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Open Access Article
1 - Investigation of relation between the currency rates of volatility on open position of Tejarat bank
H. EbrahimiThis research, Investigate the relation between the currency rates ofvolatility on open position Tejarat bank and its effects of the impulsesfrom the exchange rate volatility and other variables on open position. Inorder to do this , we have utilized open position items MoreThis research, Investigate the relation between the currency rates ofvolatility on open position Tejarat bank and its effects of the impulsesfrom the exchange rate volatility and other variables on open position. Inorder to do this , we have utilized open position items, reference rates ofCentral bank , Stock price index , Money supply and Balance ofcountry’s monthly payments over a six-year period from 1381 to1386.Foreign exchange position as it’s name signifies , shows the state ofbeing long or short in position. In other words, the differential of theassets and the liabilities of the bank in one foreign exchange is calledforeign exchange position.For this purpose, the new econometric procedures have been used.Vector Auto Regressive model has been used for variables which are inthe augmented level (Japan’s Yen and Swiss Frank) and Vector ErrorCorrection Model has been used for variables which became augmentedby a differential.(based on Dollar , Euro , Pound , and sum of foreigncurrencies).In the meantime , as per the standard pattern of SchwarzBayesian ,Akaike , and Hannan Quinn , Quantity 2 has been selected asthe optimum degree for VAR.Surveys in this research show that the reaction of open position offoreign currency against the impulse from the currency rate varianceinfluence the value of the foreign currency assets and the liabilities of thebank , and make the bank confront with the considerable risk in the valueof the foreign currency assets and liabilities. Manuscript profile -
Open Access Article
2 - The effect of underlying asset shocks on the Gold exchange traded funds’ pricing deviation
mahdi shaerattar Akbar Mirzapour babajanGold exchange traded fund is one of the new financial instrumentss that underlying asset is gold and traded in the capital markets. This article examines the pricing deviation of the four gold funds on the Iran Mercantile Exchange from their underlying asset index. The MoreGold exchange traded fund is one of the new financial instrumentss that underlying asset is gold and traded in the capital markets. This article examines the pricing deviation of the four gold funds on the Iran Mercantile Exchange from their underlying asset index. The main purpose of this study is investigate the effect of underlying asset shocks on the Gold exchange traded funds’ pricing deviation. In order to achieve this purpose, employed daily data of Emami Coin, Gold ETFs in Iran (Tala, Ayar, Zar, Gohar), Vector Error Correction Model (VECM) and Impulse Response Function (IRF). Results: The results shown that pricing deviation is stationarity and predictable. Therefore can be considered an implicit transaction cost an Gold ETF. The reason for the predictability of the pricing deviation stems from its stationarity and the specific price discovery processes for this asset class. Utilization of Impulse Response Function shown that the shock effect of the underlying asset was the same and do not persist for more than six trading days, Which indicates the relative pricing efficiency of these funds Manuscript profile -
Open Access Article
3 - Uncertainty in The exports of Non-Oil products and The Private Investment in Iran
لیلا احمدیThe purpose of this research is to study the impact of the level of Uncertainty in the exports of Non-Oil products on the investment of private sector in Iran during 1959-2007. To measure the degree of uncertainty in non-oil production, a Generalized Auto Regressive Co MoreThe purpose of this research is to study the impact of the level of Uncertainty in the exports of Non-Oil products on the investment of private sector in Iran during 1959-2007. To measure the degree of uncertainty in non-oil production, a Generalized Auto Regressive Conditional Heteroscedaticity Model (GARCH (1, 2)) is used. The explanatory variables of this model are: the rate of inflation, Gross domestic product and imports. In this model, optimal lag and long-term relations are identified and the vector error correction model (VECM) is estimated. The results of our study indicate that both the uncertainty in the non-oil exports and the rate of inflation have a negative effects on the private domestic investment in long run, while GDP and imports are positively related to investment. Manuscript profile -
Open Access Article
4 - The Effects of Types of Health Services on the Economic Growth of Iran Using the Johansson - Juselius Convergence Method
Ebrahim ghaed Mohammadtaher Ahmadi Shadmehri mozhgan moradi Mohammad Sadeq mohammadiIntroduction: One of the most important parameters for improving the level of GDP and economic growth in Iran is the role of the health services sector and its related indicators. In this regard, many studies have been conducted, but the effect of simultaneous separatio MoreIntroduction: One of the most important parameters for improving the level of GDP and economic growth in Iran is the role of the health services sector and its related indicators. In this regard, many studies have been conducted, but the effect of simultaneous separation types of health services on the economic growth of Iran has not been studied. It would be helpful for policymakers to study the health indices in order to recognize the health-care index that has the greatest impact on growth and prioritize it for investment. Therefore, the main purpose of this study is to investigate the effects of Types of health services on the economic growth of Iran. Methods: This study is causal analytical in terms of the method and it is also the applied research in terms of purpose. The method of data collection is documenting – library. For this analysis, Vector Autoregressive Model, Johansson - Juselius Method and Vector Error Correction Model are used. Data collected for the period of 1981 - 2017 Were estimated by Eviews software. Results: Based on the coefficient of the error correction method indicates that about 0.86 of the short-term imbalance is adjusted in each period to achieve the long-term equilibrium. Further, in the long run, a one percentage increase in the Labor force, labor productivity, population growth rate, ratio of investment to GDP and the of types health care services ( health costs, cost of treatment, cost of education and insurance ratio), leads to 0.67, 1.77, 0.88, 1.12, 5.43, 3.02, 4.85 and 2.09 percentage increase in the GDP, respectively. Conclusion: Health cost has the most effects on economic growth in comparison with other health care services. This result could help policymakers to modify their policies in allocation of expenditures in different sectors of health services and to highlight the investment in this field in order to achieve economic growth and development in the future. Manuscript profile -
Open Access Article
5 - Investing in the oil and gas industry using estimates of crude oil and natural gas consumption in Iran by VECM model
vahid rajabian reza taleblo hamidreza arbabAbstractThe main objective of this research is to estimate the demand model for crude oil and natural gas in the country during the period from 1988 to 2015 and also to predict crude oil and natural gas demand functions in Iran during the sixth development plan with the MoreAbstractThe main objective of this research is to estimate the demand model for crude oil and natural gas in the country during the period from 1988 to 2015 and also to predict crude oil and natural gas demand functions in Iran during the sixth development plan with the aim of studying the effect of important variables affecting their consumption in the country. VAR - VECM model is used to investigate the relationship and the effects of variables and the short-run and long-run relationship between variables, and finally, extracted model has been used to predict crude oil and natural gas demand in the country at 1400 horizon. The results indicate that: (1) income elasticity is low and the sensitivity of oil consumption to changes in income (here, per capita income) is small. (2) There are no long-term causal relationship between intrinsic independent variables and exogenous independent variables, such as oil price and natural gas prices, towards natural gas consumption and per capita income. (3) In the short term, there is no causal relationship from natural gas consumption, natural gas prices, oil prices, and per capita income towards crude oil consumption. (4) Variance decomposition for oil consumption variable indicates that in the long run, natural gas consumption has a significant contribution to explaining changes in crude oil consumption. Manuscript profile -
Open Access Article
6 - انتقال قیمت، رفتار آستانهای و تعدیل نامتقارن در بازار مرغ ایران
م. کاوسی کلاشمی پ. خلیق خیاوی خلیق خیاویبخش مرغ ایران تغییرات ساختاری معنی ­دار بسیاری را طی سال­های اخیر شاهد بوده است. چنین تغییراتی ممکن است پویایی­های قیمت و انتقال شوک­ها در کانال­های بازاریابی را به خصوص در بازارهای خرده­ فروشی تحت تأثیر قرار دهد. این پژوهش انتقال قیمت، رفتار آست Moreبخش مرغ ایران تغییرات ساختاری معنی ­دار بسیاری را طی سال­های اخیر شاهد بوده است. چنین تغییراتی ممکن است پویایی­های قیمت و انتقال شوک­ها در کانال­های بازاریابی را به خصوص در بازارهای خرده­ فروشی تحت تأثیر قرار دهد. این پژوهش انتقال قیمت، رفتار آستانه­ای و تعدیل نامتقارن قیمت در بخش مرغ استان­های اردبیل (AR)، آذربایجان شرقی (EA) و آذربایجان غربی (WA) با استفاده از داده­های هفتگی قیمت طی سال­های 1998 تا 2012 مورد بررسی قرار داده است. تحلیل ما از یک الگوی همگرایی آستانه­ای بهره برده که امکان تعدیل نامتقارن نسبت به شوک­های مثبت و منفی قیمت را فراهم می­آورد. نرم­افزار R به منظور تجزیه و تحلیل داده­ها مورد استفاده قرار گرفته است. یافته­های اصلی بیانگر وجود عدم تقارن در انتقال قیمت برای تمام بازارها است. براساس کمینه­سازی شاخص مجموع مربعات خطا (SSR) آستانههای برآوردی برای بازارهای EA-AR، WA-AR و EA-WA به ترتیب برابر با (217/1، 38/0)، (211/0، 61/1)، (95/1، 38/0) می­باشد. در تلاشی دیگر آستانه­ها با استفاده از روش­شناسی TVECM برآورد شد و نتایج مشابه­ای حاصل شد. Manuscript profile -
Open Access Article
7 - An Application of the Two-Regime Threshold Vector Error Correction Model to Analyze Asymmetric Price Transmission of Milk in Zanjan Province of Iran (187-194
Moharram Ainollahi Mohammad Ghahremanzadeh In this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in Zanjan Province of Iran. For this purpose, a Two-Regime Threshold Vector Error Correction Model (TVECM) and a Sup-LM Test de More In this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in Zanjan Province of Iran. For this purpose, a Two-Regime Threshold Vector Error Correction Model (TVECM) and a Sup-LM Test developed by Hansen and Seo (2002) were employed for checking presence of a threshold effect. Application of unit root tests indicated that both wholesale and retail prices are I (1), and Johansen test verified cointegration of the series in the long-run. Results of the Sup-LM test confirmed threshold adjustment of product price towards the long-run equilibrium. Furthermore, results obtained from TVECM revealed that the coefficient of ECT is significant only in the first regime of retailing equation implying that retailers significantly respond to the decreasing deviations from the long-run equilibrium. While adjustment coefficient is not significant for wholesale equation in both regimes to imply that there is not significant inclination to react to deviations from the long-run equilibrium among the wholesalers despite the retailers. Manuscript profile -
Open Access Article
8 - The Testing of Supply Side and Demand Side at Improving of Financial Markets
Erfan Memarian Mohammadreza Mahjoub Soudeh HasanpourIn this survey as a case study, the mutual effects of Tehran - Stock Exchange - Price Index (TEDPIX) and Iran's economic growth have been investigated. To do this, the data about the above variables during 1999-2010 has been collected through quarterly data and by econo MoreIn this survey as a case study, the mutual effects of Tehran - Stock Exchange - Price Index (TEDPIX) and Iran's economic growth have been investigated. To do this, the data about the above variables during 1999-2010 has been collected through quarterly data and by econometric method evaluation, especially Johansson's cointegration test and vector error correction model, the mutual relationship between the variables has been dealt with. The results of Johansson's cointegration test showed that there is a long term balance relation in the above variables. Also the results of the vector error correction method showed that there is a unidirectional relationship between the above variable from economic growth to Tehran - Stock Exchange - Price Index (TEDPIX).and consequently demand side approach was approved in improving fainancial markets. Manuscript profile -
Open Access Article
9 - An Investigation of Monetary PoliciesEffects on Properties Pricing In Iran
مجید احمد لوAbstract This paper investigates monetary policies effects on property pricing for the case of Iran over the period 1369-1392. For this objective, we apply Co-integration technique and vector error correction model (VECM). We obtain Data set from Iran’s cen MoreAbstract This paper investigates monetary policies effects on property pricing for the case of Iran over the period 1369-1392. For this objective, we apply Co-integration technique and vector error correction model (VECM). We obtain Data set from Iran’s central bank time series database. The results of this study showed that there is a short-run and long run relationship from bank credit and a long-run relationship from liquidity and inflation to physical property prices. In addition, there is a short-run and long run relationship from inflation and a long-run relationship from liquidity and banks short-run profit rate to financial property prices. These results suggest that monetary effects on especially financial property prices appear with time lag. Manuscript profile -
Open Access Article
10 - Developing Asset Correlation Risk Model (ACR) with Asset- Liability Management (ALM) Approach with using of VECM model
Mahdi Hemmati Asiabaraki Mohammadhasan Gholizadeh Seyed Mozafar MirbargkarBanks, as levers in macroeconomic policies, by regulating and adjusting the bank's interest rates, enforce monetary policies and controls inflation and unemployment, which is one of the most important macroeconomic goals. One of these tools is asset-debt management. The MoreBanks, as levers in macroeconomic policies, by regulating and adjusting the bank's interest rates, enforce monetary policies and controls inflation and unemployment, which is one of the most important macroeconomic goals. One of these tools is asset-debt management. Therefore, the purpose of this research is to develop the Asset Correlation Risk Model (ACR) with the Asset- Liability Management approach (ALM). 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 banks accepted in this collection, which can be extracted from the research data. The research period is from 1391 to 1396, with 20 banks selected as research samples. This research has a theoretical model and a vector error correction model was used to test the hypotheses. According to the t-statistic and the coefficient of estimation of the VECM model, it is determined that the effect of using the debt-asset management approach on the asset-liability correlation risk in a long-term equilibrium is decreasing. Manuscript profile -
Open Access Article
11 - The Effect of Goods market Efficiency on Economic Growth in Selected Asian Countries
Naghmeh honarvar homayoun ranjbar sara ghobadiImproving efficiency and productivity has an impact on the main economic, social and political phenomena of societies, such as reducing the level of inflation, increasing the level of public welfare, increasing the level of employment and increasing competitiveness. Eff MoreImproving efficiency and productivity has an impact on the main economic, social and political phenomena of societies, such as reducing the level of inflation, increasing the level of public welfare, increasing the level of employment and increasing competitiveness. Efficiency explains the degree of success of an economic unit or a country in the optimal use of inputs to produce output in comparison with other economic units and other countries, therefore, examining the effects of efficiency on macroeconomic variables is very important. Therefore, the aim of this study is to analyze the effects of the goods market efficiency pillar in the global competitiveness index on economic growth with an emphasis on the factors affecting this efficiency (technology, trade and investment) in Asian countries with a moderately high competitiveness index during the period of 2008-2018. For this purpose, the effects of goods market efficiency on the economic growth of these countries were investigated using the panel vector error correction model (PVECM). In general, the results indicate that the positive shock of this type of efficiency (improving the efficiency of the goods market) in the medium and long run leads to an increase in the economic growth rate and a decrease in the unemployment rate. Also, the results showed that the most effective variable on the efficiency of the goods market is investment, which has the greatest impact on the efficiency of the goods market in the long run. Manuscript profile -
Open Access Article
12 - The study of the long run effects of international trade on economic success variables in Iran
fateme sabet naghmeh honarvar ali rezaeiEconomic growth and inflation control are among the goals pursued by any economy. In today's world, decision-making power and role-playing in global trading are countries that have a lot to say in the economy. If the policymakers' goal is to develop and encourage trade, MoreEconomic growth and inflation control are among the goals pursued by any economy. In today's world, decision-making power and role-playing in global trading are countries that have a lot to say in the economy. If the policymakers' goal is to develop and encourage trade, in order to achieve this goal, it must control the growth of the international presence and the inflation by strengthening the foundations of the country's production. This study examines the long run effects of international trade on Iran's economic success variables during the period 1350-1395 using Vector Error Correction Model (VECM). The results of Johansson's co-integration test showed that there is a long run equilibrium relationship between variables.. The results of the IRF indicated that the positive shock of exports in the short, medium and long run had a significant positive effect on economic growth and inflation. The positive shock of imports in the short run has a significant positive effect, and in the medium and long run, there is a significant negative effect on economic growth, and this shock has a significant negative effect on inflation in the short, medium and long run. Manuscript profile
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