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کاربرد نوع شرط:
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی: Q43,E59,P28,Keywords: Oil Price,Banking Stock Index,Asymmetric Pass-Through,Hidden Co-Integration,ARDL-CECM Model. JEL Classification: C32,C52
- چکیده:
- چکیده انگلیسی: U sing daily data, this study examined asymmetric pass-through of Iran’s oil price to banking stock index in Tehran Stock Exchange at different time horizons. Based on the results, the coefficient of long-run pass-through of oil price to banking stock index was estimated to be 0.63. Furthermore, based on the short-term ARDL-CECM models, the relationship between the positive components of the banking stock index and those of oil price was estimated, which was significant and equivalent to 0.44. In another model, the influence of negative components of oil price on banking stock index was estimated to be 0.38. Accordingly, by comparing the coefficients of the analyzed components of the oil variables with the corresponding components of the banking stock index, it was found that the value of these two coefficients was different, which is an evidence for an asymmetric relationship between banking stock index and oil price. In the short-term equation (ECM), the ECT value was significant and equivalent to -0.12 confirming the fact that if a shock upsets the long-term balance of the model variables in the short term, the effect of this index will wear off after about 83 periods.
- انتشار مقاله: 09-11-1396
- نویسندگان: Shima Haj Ghanbar Viliani,Farhad Ghaffari,Kambiz Hojhabr Kiani
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی: Time series,Wavelet,Oil Price,JEL Classification: B23,C22,E3. Keywords: Coherency,Phase-Angle,REER
- چکیده:
- چکیده انگلیسی: Abstract:
This paper discusses two topics. At first, it uses continuous wavelet (Morlet) transform, coherency, and phase angle analysis to study the effect of mean volatility in OPEC Crude Oil prices, WTI crude oil prices, Brent Crude oil prices and Iran’s crude oil prices on The Iran’s REER. To this end, the monthly data of the variables for years 2003 to 2012 is used. Coherency analysis revealed areas where there are behavioral similarities between the two time series (The Oils Prices and The Iran’s REER). These areas are displayed in spectral graphs. The results demonstrate that there is high coherency between the two variables (The Oils Prices and The Iran’s REER). Then, to have a better understanding of type and depth of the relations between The Iran’s Oil prices and The Iran’s REER, cross wavelet transform and phase difference analysis are used. The final result demonstrates that if the government does not take countercyclical policies, The Iran’s crude oil price variable has the potential to affect Iran’s REER variable and be the lead operator.- انتشار مقاله: 02-12-1394
- نویسندگان: Farhad Ghaffari,Aghigh Farhadi
- مشاهده
- جایگاه : پژوهشی
- مجله: International Journal of Information, Security and Systems Management
- نوع مقاله: Journal Article
- کلمات کلیدی: Critical success factors,Requirement,Constraints,teleworking implementation
- چکیده:
- چکیده انگلیسی: Teleworking as an innovative way has many benefits in governmental, organizational and individual levels, but it faced with different variables in plan and implementation which is caused to low acceptance rate in organizations. By identifying and controlling these variables, managers and decision-makers can use teleworking programs in their organizations. The aim of this study is to investigate the requirements and Constraints of teleworking implementation in governmental organizations. This paper reviews the literature related to teleworking in the world, identifies variables related to requirements and Constraints that affect teleworking and designs the research model based on that.In this study that was conducted in descriptive and analytical way, 145 employees of Research centers of the Ministry of Roads and Urban Development was selected as case study. After gathering information through standardized questionnaires, data have been analyzed through SPSS software and correlation coefficient and linear regression tests in the figure of descriptive and analytical tables.The results of linear regression model respectively show the significant relationship and negative effects of Constraint and positive effects of requirement variables on teleworking implementation.
- انتشار مقاله: 30-07-1391
- نویسندگان: Farhad Ghaffari,Ali Akbar Haddadi Harandi
- مشاهده
- جایگاه : پژوهشی
- مجله: International Journal of Finance and Managerial Accounting
- نوع مقاله: Journal Article
- کلمات کلیدی: size,P/E ratio,Price Bubble,information transparency,liquidity speed
- چکیده:
- چکیده انگلیسی: Financial markets especially the capital market are among the most important means of equipping and allocating financial sources. The stock exchange market is one of the elements of this market. Considering the financial and economic strategic importance of this market, in case there is extensive disruption and deviation in it, it will be seriously problematic to equip and allocate the financial sources of the country. One of the factors causing these issues is the price bubble. Considering the importance of price bubble and following the financial crises caused by the formation of a bubble, the main aim of this study was to investigate the factors affecting the price bubble in the Tehran stock exchange (TSE) market. The statistical sample of this study consists of 166 companies listed in the Tehran stock exchange (TSE) market from 2007 to 2017. In this study, the effective factors and fitting of the main model have been studied using spss software and EViews. The obtained results indicate that based on the fitting of the model, except for variables of size and transparency of information which have not shown a significant effect on the price bubble, other variables including stockholder composition, P/E ratio and liquidity speed have a significant effect on the price bubble.
- انتشار مقاله: 02-02-1399
- نویسندگان: Sara Dastani Heriss,Taghi Torabi,Ali Asghar Anvary Rostamy,Farhad Ghaffari
- مشاهده
- جایگاه : پژوهشی
- مجله: International Journal of Finance and Managerial Accounting
- نوع مقاله: Journal Article
- کلمات کلیدی: Nash Equilibrium,pricing,Supply Chain,Inventory,Non-cooperative games
- چکیده:
- چکیده انگلیسی: This article by modeling a non-cooperative dynamic game tries to improve profitability and competition. This paper has considered how the manufacturer interacts with multiple competitor distributors. Each distributor also determines the optimal distribution price and inventory replenishment policies to maximize their profits. The issue form a non-cooperative dynamic game. Distributors formulate sub-games and finally, have formed the main game with the manufacturer. After designing the game, we determined the Nash equilibrium. We use the concept of "Nash equilibrium" to analyze supplier, manufacturer and distributor strategies in the overall game with the manufacturer. In order to achieve the Nash equilibrium, we use decisions as input parameters. In this case, each player, in addition to making the right decision, can make decisions in order to prepare for possible changes in the decisions of other actors and thereby maximize their profit. As long as actors are reluctant to change their decisions, the process continues. For this purpose, we used analytical method and solution procedure. The results indicate that by increasing the market scale, increasing price sensitivity, increasing the degree of replacement of products, as well as increasing production costs, distributor's profit increases. In this paper, Lingo software was used for calculations.
- انتشار مقاله: 10-12-1396
- نویسندگان: Nakisa Araghi,Hashem Nikoomaram,Farhad Ghaffari
- مشاهده
- جایگاه : پژوهشی
- مجله: International Journal of Finance and Managerial Accounting
- نوع مقاله: Journal Article
- کلمات کلیدی: Stock Return,Time-Varying,Stochastic Volatility,TVP-SV
- چکیده:
- چکیده انگلیسی: One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, portfolio allotment, assessment of at-risk value, pricing, authority of transaction and future contracts. Accordingly, in the present study, using TVP-SV and PLS models and comparison them with the method OLS in MATLAB and XLSTAT software in the period from 2003-01 to 2016-06 (monthly) the effect of actual variables (industrial production, investment of actual sector in housing, economic growth, share of government expenses to GDP and growth rate of nonoil export) and monetary variables (inflation, money arena, oil price, domestic price of gold) on return of the Tehran Stock Exchange is investigated. Based on the PLS model, it was concluded that variables of economic growth and oil price affected the efficiency of the Tehran Stock Exchange more than other variables. Then, variables of economic growth and oil price were entered to the TVP-SV model. According to results, the model TVP is more efficient than the OLS one. In addition, the TVP-SV model after pause of stock return, economic growth during the period had the highest efficiency on stock return.
- انتشار مقاله: 17-07-1396
- نویسندگان: Samaneh Tarighi,Taqi Torabi,Farhad Ghaffari,Abbas Memarnezhad
- مشاهده