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Open Access Article
1 - Prioritize the components of deferred receivables in the policy-making of Sepah Bank financial system
afshin godarzy mahmod rezaizade mashalla valikhani alireza shirvanijozdaniBackground and Aim: Undoubtedly, one of the consequences of the monetary activity of banks and credit institutions is the emergence of delinquent receivables, which has a significant impact on the economic system. In addition to reducing the profitability of banks, this MoreBackground and Aim: Undoubtedly, one of the consequences of the monetary activity of banks and credit institutions is the emergence of delinquent receivables, which has a significant impact on the economic system. In addition to reducing the profitability of banks, this slows down the circulation of liquidity in the economy, the lack of timely allocation of credit to productive demand in industry, mining, trade and agriculture, and ultimately the economic downturn. The purpose of this study is to introduce Sepah Bank model for collecting Sepah Bank overdue receivables. We are also looking for the dimensions of the components and indicators of the Sepah Bank arrears collection model and what are the relationships between these dimensions and components. Method: The statistical population of this study includes 323 employees of Sepah Bank. Using simple random sampling method and Morgan table, 181 people were selected as the sample size. The method of data collection is content analysis and Delphi technique. The research environment has been the first-hand sources of reputable databases in the period of 2009 to 1399 in the field of collection of overdue bank receivables. The number of samples in the qualitative section, including 20 experts for surveying, analysis and coding of the researcher, reached theoretical saturation. The sampling method was purposive. Confirmatory factor analysis techniques have been used for inferential data analysis. Finding: Environmental factors with a factor load of 0.707 and a T-statistic of 4.992 have a direct and significant effect on the pattern of arrears collection. Therefore, environmental factors have a positive and significant effect on the pattern of collection of arrears. Organizational factors with a factor load of 0.630 and a T-statistic of 3.120 have a direct and significant effect on the pattern of arrears collection. Results: Organizational factors have a positive and significant effect on the pattern of receipt of arrears. Legal factors with a factor load of 0.581 affect the pattern of receivables. Legal factors have a positive and significant effect on the pattern of collection of arrears. Manuscript profile -
Open Access Article
2 - The effect of foreign exchange policies to reduce the current account deficit (with emphasis on the financial crisis of 2008)
Samira Najafi Estamal Seyed Shamseddin Hosseini Abbas memarnejad Farhad GhaffariBackground: Exchange rate fluctuations and its deviation from the equilibrium path is one of the most important macroeconomic variables that affects different sectors of the economy from various aspects. Objective: This study was conducted with the aim of invest MoreBackground: Exchange rate fluctuations and its deviation from the equilibrium path is one of the most important macroeconomic variables that affects different sectors of the economy from various aspects. Objective: This study was conducted with the aim of investigating the effect of foreign exchange policies during the existence of a trade deficit in the financial crisis (crisis of 2008) on the total index of the stock exchange. Method: The present study was conducted using ARDL and VCEM approaches in terms of purpose, application and development. This study examines the relationship between exchange rates (as a control policy to reduce the current account deficit due to the 2008 crisis) and the overall index. Examines the Iranian Stock Exchange. To reduce the effect of the omitted potential variable, interest rates and external reserves are also included in this analysis. In this study, the self-return approach with distributive interrupt (Pesaran, 2001) has been used to investigate the long-run relationship between variables. Findings: Among the actions of governments in times of crises and deficits in the current account balance is the use of foreign exchange controls. Explaining the effects of the exchange rate due to the dependence of the stock market industries on the import of raw materials as well as the export of products on the overall index of the stock exchange is very important for policymakers and activists in this field. Conclusion: The results indicate that there is more compatibility between exchange rates and stock prices in critical periods than in quiet periods, in terms of integration in the long run and short-term causality. Also, the results of the implementation of foreign exchange policies, in order to improve the current account, confirm the J-curve. Manuscript profile -
Open Access Article
3 - Analyses the Balance of Payment Interact from Foreign Exchange Market Events: The Case of IRAN
Nasredin AghazadehKamali Majid Delavari Ali asghar AsgharEsfandiyariThe balance of payments is one of the most important economic indicators for each country, because this variable is important information to the international situation and shows how the national economy conecte to other countries, foreign exchange and gold stock change MoreThe balance of payments is one of the most important economic indicators for each country, because this variable is important information to the international situation and shows how the national economy conecte to other countries, foreign exchange and gold stock changes. In other words, the importance and reviews the balance of payments and thus the foreign exchange market is obvious because the majority of developing countries including Iran are suffering from the foreign trade imbalance due to its unpleasant effects on the domestic economy (production, inflation, etc.). Therefore, this study is trying to investigating the effect of implications and consequences of exchange rate shocks on the balance of payments. This study uses monthly time series data for the period 1385 Fravardin to 1392 Mordad and has been using Near-VECM model. Near-VECM which have higher explanatory power in comparing VECM base on the study result, analysis the effect of exchange rate volatility on The balance of payments, in addition to the exchange rate changes. According to the study findings, there were strong and significant short-run and long-run relationships between the research variables and also negative and significant short-run and long-run relationships between the foreign exchange volatility and the balance of payment. In addition, the coefficient of error correction term is equal to (-0.6) and it is negative and significant that shows the high speed adjustment process. Therefore, considering the research results, it is necessary that government executive economic policies to be designed and implemented with emphasis on reducing the volatility in the foreign exchange market. Manuscript profile -
Open Access Article
4 - Design of Mathematical Optimization Algorithm of Banks' Foreign Exchange Portfolios on the Basis of Fuzzy Logic and Relevant Risk Indices (Case Study: Bank Mellat)
Gholamreza Bayati Mohammad Ebrahim Mohammad Pourzarandi HAMIDREZA KORDLOUIE Arefeh FadaviOptimization of banks' foreign exchange portfolios aiming to determine an optimized combination of foreign exchange assets is in such a manner that it leads to a minimum risk and maximum yield. The approach used in this article, which is actually a priority over other m MoreOptimization of banks' foreign exchange portfolios aiming to determine an optimized combination of foreign exchange assets is in such a manner that it leads to a minimum risk and maximum yield. The approach used in this article, which is actually a priority over other methods is to use a combination of inexact mathematical models (fuzzy) and optimization. Thus, in this research, linear programming with fuzzy target coefficients has been used. The target coefficients are the same as the exchange rate. In other words, the daily rates of all currencies due to fluctuations are considered as fuzzy numbers. Therefore, in this investigation, by developing a multi-purpose mathematical model and by applying the fuzzy data relating to transaction rate of six foreign exchanges in year ended on March 20, 2020, including US dollar, Emirates Dirham, Japanese Yen, Turkish Lira, Korean Won and Euro, case by case risks related to the fluctuations of noted foreign exchanges and also their yield in the foreign exchange portfolio of Bank Mellat were measured and estimated for the future time horizon. All banks may benefit from the developed model. By determination of the optimal weight of each foreign exchange, upon describing and analyzing the existing status it specifies the optimal status, enabling banks to fulfill their foreign exchange obligations on due dates by properly and optimally making investment in foreign exchange assets meanwhile gaining a competitive advantage. "Gams Software" was used for solving the model. Manuscript profile -
Open Access Article
5 - Explain the shocks and fluctuations of the foreign exchange market and how to transfer these shocks to other markets
soqra razi kazemi Fraydoon Rahnamay Roodposhti gholamreza zomorodian Ebrahim ChiraniThe transmission of financial crises between different markets in an economy indicates the existence of channels of transmission of this crisis. Today, parallel currency markets are closely related to other markets such as gold, coins, stocks and oil. Channels that tran MoreThe transmission of financial crises between different markets in an economy indicates the existence of channels of transmission of this crisis. Today, parallel currency markets are closely related to other markets such as gold, coins, stocks and oil. Channels that transmit shocks and fluctuations of the foreign exchange market to other markets can include information, macroeconomic variables, investment behaviors, and so on. In this study, using daily data from 2009 to 2017, the explanation of overflow fluctuations and shocks in the foreign exchange market and how to transfer these shocks to other markets has been examined. The results indicate the existence of fluctuations overflow as well as structural fractures due to the presence of this overflow. The research model and determination of interruptions is based on the VAR model. Yields and fluctuations as well as the presence of the Arch effect in the model are determined based on the VAR model. The MV-GARCH model is used to determine the returns in the foreign exchange market. Fluctuations and shocks of the foreign exchange market and its impact on other markets as well as future prices in different markets are determined based on the VAR model. The results of this study indicate the effect of shock in the foreign exchange market on the trend of future prices in this market as well as the impact on other markets. Manuscript profile -
Open Access Article
6 - Evaluating the Asymmetric Effects of Parallel Financial Markets Shocks on Financial and Commercial Risk as well as Cash Returns
Farzin Axon Seyed Hossein Nasl Mousavi Abbas Ali Pour AghajanListed companies are always affected by shocks and instabilities in parallel financial markets such as exchange rates and gold. Knowledge of how these impacts are useful for managing companies and investors to make optimal decisions regarding risk management, financing MoreListed companies are always affected by shocks and instabilities in parallel financial markets such as exchange rates and gold. Knowledge of how these impacts are useful for managing companies and investors to make optimal decisions regarding risk management, financing and investment. Therefore, in this study, the effect of investigating the asymmetric effects of parallel financial markets shock on stock returns and financial and commercial risk of 262 companies listed on the Tehran Stock Exchange during the period 2009-2010 using the Generalized Torque (GMM) approach. Been investigated. The results show that the negative and positive shocks of the exchange rate and the price of gold have an asymmetric effect on trade risk, finance and stock returns. These asymmetric effects apply in terms of size, sign and significance. Positive gold price shocks also have a negative effect on trade risk and a positive effect on financial risk, but these shocks do not have a significant effect on stock returns. In contrast, the impact of negative gold price shocks on financial risk is negative and market returns are positive (the impact of negative shock on trade risk is not statistically significant). Based on the above results, it can be stated that corporate operating costs and financing costs are affected by price shocks in the gold and foreign exchange markets. Manuscript profile -
Open Access Article
7 - 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 -
Open Access Article
8 - The Effects of Diversification of Industrial Exports on the Instability of Foreign Exchange Earnings in Iran's Industrial
hooman nasiri masoud nonezhad Ali Haghighat Mehrzad EbrahimiThe main purpose of this study is to investigate the relationship between the export diversification in the top industrial sub-sectors and its impact on the volatility of foreign exchange earnings in Iran's industrial sector. Accordingly, quarterly data from 2002-2 to 2 MoreThe main purpose of this study is to investigate the relationship between the export diversification in the top industrial sub-sectors and its impact on the volatility of foreign exchange earnings in Iran's industrial sector. Accordingly, quarterly data from 2002-2 to 2018-3 were collected in the top three industrial sub-sectors of the country and the autoregression method with distributed intervals was used for estimation. The findings indicate the positive effects of inflation and global income on short-term and long-term foreign exchange earnings instability and the effect of concentration index of base metals sub-sector on industrial foreign exchange earnings instability was positive and in non-metallic mineral products and workshop textiles has been negative and significant. Therefore, moving towards diversification in the metals sub-sector and focusing on the non-metallic mineral and textile sub-sectors will reduce the volatility of industrial foreign exchange earnings. Based on the results, it is suggested that the government reduce the instability of industrial foreign exchange earnings by granting facilities, setting export and import customs tariffs in industrial sub-sectors, while directing production in terms of diversification or decentralization. Manuscript profile -
Open Access Article
9 - On the Effect of Multimedia and Simulated Environment of Stock Exchange Education on Students Learning
Aref Hashemi Hossein Mahdizadeh Yassan Allah Poorashraf Maryam AziziThis study aimed to investigate the impact of multimedia and simulated environment of training of stock exchange and foreign currency, compared with current methods (lectures, booklets, power point presentation), on students learning at the University of Ilam. The popul MoreThis study aimed to investigate the impact of multimedia and simulated environment of training of stock exchange and foreign currency, compared with current methods (lectures, booklets, power point presentation), on students learning at the University of Ilam. The population of the study was undergraduate students in business management, economics and accounting at the University of Ilam. Using random sampling method, 184 of them were chosen as the sample. The data collection tool was a researcher-made questionnaire whose validity was confirmed by the experts. Its reliability based on Cronbach alpha Coefficient was estimated 0.734. The data from the survey were analyzed using Mann Whitney U test and those from the semi-experimental were analyzed by covariance analysis and t-test. The results suggested a significant difference between mean scores of the two groups in that the experimental group was more effective than the control group. In addition, students from the experimental group were more satisfied with the simulated environment and estimated their learning as qualified. Manuscript profile -
Open Access Article
10 - Decision-Making Structure in the Domain of Gas, Procedures and Results
Mohammad Reza Tamri Faramarz Mirzazadeh Saeed Nariman Garineh Keshishyan Siraki -
Open Access Article
11 - The Impact of Monetary and Foreign Exchange Policies uncertainty on Investors' Emotional Tendencies
mojtaba karimi Farideh Sadat Sobhanian Mohammadamin AliakbariThe knowledge of whether monetary and financial policy uncertainties are effective on investors' emotional responses or not, gives hope to users and above all investors and financial analysts to achieve a fair price and follow That reasonable return on investment, devel MoreThe knowledge of whether monetary and financial policy uncertainties are effective on investors' emotional responses or not, gives hope to users and above all investors and financial analysts to achieve a fair price and follow That reasonable return on investment, develop an algorithm to use these variables as an early warning indicator in their decisions. The purpose of the article is to investigate the impact of monetary and currency policy uncertainty on the emotional tendencies of investors in selected stock exchange companies. This empirical study has been investigated using the GMM dynamic panel method for 109 companies admitted to the Stock Exchange and Securities Organization. The fitting results in the period from 2018 to 2019 indicate the positive effect of monetary and financial policy uncertainty on the emotional tendencies of investors, and this positive effect can be attributed to the important role of monetary and financial policy uncertainty in determining prices and explaining returns, especially for Stocks that are export and import oriented. This important issue should be taken into consideration by policymakers in formulating monetary and financial policies, whose purpose is to control the emotional and mass-like behavior of investors. Manuscript profile -
Open Access Article
12 - Evaluation of the Dynamic Relationship between Foreign Exchange Market, Stock Market and the Housing Market in Iran Using a Multivariate GARCH Model
Oranus Parivar Mahbobeh hassaniThis paper analyzes the dynamic relationship between housing market, stock market’s general index and real effective exchange rate of Iran using VAR and MGARCH models. For this purpose, monthly data of ti MoreThis paper analyzes the dynamic relationship between housing market, stock market’s general index and real effective exchange rate of Iran using VAR and MGARCH models. For this purpose, monthly data of time period between Farvardin 1383 till Ordibehesht 1395 (Persian calendar) have been used. Based on the obtained results, there is no significant effect of other markets’ returns on housing market returns, while there is a significant and negative effect of stock market and housing market returns on foreign exchange market returns. In addition, in this study, the effect of simultaneous fluctuations of the housing market, foreign exchange and stock markets have also been evaluated. The results show that each market is not independent from other markets and a single market fluctuations will affect on the other markets. Because of the degree of simultaneous fluctuations among three markets, in order to make decision in one market and reduce the errors in decision making, policy makers can also consider political tools in other markets. Furthermore, investors may allocate their assets to these three markets in order to reduce the risk of investment Manuscript profile -
Open Access Article
13 - مدلسازی ارتباط شاخص قیمت در بازارهای مالی و رابطه مبادله در اقتصاد ایران (الگوی پرش قیمتی مرتون و رویکرد توابع کاپیولای شرطی)
سیدعبدالمجید جلایی اسفندآبادی نوراله صالحی آسفیجی الهام شیوایی -
Open Access Article
14 - The Impact of Foreign Exchange Reserve Management Dynamics and the Structure of Central Bank Interventions on Foreign Exchange Market Stabilization Using Gerton and Roper Theory
هادی محبوبی هوشنگ مومنی وصالیان مرجان دامن کشیده شهریار نصابیانAbstract The purpose of this paper is to estimate the impact of the dynamics of foreign exchange reserves management and the structure of central bank interventions on the stabilization of the foreign exchange market using Gerton and Roper theory. For this purpose, fir MoreAbstract The purpose of this paper is to estimate the impact of the dynamics of foreign exchange reserves management and the structure of central bank interventions on the stabilization of the foreign exchange market using Gerton and Roper theory. For this purpose, first the central bank intervention index was calculated with the foreign exchange market pressure approach and then the intervention function of the intervention policy with the threshold approach (STAR) was estimated based on the annual data of 1365-1398. The results of estimating the linear part of the model show that the variables of foreign exchange market pressure index and budget deficit have a negative effect on the real exchange rate in Iran. Meanwhile, the results of estimating the nonlinear part of the model indicate the positive effect of the growth rate of foreign exchange earnings from oil sales, net exports, consumer price index and fiscal policy index on the real exchange rate in Iran. This indicates that as the growth rate of foreign exchange earnings from oil sales increases, the amount of foreign exchange resources of the country (nominal exchange rate) increases. With the increase of the country's foreign exchange resources, the real value of the domestic currency increases and this is a factor in reducing the real exchange rate and worsening the country's export situation. In fact, in Iran, due to high inflation, governments have always tried to keep the exchange rate low to prevent price increases. The result of this type of intervention has been the inflexibility of the nominal exchange rate in response to economic changes and developments, which can be a factor in reducing the real exchange rate in recent decades in Iran Manuscript profile -
Open Access Article
15 - Investigating the effect of central bank intervention on the profitability of commercial banks in the country: a mild transfer regression approach
Azam Sadat Atyabi Alireza DagigiASL Gholamreza GaryenjadAbstract In the present study, in the first stage, the central bank's policy intervention index and foreign exchange market pressure were calculated, and then, using gentle transfer regression (STR), the effect of central bank intervention on the profitability of the c MoreAbstract In the present study, in the first stage, the central bank's policy intervention index and foreign exchange market pressure were calculated, and then, using gentle transfer regression (STR), the effect of central bank intervention on the profitability of the country's commercial banks was investigated. According to the model results; In 24 of the 30 years surveyed, the country's economy has faced increasing pressure from the foreign exchange market. In other words, between 1370 and 1399, the central bank's intervention activities eliminated an average of 24% of the foreign exchange market pressure. Also, the results of STR model estimation show the positive effect of economic growth rate variable on bank profitability and the negative effects of central bank intervention, stock return rate, credit risk, inflation rate and interest rate on the profitability of commercial banks. The negative coefficient of the central bank intervention index can indicate that the central bank, in the face of increasing positive deviations in the exchange rate, is pursuing a decline in the growth of its foreign reserves. In other words, with a further increase in the supply of foreign exchange in the market, its value decreases and the exchange rate return to its long-term path. On the other hand, if there is a negative deviation in the exchange rate of the central bank, by increasing the volume of foreign reserves and reducing the supply in the foreign exchange market, it can increase this rate and approach its long-term path, which is in line with existing theories. This is the context. Manuscript profile -
Open Access Article
16 - choosing the composition of the bank's foreign exchange portfolio to reduce risk of the Managing net open position (NOP)
yousef toomari mozhgan safa Mir Feiz Falah Hossein MoghadamThe purpose of this research is to choose the composition of the bank's foreign exchange portfolio to reduce the risk of managing net open positions (NOP). This realization aims to answer the question of whether it is possible to optimize the currency portfolio based on MoreThe purpose of this research is to choose the composition of the bank's foreign exchange portfolio to reduce the risk of managing net open positions (NOP). This realization aims to answer the question of whether it is possible to optimize the currency portfolio based on different value-at-risk models, including Var, Copula VaR, and Copula CVaR. In this research, on a quantitative scale and observations in the form of time series, the daily logarithmic return percentage of the two main and common currencies in the country's business, including the US Dollar and the EURO, in Sepah Bank from 2013 April 6 to 2021 September 22.The results of the selected portfolio based on these three methods show that, according to the obtained results, the Copula GARCH VaR model has a higher Sharpe value than the other two methods. On the other hand, the results of the average Sharpe obtained from the portfolios on the efficient border between the three methods are presented, according to the obtained values, we find that there is a significant difference at the 95% statistical confidence level between the average of the three methods presented, during which the Copula model GARCH VaR is ranked higher. Manuscript profile -
Open Access Article
17 - Comovement of Stock Market, Foreign Exchange and Gold in Iran: An Analysis of Econophysics
Younes Nademi Ramin khochianyThis paper is trying to investigate comovement of the stock market, foreign exchange and gold in Iran. For this purpose, comovement and relationship mutually of these markets in Iran’s economy during the period 30.09.1997- 21.07.2015 with the weekly frequency have MoreThis paper is trying to investigate comovement of the stock market, foreign exchange and gold in Iran. For this purpose, comovement and relationship mutually of these markets in Iran’s economy during the period 30.09.1997- 21.07.2015 with the weekly frequency have been investigated by the wavelet coherence analysis and Econophysics approach. The results of coherence analysis show that in the short time horizon during 2005-2008 and medium-term horizons during 2003-2006, the relationship between stock return and the exchange rate has been in the opposite direction (opposite phase). But in the longer-term horizonsduring2007-2010, the stock return moves after the moving exchange rate that the stock return is a lagging variable. Also, the coherence between gold and the exchange rate in the short term during1998-2002 was high with the same phase. After these years and during 2002-2012, the correlation between gold and the exchange rate had not been high particularly at high long-term horizons but after the year of 2012 with the intensification of sanctions, the coherency of these two markets has been high with the same phase until the year of 2014. Moreover, the coherency between stock return and the gold coin rates show that the intensity of correlation between these two variables during the period of study was low but the correlation of these two variables in 16-64 weeks’ horizons during 2001-2004 was high that of course, the direction of this relationship has been reversed. Manuscript profile -
Open Access Article
18 - Estimation of the Performance of the Fourth Development Plan in Terms of Foreign Exchange Need (Import) Using Input-Output Table
R. Khoshakhlgh Rahim Dallali-Isfahani N. EbrahimiThis article tried to estimate the foreign exchange need for import in the fourth development plan using an up to date input-output table, and compare the results with the actual values of the plan performance. The up to date tables were prepared in two stages, adjustin MoreThis article tried to estimate the foreign exchange need for import in the fourth development plan using an up to date input-output table, and compare the results with the actual values of the plan performance. The up to date tables were prepared in two stages, adjusting prices and the quantities. Results showed that because of unexpected of foreign exchange in the early years of the plan, at the time of preparing plan the allocated foreign exchange for imports was more than sufficient. This shows that in the time of preparing plan the decision makers have been worried about the delayed debts and paid attention to bring about a positive trade balance. Manuscript profile
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