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مرکز اطلاعات علمی SID1
اسکوپوس
دانشگاه غیر انتفاعی مهر اروند
ریسرچگیت
strs
Author(s): 

AZIZI ZAHRA

Issue Info: 
  • Year: 

    2018
  • Volume: 

    26
  • Issue: 

    85
  • Pages: 

    271-300
Measures: 
  • Citations: 

    0
  • Views: 

    358
  • Downloads: 

    182
Abstract: 

In this paper, we estimate the reaction function of FOREIGN EXCHANGE intervention in Iran, during 1381q2-1393q4. According to the existence of a non-linear relationship between variables, we used smooth transition regression model. The results of this investigation indicate that the monetary authority intervention in Iran is a function of the nominal EXCHANGE rate growth and its misalignment, the lag of central bank's FOREIGN reserves growth and the growth of government oil revenues. According to the tests, the EXCHANGE rate growth is an appropriate transition variable in the estimation with the threshold of 10. 31 present. Around this amount, the coefficients follow two different regime structures. The results also reflect the fact that monetary authorities in Iran have shown a greater response to the EXCHANGE rate growth after crossing the threshold.

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Journal: 

Financial Economics

Issue Info: 
  • Year: 

    2022
  • Volume: 

    16
  • Issue: 

    58
  • Pages: 

    233-256
Measures: 
  • Citations: 

    0
  • Views: 

    167
  • Downloads: 

    157
Abstract: 

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.

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Author(s): 

EBADI JAFAR | JAHANGARD HAJAR

Issue Info: 
  • Year: 

    2012
  • Volume: 

    47
  • Issue: 

    3
  • Pages: 

    23-44
Measures: 
  • Citations: 

    1
  • Views: 

    1465
  • Downloads: 

    493
Abstract: 

The paper examines for the first time the FOREIGN EXCHANGE intervention policy in FOREIGN EXCHANGE market of Iran. And in this framework, the study designs and simulates the FOREIGN EXCHANGE intervention model in Iran. In the first section, the paper shows that the injection of oil revenues directly to economy and also the absence of potent structure of output are inclusively caused the central bank intervention in the form of FOREIGN EXCHANGE buying in the market. This directs to high inflation and low output. So, the survey is designed the FOREIGN EXCHANGE intervention model in Iran in the form of nonlinear dynamic continuous-time stochastic model. But because there is no exact numerical solution for the model, the paper presents the Monte Carlo simulated model program base on R package.

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گارگاه ها آموزشی
Issue Info: 
  • Year: 

    2010
  • Volume: 

    15
  • Issue: 

    44
  • Pages: 

    199-230
Measures: 
  • Citations: 

    1
  • Views: 

    845
  • Downloads: 

    233
Abstract: 

Management of FOREIGN EXCHANGE reserves is important for every country. This matter is also of particular interest for Iran as an Oil exporting developing country. This paper designs an optimal portfolio for that part of FOREIGN EXCHANGE incomes which is used for investment. Using the data on FOREIGN EXCHANGE daily returns, for the period 2000-2008, and applying univariate and multivariate Garch models, we estimate a model which maximizes expected returns subject to a Value-at-Risk constraint. The results are examined using Backtesting, and then the most acceptable model is suggested. The results that the multivariate GARCH model is the most efficient method for selecting the FOREIGN EXCHANGE optimal portfolio in Iran.

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Author(s): 

ATASHI GOLESTAN M.

Issue Info: 
  • Year: 

    2009
  • Volume: 

    -
  • Issue: 

    SUPPLEMENT 1
  • Pages: 

    309-356
Measures: 
  • Citations: 

    0
  • Views: 

    3282
  • Downloads: 

    132
Abstract: 

"Regulations on paragraph c, article 15 of the law of the fourth economic, social and cultural development plan of the Islamic republic of Iran concerning the investment of FOREIGNers in Stock EXCHANGE" which was passed on 31 may 2005, made it possible for FOREIGN investors to invest in Tehran Stock Market. But unfortunately few FOREIGN investors have been inclined to invest in this market. Observing the above-mentioned rules would help us to realize if they are suitable enough to promote FOREIGN investment or they need amendments. In this article the foregoing regulations especially restrictions will be recognized and also the relevant rules will be considered.

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Author(s): 

TAGHAVI M. | KHODDAM M.

Issue Info: 
  • Year: 

    2011
  • Volume: 

    4
  • Issue: 

    9
  • Pages: 

    147-192
Measures: 
  • Citations: 

    1
  • Views: 

    1710
  • Downloads: 

    620
Abstract: 

Understanding the identity of phenomenon and their relation is one of the function of science. the insight of this knowledge can help scientists to predict the future and make the background of changes and decisions.In addition to understanding of phenomenon relationship some other studies try to compare the theories and find the best one on the point of their predictability. In this study we tried to review different paradigm and thoughts and theories of EXCHANGE rate and its behavior and also to compare their ability in forecasting the behavior of EXCHANGE rate, for this reason we postulate four theories of EXCHANGE rate which are: mondell-flemming theory, purchasing power parity thory, asset market theory and monetary with flexible price.Our time framework include "in the sample" and "out of sample" data and our case study in this research is examining the behavior of GBP/USD in FOREIGN EXCHANGE market (FOREX), in the sample data include 01/01/1988 to 01/06/2008 monthly and out of sample data include 01/01/2006 to 01/06/2008.In this research we postulated the theories with in the sample data and after examining the validity of model with macro econometric techniques, then with extracting the four measures RMSE, MAPE, MAE and THEIL INEQUALITY COEFFICIENT we evaluated the ability of forecasting each model based on its theory. Finally the result of the study showed that in the mentioned time framework mondell-flemming model could forecast the behavior of GBP/USD better than other theories.

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strs
Issue Info: 
  • Year: 

    2010
  • Volume: 

    10
  • Issue: 

    1 (37)
  • Pages: 

    13-32
Measures: 
  • Citations: 

    0
  • Views: 

    1349
  • Downloads: 

    420
Abstract: 

Chaotic theory suggests a new method for studying trends in markets and reveals the hidden pattern behind the data that common models can not define them. The usual tests for chaos are calculation of the largest Lyapunov exponent (Le) and strange attractors. A positive largest Lyapunov exponent indicates chaos. Positive amount of "Le" shows chaoticness of process and difficulty of predictability and when it is negative, it shows that process in the long run is non chaotic and predicable. If "Le" moves towards positive quantity near zero, chaotic system is weak and middle term predictability is possible. In this article, with regard to test of strange attractor and biggest Lyapunov exponent probability of chaos on several FOREIGN EXCHANGE rates vs. IRR (Iranian Rial) from 1992/3/25 to 2007/5/23 and two artificial models with regard to the Takens embedding theorem have been investigated. Results show that data in this market have complex chaotic behavior with big degree of freedom, in addition; trend in Iran EXCHANGE Market is not linear and we can not forecast it with common linear methods.

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Issue Info: 
  • Year: 

    2011
  • Volume: 

    1
  • Issue: 

    3
  • Pages: 

    110-111
Measures: 
  • Citations: 

    454
  • Views: 

    13578
  • Downloads: 

    27661
Keywords: 
Abstract: 

Yearly Impact:

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Author(s): 

QIU M. | PINFOLD J.F. | ROSE L.C.

Issue Info: 
  • Year: 

    2011
  • Volume: 

    20
  • Issue: 

    4
  • Pages: 

    485-497
Measures: 
  • Citations: 

    465
  • Views: 

    44745
  • Downloads: 

    29919
Keywords: 
Abstract: 

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