Journal of Money and Economy

The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and significant relationship between traditional measures (Standard Deviation and Semi Standard Deviation) and asymmetric risk measures (parametric VaR, HR risk, historical VaR, and historical HR) and expected return. Therefore, in addition to the significant correlation between risk and return, pricing model based on asymmetric risk and traditional risk was approved, too. Again, it was shown that controlling the effect of variables such as financial leverage, firm size, book-to-market ratio of equity (B/M) and liquidity, momentum and inverse is not able to change the direction of the relationship. Furthermore, the explanatory power of traditional and asymmetric risk criteria are the same. JEL Classification: G10, G17

New monetary literatures widely concentrates on the importance of institutional arrangements in the effectiveness of monetary policy. The debate regarding the optimal institutional design of central banks, independence and conservatism are usually considered to be the most important ingredients for a stable and successful monetary policy. Therefore, the purpose of this study is to deal with the institutional arrangements of monetary policy especially Central Bank Independence (CBI) and Central Bank Conservatism (CBC). Indices used by Grilli et al. (1991), Cukierman (1992), Mathew (2006) and Dumiter (2009) were applied to calculate the CBI during 1961-2016, and CBC in Iran using a dynamic optimal solution under commitment in Barro-Gordon and New-Keynesian forward looking Philips Curve models. Results show that the relative concern on inflation is smaller than that on output gap for the central bank of Iran. Also results regarding the calculations of CBI based on different indices reveals the fact of insufficient independence of central bank in Iran. JEL Classification: C57, E42, E58

The purpose of this paper is to develop an output oriented methodology for calculating productivity growth by using Malmquist productivity index (MPI) and two different data envelopment analysis (DEA) views (optimistic and pessimistic) simultaneously, and apply it to five Iranian Commercial Banks over the four time period (2009-2013). Consequently, we have proposed a new approach called the double frontiers two-stage DEA or DFTDEA for simultaneous measurement of the MPI from both different DEA views. Furthermore, this paper has used two-stage DEA with reference to the variable return to scale technology (VRS) and applied a new viewpoint to measure the overall efficiency of the process. JEL Classification: E01, E17, E37

Utilizing finance conceptual framework, this paper applies a Frontier-Volatility analysis to illuminate regulatory policies effects on volatility under Iranian Banking Prudential Framework over the period 2003 to 2015 using the raw database collected, classified and compiled by the Rahavard Novin Co. version 3, Securities and Stock Exchange Organization. Findings portray that volatility is affected by the regulatory policies. Tighter regulatory controls will lead to higher volatility that makes it tough for the central bank to regulate the system for culminating financial stability as well as difficulty of entry for the investors. Regulatory policies’ positive variations will also lead to lower share revenues as well as a decrease in the earning per share (EPS) that will make it volatile and also will heighten the liquidity risk causing volatility as well as lower investment and shared revenues fluctuate the performance. Furthermore, economic growth has been ineffective on volatility in the current period although its effect has been positive and significant in the first lag period. Higher assets circulations cause higher and significant volatility. The debt proportion coefficient is positive and significant as expected that financial institutions gain more through higher leverage leading to higher volatilities in earnings. JEL Classification: C51, C58, G58, F82, G21

Banks, in order to extend the development of information technology and electronic banking services and its using by customers, in first place, should examine barriers and problems in using information technology. Therefore, in this study we deal with identifying and prioritizing these barriers in Iranian banks. Our method in this research is descriptive-survey. In this way, after the library study and the extraction of factors and problems facing the information technology, common indexes is extracted by Delphi approach, which is classified in 8 categories and led to 17 indexes. Then, by helping the fuzzy DEMATEL approach we prioritize these indexes. By using MATLAB software the affecting and the affected factors was analyzed. The results show that the affecting factors on development of electronic banking include society culture of acceptance, lack of public awareness, the field of communications, strong culture of organization, managers’ acquaintance with technology, strong regulations to deal with cyber criminals, recruitment of skilled human resources and coordination in the adoption of field of policies in the of technology. Also the affected factors of development of electronic banking include existence of centers of various decision making in technology, development and being adequate networks, individuals’ continuous training, managers planning about promotion and maintenance of systems, existence of modern hardware and software, system monitoring and safety, required standards in information resources, lack of deficiency in accuracy and being up to date the information and information resources. They all are affecting from other factors in electronic banking development. JEL Classification: C44, G210

Achieving business-IT alignment is one of the main purposes and also challenges of organizations. Many studies have indicated the importance of aligning information systems (IS) function with other business functions. The main purpose of this survey is evaluating business-IT alignment focusing on social and technical dimensions of business-IT alignment in Bank Mellat. The data was collected through a questionnaire which was designed based on Capability Maturity Model Integration (CMMI) and also the models provided by Reich and Benbasat (2000), and Lee et al. (2008). By using three questionnaires, the status of social and technical dimensions of business-IT alignment has been investigated under 3 groups of questions: (a) Business-IT strategic planning alignment; (b) Business-IT processes, organization and relationships, and (c) Managing IT human resources and training users. The collected data was analyzed by applying one-tailed T-Test, ANOVA and Tukey-Kramer post- test. The results of analysis show that the status of all technical indicators was at ‘Defined’ stage, while there was some weakness in social dimension of business-IT alignment. Also, the overall results show that the status of business-IT alignment regarding all of the three mentioned dimensions is at ‘Defined’ stage. A comparative analysis of the results that has focused on the perceptions of different sample respondent groups show significant differences between the perceptions of external auditors who believe in ‘Repeatable’ level of business-IT alignment and other respondent groups who believe in ‘Defined’ level of business-IT alignment toward all three mentioned dimensions. JEL Classification: C12, C18, D1, D21, D22, D73