Exchange Rate

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 Valahzaghard

Financial 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 More

Financial 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 - The effective determinants of exchange rates in Iran
M. Sharif Azadeh Ali Haghighat

The purpose of this paper is the investigation of the (nominal and real) exchange rates determinantsin Iranian economy. After investigate and determine the effective factors of the exchange rates , byusing of time series data –1340 to 1379 - , the proposed models More

The purpose of this paper is the investigation of the (nominal and real) exchange rates determinantsin Iranian economy. After investigate and determine the effective factors of the exchange rates , byusing of time series data –1340 to 1379 - , the proposed models are estimated by traditionaleconometrics methods and the new approaches in econometrics –AEG,DW and Johansencointegration techniques. For this aims , we study and analysis the following subjects:1) The effect of money growth rate, interest rates and GDP on the exchange rate in Iran – test ofmonetarists theory in Iranian economy.2) The effect of other variables – such as : government expenditures , budget deficit, price of oil,investment, inflation, openness , productivity, terms of trade, the price of gold and the populationgrowth rate- on the exchange rates in Iranian economy.3)The test of PPP theory in Iranian economy.Finally, we offer the conclusions, and some implications will recommended. Manuscript profile

Open Access Article

3 - 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 Khoshouie

The 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 More

The 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

4 - Identifying the effect of economic uncertainty factors on the performance of insurance joint stock companies
Ali Zamiri Mahnaz Rabiee

10.30495/ijpa.2022.67697.10910

Background: 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 More

Background: 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

5 - 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 Jalali

Predicting 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 More

Predicting 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

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 hemmati

In 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 More

In 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 Rasi

Monetary 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 More

Monetary 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 - Stock prices and exchange rates in Tehran stock market
مانی موتمنی فائزه آریانی

This paper investigates the linkage between total index of Tehran stock exchange(TSE) and non-official exchange ratesby daily data from May 2011 to May 2013. In thisperiod, exchange rate tripled and TSE doubled. Johansen Cointegration test and VECMmodel applied to speci More

This paper investigates the linkage between total index of Tehran stock exchange(TSE) and non-official exchange ratesby daily data from May 2011 to May 2013. In thisperiod, exchange rate tripled and TSE doubled. Johansen Cointegration test and VECMmodel applied to specify this linkage. Exchange rates and TSE found to be Co-integrated.TSE has positive response to exchange rates but exchange rate has negative response toTSE and it is weak exogenous. Manuscript profile

Open Access Article

9 - The Effect of Exchange Rate Volatility on the Iran Stock Market Exchange
مهدی پدرام

This 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 More

This 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 - 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 Farshadfar

This 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 More

This 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

11 - 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-Karimzadeh

10.30495/jfksa.2022.19838

According 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 More

According 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

12 - The Effectof The Real Effective Exchange Rate Misalignment on Iranian Non-Oil Exports: The BEER approach
Alireza Kazerooni Zana Mozaffari Maryam Krimi Kandoleh Moslem Amini

The 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 More

The 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

13 - 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 Khodaverdizadeh

Among 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 More

Among 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

14 - Time-varying effect of oil price shocks on the stock market return of Iran by it
Vali Nadi Ghomi Nastaran Farnian

The 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 More

The 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

15 - 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 Kazemi

Encountering 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 More

Encountering 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

16 - The estimation of exchange rate of (IRR-Dollars) based on Purchasing Power Parity and Monetary Approach
مهدی تقوی مهدیه مرادی

This 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) More

This 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

17 - 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 تاتار

The 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 More

The 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

18 - The study of effective economic factors on trade openness in IRAN under stable and nonstable conditions
Mohammadreza Mohammadvand Nahidi Parisa Sagezchi

In this paper we attempt to identify the most important economic factors influencing the trade liberalization of Iran.  The period of our study is from 1352 to 1386. The findings of our study indicate that based on ARDL and GARCH models there is a positive and mean More

In this paper we attempt to identify the most important economic factors influencing the trade liberalization of Iran.  The period of our study is from 1352 to 1386. The findings of our study indicate that based on ARDL and GARCH models there is a positive and meaningful relation between the size of GDP and the degree of economic openness in Iran. However, Consumer Price index and  Foreign Exchange rate have negate impact  on  economic liberalization Manuscript profile

Open Access Article

19 - Examining the Instability and Asymmetry Model of Attracting Foreign Direct Investment (FDI) in Iran
کامبیز هژبر کیانی محمدرضا ناهیدی

In 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 More

In 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

20 - An investigation of Capital formation and its economic determinants in Iran
اکبر کمیجانی ابوطالب شالچیان

This paper attempts to analyze the role of the main determinants of the capital formation and the behavior of private investment using the descriptive as well as econometric methods. Both the econometric methods and statistical analysis are indicating that most of the m More

This paper attempts to analyze the role of the main determinants of the capital formation and the behavior of private investment using the descriptive as well as econometric methods. Both the econometric methods and statistical analysis are indicating that most of the macroeconomic variables do play significant role in explaining the behavior of private investment in Iran. Variables examined for their influence on private investment over the period under study i.e. 1350-1383[1] are as follows: GDP, inflation rate, weighted average of the rate of return on long term deposits, government investment, effective exchange rate and the changes in the banking facilities to private sector.  The findings in this paper indicate that Most of these variables, except the rate of return on banking facilities, have had the significant impact on private investment in the same direction as expected Manuscript profile

Open Access Article

21 - The Effect of Exchange Rate and its Volatility on Stock Price Index in Iran
Azadeh Mehrabian Ilnaz Chegeni

One 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 More

One 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

22 - The Examination of adjustment policies effects on economic growth in Iran
تقی ترابی سکینه صفری

In examining of adjustment policies on economic growth and with using indicators of external and internal equilibrium and the reform of motivations and economic institutes was cleared  that the government policies for obtain internal equilibrium have no significant More

In examining of adjustment policies on economic growth and with using indicators of external and internal equilibrium and the reform of motivations and economic institutes was cleared  that the government policies for obtain internal equilibrium have no significant effect on economic growth while the non oil exprot , the ratio of private investment to GDP and the quality variable of economic liberalization have positive effects on economic growth.Since the efficiency of private investment is graeter than to the efficiency of public investment, thus continuing the trend of privatization is seen desirable. The coefficient of liberalization dumy variable is positive but real exchange rate and average import tariff rate coefficients have no significant effect on the economic growth. Thus supply side policies are preferred than to exchange rate reforms. Also using tariff instrument considering to the comparative advantage of commodities under long-run strategies as a component of economic adjustment policies is suggested and must be preferred liberalization policies than to privatization policies and it’s necessary to provide required beds to increase the corporation of private sector. Manuscript profile

Open Access Article

23 - The effect of exchange rate on export price for the selected countries in south and southeast of Asia
علی امامی میبدی علی اکبر شوره کندی

This 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 More

This 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

24 - Investigation the effect of real exchange rate fluctuations on the import and export in Iran (1340-87)
نسرین رستمی مجید احمدلو

Investigation 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 More

Investigation 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

25 - Evaluation the Effect of Exchange Rate Fluctuations on Medical Care Price Indexes in Iran
Hamid Kordbache Zahra Ahmadi

Introduction: 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 More

Introduction: 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

26 - The Effect of Exchange Rate on the Iran’s Pharmaceutical Industry Balance: Vector error Correction Approach
sara Masoomzadeh mehdi Shirafkan

Introduction: 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 More

Introduction: 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

27 - Assessing the Exchange Rate Fluctuation on Tehrans Stock Market Price: A GARCH Application
Maryam Khalili Araghi Meisam Mohazzab Pak

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Open Access Article

28 - The Effect of Exchange Rate Uncertainty on Import with TARCH Approach
Teimour Mohammadi Mehdi Taghavi Abolghasem Bandidarian

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Open Access Article

29 - “Iran Export Engineering &Technical Services” (Identifying Barriers & Offering Suggestions)
H. Nezakati Alizadeh, F. Farzm

According 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 More

According 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

30 - Risk Preferences and Crisis in Tehran Stock Exchange
Mehdi Aminirad Nader Mehregan Davood Jafari Seresht Abolfazl Shahabadi

The 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 More

The 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

31 - Management of Downside risk and Upside risk with exchange rates and stock prices
Hosein Rad Kaftroudi Mohammadhasan Gholizadeh Mehdi Fadaei Eshkiki

The 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 More

The 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

32 - The Effect of Economic Uncertainty on Earnings Response Coefficient using two-factor Fama-McBeth Model
Babak Salem Dezfouly Allah Karam Salehi Alireza Jorjorzadeh Saeed Nasiri

The 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 More

The 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

33 - Asymmetric Co-integration based on Nonlinear ARDL: Evidence from Tehran Stock Exchange
hamid hooshmandi

10.30495/jik.2024.23243

Investing 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 More

Investing 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

34 - 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 Hoseini

Given 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 More

Given 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

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35 - 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 Pashootanizadeh

In 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 More

In 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

36 - 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 Zadeh

Macroeconomic 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 More

Macroeconomic 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

37 - 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 Shojaeyan

Exchange 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 More

Exchange 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

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38 - Effect of exchange rate pass on Stock Returns in Tehran Stock Exchange
S. Abdolmajid Jalaee Hedyeh Mir Akbar Rahimipoor

Exchange 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 More

Exchange 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

39 - Comparing Between Multivariate Volatility Models in Estimation of Exchange Rate and Stock Index Relationship
Hosein Abbasinejad Shapour Mohammadi Sajad Ebrahimi

Financial 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. More

Financial 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

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40 - The impact of financial and money market developments on foreign direct investment in Iran
Gholamreza Zomorodian Farhad Hanifi Babak Mahboubi

Foreign 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 More

Foreign 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

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41 - 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 Shams

This 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 More

This 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

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42 - Application of Geometric Brownian motion in prediction of gold price and currency rate
Hojjatollah Sadeqi Mohammadesmaeil Fadaeinejad Alireza Varzideh

Variables 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 More

Variables 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

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43 - Investigating the Short-Term and Long-Term Effects of Real Currency Value on Iran's Stock Exchange
Masoume Karimi Gholamreza Zomorodian

Money 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 More

Money 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

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44 - Simulating Exchange Rate Volatility in Iran Using Stochastic Differential ‎Equations‎
P. Fakhraiepour&lrm; P. Nabati R. Taghizadeh

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45 - The Effect of Economic Uncertainty on Cost Stickiness Behavior
behzad rezazadeh shokrollah khajavi Allah Karam Salehi

10.30486/fbra.2021.1932472.1010

The 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 More

The 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

46 - Comparison of profitability of speculation in the foreign exchange market and investment in Tehran Stock Exchange during Iran's currency crisis using conditional Sharpe ratio
Mohsen Mehrara Saeid Tajdini

10.22034/amfa.2020.1881227.1317

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47 - CEO Overconfidence and Over investment: Role of Exchange Rate
Hossein Alidadi Mohammadreza Abdoli Farhad Dehdar

10.22034/amfa.2020.1900508.1434

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48 - Analysis of the Asymmetric Effect of Exchange and Bank Facility Rates on Labor Productivity in Iran: NARDL Approach
Saeed Dehghan Manshadi Mohsen Zayandehroodi Abdolmajid Jalaee

10.22034/amfa.2022.1943859.1652

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49 - Does Exchange Rate Non-Linear Movements Matter for Analyzing Investment Risk? Evidence from Investing in Iran’s Petrochemical Industry
Alireza Khosrowzadeh Aboutorab Alirezaei Reza Tehrani Gholamreza Hashemzadeh Khourasgani

10.22034/amfa.2019.1871644.1244

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50 - Estimation model of oil productions Price in Iran
ramiar refaei Mostafa Baghbanyan

Abstract: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 More

Abstract: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

51 - 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 Basharabadi

Exchange 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 More

Exchange 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

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52 - Recognizing the Impact of Fluctuations in Foreign Exchange Rates and Interest Rates on the Index of Economic Freedom in Iran
marjan meymandi somayeh shokravi Akbar Bagheri

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53 - Testing the effect of foreign and domestic price shocks on the inflow of capital market to Iran
Ghazaleh Tajilro Jalal Seifodini Somayeh Shokravi

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54 - Economic policy of Forouqi's government during occupation of Iran (August 1941)
sadegh bafandeh

Mohamad 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 More

Mohamad 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

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55 - 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 Badizadeh

Exchange 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 More

Exchange 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

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56 - Management of Determinant Factors on Private Investment in Iran
Seyedali Payetakhti oskoye Hassan Taheri Flor Ebghaei

 In this study, management of determinant factors on private investment in Iran have been investigated. Investment plays a special role in economic growth and development through creating new job opportunities. Based on the theoretical examination, the results of t More

 In this study, management of determinant factors on private investment in Iran have been investigated. Investment plays a special role in economic growth and development through creating new job opportunities. Based on the theoretical examination, the results of the Cointegration vectors derived from the Johansen method indicate that the Real Exchange Rate has positive effects on the private investment expenditures. Also, monetary and financial policies have fundamental and important roles in private sector’s investment in Iran.   Manuscript profile

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57 - 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 Nahidi

The 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) More

The 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

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58 - Spillover Effects of Trade and Exchange Rates Shocks from Iran`s Major Trading Partners: GVAR approach
Aziz Saki Seyed Aziz Arman hasan farazmand

10.30495/eco.2022.1940691.2573

This 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 More

This 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

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59 - Asymmetric Effects of Stock Market shocks on Foreign Exchange Market in Iran: Application of DDC and APARCH Models
Mansoreh Zeraati Masoud Soufi Majidpour Mamood Mahmoodzadeh Mhdi Fathabadi

10.30495/eco.2023.1995289.2787

AbstractIn this paper, the asymmetric effects of stock market shocks on the exchange rate in Iran were evaluated using the daily data from 20/03/2016 to 21/06/2023 using cointegration and APARCH methods. The evidence shows that both shocks (positive/negative) are repeat More

AbstractIn this paper, the asymmetric effects of stock market shocks on the exchange rate in Iran were evaluated using the daily data from 20/03/2016 to 21/06/2023 using cointegration and APARCH methods. The evidence shows that both shocks (positive/negative) are repeatedly found in the Iranian stock market. Out of 2642 days, 1601 days of the market had negative returns and 1041 days had positive returns. In 511 days the market has fluctuated more than one standard deviation (big shocks). Estimates show that there is a strong long-term relationship between these two markets. The findings showed that the reaction of exchange rate to the positive and negative shocks of the stock market is asymmetric and has a long-term effect on the exchange rate. The behavior of the exchange rate towards negative and positive impulses is cyclical. The big negative shocks in the stock market gradually increase the return of exchange rate and eventually this effect does not disappear and puts the exchange rate at a higher level. But the effect of the big positive shocks in the stock market on the exchange rate is dampening. Negative shocks have a greater impact on conditional volatility compared to positive momentum. Also, the fluctuation of the stock market shows a very stable pattern. Keywords: shocks, stock market, exchange rate, asymmetric, APARCH.JEL Classification: G19, N25, F31, C58 Manuscript profile

Open Access Article

60 - The effect of exchange rate volatility on outward migration: A Synthetic Control Group approach
Tamina Asghari Saeed Eisazadeh Ali Akbar Gholizadeh

10.30495/eco.2023.1998318.2797

The 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 More

The 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

61 - 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 Hamzeh

This 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 More

This 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

62 - Evaluation of Survival and Risk Probability of Exchange Regimes in Economies having Exchange Anchor Monetary System and Inflation Targeting - Duration Model Approach
AliReza Kazerooni Hosein asgharpour Majid Feshari

The main objective of this paper is to investigate the survival and risk probability of pegged and floating exchange rate regimes in different countries: those having exchange rate anchor versus those having inflation targeting monetary regimes during 1999-2010. In orde More

The main objective of this paper is to investigate the survival and risk probability of pegged and floating exchange rate regimes in different countries: those having exchange rate anchor versus those having inflation targeting monetary regimes during 1999-2010. In order to achieve the goal, Duration Model Approach will be used to represent the survival and risk analysis of pegged and floating exchange rate regimes. The empirical findings of this paper suggest that, in two groups of countries, the floating exchange rate is a credible regime and it has a lower risk and then higher survival probability.   Manuscript profile

Open Access Article

63 - The Effect of Financial Market Variables and Macroeconomic Variables on Exchange Rate Returns of Iran and major trading partners (1990 to 2015)
Reza Najarzade Lotfali Agheli Elham Khorasani

The aim of this study is to evaluate the impact of financial and fundamental variables on exchange rate fluctuations for Iran and 11 countries of her major trading partners during 1990-2015 with General Method of Moments (GMM) approaach. The overall results suggest that More

The aim of this study is to evaluate the impact of financial and fundamental variables on exchange rate fluctuations for Iran and 11 countries of her major trading partners during 1990-2015 with General Method of Moments (GMM) approaach. The overall results suggest that stock index differentials, the interest rates differentials, net capital inflows, net bond inflows, budget deficit and the relative efficiency of non-tradable sector have a negative and significant impact on the exchange rate. However, the inflation rate differentials and the relative efficiency of tradable sector have a positive effect. Inflation, deficit and the relative efficiency of tradable sector showed to have the greatest impact on the exchange rate returns. Therefore, it is recommended to reduce the role of the government through the transfer of activities to the nongovernmental sector and less government intervention in the economy to reduce the adverse effects of the budget deficit on macroeconomic performance, to prevent a sharp increase in liquidity in the community, and to reduce the conversion of oil revenues to rials relative to Reducing inflation, and improving efficiency index, especially that of tradable sector to preserve the value of the national currency is helpful. Manuscript profile

Open Access Article

64 - Evaluation of Home Bias in Consumption and Exchange Rate Fluctuations (DSGE Approach)
Mohammad Akbari mohammad javad sharifzade ali ranjbaraki

The 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 More

The 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

65 - Use of Black Market premium (BMP) to Investigate the Changes of Exchange Rate on the Added-value of Industry
hamidreza izadi maryam izadi

Instability 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 More

Instability 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

66 - 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 fallahi

Abstract 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 More

Abstract 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

67 - Investigating the Commercial Relations between Iran and Its Other Major Trading Partner Focusing on J-Curve Test
Hasan Heidari Fatemeh Zarei

The 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 More

The 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

68 - Evaluation of Exchange Market Pressure and Degree of Government Intervention by Co-integration Technique: Case Study of Iran
mahmood baghjari Ebrahim Hoseini nasab Reza Najarzadeh

Abstract 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 More

Abstract 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

69 - Comparing the Exchange Rates Predicted by STAR Non-linear Models and Alternative Models
Hasan Khodavaisi Ali Vafamand

Exchange 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 More

Exchange 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

70 - The Study of Exchange Rate Dynamics in Iran by Using Dynamic Stochastic General Equilibrium (DSGE) Models
mojtaba asghari ali haghighat masoud nonejad Hashem zare

The 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 More

The 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

71 - 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 مجاوریان

از 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 More

از 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

72 - Determination of target Exchange Rate for the Comparative Advantage of Iran Crops (A Case of Sari Township)
Mohammad Reza Pakravan Mohammad Kavoosi Kalashami

In this paper, the value of exchange rate was calculated in order to determine comparative advantage in crops of Sari Township during 2009-2010. Hence, first, comparative advantage indices are estimated by using a policy analysis matrix. The results showed that just whe More

In this paper, the value of exchange rate was calculated in order to determine comparative advantage in crops of Sari Township during 2009-2010. Hence, first, comparative advantage indices are estimated by using a policy analysis matrix. The results showed that just wheat has a DRC index of one in the minimum amount of national currency exchange rate value. This indicated the fact that only wheat, compared to Rice, Soybean, Canola and Barley in this region, can compete with global markets and had a social profitable production system. Therefore, it is recommended that executive policies, which make competitive ability in wheat, should also be applied for other products. Manuscript profile

Open Access Article

73 - Trade Liberalization, Exchange Rate Changes, And the Competitiveness of Carbohydrate Staple Markets in Nigeria
Maduabuchi Mkpado C.J. Arene

This study examined the effects of trade liberalization and exchange rate changes on carbohydrate staples in Nigeria. Secondary data published from 1974 to 2006 on cassava exports and rice imports as well as non-tradable carbohydrate staples were used. It was hypothesiz More

This study examined the effects of trade liberalization and exchange rate changes on carbohydrate staples in Nigeria. Secondary data published from 1974 to 2006 on cassava exports and rice imports as well as non-tradable carbohydrate staples were used. It was hypothesized that exchange rate changes and trade liberalization via price relatives, trade intensity and nominal protection coefficient have affected prices of carbohydrate staples in Nigeria. Results show that the effects of trade liberalization on prices of non-tradable carbohydrate staples were mixed. Trade liberalization accounted for most changes in the price of non-tradable rice than other crops. World prices positively affected the prices of maize and non-tradable rice. Also increasing exchange rate will lead to increase in price of non-tradable rice due to price competition with imported rice. The intensification of liberalization exercise from the removal of quantitative restriction to use of tariff, among other recommendations, should be encouraged because it can be a remedy to the negative impact of increase in the trade intensity and erosion of nominal protection coefficient on prices of the non-tradable crops. Manuscript profile

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74 - بررسی وجود تبعیض قیمت در بازار زعفران صادراتی ایران
الهه محمودی مجید محمودی

یکی 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 More

یکی 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

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75 - A robust multi-objective global supplier selection model under currency fluctuation and price discount
Atousa Zarindast Seyed Mohamad Seyed Hosseini Mir Saman Pishvaee

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76 - A hybrid computational intelligence model for foreign exchange rate forecasting
M Khashei F Mokhatab Rafiei M Bijari S.R Hejazi

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Open Access Article

77 - Mutual volatility of stock price index, gold and exchange rate: MSVAR approach
hamid hooshmandi

10.30495/ecomag.2024.1997614.1078

The 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 More

The 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

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78 - The Effects of Entry of Real Shareholders and Exchange Rate Volatility on the Return on Assets in the Pharmaceutical Materials and Products of Tehran Stock Exchange (Dynamic Panel Data Approach)
Fereshteh Shams Safa marjan damankeshideh Majid AfsharRad Manijeh HadiNejad Alireza Daghighi Asl

AbstractPharmaceutical industry has a main share in capital market and a considerable role in stock market transactions through the collection of community micro-savings. Hence, the cruicial aim of this paper is to investigate the effects of nominal exchange rate volati More

AbstractPharmaceutical industry has a main share in capital market and a considerable role in stock market transactions through the collection of community micro-savings. Hence, the cruicial aim of this paper is to investigate the effects of nominal exchange rate volatility and entry of real shareholders on the return on assets (ROA) in the 32 pharmaceutical materials and products of Tehran stock exchange as a import oriented companies during the period of 2011-2019. For achieving this, by using of Panel GARCH method, the exchange rate volatility has been estimated and then, the impacts of this variabble with other explanatory variabbles such as entry of real shareholders, profit margin, capital and interest rate to the operational profit, have been examined on return on assets in these companies. The empirical results of model estimation by GMM estimator revealed that the exchange rate volatility has negative and entry of real shareholders has positive and significant effect on the return on assets. Moreover, the auxiliary variables like profit margin, capital and interest rate have positive, positive and negative effects on the return on assets. By results of this study, we can suggest that the financial policy makers with decreasing of exchange rate volatility through control of domestic prices and capital market stabilization policies, motivate real shareholders to enter the capital market and increase the production and profitability of pharmaceutical companies. Manuscript profile

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79 - Factors affecting the inflation rate in selected developing countries with the TVP-VAR approach
Marjan Mohammad Esmaeil Reza Maaboudi Mohammad Khorsand

Inflation 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 More

Inflation 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

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80 - Investigating The Determinants of Exchange Rate and Forecasting the Future Trend Using Econometrics and Machine Learning
Alireza Orangian Behzad Bolourian Elaheh Orangian

The 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 More

The 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

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81 - The Impact of Exchange Rate Volatility and Uncertainty on Stock Returns in Tehran Stock Exchange (Case Study: Agriculture and Food Industry)
Ehsan Rajabi

10.30495/ECOMAG.1402.1045575

Extended 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 More

Extended 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 Matin

The 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 More

The 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 Amirkhiz

In 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 More

In 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 Rahimi

One 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 More

One 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. Zandi

The 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 More

The 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 khoramin

The 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 More

The 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 Nateghian

Over 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 More

Over 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

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88 - The Impact of Real Exchange Rate Changes on Non-oil Exports of Iran
Soheila khoshnevis yazdi ramin rajabzadeh

Setting 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 More

Setting 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

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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 پاسبان

Abstract 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 More

Abstract 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 Sayfipour

Oil 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 More

Oil 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

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91 - Investigation of effective factors on non-oil exports with emphasis on non-price variables
Farhad Dejpasand Meysam Amiry1 Benyamin Saveh

One 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 More

One 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

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92 - تأثیر انحراف نرخ ارز واقعی بر صادرات صنعت فولاد در ایران
هدی مشهدی محمدی عباس شاکری محمود محمودزاده

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93 - 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

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94 - Analyzing the Impact of Exchange Rate Unification on TOT (Terms of Trade) in IRAN
سید کمیل طیبی محسن نظری فارسانی احمد گوگردچیان زهرا زمانی

AbstractTerms 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 More

AbstractTerms 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

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95 - The Relationship between Exchange Rates and Other Effective Factors on Unemployment in Selected Countries of the Islamic Conference’s Members
Homayoun Ranjbar Somayeh Moazen

Today, 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 More

Today, 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

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96 - بررسی اثر صادرات غیرنفتی بر نرخ ارز حقیقی در ایران
بهمن طهماسبی احمد جعفری صمیمی غلامعلی فرجادی

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97 - The role of effective factors on Net Spread on private and State-owned Commercial Banks in Iran
Rafik Nazarian Amirabbas Hasheminejad

The 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 More

The 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

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98 - 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 خسروی

Based 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 More

Based 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

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99 - بررسی اثر نوسانات نرخ ارز بر اشتغال در ایران
کریم امامی الهه ملکی

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100 - 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 Barkhordari

10.30495/fed.2023.698845

Abstract 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 More

Abstract 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

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101 - بررسی تأثیر نرخ ارز واقعی بر صادرات غیر نفتی ایران
سعید دایی کریم زاده قدرت اله امام وردی افسانه شایسته

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102 - 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 Sarlak

10.30495/fed.2023.700131

Abstract 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& More

Abstract 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

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

10.30495/fed.2023.705599

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

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

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104 - 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 Emamverdi

10.30495/fed.2022.697613

AbstractThe 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 More

AbstractThe 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

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105 - 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

10.30495/fed.2023.700137

  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

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106 - The role of exchange rate fluctuations on private sector investment in housing in Tehran using the Markov switching regime model
Aliakbar Mehrabian yazdan gudarzi farahani

The 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 More

The 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

107 - 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 moradi

The 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 More

The 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

108 - Investigating the effect of Exchange Rate Fluctuations on Export of steel in Iran using Mixed Frequency Data Sampling Models (MIDAS)
Elham Eslahchi Farideh Haghshenas Kashani

Today, 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- More

Today, 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

109 - The Relationship between Policy Uncertainty and Accounting for Encrypted Financial Assets
Yazdan Gudarzi Farahani Babak Esmaeili Omidali Adeli

10.30495/faar.2022.693672

AbstractThe 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 More

AbstractThe 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

110 - The Impact of Macroeconomic Indicators on Stock Returns Fluctuations
Hadi Mahboubi Marjan Damankeshideh Houshang Momeni Shahriyar Nessabian

10.30495/faar.2023.705564

Abstract 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 More

Abstract 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

111 - 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 Zarei

This 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 More

This 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

112 - Modeling of exchange rate fluctuations with systems dynamics approach
mohammad hadi damiri parviz saeedi Hosein Didehkhani ebrahim abbasi

Abstract 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 More

Abstract 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

113 - 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 Shadmehri

If 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 More

If 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

114 - 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 Ghaffari

The 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 More

The 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

115 - A Model for Examining Exchange Rate Shocks Affecting on Profitability in Export-Oriented Production Groups
Hanieh Ghorbani Farhad Hanifi Teimour Mohammadi Gholamreza Zomorodian

The 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 More

The 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

116 - Nonlinear Exchange Rate Analysis in the Iranian Economy
Mohammad abbasifard Seyed Abdolhamid Sabet Masoud Salehi Rezveh abdolkarim hosseinpour

Exchange 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 More

Exchange 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

117 - Investigating and analyzing the spillover effects of stock market in interaction with currency, gold-coin, crude oil and housing markets: VARMA-BEKK-AGARCH Approach
mohammadbagher mohammadinejad pashaki seyed jalal sadeghi sharid Mohammad Eqbalnia

One of the most important issues in financial knowledge which is related to portfolio selection, efficiency market and asset allocation is spillover effect between markets and this effect includes return, volatility and shock effect. These days every shock or volatility More

One of the most important issues in financial knowledge which is related to portfolio selection, efficiency market and asset allocation is spillover effect between markets and this effect includes return, volatility and shock effect. These days every shock or volatility in one market effect on other markets. Correct identification of spillover effect is very important. This paper aims to measure and analysis spillover effect between stock, currency, gold-coin, oil and housing markets. For these purposes we collect daily data of stock, currency, gold-coin, oil and housing for the time period of 2009 to 2020.we used VARMA-BEKK-AGARCH model for estimation. Results show return spillover from currency to stock and from stock to housing and shock spillover from currency, gold-coin and oil to stock and also volatility spillover from currency and gold-coin to stock and from stock to housing. Besides result show leverage effect of shocks from stock to housing market.so we suggest in order to minimize investment risk we had better to evaluate the spillover effects in selecting markets(assets)for our portfolio. Manuscript profile

Open Access Article

118 - 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 Sahabi

In 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 More

In 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

119 - Forecasting the exchange rate of euro to dollar with the artificial neural network technique
shafagh sharif moghadam seyyed Zabihollah Hashemi

Exchange 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- More

Exchange 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

120 - Investigating Factors Affecting Pistachio Exports in Iran during 2001-2019
Narges Tavakoli Dastjerdi Reza Sedaghat Hamid Mohammadi

10.22034/jon.2021.1915854.1096

Manuscript profile

Open Access Article

121 - Investigating the Effect of Real Effective Exchange Rate on the Iranian Pistachio Export
A. Barghandan K Barghandan S Golestaneh H Mirlashari

10.22034/jon.2011.515735

Manuscript profile

Open Access Article

122 - The effect of political institutions on economic growth b through exchange rate misalignment (game theory approach)
Hajar Mostafaee Morteza Sameti mostafa rajabi

The 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 More

The 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

123 - 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 soltsni

In 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 More

In 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

124 - The Modeling of Exchange Rate Predict in Iran by Using Neural Network Based on Genetic Algorithms and Particle Swarm Algorithm
ali jamali saeed daie karimzadeh

In 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 More

In 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

125 - Investigate the relationship between inflation rateexchange rate and bank interest rates with earnings transparency (Companies listed on Tehran Stock Exchange)
mohammad delkhosh

Low 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 More

Low 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

126 - The effect of exchange rate fluctuations on economic growth and inflation, 1340-1388
A. Tavakoli N. Turquoise F. Karimi

The 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 More

The 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

127 - The Study of the relationship between Exchange Rates and the Total Factor Productivity (TFP) Growth: An Empirical Analysis Based On Panel Data in Selected Countries
Mohammad Reza Shahab

Productivity is one the important concepts and fundamental necessity for the economic growth and development of all countries of the world. Hence, the study and identification of variables and factors influencing it, is essential especially for appropriate policymaking. More

Productivity is one the important concepts and fundamental necessity for the economic growth and development of all countries of the world. Hence, the study and identification of variables and factors influencing it, is essential especially for appropriate policymaking. The main objective of this study can be served as an investigation of the effect of exchange rate fluctuations on the TFP growth and to achieve this, the third class of endogenous growth theories have been considered in order to design hypotheses and model.To test hypotheses, the panel data methodology is employed for the period of 2000 to 2009 and the specified model is estimated for 7 selected countries of APO members including I.R Of Iran in deferent approaches and in order to determine the presence and type of effects, the Leamer and Hauseman tests are carried out.The results of estimations confirm our two hypotheses and statistically indicate that the significant relation between exchange rate fluctuations and TFP growth cannot be rejected so that the TFP growth will decline if the exchange rate increases and vice versa. Furthermore, the study has several consequences which are concerned with the effects of other variables on the TFP growth, such as the degree of openness to foreign trade and inflationary circumstances. Policy recommendations have been discussed in the terminal sector of paper.  Manuscript profile

Open Access Article

128 - Investigating the Effects of Real Effective Exchange Rate on Iranian Raisin Exports
A. Barghandan S. Arianmehr H. Shahraki

Increase in exchange rate may not always promote non-oil exports and various commodities exports may have different reactions to this rate. Hence, this study tried to consider the effects of real effective exchange rate on exports of Iranian raisin. For this purpose, Ir More

Increase in exchange rate may not always promote non-oil exports and various commodities exports may have different reactions to this rate. Hence, this study tried to consider the effects of real effective exchange rate on exports of Iranian raisin. For this purpose, Iranian raisin export function was estimated using Autoregressive Distributed Lag method. The data were gathered from Statistical Yearbook of Foreign Trade, Statistical Yearbook of the International Monetary Fund, United Nations Food and Agriculture Organization and different issues of Central Bank of Iran over 1974-2007. The results showed that the real effective exchange rate, income of importer countries and domestic production have positive effects on raisin`s exports, but the ratio of domestic price index to export price index of raisin has been ineffective on the exports of this product. Manuscript profile

Open Access Article

129 - Regime Dependent Effects and Cyclical Volatility Spillover of Exchange Rate and Stock Prices in Iran
Mahdi Mozafarnia MirFeyz Fallahshams Gholamreza Zomorodian

10.30495/afi.2022.1943113.1055

The 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 More

The 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

130 - 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 Jahangirnia

10.30495/afi.2023.1991865.1244

Objective: 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 More

Objective: 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

Open Access Article

131 - The relationship between exchange rate overshooting and currency substitution in Iran’s economy
Seyed Mansour Heshmati Sanzighi Rahman Saadat Esmaeil Abounoori

When a country's domestic currency fails to fulfill its roles, foreign currency often replaces it, a phenomenon known as currency substitution. This is particularly common in developing countries and influenced by both economic and political factors. One significant eco More

When a country's domestic currency fails to fulfill its roles, foreign currency often replaces it, a phenomenon known as currency substitution. This is particularly common in developing countries and influenced by both economic and political factors. One significant economic aspect affecting currency substitution is exchange rate overshooting. The main objective of this study is to investigate the relationship between exchange rate overshooting and currency substitution in Iran. Utilizing the Kamin-Ericsson (2003) method, we first examine the foreign currency in circulation and the volume of currency substitution in Iran’s economy using annual data from 1961 to 2021. Then, the Bayesian Vector Autoregression (BVAR) method employed to analyze the impact of exchange rate overshooting on currency substitution. The results indicate that exchange rate overshooting and inflation consistently lead to increased currency substitution in Iran’s economy. Conversely, economic growth negatively affects currency substitution. Additionally, neutralizing the effects of shocks related to exchange rate overshooting, economic development, and inflation requires more than five years. Therefore, economic policymakers must consider these factors when managing currency substitution. Manuscript profile

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