Journal of Money and Economy

Journal of Money and Economy

Journal of Money and Economy, Vol. 9, No. 4, Fall 2014 (مقاله علمی وزارت علوم)



Optimal Policy Rules for Iran in a DSGE Framework (Islamic Musharakah Approach)(مقاله علمی وزارت علوم)

کلید واژه ها: Musharakah DSGE model optimal simple rule Iran

حوزه های تخصصی:
تعداد بازدید : ۲۷۰ تعداد دانلود : ۱۳۲
The aim of this paper is determination of an optimal policy rule for Iranian economy from an Islamic perspective. This study draws on an Islamic instrument known as the Musharakah contract to design a dynamic stochastic general equilibrium model. In this model the interest rate is no longer considered as a monetary policy instrument and the focus is on the impact of economic shocks on the Dynamics of Macroeconomic variables. Finally, a policy rule based on Musharakah is introduced from which the optimal policy and empirical coefficients are derived. Using data from Iran, the empirical results indicate that the policy responses of central bank to output gap and inflation are in accordance with expectations and therefore, economically meaningful. So specified instrument policy rule has to be considered as optimal in general. The optimal policy rules indicate that when the authorities pay equal attention to the inflation and output gaps the minimum loss is occurred. JEL Classifications: C61, C63, E42, E52

The Effect of the Behavioral Elements on the Growth of Iranian Firms(مقاله علمی وزارت علوم)

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تعداد بازدید : ۱۹۲ تعداد دانلود : ۱۴۴
There are many factors that could have a potential impact on the growth of a firm. In this research, we examined the relationship between the following economic elements: Size of the firm, Research and development expenditure, Advertisement cost, and the growth of Iranian firms of manufacturing industry. For this purpose, four digit ISIC standard data in manufacturing industry sector have been gathered (based on the published data of the Iran Statistics Center during 1997 to 2007). Then, the effects of the size of the firm, research and development and advertisement on the firm growth were tested. Results showed that research and development and advertisement expenditure factors have positive and significant impacts on the firm growth. In contrast, there was not any significant relation between the initial size of the firm and the growth. Based on the findings of this study, the Gibrat law was confirmed. In addition, the direct relation between the behavioral elements and firm performance was verified. JEL classifications: D92, L25, M37

The Effect of Intellectual Capital on Financial Performance of Banks Listed in Tehran Stock Exchange(مقاله علمی وزارت علوم)

کلید واژه ها: Intellectual Capital Return on equity Return on assets Book to market ratio Assets turnover

حوزه های تخصصی:
تعداد بازدید : ۲۵۶ تعداد دانلود : ۱۲۰
The aim of this paper is to empirically investigate the effect of Intellectual Capital (IC) and its components on financial performance of Iranian banks accepted in Tehran Stock Exchange (TSE). The financial performances were measured by return on equity (ROE), return on assets (ROA), assets turnover (ATO), and book to market ratio (MB). This research covers 14 banks listed in TSE over the period 2004 - 2013 and use VAIC method as a quantifiable measure to assess the intellectual capital and its components. The result of regression analysis shows that structural capital and human capital efficiency have positive and significant effects on banks' financial performance. Also, the first lag of physical capital efficiency has positive and significant effect on ROA, ROE, and ATO, but, its effect on MB is not significant. Finally, estimations show that the effect of IC on the financial performance of banks is positive and significant. JEL Classifications: E03, E22, E44

A New Policy Environment to Achieve Monetary Goals(مقاله علمی وزارت علوم)

کلید واژه ها: Monetary policy Monetary transmission mechanism Financial Markets

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تعداد بازدید : ۱۸۲ تعداد دانلود : ۱۹۹
Monetary environment as the core of financial system has been functionally designed in light of the new set of extensive goals including financial stability, sustainable noninflationary growth, external sustainability, and price stability. A comprehensive monetary policy framework is proposed for Iran which systematically include the new goals, stance variables, instruments, transmission mechanism as well as timely monitoring system. Accordingly, macroeconomic data provides a reliable momentum to evaluate how far the macroeconomic condition is away from the monetary goals in case the data is timely-consistently compiled by policy makers. A wide variety of policy instruments are occasionally applied in the context of the new monetary policy framework by the conventional transmission channels which are technically tracked via monetary condition index, early warning system, leading indicators, and stress tests that give a timely feedback to policy makers to draw contemporaneously a picture of macro prudential stance. Given the prominent share of asset market (housing and capital) in the whole financial and nonfinancial markets in Iran, the monetary policy is empirically required to streamline assets market’s flow of funds instead of extra concentration on broad money growth and lending channel. Meanwhile, balance sheet channel is obviously expected to be more effective against monetary policy stance rather than lending channel in order to achieve monetary goals. In this regard, housing and capital markets are both significantly considered more efficient to finance flow of funds and fiscal deficit. JEL Classifications: E52, E59, G10

Stock Price Forecasting(مقاله علمی وزارت علوم)


کلید واژه ها: Perceptron network Fuzzy neural network CART decision tree Support vector regression

حوزه های تخصصی:
تعداد بازدید : ۱۶۹ تعداد دانلود : ۸۴
The especial importance of capital market in countries is undeniable in economic development via effective capital conduct and optimum resources allocation. Investment in capital market requires decision making in new stock exchanges, and accessing information in the case of future status of capital market. Undoubtedly, nowadays most part of capital is exchanged via stock exchange all around the world. National economies are extremely affected by the performance of stock market, high talent and unknown factors affecting stock market, and this causes unreliability in investment. It is clear that unreliable assets are inappropriate and in other side, for those investors who select stock market as a place to invest this asset is inevitable; thus, naturally all investors struggle to reduce unreliability. The present study compares four different models of predicting stock price, namely, Perceptron network, Fuzzy neural network, CART, Decision tree, and Support vector regression in Iran stock market during 2008 - 2012. Research sample includes 81 firms listed on the Tehran Stock Exchange (TSE). The findings compared in the case of five indicates show that for predicting stock price, using CART decision tree, has lower error than other ones. JEL Classifications: C10, C13, C18

An Analysis of Social Capital Reduction in Banking Industry and its Impact on GDP(مقاله علمی وزارت علوم)

کلید واژه ها: Social capital GDP Uncertainty Banking

حوزه های تخصصی:
تعداد بازدید : ۲۷۷ تعداد دانلود : ۱۶۳
Social capital is a relatively new concept in the social sciences and is one of the most important challenges of new era in a way that based on experts’ comments, the solution for all the problems of today’s modern world is social capital. To this end, one of the problems that managers of organizations particularly; service and manufacturing organizations have faced with today is lack of trust in accurate implementation of contract specifically implied contracts. If managers tend to control the whole organization for the accurate implementation of these contracts, it would lead to extravagant costs. One proper and certain way to solve this problem is to apply elements and components of social capital in organizations. By deploying scientists’ thoughts regarding social capital, the present research attempts to analyze the evidence of social capital reduction in banking industry and test its impact along with other forms of capital on GDP of the country. Findings of this study indicate that there is a significant and reverse relation between social capital reduction in banking industry and GDP. JEL Classifications: J24, E23, D81, E58


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