can be said that a factor in the analysis of the relationship between exchange rate volatility and economic growth has received little attention is the development level of countries’ financial markets. This study was aimed to investigate the effect of exchange rate fluctuations on economic growth considering rate of development of financial markets in selected Member Countries of OPEC over the period 1981-2010. The effects of inflation on economic growth have been studied as well. The results obtained by analyzing of panel data show that the effect of financial development on economic growth and the mutual effect of exchange rate fluctuations and financial development on economic growth is positive, but statistically view are not significant. Manuscript profile -
Open Access Article
115 - A comparison of public and private investment growth performance of economic sectors: A Case Study of Iran
Sakineh SafariThis study aims to compare the efficiency of public and private investment in terms of effect on growth performance of sectors viz. agriculture, mine and industry and service sector using neoclassical growth model and pooled data technique. The applied index represent MoreThis study aims to compare the efficiency of public and private investment in terms of effect on growth performance of sectors viz. agriculture, mine and industry and service sector using neoclassical growth model and pooled data technique. The applied index representing efficiency in public and private sectors is the marginal productivity of capital investment. The findings of this study indicate that public investment has had a positive effect on the growth of service sector while private investment has had positive impact on growth of both industry and service sectors. At the same time marginal productivity of investment in private sector tends to be higher than that of public sector. On this ground, one could justify the undergoing program of privatization of state owned enterprises Manuscript profile -
Open Access Article
116 - بررسی تأثیر نرخ ارز واقعی بر صادرات غیر نفتی ایران
سعید دایی کریم زاده قدرت اله امام وردی افسانه شایسته -
Open Access Article
117 - Utilization of Mixed Data Sampling model in Identifying the Effects of Monthly Exchange Rate Changes on Seasonal GDP of Iran
Roja Tilik Abbas Najafizadeh S. Fakhredin Fakhr Hosseini Ahmad SarlakAbstract The present study intends to use the Mixed Data Sampling model (MIDAS) to investigate the effect of exchange rate changes on the variable of real production in Iran during the period 1397:1 to1380:4 that Provides implement a flexibility model whit& MoreAbstract The present study intends to use the Mixed Data Sampling model (MIDAS) to investigate the effect of exchange rate changes on the variable of real production in Iran during the period 1397:1 to1380:4 that Provides implement a flexibility model whit high descriptive power, including variables of varying frequency (eg daily, weekly and monthly) together in a regression. The results of this study show that the MIDAS model is statistically strong in identifying the asymmetric dynamic effects of the independent variable with higher freuency (exchange rate changes) on the dependent variable with lower frequency (GDP) compared to the same frequency model of these variables and shows asymmetry better.Also, based on the obtained results, the intensity of the impact of the momentum and the persistence of each momentum are different, so that the negative momentum of the exchange rate has more intense and lasting effects on Iran's GDP. Manuscript profile -
Open Access Article
118 - Investigating the Factors Affecting the Exchange Rate in Iran from the Perspective of Keynesians
سید محمد آقامیری مرجان دامن کشیده منیژه هادی نژادA look at exchange rate developments over the past 40 years shows that the Iranian economy has experienced three major leaps during this period. While the rate of exchange rate increase was not the same in each of the three jumps, and since the economic conditions and s MoreA look at exchange rate developments over the past 40 years shows that the Iranian economy has experienced three major leaps during this period. While the rate of exchange rate increase was not the same in each of the three jumps, and since the economic conditions and structure of countries a decisive role in the relationship between economic variables, so the study of factors affecting the exchange rate in Iran from a postal perspective Keynesians are one of the main goals of this article. In this article, an attempt has been made; By theoretically explaining and designing a model and using econometric methods, the factors affecting the exchange rate in Iran from the perspective of Keynesians were studied. The information and statistics required for the research during the years 1350 to 1398 were collected through the Central Bank of the Islamic Republic of Iran, Statistics Center. In this paper, data were analyzed using self-vector regression. First, using Phillips-Perron test and Johansen static co-integration test and long-run relationships of variables were examined. There is a level of 0.95 between the variables. Using shock analysis and analysis of variance, it was shown that the price index and net exports and interest rates have the greatest impact on the exchange rate. Manuscript profile -
Open Access Article
119 - 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 NajjariAbstract 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 MoreAbstract 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
120 - Investigating the impact of exchange rate fluctuations as an economic stability evaluation index on asset value stability indicators
mihammad hosin emaratian Ali Najafi Moghadam Ali Baghani Mohsen Hamidian Ghodratolah EmamverdiAbstractThe purpose of this study was to investigate the effect of exchange rate as an indicator of economic stability on the stability of assets value in Tehran Stock Exchange during the years 1385 to 1397. For this purpose, the current research is included in descript MoreAbstractThe purpose of this study was to investigate the effect of exchange rate as an indicator of economic stability on the stability of assets value in Tehran Stock Exchange during the years 1385 to 1397. For this purpose, the current research is included in descriptive research in terms of research method and applied research in terms of purpose. Also, the design of this research is using the post-event approach. Also, in the current research, the panel data model was used to investigate the relationship between the variables. The results of the research showed that the fluctuation of the exchange rate has a significant effect on the first indicator of the stability of asset value, i.e. the book value of assets, at the level of 95%, and this effect is reversed. The effect of exchange rate fluctuation on the second index of asset value stability, which is the market value of assets, is significant at the 95% level. Also, the effect of exchange rate fluctuation on the third index of asset value stability, i.e. the current value of assets, was also negative and significant at the 95% level. Considering the influence of the exchange rate on the indicators of the stability of the value of assets, it is suggested that relying on domestic production and using raw materials available inside the country is one of the solutions to reduce losses caused by exchange rate fluctuations. Manuscript profile -
Open Access Article
121 - Alyzing the Effects of Fuel Price Reform on Electricity Industry’s Financial Balance, Employing a Simulation of the Function of the Market
jamshid Pajooyan Taymot mohammadi Ali Asghar Ismail Nia elham gaforiyan Abstract This article is devoted to the study of the impact of a reform in power plant fuel prices on the key variables of Iran's electricity market (average electricity price and the financial balance of the electricity industry). It is based on a simulation m More Abstract This article is devoted to the study of the impact of a reform in power plant fuel prices on the key variables of Iran's electricity market (average electricity price and the financial balance of the electricity industry). It is based on a simulation model. In this regard, we employed a model in which the presence or absence of competition in the electricity market is based on the amount of power plant storage factor that is available in every hour. The corresponding critical storage factor, which is based on actual operation, is also calculated. Due to a suppressed price cap and availability rate (that is even lower than what is necessary for sending optimal investment signals), the current price cap and availability rate is not a valid starting point for calculating the desired effects. Hence, before examining the effects of a price reform on the mentioned variables, the price cap and availability rates need to be adjusted to a level that can guarantee a minimum IRR for investors in this sector. According to calculations, in order to sending the necessary signals for investment, by assuming a fixed availability rate, it is necessary to increase the current price cap (nearly 417 Rials per kilowatt hour) to a new level (570 Rials per kilowatt hour). According to that, the average wholesale market price will increase from nearly 600 Rials per kilowatt hour to 706 Rials per kilowatt hour. The implementation of this policy imposes a financial burden of about 29894 billion Rials to the Ministry of Energy. Given that, in markets amid with a price cap (and hence an availability payment), a price reform in fuel price, requires a proportional modification in the market price cap. Based on this obligation, the effects of the price reform on the mentioned variables, is calculated and analyzed. The analysis is based on three different scenarios about fuel price for power plants; The price of gas used in the petrochemical industry (as a raw material for this industry), the price of gas that is exported to Turkey, and, the minimum bound foreseen in the "law on the targeting of subsidies" in relation to the price of natural gas. Implementation of the mentioned scenarios will increase the market cap from 570 Rials per kilowatt hour to 1783, 3655 and 2830 Rials per kilowatt hour respectively. Adjusted average market price, proportional to the adjustment made in the market price cap, would be equivalent to 1922, 3801 and 2973 rials per kilowatt hour respectively. Furthermore, the financial burden corresponding to these scenarios will be 61717, 156574 and 114866 billion Rials respectively. Manuscript profile -
Open Access Article
122 - The role of exchange rate fluctuations on private sector investment in housing in Tehran using the Markov switching regime model
Aliakbar Mehrabian yazdan gudarzi farahaniThe purpose of this article was to investigate the role of exchange rate fluctuations on private sector investment in housing in Tehran. For this purpose, statistical data for the period 1970-2020 based on the frequency of annual data and the Markov switching regime app MoreThe purpose of this article was to investigate the role of exchange rate fluctuations on private sector investment in housing in Tehran. For this purpose, statistical data for the period 1970-2020 based on the frequency of annual data and the Markov switching regime approach have been used. In general, the developments in the housing sector play an essential role in intensifying the fluctuations of prosperity and stagnation of economic activities. Fluctuations in the return on other assets, such as currency, will affect demand for housing. When a monetary shock occurs, it changes the opportunity cost of maintaining durable goods, including housing, by changing interest rates, and this shock is due in part to the demand for housing resulting from the demand for services. The result of this property affects the housing. The results of this study showed that the exchange rate in the two currency regimes of high and low fluctuations has affected the investment of the private sector in housing in Tehran. The results also showed that the stability of the regime with high fluctuations in exchange rate volatility is greater than the stability of the regime with low fluctuations in exchange rate volatility. Manuscript profile -
Open Access Article
123 - The effects of exchange rate appreciation on the stock value of pharmaceutical companies based on the estimated value obtained from the evaluation models of cash dividend discount, free cash flow and residual profit and real price
Javad Einabadi nayereh moradiThe effect of exchange rate appreciation on the stock value of pharmaceutical companies based on the estimated value obtained from the evaluation models of cash dividend discount, free cash flow and residual profit and real priceAbstractIn order to conduct this research MoreThe effect of exchange rate appreciation on the stock value of pharmaceutical companies based on the estimated value obtained from the evaluation models of cash dividend discount, free cash flow and residual profit and real priceAbstractIn order to conduct this research, basic information and stock prices of 52 pharmaceutical companies listed on the Tehran Stock Exchange during the years 1390 to 1398 have been collected and used in evaluation using the cash flow discount model and other models. (1) And testing the first hypothesis of the research, in order to calculate the stock valuation for pharmaceutical companies using three models of discounted dividend, discounted dividend and discounted free cash flow, showed that the estimated stock price using the discounted dividend model has the highest Dispersion and with the discount dividend model has the lowest dispersionThe results show that at 75% confidence level there is a direct relationship between exchange rate fluctuations and stocks of pharmaceutical companies and between the three models of price estimation and real stock prices, at least one group average is different from other groups. (2) Manuscript profile -
Open Access Article
124 - Investigating the effect of Exchange Rate Fluctuations on Export of steel in Iran using Mixed Frequency Data Sampling Models (MIDAS)
Elham Eslahchi Farideh Haghshenas KashaniToday, in Iran and all over the world, steel plays a crucial role in production and industrial sectors. Therefore, to increase and stabilize exports and eliminate the dependence of the country's budget on oil; adopting policies to diversify and expand the export of non- MoreToday, in Iran and all over the world, steel plays a crucial role in production and industrial sectors. Therefore, to increase and stabilize exports and eliminate the dependence of the country's budget on oil; adopting policies to diversify and expand the export of non-oil goods, especially the steel, by removing obstacles and adopting appropriate solutions in all developing countries with a single-product economy, including Iran, is inevitable.The purpose of this article is investigating the effect of exchange rate fluctuations on export of steel accordingly in MIDAS modeling framework. this model makes it possible to review former steel export forecasts and revise them regarding the impact of exchange rate fluctuations on steel industry exports, if more reliable data is available. In the estimated Midas model, annual statistics of steel exports, steel production, real and uncertain production, exchange rate, monthly variables of exchange rate and sanctions index are utilized during from 1992 until 2021. The results show that there is a positive relationship between the exchange rate and steel exports, and the relationship between exchange rate fluctuations and steel exports is negative, therefore these effects are more intense in the long term. Manuscript profile -
Open Access Article
125 - The Relationship between Policy Uncertainty and Accounting for Encrypted Financial Assets
Yazdan Gudarzi Farahani Babak Esmaeili Omidali AdeliAbstractThe aim of the present study was to investigate the relationship between policy uncertainty and cryptocurrencies with the financial accounting approach of cryptocurrency assets. The political uncertainty index was calculated based on the approach of Becker et al MoreAbstractThe aim of the present study was to investigate the relationship between policy uncertainty and cryptocurrencies with the financial accounting approach of cryptocurrency assets. The political uncertainty index was calculated based on the approach of Becker et al. (2016) in terms of monetary, financial and exchange rate policy dimensions for the countries of Iran, China, the United States and the United Kingdom, and its relationship with the cryptocurrencies market ,Bitcoin, was evaluated. In this study, an attempt was made to evaluate this relationship using the financial accounting approach of cryptocurrencies assets, the most important of which is Bitcoin. The time period of this study was 2012-2021 based on the frequency of monthly data. The results obtained from this estimation of the general method of movement model indicated that the index of political uncertainty in China, America, England and Iran had a positive relationship with the monthly yield of cryptocurrencies and only the number of interruptions of the variable's influence was different. . Therefore, investors in the cryptocurrencies market can have a higher expected return by accepting the risk caused by political uncertainty and predicting the state of macroeconomic variables. Manuscript profile -
Open Access Article
126 - بررسی عوامل موثر در ایجاد مطالبات معوق بانک های تجاری مناطق آزاد تجاری- صنعتی (مورد مطالعه شعب بانک ملت منطقه آزاد کیش
فروغ رستمیان داود طبسی -
Open Access Article
127 - The Impact of Macroeconomic Indicators on Stock Returns Fluctuations
Hadi Mahboubi Marjan Damankeshideh Houshang Momeni Shahriyar NessabianAbstract The present article explains the effect of some macroeconomic indicators on stock return fluctuations .Artificial exchange rate pricing in the years before the crisis and preventing it from adjusting to the economic conditions is one of the main reasons for th MoreAbstract The present article explains the effect of some macroeconomic indicators on stock return fluctuations .Artificial exchange rate pricing in the years before the crisis and preventing it from adjusting to the economic conditions is one of the main reasons for the recent currency crisis. Also, the calculation of the foreign exchange market pressure index indicates that the highest numbers obtained for this index are related to the time when the gap between the free exchange rate and the official exchange rate has increased. The results also showed that the effect of exchange rate fluctuations on stock return fluctuations is positive and significant, which indicates that there is a high correlation between stock returns and the exchange rate market. Also, the positive sign of the coefficient indicates a positive and significant effect of interest rates on the variability of stock returns. This result shows that higher interest rates have led to more fluctuations in stock returns. Finally, GDP per capita was not significant in any of the error levels of 1, 5 and 10%, which indicates that it did not have a significant effect on stock fluctuations. Manuscript profile -
Open Access Article
128 - روابط پویای حسابداری و مالی بین بازارهای کامودیتی، بازارهای مالی و ارزهای دیجیتالبا رویکرد مدل خود همبسته با وقفههای توزیعی
حمید محمدی شاد امیررضا کیقبادی مهدی معدنچی زاج -
Open Access Article
129 - Analyzing the Asymmetric Effects of Exchange Rate Movements on an Investment Risk of the Banking Industry Activing in Tehran Stock Exchange Market
Maryam Zarezadeh Mahrizi Samira ZareiThis study seeks to analyze the effects of exchange rate movements on an investment risk of the banking industry by applying the idea of risk separation into two sorts of the period, the high and low risk. In line with this, the daily time series data, from 26th March 2 MoreThis study seeks to analyze the effects of exchange rate movements on an investment risk of the banking industry by applying the idea of risk separation into two sorts of the period, the high and low risk. In line with this, the daily time series data, from 26th March 2011 to 19th February 2020, and a hybrid model of exponentially conditional heteroscedasticity and Markov- Switching approaches have been used. The results of this paper, based on the hybris MS-TGARCH model used in the investigations of (Bibi, 2019) and (Aloui and Jammazi, 2020), are statistically significant and prove the accuracy of the hybrid model in the case of Iran. Therefore, based on this finding, it could be possible to more precisely analyze the effects of different determinants on the modelled risk. Regarding this approach, the impacts of exchange rate movement on the investment risk of the banking industry are far more in the high-risk periods than those of low-risk ones. Manuscript profile -
Open Access Article
130 - Modeling of exchange rate fluctuations with systems dynamics approach
mohammad hadi damiri parviz saeedi Hosein Didehkhani ebrahim abbasiAbstract The purpose of this research is Modeling of exchange rate fluctuations with systems dynamics approach. In this research, all the factors affecting the exchange rate have been identified and evaluated their systemic relationships. First, the trend and the exchan MoreAbstract The purpose of this research is Modeling of exchange rate fluctuations with systems dynamics approach. In this research, all the factors affecting the exchange rate have been identified and evaluated their systemic relationships. First, the trend and the exchange rate price were predicted using the system dynamics from 2004 to 2022 , and the results were compared with the trend and real exchange rate of the exchange rate. The results show that the exchange rate trend over the 19-year period has always been with a slight upward slope, but during the years 2012 -2013 and 2018-2017 there was a sharp rise in price and slope that is exactly the same as the real exchange rate trend. Also, comparing the exchange rate data to the market price and the expected exchange rate until 2018 shows that this model has been able to accurately assess the trend and predict possible failures. Key word: Exchange rate, system dynamics, forecast, trend. Manuscript profile -
Open Access Article
131 - Analysing the Impacts of Fiscal Policy on Assets Price in Iran; An Augmented Time Varying Parameter- Vector Autoregression Approach
Maryam Rohani Mahmoud Houshmand Mohammad taher Ahmadi ShadmehriIf the asset market is information-efficient and people behave rational, asset prices reflect available information about expected events. On the other hand, choosing the right policy is important in economic stability.Since traditional models have failed to identify co MoreIf the asset market is information-efficient and people behave rational, asset prices reflect available information about expected events. On the other hand, choosing the right policy is important in economic stability.Since traditional models have failed to identify correct and appropriate policies, using time varying methods, can select the policy according to the current situation.Based on Bayesian averaging method, the variable total government expenditures was determined as the most fragile variable affecting the asset prices. so, in the TVP-FAVAR model, the effect of this variable on the price of each asset in different time periods in MATLAB has been investigated.According to the results, expansionary fiscal policy, in the long run, has had a positive effect on the price of each asset. This effect on the exchange rate variable has intensified in recent years. It should be noted that based on the results in recent years, fiscal policy has had a negative impact on housing prices and the stock market and has reduced the price of these assets. Also, the fiscal policy shock in short run, on the stock market, in medium term, on the housing index and in long run, has the highest impact on the exchange rate. Manuscript profile -
Open Access Article
132 - The Effect of Exchange Rate Fluctuations on the Car Stock Index under Sanction Using Markove Switching Approach
Saman Houshmandi Seyed Shamsuddin Hosseyni Abbas Memarnejad Farhad GhaffariThe present study tries to investigate the impact of the exchange rate fluctuations on the car stock index in Tehran Stock Exchange using the monthly data of the period of 1387:10-1398:12 and using the nonlinear Markov switching approach. For this purpose, among the var MoreThe present study tries to investigate the impact of the exchange rate fluctuations on the car stock index in Tehran Stock Exchange using the monthly data of the period of 1387:10-1398:12 and using the nonlinear Markov switching approach. For this purpose, among the various modes of Markov switching model, MSIAH(3) -VAR(2) has been selected. The empirical findings of the study show that only in a regime with high fluctuations, the exchange rate is the causal relationship of the car stock index and the increase in the exchange rate has increased the car stock index while the car stock index has no impact on the exchange rate. In addition, the results indicate that the sustainability of the car stock index in the regime with the very low fluctuations (first regime) was more than that of the regime with the low fluctuations (second regime) and that of the regime with the high fluctuations (third regime). Manuscript profile -
Open Access Article
133 - A Model for Examining Exchange Rate Shocks Affecting on Profitability in Export-Oriented Production Groups
Hanieh Ghorbani Farhad Hanifi Teimour Mohammadi Gholamreza ZomorodianThe exchange rate affects the economic activity, foreign trade and wealth of economic enterprises. The aim of this study is to explain a model to investigate the effect of exchange rate shocks on the profitability of export-oriented production groups. In this regard, th MoreThe exchange rate affects the economic activity, foreign trade and wealth of economic enterprises. The aim of this study is to explain a model to investigate the effect of exchange rate shocks on the profitability of export-oriented production groups. In this regard, the data on exchange rate, tax, oil revenue, export and profitability were collected for 19 export-oriented production groups from 2008 to 2019. To achieve the research goal, the Panel Vector Autoregressive Model (PANEL VAR) using the generalized method of moments (GMM) was used to analyze the data. The results of the the Impulse Response Function show that the effect of exchange rate volatility, tax and oil revenue on the profitability variable is initially negative, but has a positive effect over time and is neutralized after several periods. But, the export impulse has positive effect on profitability. According to the results of variance decomposition, it can be said that the exchange rate fluctuations have more explanatory power for profitability fluctuations. Manuscript profile -
Open Access Article
134 - Nonlinear Exchange Rate Analysis in the Iranian Economy
Mohammad abbasifard Seyed Abdolhamid Sabet Masoud Salehi Rezveh abdolkarim hosseinpourExchange rate pass-through (ERPT) means the impact of exchange rate fluctuations on domestic prices. The study of the relation between the exchange rate and the general level of domestic prices, known in the international financial literature as the exchange rate analys MoreExchange rate pass-through (ERPT) means the impact of exchange rate fluctuations on domestic prices. The study of the relation between the exchange rate and the general level of domestic prices, known in the international financial literature as the exchange rate analysis, has been one of the most important and fundamental topics in the economic literature. This study investigates the nonlinear exchange rate pass-through in the Iranian economy in the period 1984 to 2019 using the Markov switching method. The results show that in the period under review, for a one percent increase in the exchange rate, the inflation rate increases by 74 percent. In other words, transfer to prices is not complete and exchange rate transition in the Iranian economy is incomplete. The imperfection of the exchange rate passage is due to the fact that the price of imported goods is probably not only a function of the exchange rate, but also other factors have contributed to the fluctuation of these prices. Manuscript profile -
Open Access Article
135 - The Effect of Exchange Rate Fluctuations on the Stock Return Risk of Mining, Automotive and Cement Index based on the Regime Transmission of Markov
Mehdi Zolfagari Bahram SahabiIn capital market, currency fluctuations impacts on changes in financial asset prices such as stock. However, Considering the importance of The return risk of stock (rather than price) for market participants, the question arises that in addition to the impact of MoreIn capital market, currency fluctuations impacts on changes in financial asset prices such as stock. However, Considering the importance of The return risk of stock (rather than price) for market participants, the question arises that in addition to the impact of exchange rate changes on stock price volatility, does the exchange rate has a significant effect on the risk of the stock returns in periods time of short and long term? And whether this effect is same extent or is different in different states in terms of stock price behavior? To answer these two questions is necessary to extract the return risk of stock in different regimes. Thus, the present study attempted to use parametric models based on Markov-switching approach to extract of the return risk of the selected industry index (automotive, mining, cement) in the two different regimes. After extraction of the risk time series we estimate the effect of exchange rate fluctuations on the industry risk time series by using the econometric model ARDL risk in terms of different regimes. The results showed that time series of the return risk follow from regime transition and have got asymmetric reactions of external shocks. Oslo time series of the industry index return risk significantly effect from exchange rate fluctuations in the short-term and long-term. Manuscript profile -
Open Access Article
136 - Pathology of the mechanism of trading in the Forex (foreign exchange) market and the feasibility of using its mechanisms in Iran.
mohammadhosein hajighiasi fard HASHEM NIKOOMARAMnow wadays the subject of currency exchange rates plays an important role in international trade. Therefore, one of the major concerns of policymakers is to decide how exchange rates can be determined in an attempt to provide stability in the foreign exchange market of Morenow wadays the subject of currency exchange rates plays an important role in international trade. Therefore, one of the major concerns of policymakers is to decide how exchange rates can be determined in an attempt to provide stability in the foreign exchange market of Iran for decreasing costs and risk of investment and making security in economy. For achieving the goal, the identification of different sectors of FOREX can help policymakers in Iran's central bank to design an appropriate market and different instruments for controlling the currency market and making better security for businessmen in a real economy. Meanwhile, entering the marginal FOREX market in Iran and fraud activities cause reaction of regulator and Sharia's scholars who forbid this market without scientific research when marginal FOREX is only one part of the FOREX. Therefore, this research tried to recognize different parts of the FOREX market and to understand operational structure of this market especially the marginal market. Simultaneously, it studied this waste market in order to find and show advantages and disadvantages for policymakers and scholars. Also, this research tried to show jurisprudential assessment for finding Sharia's problems from Shia approach. Finally we understand that marginal FOREXjust developed speculative activities but researchers can focus on other market fields in order to design hedging instruments something like future and forward contracts. Also we understand that the marginal FOREX market has significant problems from sharia approach. This means that using and taking apart in this market is forbidden Manuscript profile -
Open Access Article
137 - Forecasting the exchange rate of euro to dollar with the artificial neural network technique
shafagh sharif moghadam seyyed Zabihollah HashemiExchange rate prediction is an important economic variable of interest to the economic actors. Technical approach is one of the commonly used approaches to forecasting, which uses the past behavior of the exchange rate for prediction. However, given the chaotic and non- MoreExchange rate prediction is an important economic variable of interest to the economic actors. Technical approach is one of the commonly used approaches to forecasting, which uses the past behavior of the exchange rate for prediction. However, given the chaotic and non-linear structure of financial markets, the market forecasting cannot be done using a certain and simple method obtained by combining different technical tools and more sophisticated methods are required. In recent decades, neural networks have been employed as one of the most widely used methods in classification, pattern recognition and prediction of complex time series. In this research, a multilevel neural network model was provided to predict the euro-dollar exchange rate, which predicts the price on the next day with an appropriate accuracy by utilizing the data and variables derived from the technical analysis. The results demonstrated the proper function of this method versus other conventional methods of technical analysis and neural network. Manuscript profile -
Open Access Article
138 - The effect of political institutions on economic growth b through exchange rate misalignment (game theory approach)
Hajar Mostafaee Morteza Sameti mostafa rajabiThe most important effect of the political institution on the economic institution is in respecting or not the market system, which can ultimately strengthen or weaken the economic growth. In oil countries, abundant rent of oil income for government shapes the economic MoreThe most important effect of the political institution on the economic institution is in respecting or not the market system, which can ultimately strengthen or weaken the economic growth. In oil countries, abundant rent of oil income for government shapes the economic incentives of the political institution in such a way that provides special interests through public resources. While in the free market, the pursuit of private interests will lead to public welfare. Such a different approach in some oil countries provides the context of limiting and continuous interfering in the market mechanism, so it leads to a decrease in economic growth. Due to the importance of determining the real exchange rate in achieving the desired economic growth, in this article attempt to investigate the impact of political institutions on economic growth in an oil country. The game theory method used to substantiate the presented concepts. In this regard, the different motivations of the policy makers (as political institutions) of the oil countries in determining the exchange rate investigated. The reaction of entrepreneurs to this policy in choosing the level of investment considered as an indicator of economic growth. Based on the results, ellits in motivation of maximizing government revenue determine the optimal exchange rate. Assuming economic competition, they tend to misalign exchange rate in order to weaken competitors. Adding the assumption of political competition will lead to higher exchange rate misalignment and further weaken economic growth. Manuscript profile -
Open Access Article
139 - Investigating the role of economic growth in the effect of oil revenue shock and exchange rate on the efficiency of Iran's banking network (Self-vector regression)
بهار حافظی Neda Asadollahzadeh Jafari sayed mohsen khalifeh soltsniIn the present study, the impact of positive and negative shocks of oil revenues, inflation and exchange rate in different economic growth states on the efficiency of the banking network using threshold structural vector autoregression model in the period of 1398:4-1387 MoreIn the present study, the impact of positive and negative shocks of oil revenues, inflation and exchange rate in different economic growth states on the efficiency of the banking network using threshold structural vector autoregression model in the period of 1398:4-1387:1 It was discussed seasonally, according to the results, the effect of a positive shock to oil revenues in economic recession and boom is similar to the efficiency of the banking network, and it had a positive effect in the short term and a negative effect in the medium term. But the effect of positive shock to inflation and exchange rate on banking efficiency depends on different regimes of economic growth. The positive shock of inflation in the recession has had a negative effect in the short term and a positive effect in the medium term on the efficiency of the banking network. In the conditions of prosperity, inflation has had a positive effect on the efficiency of the banking network in the short and medium term. The positive shock of the exchange rate in recessionary conditions has only a short-term negative effect on the efficiency of the banking network, but in the conditions of prosperity, the positive shock of the exchange rate has a positive effect on the efficiency of the banking network in the short term and a negative effect on the efficiency of the banking network in the medium term. Manuscript profile -
Open Access Article
140 - The Modeling of Exchange Rate Predict in Iran by Using Neural Network Based on Genetic Algorithms and Particle Swarm Algorithm
ali jamali saeed daie karimzadehIn recent years the use of artificial intelligence techniques in the financial and investment markets instead of customary quantitative methods has been increasing and gives better performance towards classic methods usually. Artificial Neural Network (ANN), has weakn MoreIn recent years the use of artificial intelligence techniques in the financial and investment markets instead of customary quantitative methods has been increasing and gives better performance towards classic methods usually. Artificial Neural Network (ANN), has weaknesses points despite its enormous benefits also. In this study, in order to overcome the weaknesses of the network consists of combining artificial intelligence methods with Evolutionary algorithms, means of artificial neural network combined with genetic algorithm (GA) and Particle Swarm algorithm (PSO) to model and daily predict of nominal exchange rates or the exchange rate dollar by Rial in Iran in the period 21.03.2013 to 22.12.2019 is used. This combined model with neural networks method as one artificial intelligence model according to the criteria of MSE , RMSE, MAE, U.Theil compared. The results of this research show the superiority of synthetic neural network model -Particle Swarm algorithm compare to other models of investigation. Manuscript profile -
Open Access Article
141 - Investigate the relationship between inflation rateexchange rate and bank interest rates with earnings transparency (Companies listed on Tehran Stock Exchange)
mohammad delkhoshLow transparency and poor quality of financial information provides decision-making conditions difficult for investors and makes them ambiguous conditions. Full disclosure, timely and high quality financial information, this information will lead to greater transp MoreLow transparency and poor quality of financial information provides decision-making conditions difficult for investors and makes them ambiguous conditions. Full disclosure, timely and high quality financial information, this information will lead to greater transparency, reduces information asymmetry. The aim of this study was to investigate the relationship between inflation, exchange rate and interest rate one-year investment with the transparency of corporate profits. In this research to determine earnings transparency of the model Barth et al (2008) have been used. Hypothesis-testing research, using financial data of 121 companies listed in Tehran Stock Exchange during the years 2009 to 2014 has taken place.The findings show that between inflation, exchange rate and interest rate one-year investment with accounting transparency there is a significant relationship. Manuscript profile -
Open Access Article
142 - The effect of exchange rate fluctuations on economic growth and inflation, 1340-1388
A. Tavakoli N. Turquoise F. KarimiThe exchange rate is one of important macroeconomics indices which its fluctuation has large effects on economic growth and inflation rate. Therefore, the policymakers should take into account when analyzing exchange rate behavior.Applying the econometrics of OLS MoreThe exchange rate is one of important macroeconomics indices which its fluctuation has large effects on economic growth and inflation rate. Therefore, the policymakers should take into account when analyzing exchange rate behavior.Applying the econometrics of OLS and SUR methods, the present study uses a yearly time series of 1961 to 2009 to estimate the effects of exchange rate fluctuations on Iranian economic growth and inflation rate. Both methods of Cover (1992) and GARCH are applied to calculate the fluctuations. In addition to the exchange rate fluctuations, the effects of oil price fluctuations, calculated using a GARCH method, is included in the model. The effect of exchange rate and oil price fluctuations along with other policy variables such as money liquidity and government expenditures are considered in the model.The estimated results show that the exchange rate and oil price fluctuations affect the economic growth and inflation rate:The positive and negative exchange rate fluctuations have direct effect on economic growth.The positive and negative exchange rate fluctuations have negative and positive effects on inflation rate, respectively.The (expected) exchange rate changed has a positive effect on the economic growth. This effect on inflation rate is negative.The oil price fluctuations have a positive effect on economic growth but a negative effect on inflation rate.Taking into account of both money liquidity and government expenditure changes, the effect of liquidity change is positive on economic growth and inflation rate, whereas; the government expenditure change only affects the economic growth positively. Overall, the effect of liquidity change overcomes the effect of government expenditure. Comparing the effects of exchange rate and oil price changes on economic growth and inflation, the impact effect of exchange rate changes is more pronounce. Manuscript profile -
Open Access Article
143 - Regime Dependent Effects and Cyclical Volatility Spillover of Exchange Rate and Stock Prices in Iran
Mahdi Mozafarnia MirFeyz Fallahshams Gholamreza ZomorodianThe main purpose of this study is to investigate the regime dependence and the cyclic contagion of exchange rate and stock prices volatility with emphasis on the economic boom and busts. For this purpose, first, using the Markov switching-EGARCH method, the time series MoreThe main purpose of this study is to investigate the regime dependence and the cyclic contagion of exchange rate and stock prices volatility with emphasis on the economic boom and busts. For this purpose, first, using the Markov switching-EGARCH method, the time series of conditional volatility of exchange rate and stock market returns were estimated and extracted, contagion, spillover between markets and their regime dependence in the boom and bust in 2010 - 2020 has been analyzed and studied. The results show that: 1. Estimation of conditional volatility by Markov switching-EGARCH method is more efficient than traditional GARCH methods. 2. The volatility dependence between stock markets and foreign exchange is more severe during periods of recession than during periods of boom. 3. The rate of volatility spillover from the foreign exchange market to the stock market is greater than the rate of spillover of volatility from stocks to foreign exchange. 4. The spillover of volatility from the foreign exchange market to the stock market in the regime of booms and recession is not significantly different. 5. In a regime of economic booms, the rate of volatility spillover from the stock market to the foreign exchange market is greater than that occurs in a regime of recession. Therefore, the volatility of exchange rate and stock prices in Iran are dependent on the regime of the economy, and also the spillover between them in these two regimes is different. Manuscript profile -
Open Access Article
144 - Investigating the dynamic contagion effect of the turbulence cycle between the gold futures market and the exchange rate using GARCH-BEKK, markov switching, and structural VAR models
Bagher Sayari Mir Feyz Falah Shams Reza Gholami Jamkarani Hossein JahangirniaObjective: With the expansion of globalization, financial markets in both developed and developing countries have become interconnected. In financial discourse, the interconnection between financial markets is referred to as financial contagion. Financial contagion can MoreObjective: With the expansion of globalization, financial markets in both developed and developing countries have become interconnected. In financial discourse, the interconnection between financial markets is referred to as financial contagion. Financial contagion can transmit the volatility of one market to another, potentially leading to economic booms, recessions, or varying levels of risk and return. Consequently, given the significance of volatility contagion in markets for investors and decision-makers, the purpose of this study is to examine the effect of dynamic contagion in the volatility cycle between the futures market of gold and the foreign exchange rate in financial markets and the Tehran Stock Exchange.Research Methodology: The data were collected daily over the period from 2009 to 2018. To test the research hypotheses, GARCH-BEKK models, Markov Switching, and Vector Autoregression were employed.Findings: The results of the study indicate that the contagion effect of volatility is from the foreign exchange market to the gold futures market. Moreover, the contagion effect of volatility from the foreign exchange market to the gold futures market varies across different regimes.Originality / Value: The findings of this research could provide new insights that may guide policymaking and decision-making in the financial industry. Manuscript profile
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