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کاربرد نوع شرط:
- جایگاه : پژوهشی
- مجله: Iranian Journal of Finance
- نوع مقاله: Journal Article
- کلمات کلیدی: Iran,Interest Rate,Stoke Price Index,Three Stage Least Square
- چکیده:
- چکیده انگلیسی: The Stock Exchange is a private sector savings and liquidity fund to fund long-term investment projects. The indicators of this market are influenced by several factors, one of which are economic variables. Banks are also one of the most important investors in the financial market. In this study, the effect of exchange rate, bank interest rate, liquidity and inflation rate on stock price index using time series data of 1978-1988 and using equation system model of four equations of the stock price index, inflation rate, profit rate Deposits, and facility interest rates were estimated using the three-stage least squares method. The results showed that the effect of the exchange rate, deposit interest rate and positive liquidity volume and the effect of inflation rate on stock price index was negative. Other equations have been estimated because of the relationship between the bank interest rate and inflation rate, and the results show that both deposit interest rate and facility interest rate have a positive relationship with the inflation rate
- انتشار مقاله: 21-08-1398
- نویسندگان: Zahra Haeri Nasab,Kiomars Sohaili
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Journal of Economic Studies
- نوع مقاله: Journal Article
- کلمات کلیدی: DSGE Models,Exchange rate regimes,Policy evaluation,Conditional forecasting
- چکیده: پویایی های نرخ ارز دارای یک نقش مهم در استخراج سیکل های تجاری کشورهای در حال توسعه است. به دلیل این درجه اهمیت، این مقاله اثرات رژیم نرخ ارز شناور مدیریت شده بر پویایی های برخی متغیرهای کلان ایران را بررسی می کند. بدین منظور، یک الگوی تعادل عمومی پویای تصادفی برای اقتصاد ایران طراحی و برآورد شده و سپس با استفاده از داده های فصلی دوره 1395 - 1368 و روش بیزین، پارامترهای ساختاری مدل برآورد شده است. با بکارگیری پیش بینی شرطی، نتایج مدل نشان می دهد که رژیم نرخ ارز شناور مدیریت شده، در مقایسه با رژیم نرخ ارز ثابت، رشد اقتصادی بیشتری به همراه دارد و همزمان، فعالیت های سوداگری کمتری در بازارهای ارز و پول به همراه دارد. همچنین، نتایج حاصل از تجزیه واریانس آشکار می کند که شوک های نرخ ارز مهمترین شوک در استخراح سیکل های تجاری و نوسان های سایر متغیرها است. بر اساس این یافته ها، پیشنهاد مطالعه به سیاست گذاران این است که رژیک نرخ ارز شناور مدیریت شده را به عنوان قاعده سیاستی خود انتخاب کنند.
- چکیده انگلیسی: Exchange rate fluctuations have a major role on business cycles. Due to this degree of importance, this paper analyzed the effects of managed floating exchange rate regime on dynamics of some macroeconomics variables of Iran. To do this, we design a dynamic stochastic general equilibrium (DSGE) model for Iran and then using quarterly data over 1989-2016 and Bayesian method, the structural parameters of the model have been estimated. By employing conditional forecasting, our results show that managed floating exchange rate regime, compared with fixed regime, brings more economic growth and at the same time, less speculative activities in money and exchange markets. Moreover, the results from variance decomposition reveal that exchange rate shocks are the most important shock in deriving business cycles and fluctuations of other variables. Based on these finding, we propose policymaker to choose managed floating exchange rate regime as its policy rule.
- انتشار مقاله: 28-03-1398
- نویسندگان: Kiomars Sohaili,Alireza Erfani,Yousef Hayati
- مشاهده
- جایگاه : پژوهشی
- مجله: Advances in Mathematical Finance and Application
- نوع مقاله: Journal Article
- کلمات کلیدی: Iran,Facility Interest Rate,Macroeconomic variable of Iran,Three stage least squar
- چکیده:
- چکیده انگلیسی: The bank interest rate is one of the most important macroeconomic variable in each country economic. The purpose of this paper is find the relationship between the facility interest rate and three main variable of the money market.In Iran. this issue for equations the interest rate facility, the interest rate of deposit, inflation and credit risk utilizing the model simultaneous equation system and method three-stage least squares estimated. Results show that in this 32 year period the interest rate of the facility whit the interest rate on deposits is one of the most important macro- banking variable has a positive and significant relationship. So that with an increase in interest rate on deposits, the interest rate of facility also increases. It was also determined the interest rate of facility with inflation has a negative and significate relationship. This expresses with increasing inflation, the facility interest rate decreases. Because in Iran the rate of interest determined as an order, this result is not expected. The interest rate of facility and and credit risk have a positive and significant relationship, which represents it when the interest rate of facility increases, likelihood of non payment increased by borrowers. Also, inflation rate with liquidity and exchange rate has a positive relationship which is consistent reality.
- انتشار مقاله: 24-09-1397
- نویسندگان: Zahra Haerinasab,Kiomars Sohaili,Shahram Fattahi
- مشاهده
- جایگاه : پژوهشی
- مجله: Advances in Mathematical Finance and Application
- نوع مقاله: Journal Article
- کلمات کلیدی: Iran,Facility Interest Rate,Deposit Interest rate,Three-stage Least Squar
- چکیده:
- چکیده انگلیسی: The facility interest rate is one of the most important macroeconomic variables. The bank facility interest rate is associated with other macro-economic variables, one of which is the bank deposit interest rate. Using the time series data of the 1973-2017 period and the simultaneous equation system, the researchers estimated four equations using the three-stage least squares method.The result of estimation of the first equation indicates that there is a significant positive relationship between the bank deposit interest rate and the facility interest rate in the Iranian economy during this 45-year period, in that a decrease in the facility interest rate follows an increase in the inflation rate.The result of estimation of the second equation, in which the deposit interest rate is the dependent variable, shows that there is a significant positive relationship between the facility interest rate and the deposit interest rate.. The result of estimation of the third equation, where the inflation rate is the dependent variable, indicates that there is a significant positive relationship between the liquidity level and the inflation rate,The result of estimation of the last equation where the credit risk of banks is the dependent variable shows that there is a significant positive relationship between the facility interest rate and the credit risk.
- انتشار مقاله: 25-08-1397
- نویسندگان: Zahra Haerinasab,Kiomars Sohaili,Shahram Fattahi
- مشاهده