Journal of Money and Economy

Journal of Money and Economy

Journal of Money and Economy, Vol. 10, No. 3, Summer 2015 (مقاله علمی وزارت علوم)

مقالات

۱.

Determinants of International Sukuk Issuance and Capacity Estimation for Iranian Financial Market(مقاله علمی وزارت علوم)

کلید واژه ها: Islamic Fianance International Sukuk Sukuk Issuance Iranian Financial Market

حوزه های تخصصی:
تعداد بازدید : 311 تعداد دانلود : 570
The Sukuk market has become the fastest growing segment of the Islamic financial services industry. Governments and other corporate entities have started tapping the local and international Sukuk markets in order to raise the required funds. The investor base is also expanding and Sukuk has now become a popular and obvious choice for retail investors in a number of jurisdictions. However, because of lack of suitable market conditions and some cross-border restrictions, the international Sukuk market is not developed enough in Iran. Using international Sukuk issuance data for 2001–2015, this study investigates the determinants of international Sukuk issuance and the capacity of issuing such securities in Iranian financial market. We use ANOVA analysis and PCA to explore main factors. Using the data of 34 indicators for 21 countries that have issued international Sukuk, we found that the main determinants of international Sukuk issuance are the ratios of bank deposits to GDP (%), Stock market capitalization to GDP (%), International debt issues to GDP (%) and outstanding international public debt securities to GDP (%). After determination of the basic factors for the countries, using the discriminant model, we estimated the Iranian financial market’s capacity for issuing international Sukuk. Keywords: Islamic finance, International sukuk, Sukuk issuance, Iranian financial market. JEL Classification: G15, G23, E27, C21
۲.

Monetary Policy Reaction Functions in Iran: An Extended Kalman Filter Approach(مقاله علمی وزارت علوم)

کلید واژه ها: Monetary policy Instrumental rule Monetary Policy Reaction Function time varying coefficient Extended Kalman filter

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تعداد بازدید : 958 تعداد دانلود : 126
Estimates of instrumental rules can be utilized to describe central bank's behavior and monetary policy stance. In the last decade, considerable attention has been given to time-varying parameter (TVP) specification of monetary policy rules. Constant-parameter reaction functions likely ignore the impact of model uncertainty, shifting preferences and nonlinearities of policymaker's choices. This paper examines the evolution of monetary policy reaction function in Iran via estimating a time-varying parameter (TVP) specification in the 1990:2-2014:4 period. We try to find out whether there is a significant time variation in coefficient of CBI (the Central Bank of Iran) reaction function. The main findings are threefold. First, monetary policy rules changed over time, hence making relevant the application of a time-varying estimation framework. Second, the monetary instrument smoothing parameter is much lower than typically reported by previous time-invariant estimates of policy rules. Third, CBI does not systematically follow instrumental rule to fight inflation. During the whole sample, there is no quarter in which the inflation gap coefficient is negative and significant; therefore, monetary policy has not counteracted inflationary pressures. Key words: Monetary policy, Instrumental rule, monetary policy reaction function, Time varying coefficient, Extended Kalman filter. JEL Classification: E4, E5
۳.

E-banking and Soundness Indicators for the Banking Network of Iran(مقاله علمی وزارت علوم)

حوزه های تخصصی:
تعداد بازدید : 12 تعداد دانلود : 29
Development of E-banking has modified the structure of banking business and banking performance, efficiency, risk and challenges which have also been articulately recognized based on the international best practices. E-banking brazenly expedites and streamlines financial transactions via enhancing technology and expanding the bank services in comparison with conventional banking. Accordingly, online access to the banks’ products, financial statements, payment services and even credit scoring has considerably improved bank-customer relationships in the context of lending and borrowing practice, deposit composition, investment opportunities, trade finance options as well as account management diversification. The impact of recent E-banking developments on banking is statistically tested for the banking network of Iran using Dynamic Panel Data approach. Results indicate that the ratio of ATMs and Electronic Cards to bank assets positively and significantly influence profitability ratios. Meanwhile, the ratio of online branches and Pin Pads to the banks' assets negatively and significantly affects profitability although the transaction volumes have surged for the banks under study. JEL Classification: G21, G23, G32, F34 Keywords: E-Banking, Risks, Banks' Soundness Indicators
۴.

Conceptual Model of Islamic Commercial Paper for Banks and Credit Institutions on the Basis of Murabaha Sukuk(مقاله علمی وزارت علوم)

کلید واژه ها: Islamic finance Commercial paper Sukuk Murabaha

حوزه های تخصصی:
تعداد بازدید : 851 تعداد دانلود : 237
Financial instruments are one of the fundamental dimensions of financial markets that guarantee their efficiency and effectiveness of these markets. These instruments playe a main role in economy to direct money from saving sources to investment needs. These instruments provide possibility of financing companies from public and private sources and also are considered as investment instruments for cash savings in an economy that can provide a suitable return for investors. Today, various financial instruments have been developed that can meet different financial needs of corporations which can comply with investor tastes and preferences. Among these instruments, commercial paper is usually considered as a short-term financing instruments for working capital expenditures of companies. Banks and credit institutions are among the main entities which issue commercial papers for their liquidity needs. In spite of this, like other traditional financial instruments, commercial papers have been developed and structured in western markets and cannot be issued in Islamic markets due to Shariah (Islam) regulations and condition. But, Islamic contracts and regulations have the capability to develop this important financial instrument in an accepted framework of prescribed contracts in Islam jurisprudence (Fiqh). The present research with a comparative study, (Delphy method) explains the conceptual model of Islamic commercial papers for banks and credit institutions in the form of Murabaha Sukuk, in a way that these papers can be structured and issued in the Islamic markets by using opinions of the experts. Key words: Islamic finance, Commercial paper, Sukuk, Murabaha JEL Classification: G21, G23, G32
۵.

New Product Development Risk Assessment in the Core Banking Using FMEA Combined with COPRAS Method and Grey Relations(مقاله علمی وزارت علوم)

حوزه های تخصصی:
تعداد بازدید : 997 تعداد دانلود : 227
The present study tries to investigate the existing risks in the new product development process in the core banking field. Due to its use after production, new product development with the fewest errors and risks is always the subject of discussion and investigation among the researchers of this field. This study aims to investigate the most important risks existing in the new product development. The most important issue in this regard is that the market of manufactured products is increasingly competitive and the life-cycle of products is in decline due to environmental impacts. These factors force companies to follow such a process (new product development). Many techniques have been invented and applied in order to assess and manage the existing risks in different processes. Failure modes analysis technique and its resulted effects (FMEA) are considered as one of the most effective techniques that have been used for risk assessment of new product development in this study. Also, CORPAS-G method is used for prioritizing the detected risks. The purpose of this study is to identify the risks of new product and their priority for corrective measures to reduce the probable risks. Keywords: Risk assessment, Risk management, New product development, Core banking, FMEA, COPRAS-G GEL Classification: D24, D40, D61, D81, D92
۶.

Shock Dating on Iranian Banking Network’s Balance Sheet(مقاله علمی وزارت علوم)

حوزه های تخصصی:
تعداد بازدید : 118 تعداد دانلود : 216
The real macroeconomic instability and frequent changes in the monetary and banking regulations with financial contagion to the banks’ financial statements in the banking network of Iran cause intensified instabilities in its financial behaviors. In this paper, using statistical analysis and three-dimensional charts, we have analyzed the behavior of the financial statements of consolidated balance sheets covering the banking network of Iran. The paper also uses a non-linear estimation to calculate the threshold value regarding financial statements such as the nonperforming loan ratio. Results indicate that the banking network financial statements must be restructured due to exogenous shocks. Also, in the recession periods of the year 2011 fourth period and 2012 first period, the recession has reached the banking network with lag and banks have been able to change the return on assets ratio regimes neither in the year 2011 nor in the beginning months of the year 2012. Furthermore, the banks have started a contracting policy in providing loans. As time passes, yields and the performing loans depict the fact that yields on assets as profit indicators are increased unless the interest earning and different periods of time changes are also augmented. Going beyond the critical threshold, generating loans will be likely to drive non-performing loans since these loans are not going to be reimbursed. Banks will have to extend their loans to new loan contracts to consider them as performing which will lead to identification of fake profits in their statements. Key words: Financial Statement restructuring, Nonlinear Estimation, Threshold value JEL Classification: E21, G21, L2

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