فهرست مطالب

نشریه اقتصاد پولی، مالی
پیاپی 11 (بهار و تابستان 1395)

  • تاریخ انتشار: 1395/06/28
  • تعداد عناوین: 10
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  • صالح قویدل، مهدی فتح آبادی، حمیده رادفر صفحات 1-25
    اثر بالاسا- ساموئلسون با استفاده از نظریه برابری قدرت خرید، بیان می کند که چه میزان از افزایش ارزش واقعی پول ملی یک کشور (انحراف از نرخ واقعی ارز)، به دلیل بالاتر بودن رشد بهره وری در بخش تجاری کشور نسبت به خارج است. Imai (2010) براساس دو مدل کاربردی، متوسط سالانه شکاف تورم ژاپن و آمریکا (تقویت پول ملی ژاپن) در دوره زمانی 70-1955 را 8/2 درصد به دست آورد و نشان داد که 7/0 درصد از 8/2 درصد افزایش ارزش پول ملی ژاپن به علت بالاتر بودن رشد بهره وری است؛ به عبارت دیگر اثر بالاسا- ساموئلسون در ژاپن را 7/0 درصد برآورد کرد. مطالعه حاضر بر پایه فرضیه بالاسا- ساموئلسون، اثر بهره وری بر نرخ واقعی ارز را طبق دو مدل کاربردی ایمای (2010) در دوره زمانی 90-1381 با مقایسه نرخ تورم ایران و امریکا مورد بررسی قرار داده است. مقدار اثر بالاسا- ساموئلسون در این تحقیق 1/2- درصد برآورد شده، در حالی که ارزش واقعی پول ملی ایران سالانه 6/13 درصد تقویت شده است؛ بنابراین این ادعا که بخشی از تقویت پول ملی ایران (شکاف تورم ایران و امریکا) به دلیل رشد بالاتر بهره وری ایران نسبت به امریکا بوده، کاملا رد می شود. براساس شکاف رشد بهره وری (اثر بالاسا- ساموئلسون)، تورم ایران در دوره مورد مطالعه می بایست متوسط سالیانه 1/2 درصد کمتر از امریکا می بود؛ به عبارت دیگر ارزش واقعی پول ملی ایران می بایست سالیانه 1/2 درصد تضعیف می شد.
    کلیدواژگان: اثر بالاسا، ساموئلسون، بهره وری، برابری قدرت خرید، شکاف تورم، بخش تجاری و غیرتجاری
  • مهدی خداپرست مشهدی، محمدعلی فلاحی، ناهید رجب زاده مغانی صفحات 26-45
    یکی از عوامل تاثیرگذار بر رشد و توسعه اقتصادی، توسعه مالی است؛ به طوری که امروزه سطح توسعه اقتصادی کشورها را سطح توسعه مالی تعیین می کند. از میان تمامی عوامل تاثیرگذار بر توسعه مالی کشورها، به نقش کیفیت نهادی کمتر توجه شده است. در این مطالعه با استفاده از روش داده های تابلویی و برای کشورهای منتخب عضو سازمان کنفرانس اسلامی طی سال های 1996-2010، به بررسی اثر کیفیت نهادی بر توسعه مالی پرداخته می شود. نتایج حاصل از تحقیق نشان می دهد شاخص های کلی حکمرانی (میانگین وزنی 6 شاخص کیفیت نهادی) و کنترل فساد، ارتباط مثبت و معنی داری با شاخص نسبت اعتبارات اعطایی به بخش خصوصی توسط بانک ها و دیگر نهادهای مالی به تولید ناخالص داخلی دارند. همچنین شاخص اثربخشی دولت بر شاخص نسبت به تولید ناخالص داخلی اثر مثبت و معنی-داری دارد. لذا بهبود کیفیت نهادی شرط لازم و ضروری برای ارتقاء توسعه مالی بوده و سیاست-گذاران در این کشورها باید سیاست های مناسبی در جهت بهبود وضعیت حکمرانی به کار گیرند. از این طریق است که یکی از موانع توسعه اقتصادی در این کشورها از میان برداشته می شود.
    کلیدواژگان: توسعه مالی، کیفیت نهادی، کشورهای عضو سازمان کنفرانس اسلامی، داده های تابلویی
  • حسن خداویسی، احمد عزتی شورگلی صفحات 46-82
    یکی از موضوعات بسیار مهم برای سیاست گذاران اقتصادی در سطح کلان، نحوه رفتار متغیر ها در بلندمدت و کوتاه مدت در نتیجه تغییر پارامترهای سیاستی می باشد. ازجمله پارامترهای مهم سیاست گذاری، ابزارهای سیاست پولی است که این مقاله بر آن تمرکز دارد. در حقیقت یکی از موضوعات مورد بحث در ادبیات اقتصاد نظری، نحوه تاثیر سیاست پولی و شوک های پولی بر متغیرهای واقعی است. این پژوهش به بررسی آزمون خنثایی پول و عدم تقارن تکانه های پولی در ایران، با استفاده از داده های فصلی دوره زمانی (1369:1-1393:3) می پردازد. الگوی اقتصادسنجی به کارگرفته شده در این مقاله رهیافت آزمون کرانه ها، روش فیلتر هدریک-پرسکات و مدل خود رگرسیون با وقفه های توزیعی است. نتایج حاصل نشان می دهد که پول در بلندمدت در اقتصاد ایران خنثی است، ولی در کوتاه مدت، رشد نقدینگی تولید را تحت تاثیر قرار می دهد. سپس با استفاده از روش فیلتر هدریک-پرسکات، شوک های مثبت و منفی پولی و ادوار تجاری اقتصاد ایران تفکیک می شوند. نتایج حاکی از آن است که شوک های پولی تاثیر نامتقارنی بر تولید دارد. همچنین اثر شوک های پولی بر تولید طی سیکل های تجاری نامتقارن است.
    کلیدواژگان: خنثایی پول، تکانه های پولی، رهیافت آزمون کرانه ها، مخارج دولت
  • مرتضی جعفرزاده نجار، احمد صباحی صفحات 83-99
    همواره خانوارها در سبد دارایی های خود، اقلام متفاوتی از کالاها مانند وجوه نقد، ارز، سکه طلا، مسکن و غیره را نگه داری می کنند. از بین این دارایی ها طلا همواره بیشتر مورد توجه قرار می گیرد؛ چراکه نسبت به سایر دارایی ها اولا در تابع مطلوبیت خانوار قرار می گیرد و در ثانی قدرت نقد شوندگی بالایی دارد. این مطالعه به بررسی عوامل موثر بر قیمت طلا در ایران می پردازد که از داده های سری زمانی فصلی، طی بازه زمانی سال های 1370-1389و روش اقتصادسنجی خود همبسته با وقفه توزیع شده (ARDL) استفاده شده است. نتایج حاصل از این مطالعه بیانگر آن است که در کوتاه مدت و بلندمدت متغیرهای قیمت نفت، نرخ سود بانکی و نرخ ارز، همگی تاثیر منفی و معنی داری بر قیمت طلا دارند؛ به عبارتی افزایش در متغیرهای یادشده، باعث کاهش در قیمت طلا می شود. همچنین متغیرهای تورم و قیمت جهانی طلا تاثیر مثبت و معنی داری بر قیمت طلا دارند.
    کلیدواژگان: دارایی های خانوار، قیمت طلا، روش خود همبسته با وقفه توزیع شده (ARDL)، ایران
  • جواد عرب یارمحمدی، علیرضا عرفانی صفحات 100-122
    نظریه پول درونزا یکی از بحث های اصلی اقتصاددانان پساکینزی است که بر مبنای آن بر خلاف جریان متعارف نظریه پولی که پایه پولی میزان اعتبارات بانکی را تعیین می کند، پایه پولی معلول اعتبارات بانکی است. در واقع جهت علیت در عرضه درونزای پول، از اعتبارات بانکی به مانده های پولی است، در حالی که در تئوری دیرپای عرضه برونزای پول، این مانده های پولی است که وام های بانکی را تعیین می نماید. اینکه در یک اقتصاد پول درونزا باشد یا برونزا ابزارهای سیاست پولی را که از اثربخشی بیشتری برخوردار باشند متفاوت می نماید. در این مقاله درونزایی عرضه پول در اقتصاد ایران با استفاده از مفهوم اقتصادسنجی درونزایی و با به کارگیری تواترهای زمانی متفاوت و انواع آزمون های آماری ارائه شده برای بررسی اقتصادسنجی درونزایی متغیرهای یک مدل، آزمون شده است. نتایج حاکی از آن است که برونزایی پایه پولی و تعریف محدود پول را نمی توان بر اساس اطلاعات موجود رد نمود، اما برونزایی نقدینگی قابل رد است. این نتایج می تواند این دیدگاه را که در اقتصاد ایران نمی توان از حجم پول به عنوان ابزار اعمال سیاست پولی استفاده کرد و نرخ بهره ابزار مناسب برای سیاست های پولی است، تضعیف نماید.
    کلیدواژگان: نظریه پولی پساکینزی، درونزایی، متغیر ابزاری، روش گشتاورهای تعمیم یافته، حداقل مربعات دومرحله ای
  • مجتبی پوستین چی، حسن تحصیلی، مصطفی کریم زاده صفحات 123-145
    در زمینه تاثیر رقابت در صنعت بانکداری بر ثبات بانک ها دو دیدگاه کلی وجود دارد: دیدگاه رقابت- شکنندگی (تمرکز- ثبات) که رقابت را عامل تشدیدکننده بی ثباتی می انگارد و دیدگاه رقابت- ثبات (تمرکز – شکنندگی) که تقویت رقابت را موجب تقویت ثبات می داند. بر همین اساس در این مقاله تلاش می شود صحت هرکدام از دو دیدگاه فوق بررسی شود. به همین منظور با استفاده از مدل داده های تابلویی برای 18 بانک فعال در صنعت بانکداری ایران در تمام دوره 1384-1390 این نتایج به دست آمد. میان رقابت (تمرکز) و ثبات بانک ها ارتباطی منفی (مثبت) و معنادار وجود دارد. از میان سایر متغیرها نیز دارایی بانک ها قوی ترین اثر (مثبت) معنادار را بر ثبات بر جای می گذارد.
    کلیدواژگان: رقابت بانکی، درجه تمرکز، ثبات مالی، ثبات بانکی، داده های تابلویی
  • حمید یاری، آرزو یاری صفحات 146-166
    هر سرمایه گذار با هدف کسب نرخ بازده مورد انتظار اقدام به سرمایه گذاری می کند و هدف وی کسب بیشترین بازده از سرمایه گذاری خود می باشد؛ اما با توجه به این اصل اقتصاد مالی که به طور معمول بازده با ریسک رابطه ای مثبت دارد، لذا کسب هر میزان بازده ای بیشتر از نرخ بازده بدون ریسک، با مقداری ریسک همراه است که معمولا با افزایش بازده این ریسک نیز افزایش می یابد. در این راستا دست یابی به بهترین رویه های اندازه گیری ریسک در هر بازاری می تواند برای سرمایه گذاران و سیاست گذاران بسیار مفید فایده باشد. این تحقیق در صدد آن است که بهترین رویه های اندازه گیری ریسک را در بازار ایران به دست آورد. در این راستا مدل قیمت گذاری دارایی های سرمایه گذاری ساده با مدل هایی که در آنها عدم تقارن در توزیع بازدهی دارایی ها در نظر گرفته شده است مورد مقایسه قرار می گیرد. با بررسی و مقایسه بیست شرکت از شرکت های پر معامله بورس اوراق بهادار تهران در بازه زمانی-فروردین 1385 تا پایان اسفند 1390- که به صورت ماهانه مورد آزمون قرار گرفت این نتیجه به دست آمد که در دوره مورد بررسی، مدل قیمت گذاری دارایی های سرمایه ای(CAPM)، مدل مناسب تری از مدل های تغییرات بخش پایین تر قیمت گذاری دارایی های سرمایه ای (LPM-CAPM) و مدل واکنش نامتقارن (ARM) در بازار بورس ایران است.
    کلیدواژگان: ریسک، مدل قیمت گذاری دارایی های سرمایه ای، مدل تغییرات بخش پایین تر قیمت گذاری دارایی های سرمایه ای، مدل واکنش نامتقارن
  • محمد کریمی، علی چشمی، مجتبی چشمی صفحات 167-191
    طبق اقتصاد نهادی جدید یکی از نهادهای رسمی که می تواند عملکرد یک صنعت را متاثر سازد کیفیت مقررات حاکم بر آن صنعت است. فرایند اصلاح مقررات گذاری بیمه در جهان نشان می دهد که نظام نظارت مالی با نهاد مقررات گذار مستقل از دولت با نظارت مناسب تر بر بازار و در عین حال تضمین کیفیت خدمات بیمه ای می تواند منافع بیشتری برای جامعه داشته باشد و صنعت بیمه را توسعه دهد. بنابراین مسئله اصلی مقاله، این است که کیفیت تنظیم مقررات در صنعت بیمه بر توسعه این صنعت تاثیر دارد. این مسئله، با یک تحلیل مقایسه ای و برآورد مدل اقتصادسنجی با داده های تابلویی در کشورهای منتخب بررسی شده است. نمونه مطالعه از دو گروه شامل کشورهای توسعه یافته و کشورهای با سطح توسعه متوسط طی دوره 1989 تا 2012 تشکیل شده است. داده های کیفیت مقررات گذاری بیمه بر اساس اصول اصلی بیمه (ICP) و گزارش های کشوری برنامه ارزیابی بخش مالی (FSAP) صندوق بین المللی پول و نیز اصلاحات در مقررات گذاری کشوری طی دوره زمانی مطالعه و داده های توسعه صنعت بیمه بر اساس ضریب نفوذ بیمه تهیه شد. نتایج برآورد مدل نشان می دهد که بهبود مقررات گذاری بیمه در کشورهای توسعه یافته بیش از کشورهای با توسعه متوسط بر توسعه بیمه تاثیر دارد؛ هرچند این تاثیرگذاری در همه کشورهای نمونه اندک بوده و حاکی از آن است که تاثیر این متغیر نهادی، تدریجی است.
    کلیدواژگان: مقرراتگذاری بیمه، نهاد مقرراتگذار، عملکرد صنعت بیمه، ضریب نفوذ بیمه، اصول اصلی بیمه، کیفیت مقررات گذاری بیمه
  • حمیدرضا ایزدی، مریم ایزدی صفحات 192-214
    با توجه به اهمیت تغییرات قیمت نفت در درآمد های نفتی ایران به عنوان یک کشور صادر کننده نفت و در نتیجه اثرات آن بر اقتصاد نفتی کشور، هدف این مقاله بررسی اثرات شوک های نفتی بر تغییرات مهم ترین شاخص بورس اوراق بهادار در ایران، یعنی شاخص کل قیمتی است. بررسی قیمت سهام در بورس اوراق بهادار و به تبع آن بررسی و کنترل بازار سرمایه که بخشی مهمی از بازارهای مالی در هر کشور است، به عنوان عامل پر اهمیتی در سیاست گذاری و اعمال سیاست های کلان اقتصادی نقش دارد. این بازارها با کنترل و هدایت پس اندازها و نقدینگی موجود به بخش های مختلف اقتصاد ملی، سبب سرمایه گذاری و انتقال سرمایه به شرکت ها، بنگاه ها و فعالان اقتصادی شده و چشم اندازه آتی این سازمان های اقتصادی را نشان می دهند. با توجه به اینکه در کوتاه مدت شوک و شدت جابجایی نقدینگی و سرمایه بخش خصوصی و افراد جامعه از بخش های اقتصادی به غیراقتصادی بسیار بالاست، لذا شناسایی و معرفی اطلاعات، ساختار و پیش بینی این بازار کوتاه مدت جهت تعیین سیاست های مناسب بسیار حیاتی است. در این مقاله سعی شده است با نگاهی بر داده های آماری ماهانه 1380:1 تا 1392:12به بررسی عوامل موثر بر ارزش سهام در بورس بپردازد که در اینجا با استفاده از آزمون غیرآشیانه ای مدل بهینه و مناسب جهت بررسی عوامل موثر بر ارزش سهام در بورس انتخاب شده و رابطه موجود برمبنای روش خود توضیح برداری VARتخمین زده می شود. از طرفی با توجه به اینکه از طریق پیش بینی این گونه بازارهای مالی و سرمایه ای که با ثبات و کارآمد هستند، می توان چارچوبی جهت رسیدن به رشد و توسعه اقتصادی ارائه کرد. این مقاله به بررسی ثبات ساختاری و پیش بینی این بازار بر مبنای فرایند خودتوضیح جمعی با میانگین متحرک ARIMAپرداخته و بر اساس نتایج به دست آمده، سیاست های کاربردی پیشنهاد می گردد.
    کلیدواژگان: سهام معامله شده، آزمون غیرآشیانه ای، شوک نفتی، شاخص بازار بورس، سری های زمانی
  • مجتبی پورسلیمی، مهدی کیخا، کامران سلمانی قرایی صفحات 215-238
    پول شویی با مکیدن ارزش افزوده تولید، باعث افزایش خط فقر می گردد؛ ازاین رو در سال های اخیر، تمایل زیادی برای سنجش این پدیده صورت گرفته و در کنار سایر متغیرهای مشابه در حوزه مالی- اقتصادی، تلاش شده تا از روش های مختلفی برای برآورد میزان و حجم آن بهره گرفته شود که برخی ازاین روش ها، مستقیم و برخی دیگر، غیرمستقیم هستند و عمدتا بر سنجش افکار و ادراک مردم و متخصصان استوار می باشند. بااین حال در مقاله حاضر سعی شده تا ضمن بیان چگونگی مدلسازی روابط اقتصادی، الگوریتم جدیدی برای سنجش فساد مالی در ایران معرفی گردد که این الگوریتم مبتنی بر تکنیک های ریاضی است؛ درحالی که سایر روش ها، بنا به ماهیتی که دارند دارای پیش فرض های متعددی هستند که باعث بروز مشکلات عدیده و خطای فاحش می گردد. لازم به ذکر است، مدل حاضر با توجه به مدلسازی باتاچاریا برای پول های کثیف ارائه شده که برای این امر از آمار و اطلاعات بانک مرکزی در طی سال های 1386-1352 استفاده گردیده است. نتایج تحقیق حکایت از روند افزایشی حجم پول های کثیف در اقتصاد ایران دارد که به شدت با اهداف توسعه ای کشور در تناقض است، لذا مسئولان برای دستیابی به چشم انداز ایران 1404، باید تدابیری جدی در جهت مبارزه با این پدیده بیندیشند.
    کلیدواژگان: فسادمالی، پولشویی، روش های عددی، مسئله معکوس، اقتصاد ایران
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  • Saleh Ghavidel, Mehdi Fathabadi, Hamede Radfar Pages 1-25
    The gap productivity in tradable goods between two countries is a factor of fluctuations real exchange rate and it is called Balassa–Samuelson effect (1964). The BS (Balassa–Samuelson effect) idea originates from inflation gap between the U.S.A. and Japan in the 1960s and the attempts for understanding how much of the inflation gap between U.S. and Japan was due to the productivity gap between tradable goods in two countries. If total factor productivity in tradable goods in country A is more than country B, value of the national currency and deviation of Purchasing Power Parity (PPP) will increase in country A.
    This effect explains why the non-tradable price of goods in countries with a lower productivity is less than other countries. This difference of price makes a deviation of PPP. For example, annual average inflation rate during 1955-1970 in Japan was 5.4 percent. In the same period, annual average inflation rate in the U.S.A. was 2.6 percent. The gap of inflation rate between Japan and the U.S.A. had been 2.8 percent (Imai, 2010); consequently, the value of Japanese currency increased, too. When we assume that there are two goods in the economy, namely, tradable and non-tradable goods, then, labor is a factor of production. If productivity of tradable goods in Japan is more than the U.S.A., then the price of tradable goods in Japan should be less than the U.S.A., but it is not true because tradable goods are traded between countries and have a unit price in all countries. Based on profit maximization condition that is , when increases and is not changed in tradable sector, then, of tradable and non-tradable sectors will increase, because labor is mobile between tradable and non-tradable sectors. The result is the increasing price of non-tradable goods in Japan while the non-tradable price in the U.S.A. is constant. This difference in the price of non-tradable sector between Japan and the U.S.A. is explained deviation of PPP in Japan.
    In this paper we estimated BS effect in Iran. Total factor productivity in Iran is less than the U.S.A., then, part of deviation PPP in Iran is the productivity gap between Iran and the partner’s countries with which Iran trades.
    Literature Review of Balassa–Samuelson Effect
    We assume two countries 1 and 2, two sectors tradable and non-tradable and define the following notation: Productivity of non-tradable goods in country 1.
    Productivity of non-tradable goods in country 2.
    Wage rate in country 1.
    Wage rate in country 2.
    And : price of non-tradable goods in 1 and 2 countries.
    And : price of tradable goods in 1 and 2 countries.
    Assumptions: 1. Same productivity in two countries and equality to unit:
    2. Labor is full mobility between tradable and non-tradable goods within country.
    3. Unit Price Law in tradable sector: Now we can write for country 1:
    And for country 2: Then
    Divided Eq.6 to Eq.7
    Now if , then , and it is BS effect. In other words, higher non-tradable price in country 1 is due to higher productivity in tradable goods in country 1. This is one of the causes of PPP deviations. When productivity in tradable sector increases, wage is increased and labor will move to tradable sector. Then non-tradable wage increases up to equilibrium in two sectors. In this situation, price of non-tradable goods increases and we have deviation of PPP (Hamano 2012).
    Conclusion
    According to Purchasing Power Party (PPP), Law of Unit Price, and assuming no transportation costs for tradable goods, the price of them in all countries is same, but non-tradable goods have a different price in other countries. The Balassa–Samuelson indicated that the different price of non-tradable goods is due to the productivity difference in tradable goods between two countries. Then, a part of inflation gap or deviation of PPP (condition of fixed exchange rate) is due to the productivity gap of tradable goods in two countries. Note that the inflation gap between two countries is due to several factors and one of them is Balassa–Samuelson Effect.
    This paper estimated BS effect in Iran with comparing inflation rate of Iran and the U.S.A. during 2002-2011, and the nominal exchange rate (Rials/ U.S. $) is fixed. According to Emai (2010), the gap of inflation rate between two countries is the decomposition of productivity gap of tradable and non-tradable goods in two countries, and then we estimate BS effect. We assumed that the industrial and service sectors are a proxy for tradable and non-tradable sectors. The result shows that, BS effect in Iranian economies had been -2.1 percent during 2002-2011. This means that, the real devaluation of Iranian Rials as a 2.1 percent during 2002-2011 is reasonable, while in fact, Iranian economies show that, both real devaluation of Iranian Rial and Iranian Rial against U.S.'s $ real appreciation during 2002-2011 was about 13.6 percent (annual average gap inflation rate between Iran and U.S.). In other word, when annual average inflation rate of U.S. at the same time was 2.2 percent and BS effect was -2.1 percent, the annual average inflation rate of Iran was 0.1 percent which is considered reasonable in the same period of time.
    The final result of this paper is that high inflation rate in Iran (the deviation of PPP in Iran) is not due to the productivity gap between Iran and other countries such as the U.S.
    Keywords: Balassa, Samuelson effect, purchasing power parity, productivity gap, tradable, non, tradable sectors
  • Mahdi Khodaparast Mashhadi, Mohammad Ali Falahi, Nahid Rajabzadeh Moghani Pages 26-45
    One of the effective factors in economic growth and development is financial development. Indeed, today, the level of economic development is determined by the level of financial development in the countries. Economists emphasize on the importance of financial market and its key role in economic development (e.g., Schumpeter, 1912; Hicks, 1969; McKinnon, 1973; King, 1993; Beck & Levine, 2003). Therefore, identifying the determinant factors of financial development is really crucial. Many studies have been done to identify effective factors in financial development. However, most of them focus on the role of economic factors in financial development. Among all effective factors in financial development in countries, less attention has been given to the role of institutional quality. Hence, the aim of this paper is to study the effect of institutional quality on financial development with emphasis on banking sector in selected countries of Organization of Islamic Cooperation (OIC).
    There are two popular theories that explain the role of institutions in financial development. According to Law and Finance Theory introduced by Laporta, Lopez-de-silabes, Shleifer, and Vishny (1997; 1998), differences in the legal protections of investor and creditors and the quality of contract enforcement can explain the different level of financial development between countries. Endowment Theory introduced by Acemoglu, Johnson, and Robinson (2001) explains the relationship between different formation of colonization and institutions during 17-19 centuries. Acemoglu et al. (2001) found that the origin of colonization has a permanent effect on formation of institutions. Beck & Levine (2003) apply both theories for explanting financial development and found that legal origin matters for financial development because legal traditions differ in their ability to adapt efficiently to evolving economic conditions. In addition, some other studies have been done on political economics of financial development (e.g., Pagano & Volpin, 2000; Rajan & Zingales, 2003; Girma & shortland, 2008; Singh, Kpodar & Chura, 2009; Anayitos & Toroyan, 2009; Hung, 2010). All studies in this area have found that quality of institutions play a key role in financial development.
    In this study, using panel data method for selected countries of the Organization of Islamic Cooperation (OIC) over 1996-2010, the effect of institutional quality on financial development is examined. This paper investigates the effect of seven institutional quality indicators (i.e., voice & accountability, control of corruption, political stability, rule of law, government effectiveness, regulatory quality and weighed average of six institutional quality indicators) on two financial development indicators, namely, private credit by deposit money banks and other financial institutions/GDP. Information of governance indicators has taken from World Governance Indicators. Based on World Bank definitions, voice & accountability reflects perceptions of the extent to which a country's citizens are able to participate in selecting their government as well as freedom of expression, freedom of association, and a free media. Control of corruption reflects perceptions of the extent to which public power is exercised for private gain, including both petty and grand forms of corruption as well as capturing of the state by elites and private interests. Political Stability measures perceptions of the likelihood of political instability and politically-motivated violence, including terrorism. Rule of law reflects perceptions of the extent to which agents have confidence in and abide by the rules of society, and, in particular, the quality of contract enforcement, property rights, the police, and the courts as well as the likelihood of crime and violence. Government effectiveness reflects perceptions of the quality of public services, the quality of the civil service, and the degree of its independence from political pressures, the quality of policy formulation and implementation, and the credibility of the government's commitment to such policies. Regulatory quality reflects perceptions of the ability of the government to formulate and implement sound policies and regulations that permit and promote private sector development.
    Data of two financial development indicators have been taken from World Bank and International Financial Statistics dataset. In this study, the overall governance indicator (weighed average of six institutional quality indicators) is calculated by principal component analysis approach. The results of poolabilty test and Chaw test indicate that panel approach should be applied in all models. In addition, the results obtained from Breusch-Pagn and Hausman tests show that using fixed effect model is appropriate for all seven models.
    Among these seven models whose dependent variables are Private credit by deposit money banks and other financial institutions/GDP, two models are selected based on , namely, Akaike Info Criterion and Schwarz Criterion. The results of estimation suggest that overall governance indicators (weighted average of six indicators of institutional quality) and control of corruption have a significant and positive effect on Private credit by deposit money banks and other financial institutions/GDP. From these seven models whose dependent variable is M2/GDP, one model is selected based on related criteria, as the best model. In this model, government effectiveness indicator has a significant and positive effect on M2/GDP. Hence, improving institutional quality is a necessary and essential factor for enhancing financial development and policymakers should apply appropriate policies to improve government's position in these countries. Through this way, one of the barriers of economic development would be removed.
    Keywords: financial development, Institutional quality, Organization of Islamic Cooperation member countries, Panel data
  • Hassan Khodavaisi, Ahmad Ezzati Shourgholi Pages 46-82
    One of the main subjects for all policy-makers at the macroeconomic level is to investigate the behaviour of economic variables in the short-run and also in the long-run as a result of a change in policy parameters. Monetary policy parameters are among the main policy parameters which are studied in this paper. One of the main subjects in the literature of theoretical economics is to study the channels through which monetary policy and monetary-policy-shocks affect the real variables.
    Theoretical Framework
    There is a proposition in macroeconomics, which dates back to David Hume literature, and says money is neutral. Neutrality of money means that changing the stock of money affects only nominal variables such as prices, wages, and exchange rates while it has no effects on real variables like real GDP, and real consumption and employment. Neutrality of money implies that the central bank will not create more jobs by printing money. It also means that a change in the money supply will not affect the size of real GDP in the economy. Almost all economists around the world agree that neutrality of money holds in the long run. However, things are much more complicated in the short-run and there is no agreement on this between economists. Classical economists introduced neutrality of money based on classical dichotomy and their main focus was on long-run. Keynes (1936) rejected neutrality of money and introduced demand-side management to stabilize economy. Assuming this, Keynes believed that money is not neutral in the short-run. Monetarists led by Milton Friedman, by assuming adaptive expectation and distinguishing two versions of Philips Curve, one for the short-run and the other for the long-run, claim that money is not neutral in the short-run because economic agents confused by money illusion always respond to changes in money supply with a delay which is the source of mistake for economic agents and a base for any successful demand-side management policy in the short-run. New classical economists led by Robert Lucas, by assuming rational expectation and accepting the equal information sharing among all economic agents and removing the information advantage for the central bank, returned to the classical world of neutrality of money. However, they believe that only unexpected monetary policy will affect the real variables but central bank's ability to use countercyclical stabilizing monetary policy is limited because the central bank has no advantageous information over other economic agents, and also, it will not always be able to deceive people to achieve its goals (Maccallum, 2004). New Keynesian economists by searching microeconomic foundations for old Keynesian theories believe that monetary policy is not neutral but the impact of monetary policy during business cycles are asymmetric (see Ball & Romer, 1989, 1990; Ball & Mankiw, 1994a, 1994b; Cover, 1992; Ravn & Sola, 2004).
    Methodology
    Neutrality of money has been a main research question in the last century. This paper studies monetary neutrality and asymmetric response of the economy to monetary-shocks using quarterly data during 1990:2-2014:4 in Iran and applying Bounds testing approach (Pesaran et al., 2001) and Hodrik-Prescott filter (Hodrik & Prescott, 1997) within ARDL framework.
    Results And Discussion
    The results show that money is neutral in affecting the output growth in the long-run but it affects output growth in the short-run in the economy of Iran. Moreover, Hodrick-Prescott filter was used to separate positive and negative monetary shocks and to draw business cycles for the Iranian economy. The results confirm that the monetary-policy-shocks have asymmetric impact on output. The results also show that the monetary-policy-shocks have asymmetric impact on output during business cycles.
    Conclusion and Suggestions
    The general conclusion is that the monetarist view which says that money is neutral cannot be rejected in the long-run for the economy of Iran. Therefore, the role of money in the economy is consistent with the monetarist view. In addition, the New-Keynesian view that concentrates on asymmetric effects of monetary shocks on real GDP during business cycles cannot be rejected. Therefore, the impact of monetary policy and monetary shocks during business cycles on the GDP are asymmetric for the economy of Iran. Based on our results, we suggest that the central bank should be more aware of these asymmetric effects of monetary policy and monetary shocks on the economy of Iran and consider them in any policy package for a better and more successful monetary policy.
    Keywords: Monetary Neutrality, Monetary Shocks, Bound Test, Government Expenditure
  • Morteza Jafarzade Najar, Ahmad Sabahi Pages 83-99
    Mainly, assets are classified into current assets including cash, foreign exchange and gold coins, fixed assets including land, buildings, and housing, long time investments including bonds, stocks and long-term deposit, and finally intangible assets including patents and goodwill. The major assets that households keep in their portfolio are gold coins, various exchange, stocks and housing. In Iranian household culture, gold has always been considered a good financial backing. The reason for this can be attributed to the liquidity of gold and its intrinsic value. Thus, governments try to find solutions for managing price of the assets in the portfolio of household by planning and making use of certain policies.
    Theoretical framework: Gold, along with oil, is one of the strategic products in international markets. In the meantime, gold, due to the intrinsic value, incorruption, enjoying popularity, hight liquidity and low maintenance costs, is very important. The price of gold is influenced by the forces of market supply and demand. However, since gold is among sensitive and strategic goods, many factors affect supply and demand and therefore its price. The most important influencing factors are changes in dollar and foreign exchange reserves, in interest rates, in the world price of oil, and global inflation.
    Methodology
    In Engel-Granger method, the estimating result in samples with small volume is biased because we ignore the short-time dynamic interactions between variables. On the other hand, the distribution of least squares estimators is unnormal. Hence, doing the usual test hypotheses using statistics is invalid. Engel-Granger methodology is based on the assumption of a co-integration vector and when there is more than one co-integration vector, using this method will lead to inefficiencies. To resolve these problems, Johansson (1989) and Johansen-Juselius (1990) proposed maximum likelihood estimation method for co-integration test.
    Johansen-Juselius cointegration method is not useful because stationary degree of model variables may not be the same. In this method, short and long time relationship between the dependent variable and the other explanatory variables of the model is simultaneously estimated. This method does not require the same degree of variable's co-integration. The Auto Regressive Distributed Lag (ARDL) methodology is applicable in the case of variables combinations of I (1) and I (0) cointegration.
    In this method, in order to estimate long-term relationship a two-stage method can be used which is as follows. In the first stage Banerjee et al.'s (1993) test is used. The null hypothesis of this test shows that there is not any co-integration or long-time relationship between the variables and t statistics is used. In the second stage which is proposed by Pesaran and Shin (1996), long-term relationship between the variables under investigation is examined by calculating F statistic for significantly lagged levels of the variables in the form of error correction.
    Results And Discussion
    The results of long-term estimation are presented in the following Table.
    significant level T statistic Standard deviation Coefficients variables
    000/0 783/4- 205/0 98/0- LOIL
    001/0 252/0- 993/0 25/0- LSR
    009/0 456/0- 758/0 67/0- LER
    039/0 442/0 330/0 14/0 LCPI
    044/0 770/0 103/0 079/0 LPGW
    177/0 36/1 827/2 85/3 C
    Based on the results of the study,
    *) The negative sign of LOCAL coefficient suggests that in long time, a change in the unit of the price of oil reduces gold price about 0.98.
    *) The coeffitiont of interest rate is negative in long time. In fact, each unit change in this variable decreases the gold price about 0.25.
    *) Exchange rate has a negative effect on gold price in long-term.
    *) The coeffitiont of price index (inflation) has positive impact on gold price in long time.
    *) The negative sign of World gold prices suggests that in long time, a unit change in the price of gold decreases the gold price about 0.079.
    *) The Error correction coeffitiont is statisticaly significant; therefore, there is a co- integration relationship between the variables in the long time. The result of the Error correction estimation are reported in the following Table.
    significant level T statistic Standard deviation Coefficients variables
    000/0 906/5- 137/0 814/0- ECM (-1)
    Conclusion
    This study examines the factors affecting gold price in the quarterly time series data between 1991 and 2010, and Auto Regressive Distributed Lag (ARDL) method is used. The results of this study indicate that short-time and long-time variations in oil prices, interest rates, and exchange rates have negative and significant impact on gold prices variable. In addition, global gold price and inflation have positive and significant impact on gold prices.
    Keywords: household assets, the price of gold, its methods associated with distributed lag (ARDL), Iran
  • Javad Arab Yarmohamadi, Alireza Erfani Pages 100-122
    Endogenous money theory is one of the Post Keynesian cornerstones that contrary to mainstream monetary theory, emphasizes on the importance of bank loans causing money supply changes. In fact, the direction of causality in endogenous money supply theory is from loans to money. In contrast, in the exogenous money theory, it is money that forms loans. Endogeneity or exogeneity of money, will change our view to appropriate monetary policy tools. Post Keynesians have developed the view that pressures emerging endogenously within financial markets are the basic determinants of both fluctuations in money supply growth and of credit availability. The orthodox monetary approach presents a direct contradiction to the endogenous money hypothesis.
    The money supply endogeneity views are generally divided into two: the accommodationist view and the structuralist view. The accommodationist view argues that aggregate demand needs expressed through demand for credits cause a passive response of the financial institutions and authorities. In other words, banks set their loan rates as a mark-up over the overnight interest rates determined by the central bank (CB) and attempt to meet all demand for bank loans. Therefore, demand for bank loans is determined by working capital finance needs of firms. This implies that money supply (M1, M2) is determined by the demand for bank loans (bank credit, BC).
    Compared to the accommodationist view, the structuralist approach argues that the CB is also a significant factor since it can restrict accommodation of reserve needs and restrict credit expansion. As a result, the CB can alter the amount of bank credits. In statistical terms; this implies that monetary base (MB) can cause bank credit (BC). Thus, there is a two-way relationship between BC and MB.
    The alternative money endogeneity views indicate the following hypotheses that can be investigated empirically. The accommodationist view argues that there is an unidirectional relationship from bank credit (BC) to the monetary base (MB) and the monetary aggregates (M1,M2). Moreover, the relationship between money income (GDP) and monetary aggregates, (M1,M2) is bidirectional. The structuralist view proposes a mixed empirical model with accommodationist view and the monetarist approach. Specifically, a feedback relationship is proposed between monetary base (MB) and bank credit (BC). The structuralist view agrees with the accommodationist view on the relationship between income and monetary aggregates which implied a bidirectional relationship between income (GDP) and monetary aggregates (M1, M2).
    Previous empirical studies on the endogeneity of money implement different causality techniques (Granger causality tests, cointegration and error correction models, etc.). All of these methods test the causality between bank credit and different monetary aggregates from a time series perspective. In other words, the relationship between lagged values of bank credit and money is analyzed. These time-series methods have several significant limitations. First of all, the results highly depend on lag selection. Second, in some cases (like cointegration tests), they only measure whether two variables move together over time. Thus, they do not directly test causality but they are approximate tests of the relationships. Third, the causality tests do not present the sign of the correlation between two variables. In other words, whether the relationship is negative or positive cannot be identified by the causality tests. Finally and most importantly, they do not investigate contemporaneous relationship between variables and are limited to causality between a variable and lagged values of other variables.
    The direct test of endogeneity of money uses the econometric definition of endogeneity and implements tests developed to test endogeneity empirically. In the econometric theory literature, endogeneity is explained as the case when the independent variable is correlated with the error term in a regression model. A regressor is endogenous if it is not predetermined (i.e., not orthogonal to the error term), that is, it does not satisfy the orthogonality condition. Following this argument, we test whether money is endogenous using the C statistic (difference-in-Sargan statistic), Durbin statistic or Wu-Hausman statistic, depends on instrumental variable estimation method.
    We used two different time frequency (annual and seasonal) and two different dependent variables (LBC: Bank Credit in Logarithm form & LSBC: Bank Credit Stock in Logarithm form) to test the endogeneity of money (LMB, LM1, LM2; Money Base, M1, M2 in Logarithm form). The results are summarized in following table: frequency Independent variable Dependent variable: LSBC Dependent variable: LBC
    C statistic Durbin statistic Wu-Hausman statistic C statistic Durbin statistic Wu-Hausman statistic
    annual LMB 0.10 0.24 0.02 0.228 0.0638 0.056
    LM1 0.16 0.03 0.26 0.025 1.72 1.63
    LM2 0.548 0.634 0.573 1.46 2.86* 2.85
    seasonal LMB - - - 0.14 11/0 0.11
    LM1 - - - 0.73 3.28* 3.28*
    LM2 - - - 6.3** 5.2** 5.2**
    * Exogeneity (null hypnosis) can be rejected in 10% significant state
    ** Exogeneity (null hypnosis) can be rejected in 5% significant state
    When dependent variable is LSBC and we use annual data the minimum P-value is 0.43 (for Durbin statistic when independent variable is LM2) and we cannot reject null hypnosis of exogeneity. With seasonal data, also, the null hypnosis can’t be rejected (coefficient are not reported). By changing the dependent variable to LBC we observe that with annual data the exogeneity of liquidity (M2) can be rejected in 10% significant state, only by Durbin statistic. With seasonal data and based on all statistics, M2 can be interpreted as endogenus variable but exogeneity of LMB and LM1 cannot be rejected yet.
    These results can change this view that “money supply cant be used as a monetary policy tool and interest rate is the appropriate of monetary policy tool in Iran's Economy". Thus, money supply could be an effective monetary policy tool and central bank can use it with more efficiency than interest rate.
    Keywords: post Keynesian money theory, endogenity, instrumental variable, GMM method, 2SLS method
  • Mojtaba Poustin Chi, Hasan Tahsili, Mostafa Karim Zadeh Pages 123-145
    Banking is one of the most important sectors in each economy. Not only can it affect economic activities but it can also have impact on the stability of economies. Hence, the stability of banking needs a remarkable supervision. Accurses of crises in banking will rapidly grow in other real sectors in economy, because the other sectors refer to banks for acquiring finance resources. Recent economic research focused more on factors that might induce banks to take more risks. Competition is one of these factors. Competition is desirable for maximization of social welfare and existence of Pareto efficiency. As in other industries, competition in banking system is also needed for efficiency and maximization of social welfare. However, banking sector has specific features that make it of particular importance to an economy and properties that may distinguish it from other industries. For example, there is a strong interrelationship between banks and other industries.
    Theoretical Framework: Economic theory provides an ambiguous answer to the question how bank competition, bank concentration, and financial stability are related. There are two views about the effect of competition in banking sector on bank's stability: Competition – Fragility (Concentration – Stability) view and Competition – Stability (Concentration – Fragility) view. On the one hand, competition reduces the market power of banks, which reduces the discounted value of the profit that banks are expected to earn in the future. This enhances the incentives for banks to take more risk, because the opportunity costs of going bankrupt are lower (Competition – Fragility). On the other hand, market power in the loan market allows banks to charge higher interest rates. This increases moral hazard and adverse selection, which increases the probability of failure of banks (Competition – Stability). Hence, this paper tries to test correctness of these two views.
    Methodology
    The main purpose of this research is analyzing and evaluating the effect of competition in banking sector from 2005 to 2011. The most important variables of this research are bank stability as a function of market structure, control variables at bank level (loans on assets, size and returns on assets) and control variables at macroeconomic level (growth rate, economic freedom and inflation). In order to estimate this model, panel data method was used. When there are repeated observations in the same set of cross-section units, panel data technique is applied. Our model has balanced panel. That is, we have the same number of observations on each cross-section unit.
    When a researcher wants to use panel data technique, he faces with three types of models, namely, pooled model, random effects model, and fixed effects model. The pooled estimation is the simplest case, which proceeds by essentially ignoring the panel structure of the data. Estimation of this model is straightforward. The assumptions we have made correspond to the classic linear model. Efficient estimation proceeds by stacking the data as already shown and using Ordinary Least Squares (OLS). The random effects model has this characteristic; individual effect is uncorrelated with explanatory variables. It is important to stress that the substantive assumption that distinguishes this model from the fixed effects model is that the time-invariant person specific effect is uncorrelated with independent variables. In essence, the random effects model is one way to deal with the fact that T observation on N individuals are not the same as observations on NT different individuals. The solution is straightforward. First, we derive an estimator of the covariance matrix of the error term. Second, we use this covariance structure in our estimator of parameters. While fixed effects model has this characteristic; individual effect is correlated with explanatory variables. Because the fixed effects model starts with this presumption, we must estimate the model conditionally on the presence of the fixed effects.
    Results and Discussion
    Our results show a significantly negative/positive relationship between competition (concentration) and bank's stability. Among the other variables, bank's assets has the most (significant) powerful effect on stability. Although this paper provides evidence for the competition – fragility hypothesis and the concentration – stability hypothesis, other studies need to be done to explore the mechanisms how competition and concentration in the banking sector affect financial stability. Furthermore, due to the rapid increase in financial interlink ages, measuring competition becomes harder because a single country might not be the relevant banking market.
    Conclusion and Suggestion: Although this study provides evidence for the competition – fragility hypothesis and the concentration – stability hypothesis, other studies need to be done to explore the mechanisms through which competition and concentration in the banking sector affect financial stability. According to the results of this paper, the following suggestions are made for policy makers.
    [1] Government and central bank should increase their supervision and control on banking.
    [2] Policy makers must enact appropriate and effective rules on banks in which they regard minimum requirement of stability.
    Keywords: Bank Competition, Degree of Concentration, Financial Stability, Bank Stability, Panel Data
  • Hamid Yari, Arezo Yari Pages 146-166
    In any market, knowing the best method of measuring risk can be very useful for investors and policymakers. In this regard, twenty of best seller corporations of Tehran Stock Exchange (TSE) were studied using monthly historical data (from April 2004 to March 2011). Several variations of the capital asset pricing model (CAPM), such as Lower Partial Moment-Capital Asset Pricing Model (LPM-CAPM), Asymmetric Response Model (ARM), and traditional CAPM were empirically tested. The results show that the traditional Capital Asset Pricing Model is the best model at the present period.
    Theoretical Framework: A plethora of empirical tests of the CAPM that implicitly assume the mean-variance based preference of the investors have been performed. However, statistical tractability of mean-variance analysis based on multivariate normality is a more important consideration in the development of the theory than the explicit recognition of investor preferences. Beginning from about the last quarter of the twentieth century, alternative theories based on different perceptions of systematic risk have challenged the dominance of the mean-variance notion of risk-return relationship. The most prominent of these is the asset pricing theory which recognizes risk as the deviation below a target rate of return. Downside risk measures and the associated asset pricing models are motivated by economic and statistical considerations; investor psychology is consistent with asymmetric treatment of the variations in the returns and empirical return distributions appear to be non-normal. Bawa and Lindenberg (1977) developed an asset pricing model, which we refer to as the mean-lower partial moment (MLPM) model, based on downside risk. In the MLPM model, risk is defined as the deviation below the risk-free rate. For normal and student-t-distributions of returns, the MLPM model reduces to the conventional CAPM. In the MLPM model, the downside beta simply replaces the CAPM beta. Bawa and Lindenberg (1977) argue that their model explains the data at least as well as the CAPM does. Harlow and Rao (1989) developed an asset pricing model in the downside framework that is more general in that the risk is defined as the deviation below an arbitrary target rate.
    Methodology
    Twenty of best seller corporations of Tehran Stock Exchange (TSE) were studied using monthly historical data (from April 2004 to March 2011). Several variations of the capital asset pricing model (CAPM), such as Lower Partial Moment-Capital Asset Pricing Model (LPM-CAPM), Asymmetric Response Model (ARM) and traditional CAPM, were empirically tested.
    Results And Discussion
    The results show that, traditional Capital Asset Pricing Model, is better than Lower Partial Moment-Capital Asset Pricing Model (LPM-CAPM) and Asymmetric Response Model (ARM) in our selected period (from April 2004 to March 2011).
    Conclusions and Suggestions: The results show that despite some empirical tests in recent years, it seems that by using long samples, traditional CAPM model could be a reliable test. Finally, authors suggest that to achieve more reliable results in CAPM models, researchers have to consider environmental conditions to use the best model.
    Keywords: Risk, Lower Partial Moment, Capital Asset Pricing Model (LPM, CAPM), Asymmetric Response Model (ARM), Tehran Stock Exchange
  • Mohammad Karimi, Ali Cheshomi, Mojtaba Cheshomi Pages 167-191
    According to the New Institutional economics, one of the formal institutions that can affect the performance of the industry is the quality of regulations governing the industry. The process of insurance regulatory reforms in the world shows that the system of financial supervision along with the regulatory institution, which is independent from the government's control, can bring about more profit and advantages for the society and develop the insurance industry by applying appropriate monitoring of market, and guaranteeing better quality of insurance services. The main problem this paper seeks to solve is that the regulation quality in the insurance industry has impacts on the development of the industry.
    2. Theoretical frame work: Criteria such as qualifications to enter the market, tariff regulatory standards, standards of solvency and technical reserves and the governance of regulator can affect the quality of insurance regulation. Evidence gained from the process of reform of insurance regulation in different countries shows that the financial regulatory system along with independent regulation systems can be more advantageous to society and improve the performance and the growth of insurance industry by making use of appropriate supervision of the market and ensuring the quality of insurance services.
    Due to the fact that this system does not harm insurance firms, reduce the probability of regulatory capture, and reduce regulatory compliance costs, it can improve the performance of insurance industry.
    3.
    Methodology
    In this paper, we selected ten countries whose development of insurance industry and insurance regulatory quality were evaluated in two groups. The first group consists of five developed countries including the USA, UK, Japan, Germany, and South Korea, and the second group includes five countries with average developmental level, including Turkey, Iran, Mexico, Singapore and Malaysia.
    The problem this paper highlights is analyzed using a comparative analysis and econometric models with panel data. Two groups of countries, developed and developing countries are the study sample during 1989 to 2012.The quality of insurance regulation data was collected based on the Insurance Core principles (ICP) and Financial Sector Assessment Program (FSAP), country reports of the IMF, as well as regulatory reforms in the countries during the period the study was being done and the data of insurance development were collected on the basis of insurance penetration.
    4.
    Results And Discussion
    The results show that insurance regulation in developed countries has more impacts on insurance industry development than in developing countries. Although the effect was small in all countries of the sample, results suggest that the effect of this institutional variable is incremental.
    5. Conclusions and Suggestions: The following suggestions are given about the insurance regulation reforms: First, the nature of regulation and supervisors must be in a way that is less influenced by politics and government decisions.
    Second, the nature of the insurance regulatory and supervisory institutions should be in a way that all stakeholders are involved in the regulation.
    Third, good de facto behavior of an official institution for insurance regulation is more important than having well de jure institution in the country.
    Keywords: Insurance Regulation, Regulatory Agency, Insurance Industry, Insurance Penetration, Insurance Core Principles, Insurance regulation quality
  • Hamidreza Izadi, Maryam Izadi Pages 192-214
    With regard to the importance of oil price changes in Iran’s oil revenues as an oil exporter and its effects on it's economy, the aim of this paper is to investigate the effects of the oil shocks on the changes of the most important index of the Stock Exchange in Iran called the total price index.
    Introduction
    Investigating the price of shares in stock exchange and studying and controlling the investment market, which is an important part of financial markets in every country, play an important role in policy making and applying macro-economic policies. Controlling available savings and liquidity and conducting them towards different parts of national economics, this market leads to the investigation and transmission of investment to economic institutions and thereby providing future perspectives of economic firms. Given the fact during a short period of time, shock and the intensity of the movement of liquidity and capital of both the private sector and people of society in transfering from economic parts to non-economic ones are high, the recognition and introduction of information, structure and prediction of short term market for determining appropriate policies is vital.
    Methodology
    In this work, having looked at monthly statistics data (2001-2012), the reseachers tried to investigate the factors affecting the value of shares in the stock market. It is done by using a non-nested optimization model test to select the suitable model and to examine the factors affecting the value of shares in the stock market. In addition, their relationship will be described and estimated based on the VAR method. On the other hand, since the prediction of financial and capital market is efficient and stable, we can provide a framework for achieving economic growth and development. Thus, this paper will examine the structural stability and forecast it's market based on Auto Regression Moving Average process and according to the results, the applicable policies will be suggested.
    Results And Discussion
    The primary duty of exchange stock is providing capital stock for the government, the private, and industry sectors in the form of collecting stagnant savings and the liquidity of private sector in order to finance the long-term investment projects.
    Stock Exchange is the official and confident authority where holders of stagnant savings can relatively find reliable investment places and use their surplus funds to invest on companies or buy bonds to gain a guaranteed profit.
    In other words, the Stock Exchange plays a dual function in the structure of a free economy: one the one hand, it helps to increase the capital of the government and the private sector, and on the other hand, it creates the secondary market to meeting the potential and actual investors. Investigation, controlling and conducting the market can lead to the financial resources of the capital market and investment for development and growth and the policies are planned on the basis of the goals of macroeconomic. Economists believe one of the reasons for the lack of the development of developing countries is the low level of investment. In this regard, the capital market is the main and important centre to attract these savings. Accordingly, we should identify its influential factors in the market, and thus use appropriate policies for the progression and growth of the market.
    Achieving the optimal growth and development of economy without mobilization of financial resources in long term is impossible. In this regard, the position and the role of capital market are of high importance.
    The capital market, which is the market of demand and supply of financial resources, can play a vital role when the process of supply and demand of its financial sources is the optimal allocations. The main prerequisite for the optimal allocations of resources in the capital market is the efficiency in their performance.
    Thus, the difference between effective and efficient capital markets with inefficient markets is in the phenomenon of information and having access to them.
    As the information related to the capital market (for a comprehensive, coherent and effective market activity) increases, the impact of the capital market on the growth and development of economy becomes more.
    Conclusions and Suggestions: Thus, policy makers should pay attention to the Stock Exchange, its flourishing growth and to government policies, control the foreign exchange market, prevent the uncontrolled growth of liquidity, eliminate the cumbersome investment regulations and incentives tax, and finally draw a plan for implementation of economic policies.
    In this regard, it is essential the country's economic managers identify macro-economic variables affecting the stock market, especially government-controlled variables and how their influence can lead to appropriate policies for the stimulatation of the market and growth of economy.
    Keywords: value of shares, non, nested test, forecasting
  • Mojtaba Poursalimi, Mahdi Keikha, Kamran Salmani Pages 215-238
    In this research, volume of dirty money is estimated using Inverse Problem Method and Tikhonov’s regularization strategy.
    Introduction
    Corruption or money laundering encompasses a wide and multi-dimensional concept in such a way that this phenomenon might be regarded as a corruption in one society while being a social norm in another (De Saran, 1999). The occurrence of corruption or money laundering as an undesirable social phenomenon has a variety of different social and economic motives. Due to the importance of corruption or money laundering in different countries, extensive studies have been conducted into this issue in order to identify and analyze its causes. It should be reiterated that economic factors are the fundamental factors for all social structures and they leave significant effects on individual and group activities with regard to corruption.
    Money laundering is a series of operations taken place to pretend that some illicit or illegal incomes are gained from legitimate or legal sources, However their origin is smuggling, bribery, extortion, kidnapping, fraud, forged invoices in the commercial sector, corruption, embezzlement and bribery in government organizations, financial fraud, wealth and income achieved from tax evasion, Internet fraud and other data tools and to-be-confiscated wealth.
    Theoretical frame work: Quirk’s method (1996) has also been used in this article to identify the volume of dirty money and the effect of informal activities on money demand. In an article titled Major economic effects of money laundering, and according to Bhattacharyya's strategy, Quirk has considered the data on various types of crimes, the recommendations of the FATF to nineteen industrial countries on money demand function as a substitution variable to the illegal income, and investigated the effects of these criminal activities on monetary behavior in these countries.
    Methodology
    Hence, there has been a high tendency to measure this phenomenon in recent years and there has been an attempt to use different methods to assess the quantity and volume of financial corruption along with other similar variables in the socio-economic context. Some others have used indirect methods that are mainly based on the assessment of opinions and perceptions of people and experts. However, this article aims at explaining the modeling of economic relationships as well as introducing a new algorithm for assessment of financial corruption in Iran that is totally based on mathematical techniques and is free of any particular premise. This is while other methods, due to their very nature, enjoy a variety of different premises and this has indeed created many problems, including the likelihood of having momentous errors. The present study applies a combination of Bhattacharyya method and arithmetic methods which are based on Tikhonov’s regularization strategy and inverse problem in order to introduce a new equation for assessment of the quantity of dirty money. In this method, firstly the illegal earning are estimated and then the volume of dirty money is calculated.
    For the purpose of estimating illegal earning, in this article, we utilize inverse problem, in which inverse problem model is defined. But inverse problems are often ill-posed. It means that the problem is likely to have no answer or more than one answer or the answer is not stable. To overcome this problem, regularization methods are used for the stability of the answer. In regularization methods, the main problem is replaced by another problem which is close to the main problem, but does not have the awkward condition of being solvable and this is the nature of all regulation methods. There are many methods to organize regularization strategies. We use Tikhonov regularization strategy in this article and illegal earning is estimated using minimization function with Tikhonov regularization. Tikhonov regularization function leads to a consistent and congruent method for estimating illegal earning. We minimize Tikhonov regularization function to illegal earning. To do this, Euler-Lagrange equations will be applied. Using Euler-Lagrange equations leads us to a non-liner partial differential equation for estimation of illegal earning. The final non-liner partial differential equation cannot be solved using analytical methods and there is no closed form solution for this problem, or a closed form solution for this problem -if any- is very complicated. Therefore, we use numerical methods for solving it and obtain illegal earning. Since numerical methods are not accurate, one can find a method with a higher degree of congruence for the above mentioned problem at any time. In this paper, in addition to introducing an appropriate numerical for solving this method, we try to estimate illegal earning parameter, too. In this article, statistics and information of central bank during years 1973 to 2007 are utilized.
    Results And Discussion
    In this research, a non-liner partial differential equation is obtained for the estimation of illegal earning by Tikhonov regularization strategy and inverse problem and then volume of dirty money is determined. The results of the equation are as following table.
    Table 1. Volume of dirty money growth rate in Iran Economy
    1386 1385 1384 1383 1382 1381 year
    11.4761 11.264 11.86 10.94 10.767 10.5391 volume of dirty money logarithm
    1.88% -5.03% 8.41% 1.61% 2.16% 0.89% volume of dirty money growth rate
    Conclusion
    The results of this research represent the increasing progress of money laundering in Iran’s economy, which is seriously contradictory with developmental aims of Iran 1404; hence, serious device should be found in order to struggle with this phenomenon
    Keywords: Corruption, Money Laundering, Numerical Method, Inverse Problem, Economy of Iran