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کاربرد نوع شرط:
- جایگاه : پژوهشی
- مجله: Iranian Journal of Finance
- نوع مقاله: Journal Article
- کلمات کلیدی: exchange rate,Monetary Policy,Petroleum Stock Index,Markov Regime Switching Model
- چکیده:
- چکیده انگلیسی: The primary purpose of this study is twofold: Firstly, using the Markov Regime Switching model throughout December 2008 to February 2020, it investigates and compares the nonlinear impacts of exchange rate movements and monetary policies on Petroleum Stock Index, PSI, in Iran. Accordingly, some control variables, such as OPEC oil price, inflation rate, and international sanctions, have also been used to model these relationships more accurately. Secondly, it is an empirical attempt to trace the historical changes in the PSI behavior through distinguishing the precise regime numbers, and the relationships between the exogenous variables and the PSI. Our results confirm that the effects of both exchange rate movements and monetary policies on the petroleum stock market return are direct and significant. More interestingly, the more we move from regime one to regime three, the greater the effects of the research variables on the index, except for the impact of OPEC oil prices. Our empirical findings further suggest as the effects of sanctions intensify, the influences of monetary policy and exchange rate movements would have a more significant impact on the petroleum stock index returns.
- انتشار مقاله: 13-09-1399
- نویسندگان: Shahram Molavi Bisetoni,Kiamars Fathi Hafshejani,Aboutorab Alirezaei,Ghanbar Abbaspour Esfadan
- مشاهده
- جایگاه : پژوهشی
- مجله: Advances in Mathematical Finance and Application
- نوع مقاله: Journal Article
- کلمات کلیدی: Petrochemical Industry,Exchange Rate Movements,ARFIMA-FIGARCH framework,Long Memory property,Fractal Market Hypothesis
- چکیده:
- چکیده انگلیسی: The present study models the risk of investment in the petrochemical industry considering the impacts of exchange rate (US dollar to Iran's Rial) movements using the time series data from November 2008 to March 2019 and ARFIMA-FIGARCH framework. The empirical results prove the existence of the Fractal Market Hypothesis, FMH, and the Long Memory property in both the risk and return of the petrochemical stock index. These findings can be culminated in reaching a reliable and significant model to evaluate the investment risk in the petrochemical industry. In line with this, to analyze the idea whether considering the exchange rate movements matter for assessing the risk management in the petrochemical industry, the effects of exchange rate movements as a crucial source of systematic risk in Iran has been taken into consideration in the process of modelling the risk of investment in that industry. Our results demonstrate that the exchange rate movements have had a direct and significant effect on the investment risk of that industry so that if, on average, one percent change occurs in the exchange rate, the investment risk in this industry changes by 57% in the same direction.
- انتشار مقاله: 28-03-1398
- نویسندگان: Alireza Khosrowzadeh,Aboutorab Alirezaei,Reza Tehrani,Gholamreza Hashemzadeh Khourasgani
- مشاهده