نشریه اقتصاد پولی، مالی
پیاپی 25 (بهار و تابستان 1402)

Considering that cryptocurrencies exhibit commodity characteristics such as demand shocks, high price fluctuations, etc., cryptocurrencies can be compared with the behavior of the gold and oil markets (except when there is uncertainty about the supply conditions of gold and oil. There is no such uncertainty in the cryptocurrency market). Therefore, due to the commodity nature of Bitcoin, the price of oil and gold can affect the price fluctuations of cryptocurrencies. It seems that cryptocurrencies can play the role of a safe haven for commodity market investors, so the cryptocurrency market can cover the fluctuations in gold and oil prices. Commodity markets, which this study focuses on gold, oil and cryptocurrencies, have a series of characteristics. It seems that the gold market has surpassed the cryptocurrency and oil market in absorbing information, while the cryptocurrency market has higher price fluctuations than the gold and oil markets. Empirical evidence shows that Bitcoin can have a close relationship with the commodity market.Therefore, due to the commodity nature of Bitcoin, the price of oil and gold can affect the price fluctuations of cryptocurrencies. رمزپایه تاثیر بگذارد. Therefore, due to the commodity nature of bitcoin, the price of oil and gold can affect the fluctuations of the price of crypto-currencies. 

THEORETICAL FRAMEWORK:

Every person in the financial markets who has an asset portfolio tries to increase or maintain the value of his asset portfolio. The position of each asset in the portfolio has two characteristics: return (price change) and risk (price volatility). The behavior of asset portfolio owners is such that they try to increase returns and reduce risk. In this framework, they buy or sell assets in their portfolio in order not only to prevent the value of their asset portfolio from decreasing, but also to increase the value of their wealth. This behavior of the capital owners leads to the creation of connections between the global markets, including oil, gold, and cryptocurrencies, so that their yield fluctuations are connected to each other through the risk spillover effect. The asset allocation models have been investigated in a practical way for about half a century. The most well-known asset allocation model is the mean-variance strategy (modern portfolio theory), which was first developed by Markowitz (1952) to describe the process of optimal capital allocation, assuming a fixed investment opportunity set, between different asset groups over a period.

In this study, the VAR− MGARCH − GJR – BEKK model has been used in order to investigate the asymmetric effects of turbulence spillover between the oil, gold and bitcoin markets because of the following advantages. First, this model has high flexibility. Second, in this model, unlike constant conditional correlation (CCC) models, the conditional correlation changes over time. In addition, it is possible to check several markets at the same time. The existence of the covariance equation makes it possible to examine the simultaneous relationship between two markets. In the BEKK model, the fluctuations of a market are affected by the fluctuations and shocks of other markets, the shocks of that market and the covariance of the markets. In other words, the effects of the markets on each other, which is reflected in the delayed covariance, have an effect on the fluctuations of the markets. These effects can be symmetrical or asymmetrical. Also, this model makes it possible to have a dynamic dependence between the fluctuations of the variables. The only disadvantage of this model is that it is not suitable for examining more than three or four markets due to the increase in parameters.

The results indicate that the contribution of the memory of turbulence in explaining the current turbulence is greater than the impact of past shocks. The impact of past impulses and the memory of the turbulences of cryptocurrencies is high on the turbulences of this market. In other words, it can be said that fluctuations in the cryptocurrency market are significantly explained by the past impulses of this market. The results show that there is one-way turbulence spillover from the Bitcoin market to the gold market and the oil market, but the opposite is not true. The results of the study also indicate leverage effects in the markets. The leverage effects of the gold market shock along with the oil and bitcoin market shocks on the gold market are significant. The leverage effects of the oil market shock along with the gold and bitcoin market shocks are also significant on the oil market and the leverage effects are also significant for the bitcoin market.The results of the study indicate leverage effects in the markets, in other words, positive and negative shocks have different effects on price fluctuations, and bad news has a greater effect than good news on price fluctuations.The results of the study indicate leverage effects in the markets, in other words, positive and negative shocks have different effects on price fluctuations and bad news has a greater effect on price fluctuations than good news.Can't load full.

Welfare is one of the main men needs which economist and policy makers can tack appropriate planning and policies with true cognition from the effect of government policies on welfare. Generally, it is argued that the goal of monetary policies is making economic stability and remaining the stationary of prices. When money volume increases the level of expectation prices will increase and due to rising expectation inflation and reducing both producers and consumers welfare. Therefore, according to the negative effects of uncertainty conditions in economy on welfare of consumers and producers, assessing the effects of monetary policies on exchange rate in uncertainty conditions and its effect on welfare has undeniable importance for prevent from hazardous economic effects which carried out in this research. For this purpose, the effects of shocks due to monetary policies scenarios through increase in liquidity volume and decrease in required reserve rate (2%, 5% and 10%) on foreign exchange rate (Rial/US$) and total welfare was studied.

 THEORETICAL FRAMEWORK:

In the theoretical literature, two channels have been proposed for the effect of the exchange rate on the economy of a country; one is from a micro perspective (influence on economic agents, i.e. consumers, firms, investors, and the government) and the other is at the macro level. Many researchers have argued that households and firms are negatively affected by exchange rate fluctuations through direct and indirect channels. The direct influence of the exchange rate fluctuation is through the change in the price of imported consumer goods and as a result the change in the consumer price index, and its indirect effect is through the national monetary value and as a result the change in the price of intermediate goods and imported inputs, which leads to increase the cost of production. It is obvious that the uncertainty caused by exchange rate fluctuations has a negative effect on investment decisions, and the unreliability of economic conditions increases the severity of this effect. The direct influence channel is based on the assumption that people don’t desire with the fluctuation of the exchange rate, because it causes fluctuations in their consumption, employment and welfare. Its indirect effect is that firms try to cover future risks caused by exchange rate fluctuations by setting higher prices as a risk premium. Therefore, the price of goods and services increases. It is likely that the demand will be lower and the producers will hire fewer workers and as a result the economic welfare will decrease. This point of view is very common in the literature, and most economists do not consider this conclusion unreasonable that exchange rate fluctuations are costly for economic welfare.

In order to meet the research goals the required data was gathered from Social Accounting Matrix (SAM) of Parliament Research Center of Iran in the year 2011 and input-output table of central bank of Iran (CBI) in the year 2016. On the other hand, many researches about the effects of monetary policies on economic variables have been carried out by using static computable general equilibrium and in most advanced case with dynamic computable general equilibrium models. But dynamic computable general equilibrium models divided in two categories: interim and recursive. The interim models are based on optimum growth theorem which assumed that economic agents have the ability of complete prediction while this doesn't correct many economic circumstances, especially in developing countries. Hence many economic experts believe that recursive models are more trustable. Therefore, in this research, in order to achieve the results from gathered data the recursive dynamic computable general equilibrium (RDCGE) model and impulse response functions (IRF) through making shocks on monetary police indexes include of: increase in liquidity volume (2%, 5% and 10%) and decrease in required reserve rate (2%, 5% and 10%) were applied. In addition, for data analyzing the Matlab software were applied.

Results indicated that shocks of increase in liquidity volume equal to 2%, 5% and 10%, maximally will increase the exchange rate equal to 0.97%, 1.98% and 3.08%, respectively. Also, shocks of decrease in legal reserve rate equal to 2%, 5% and 10%, maximally will increase the exchange rate equal to 0.84%, 0.90% and 1.14%, respectively. Because shocks of increase in liquidity volume and decrease in required reserve rate due to increase in money volume, causes to reduce in value of national money in comparison with foreign exchanges and therefore the Rial value of US$ will increase in domestic. In addition, results showed that shocks of increase in liquidity volume equal to 2%, 5% and 10%, maximally will decrease the total welfare equal to 1.19%, 2.47% and 3.53%, respectively. Also, shocks of decrease in required reserve rate equal to 2%, 5% and 10%, maximally will decrease the total welfare equal to 0.73%, 1.64% and 2.81%, respectively. Because shocks of increase in liquidity volume and decrease in required reserve rate due to increase in money volume, causes to reduce in value and power purchase of national money and consequently increase in inflation rate and decrease in total welfare.

CONCLUSIONS & SUGGESTIONS:

It is concluded that the studies indexes of monetary policies (increase in liquidity volume and decrease in required reserve rate) will increase the foreign exchange rate (Rial/US$) and decrease the total welfare. Indeed, between studied shocks, shock of increase in liquidity volume has more effect on exchange rate and total welfare in comparison with shock of decrease in required reserve rate. Therefore in condition of uncertainty in exchange rate which economic agents transfer their assets to parallel markets especially foreign exchange market and cause to further increase in foreign exchange rate and consequently increase in inflation rate and decrease in total welfare, it is recommended that central bank take a restrictive monetary policy such as increase in bank interest rate because this policy while increase in investment cost, can almost prevent from speculative activities and transferring assets to exchange rate market and exacerbate the exchange rate fluctuations and finally decrease in total welfare.

Achieving macroeconomic stability is one of the main issues of policymakers in developed and developing economies, especially in Iran. In order to create stability in the economy, one of the important and efficient tools are the monetary policies that are used in direct and indirect ways by the central bank. Open market operation as an indirect tool of monetary policy is done in most advanced countries that have structured secondary markets related to government bonds through the entry and exit of the central bank in this market. The preparations for the operation of the open market in Iran's economy have been prepared since 2017 and it has been implemented since the beginning of 2019. In the market operations of the Central Bank of the Islamic Republic of Iran, it can buy and sell certain securities, and other banks in Iran can also buy and sell these securities in cooperation with the Central Bank. Considering that the main tool of open market operations is the interest rate, it can be stated that the main objectives of the banking open market operations are the management of the short-term interest rates of the interbank markets in order to balance inflation. Of course, it should be noted that the economic conditions in Iran are different from other countries, because Iran has faced all kinds of economic and non-economic sanctions by Western countries, and it is necessary to consider this influential variable as a quantitative index and measure its effect in the model. Therefore, it is necessary to see the effectiveness of the mentioned operations in the conditions of sanctions. On the other hand, in spite of the extensive exploration regarding the issue of the effectiveness of open market operations, no study with this title has been carried out in a quantitative manner. Therefore, in this paper, the effect of open market operations on variables such as inflation, gross domestic product, exchange rate and interest rate during the period of 1392 to 1400 with seasonal frequency is investigated with the Eviuse software and by using the ARDLmodel.

THEORETICAL FRAMEWORK:

In the implementation of monetary policy, the central bank can directly use its regulatory power or indirectly influence the conditions of the money market as a high-powered money issuer (bill and currency in circulation and deposits with the central bank). Accordingly, two types of monetary policy tools can be distinguished, which are called direct (not relying on market conditions) and indirect (based on market conditions) monetary policy tools.

In order to investigate the effect of open market operations on four key macroeconomic variables, it is necessary to specify four separate equations and estimate each one separately by using the ARDL method. Consideration that the data is seasonal, it is necessary to check the reliability of the variables and the sum of the equations in order to examine the long-term relationship and the convergence of the variables towards the equilibrium value.

The important results obtained in this research is that the sign of the open market operation coefficient is contrary to economic theories, which indicates the inefficiency of the open market operation under sanctions in Iran, and these results are completely consistent with the official evidence and statistics of the relevant centers.

 CONCLUSIONS & SUGGESTIONS:

In the current situation where Iran's economy is suffering from stagnation and government budget deficit, it seems that open market operation has found the function of financing for the government and has no effect on controlling the interest rate and consequently the inflation rate. In fact, the government issued bonds without consideration and from the very beginning it has disrupted and rendered useless the operation of the open market operation tool as a tool of the new monetary policy procedure in line with inflation targeting. On the other hand, the creation of open market operations and the issuance of bonds will cause global fluctuations or external pressures to be transferred into the country in the form of clear economic effects and create another vulnerable point against sanctions in Iran's economy. In such a way that by imposing severe sanctions and even by playing with the psychological atmosphere, the price of government bonds in the market will change and fall, which can cause the discrediting of government bonds and a blow to the financing of government activities. Therefore, it is suggested to consider a sustainable and long-term solution to the government's revenue generation, which includes tax revenues.

Monetary policy, as one of the most important economic tools that affects various economic variables through different channels and with different speed and intensity, has always been the attention of the responsible authorities of countries, especially developing countries like Iran. On the other hand, banks, as financial and credit institutions that have a special place in the country's economy, play a decisive role in the circulation of money and society's wealth. Therefore, examining the impact of monetary policy shocks on the health of Iran's banking system, which is done through the exchange rate channel, is particularly important and is the main goal of this research. Therefore, by using 96 variables of seasonal time series data affecting the bank's profitability index, which is one of the most important indicators of measuring and judging the health of the banking system during the period of 1401:4-1378:1 and using the experimental model of the factor- Added (FAVAR), we investigate the effect of monetary policy through the exchange rate channel on the health of the banking system in Iran. The results show the direct effect of monetary policy through the exchange rate channel on the growth rate of bank network deposits and consequently the power to grant facilities, the amount of bank operating income and the growth rate of bank claims, which from this point of view is one of the most important indicators of the health of the system. A bank that has a profitability index has a negative and significant effect. On the other hand, the effect of monetary policy shocks through the exchange rate channel on the amount of deposit attraction (current, short-term, long-term Rial and foreign currency deposits) and the amount of power to grant facilities and the bank's operating income (income from granting facilities, income from of foreign exchange) is negative and significant and has a positive and significant effect on the amount of claims in the bank.

THEORETICAL FRAMEWORK:

Anzwaini et al. (2012) conducted a study aimed at the impact of monetary policy shocks on commodity prices. Global monetary conditions are often cited as a driver of commodity prices. This paper examines the empirical relationship between US monetary policy and commodity prices using a standard VAR system, which is commonly used in analyzing the effects of monetary policy shocks.Jordo et al. (2019) conducted a study with the aim of whether SVARs identify unconventional monetary policy shocks? they did. We show that the used identification schemes have not been able to recover real unconventional monetary policy shocks in theEurozone. In their identification schemes, information on the size of the central bank's balance sheet is key to distinguishing monetary policy shocks from other shocks that reduce financial market stress.Niazi Mohseni et al. (2019) conducted a study with the aim of investigating the effect of monetary policy shocks and oil revenues on inflation and economic growth in Iran. In this study, the data of the explained variables were used for the period of 1357 to 1397. Data analysis was done using STATA software. The results of this study showed that the increase in the bank interest rate has reduced the economic growth rate for at least two years after the application of the shock, and after that the effect of the shock tends to zero.Asefi et al. (2021) conducted a study on the effect of monetary policy through the asset price channel on financial development. In this study, using seasonal time series data of 110 economic variables in the period of 1370-1390 and self-explanatory model A generalized factor (FAVAR), the impact of monetary policies has been evaluated through the channel of housing and stock prices. The results of the impulse response functions indicate that the housing price channel has increased production in the medium and long term, but it has also had significant inflationary effects in the short and medium term.

FAVAR model introduced by Bernanke et al. (2005) is a combination of VAR model and factor analysis model. Composite dynamics (Yt, Ft) should be assumed as equation 1.According to the statistical limitations in Iran, the time period investigated in this data research will be the years 2012-2021 and the research variables include three categories:Table 1: Introduction of Xt vector variables, Yt vector exogenous variables and F vector hidden factors Brief description of the variable. Brief description of the variable Government claims to the bank Dig exchange rate EXC Claims of other banks and financial institutions to the bank Dib Income from granting facilities Inl Income from currency exchange Bc Other variables as hidden factors The equation can be written as follows using model variables: 

The results obtained from the findings show that the monetary policy through the exchange rate channel has led to a direct effect on the deposits of the banking network and as a result the power to grant facilities and the amount of non-current bank claims which as a result It has an impact on one of the most important indicators of the health of the banking system, which is the profitability index, and this impact is negative and significant. Also, the effect of monetary policy shocks through the exchange rate channel on the amount of deposit attraction (current, short-term, long-term Rial and foreign currency deposits) and the amount of power to grant facilities and the bank's operating income (income from granting facilities, income from of foreign exchange) is negative and significant and has a positive and significant effect on the number of claims in the bank.

 CONCLUSIONS & SUGGESTIONS:

Considering the importance of the banking sector, in this study, using the FAVAR model, the impact of monetary policy shocks through the exchange rate channel on the health of the banking system of Iran during the years 2012-2021 was investigated.At the beginning, the unit root test was used to measure the significance of the variables using Stata software, and all the variables were at the significance level.In the following, with the help of Schwarz-Baysin, Akaik and Hanan-Quinn criteria, as well as the maximum likelihood statistic, the optimal interval is determined, and since these criteria do not yield the same results, the AIC criterion is used to determine the optimal interval length. and the obtained optimal interval length is specified as one. According to the obtained results, using the FAVAR model is very suitable for measuring the relationships between variables. The results of the model estimation results show that the monetary policy through the exchange rate channel has led to a direct effect on the deposits of the banking network and consequently the power to grant facilities and the amount of non-current bank claims, which is one of the most important the health indicators of the banking system, which is the profitability index, are effective. For this reason, fluctuations caused by monetary policy shocks in the exchange rate, as one of the most important factors affecting the health of the banking system, will have a negative and significant impact.Also, the effect of monetary policy shocks through the exchange rate channel on the amount of deposit attraction (current, short-term, long-term Rial and foreign currency deposits) and the amount of power to grant facilities and the bank's operating income (income from granting facilities, income from of foreign exchange) is negative and significant and has a positive and significant effect on the number of claims in the bank

The enabling factor for entering the process of globalization is the creation of a competitive enviroment. The goal is to achieve competitive power through growth, development, and improvement in the quality of life. Competitiveness is the foundation for the economic growth of countries worldwide, and the real exchange rate is a good indicator for examination of a country's competitiveness in global markets. It is a variable through which we can assess the relative price of traded and non-traded goods. If there are no changes in the relative prices of other countries in the world and the real exchange rate decreases, it indicates a weakening of the international competitiveness of domestically produced goods. High fluctuations and lack of stability in real exchange rates can create an unstable environment for international trade and, as a result, reduce trade. Given the significance of the real exchange rate in influencing other macroeconomic variables and creating an uncertain environment, having knowledge of the future changes in the real exchange rate can play a crucial role in assisting monetary authorities to increase employment levels and stabilize prices.Since many microeconomic and macroeconomic variables are influenced by the exchange rate, a proper understanding of the linear or nonlinear behavior of the exchange rate can help policymakers, firms, and traders make accurate decisions in order to effectuate desired changes.

 THEORETICAL FRAMEWORK:

The relationship between the national currency and the value of the national currency against foreign currencies is called the exchange rate. In international banking, the term "currency" refers to foreign money, sometimes including the adjective "foreign" to distinguish it from the domestic or local currency of a country. Currency is not limited to banknotes issued by central banks. It includes documents such as checks, drafts, and promissory notes that are used for international payments.Due to resource allocation based on relative prices in the free market, efficient resource allocation occurs when relative prices are properly adjusted and serve as an indicator of the real value of resources. The exchange rate is one of the most important prices, and deviations from equilibrium can disrupt the prices of other goods and services. Generally, exchange rates are divided into several categories: 1) Nominal exchange rate, 2) Real exchange rate, 3) Effective nominal exchange rate. The nominal exchange rate is the price of one unit of a currency in terms of another currency on a specific day and at a specific time. The mention of a specific time is necessary because the exchange rate may change during different hours of the day. It is common to express the price of one unit of foreign currency in terms of domestic currency in exchange rate calculations.Changes in the real exchange rate have a significant impact on the balance of payments and the international competitiveness of a country. Economists agree that an inappropriate level of stability for the real exchange rate leads to a decrease in national welfare. Thus, the instability of the real exchange rate from its equilibrium level leads to severe imbalances in the economy.

To investigate the nonlinear behavior of the real exchange rate in Iran and in order to examine the nonlinear behavior of the real exchange rate in Iranian economy during the years 2004:04- 2018:02 two models have been applied: Self-Exciting Threshold Autoregressive (SETAR) model and Logistic Smooth Transition Autoregressive (LSTAR) model.

The possibility of threshold behavior in the real exchange rate has been confirmed by Broock, Dechert, and Scheinkman (1987) and Hansen (1999) test. Subsequently, the threshold values for the growth of the real exchange rate were calculated to be 3.84% in the first model (SETAR) and 5% in the second model (LSTAR).In the first model, when the growth rate of the real exchange rate is below 3.84%, the growth rate of real exchange rate is minimal and classified as a regime with low growth. If the growth rate of the real exchange rate exceeds the threshold value (3.84%), its stability increases. In other words, when the growth rate of the real exchange rate is severe in Iran's economy, it is expected to be stable.In the second model, values less than 5% are classified as a regime with low growth, while values greater than 5% are classified as a regime with high growth. The estimated coefficients for different orders in the two regimes indicate that if the growth rate of the real exchange rate is greater than 5%, this variable will exhibit stable behavior. However, at values below the threshold, due to the insignificance of the coefficients, this property will not be applicable.

CONCLUSIONS & SUGGESTIONS:

The results demonstrated the possibility of nonlinear behavior in the growth rate of the real exchange rate. After calculating the optimal order for AR and considering other econometric requirements (Hansen test), two models, namely SETAR and LSTAR, were estimated. The threshold value was calculated to be 3.84% for the first model and 5% for the second model. In both models, it was observed that as long as the growth rate of the real exchange rate remains in a severe regime, it exhibits significant stability and is positively influenced by its past values.

Compulsory loan and its macroeconomic effects, especially its effect on inflation, have always been discussed by economists in Iran. In the current research, the effect of credit compulsory loan on inflation has been evaluated. In order to estimate the model we used data from 1990-2018.  The data have been measured by using vector autoregression (VAR) method. According to the results of the research, it is suggested to replace the policy of granting compulsory loan with other existing policies such as product coupon and purchase remittance in the field of supporting weak households and value chain financing to increasing supply.

THEORETICAL FRAMEWORK:

Compulsory loan is a loan that is imposed on the banking system according to the notes of the budget laws and other laws. In other words, banks are responsible for granting assigned loans based on the approvals of authorities outside the banking system. These loans are one of the government's policies to support the vulnerable sections of the society. Every year, in note 16 of the country's budget, a decision is made by the government and the parliament in relation to the debt relief.

In this research, the data is time series. To analyze the data we choose from various models of the vector autoregression (VAR), which is actually an unrestricted method in econometrics. the vector of variables is a function of its own intervals and other endogenous variables. The vector autoregression method has the following feature: all variables in this model are endogenous, the results of the model in many cases are better than the results of complex models; It is like simultaneous equations, estimation of the model is simple.

According to the tests, it has observed that a one percent increase in the compulsory loan will increase the consumer price index by 0.4 percent; one percent increase in the nominal interest rate also leads to a 1.25% increase in the consumer price index. Also, the effect of the instant shock of the loan facility rate on the consumer price index and the nominal interest rate is not significant. Next, in the analysis of variance method, the contribution of impulses entered on the model variables was evaluated and it was found that in the 5 first periods (of 10 periods) the largest prediction error of the consumer price index rate variable is explained by the LCPI variable. From the 6th period to the 8th period, however, the explanatory contribution of the nominal interest rate is higher. In the 9th and 10th periods, the compulsory loan rate has the largest contribution in explanation the variable prediction error of the consumer price index.

 CONCLUSIONS & SUGGESTIONS:

The budgeting system directly and indirectly affects monetary policies. One of the channels of this influence can be followed in the budget notes. Every year, in some laws of the country, especially in the annual budget laws, the banking system is burdened with tasks, and in some of these cases, due to the preferential rate of these loans, or in other cases, due to the high default of these loans, the country's banking system has suffered imbalance. In this regard, increasing of the monetary base was not only through the growth of banks' balance sheets. Rather, the financial dominance of the government and the impact of financial rulings on the balance sheet of the central bank in the form of borrowing from the central bank, buying government bonds has also caused the expansion of the government's debt and the net foreign assets of the central bank, as well as the monetary base.

Considering the role of the capital market in the economy of countries and studying the performance of this market has a particular importance. One of the factors that affect the performance of the capital market is the decisions made regarding the financial structure of companies’ performance in this market. Today, in fact, the credit rating of companies is largely dependent on their financial structure, or in other words, their capital structure, and in fact, the basis of production and service provision depends on the way financial funds are provided and used. On the other hand, the financial structure of each company is an early warning regarding the number of financial resources of the company, and it is necessary to determine the factors affecting their financial structure in the strategic planning of companies. Many variables affect the financial structures of stock companies, among which we can mention financing with Islamic instruments. Sukuk is one of the important financial instruments and conforms with the Islamic Shari'ah, which provide an alternative source of funding, especially for large (very active) companies, and more efficient sources compared to conventional bonds.

 THEORETICAL FRAMEWORK:

In financial field, the way in which the company invests is called financial structure. Financial structure, or in other words capital structure, describes the long-term capital financing of a company, which represents debt and equity, and is a type of permanent financing that supports the growth of the company and related assets. One of the most important functions of the Islamic financial system is to facilitate financial flow and guide it towards the most efficient type of investment, and as a facilitator of financial flow, it gives producers the opportunity to move economic resources with greater speed and accuracy by relying on monetary and financial resources. The existence of these types of financial instruments increases capital efficiency and optimal allocation of resources in companies. Since Islamic financing can lead to global financial stability and economic growth; Therefore, wider access to financial services improves social participation and increases market power, and ultimately strengthens protective laws and solves problems and issues of financial development, and increases profitability and improves the financing process of companies.

This research is considered as applied research in terms of its objective; Because it examines the relationships between variables, the subject of the research is the Tehran Stock Exchange Organization in terms of location, and the time scope of the research is from the fiscal year 2010 to 2019 by using the annual data of the companies. The 83 companies were selected as the statistical sample used in the research. In order to estimate the effects of the variables, the panel data technique with Johnssen's approach is used. In this research, the variable of financial structure is used as dependent variable and the variables of ejare sukuk, murabaha sukuk, sode sukuk, istisna sukuk and mosharekat sukuk are used as explanatory variables.

According to the empirical results of this study, all new Islamic financing instruments had a positive effect on the financial structure index (ratio of capital to assets). In the long run, ejare sukuk, murabaha sukuk, sode sukuk, istisna sukuk and mosharekat sukuk explain 7.06, 20.32, 0.07, 3.32 and 0.84 percent respectively, of the changes in the financial structure index.

CONCLUSIONS & SUGGESTIONS:

The present study investigates effectiveness of the financial structure of listed companies from new Islamic financing instruments (Sukuk) by using the panel data technique with the Johanssen approach. For this purpose, the data of 83 listed companies on the Tehran Stock Exchange has been used during the years 2010 to 2019. According to the research results, instruments had a positive effect on the financial structure index (ratio of capital to assets). Accordingly, the issue of sukuk can significantly improve the financial structure of companies. Companies should use a complete combination of modern financing tools (Sukuk) to achieve benefits such as increasing liquidity, increasing shareholders' wealth and increasing diversity in financing sources.

The business strategy of companies plays an essential role in achieving the company's goals, and strategies should be adopted based on the company's ability, resources, and goals. Choosing the wrong strategy can jeopardize the interests of the stakeholders and the company. As a result, the adoption of strategy by managers should be monitored. Meanwhile, corporate governance with two arms of non-commissioned managers and the audit committee as tools for monitoring the performance of managers and the overall performance of companies, is probably effective in adopting business strategy. Therefore, the purpose of this study is to provide new evidence about the relationship between the quality of the board of directors and the audit committee as two fundamental pillars of corporate governance, in relation to the aggressive business strategy of commercial units.

THEORETICAL FRAMEWORK:

One of the variables influencing the policies and performance of companies is business strategy. Strategy includes a set of decision-making rules that direct the organization's overall behavior. These decision-making rules determine the organization's relationships with its external environment. In general, business strategy consists of integrated actions in search of competitive advantage. In the organizational literature, two major, different and complementary concepts are examined for the survival and progress of organizations, those two concepts are management and governance. In the concept of management, the main emphasis is on the methods of achieving organizational goals, while the concept of governance is a supervisory concept. The characteristics of the board of directors of companies refer to the mechanisms of corporate governance and the role of board members in monitoring the affairs of companies. Corporate governance is a system that not only enhances the relationship between different parties (shareholders, managers and investors of the company), but also ensures the availability of appropriate resources among competing users. In addition, it provides structures through which firm goals are formulated and ways to achieve goals as well as performance reviews. The purpose of creating an audit committee is to create a set of experts and specialists to monitor management activities on behalf of company owners.The audit committee is a sub-committee under the framework of corporate governance, in which the board of directors assigns some supervisory responsibilities to it. The board of directors and the audit committee are the main pillars of corporate governance and have the duty of fiduciary and protecting the interests of shareholders and supervise the implementation of the company's internal controls.

The current research is applied and from the methodological point of view, the correlation is causal type (post-event). The statistical population of the research is all the companies admitted to the Tehran Stock Exchange, and using screening, 131 companies were selected as the research sample and were investigated in the 10-year period between 1390 and 1399.

The results of the research hypotheses test showed that in the first hypothesis, the quality of the board of directors has a direct effect on the aggressive business strategy of the companies. The results of the second hypothesis also showed that the quality of the audit committee has no effect on the aggressive business strategy of the companies.

CONCLUSIONS & SUGGESTIONS:

Companies that want to progress and surpass their competitors in the market by choosing an aggressive strategy and using new operational plans and new technologies, actually accept a kind of risk and hazard that should be in the shadow of principled and accurate planning, so such companies They require strict internal controls that are the result of managers' careful supervision and strong and quality corporate governance, and the results obtained show that improving the quality of the board of directors can have a positive impact on choosing an aggressive business strategy.

An indicator of investors' trading behavior that affects asset prices is investor sentiment. Investor sentiment is known as a degree of investor's optimistic mood in financial markets. Company-specific investor sentiments have a significant impact on the risk of a stock price fall. There are two types of traders, simple noise traders and rational arbitrageurs (informed traders) in the market. When noise traders have high risk sentiment and are very optimistic about a stock, they can easily drive its price to a high level. At this point, arbitrageurs should sell the stock short. However, they fear that in the near future noise traders will become even more bullish and push the price even higher, limiting their prime arbitrage position. Under these conditions, arbitrage does not eliminate the effects of noise, because noise creates risk by itself. Stronger investor sentiments lead to the risk of a particular company's stock price falling, and the economic significance of this effect is not insignificant. Stronger investor sentiment leads to more active margin investments in stocks, leading to higher stock price risk. Therefore, the impact of investor sentiment on stock price downside risk is more pronounced for stocks eligible for margin trading. Hence, this research seeks to answer the question of whether the moderating role of the firm's growth opportunities and profitability has an effect on the value relationship of the risk perception of annual reports?

 THEORETICAL FRAMEWORK:

The basic premise of using investors' risk sentiments to predict stock prices, stock market returns, and liquidity is the synergy between stock prices and investors' risk sentiments. However, this synergistic relationship has received less attention in the literature. When the stock price increases, the investor's risk sentiment increases, and when the stock price decreases, the investor's risk sentiment decreases. Therrfore, this synergy may reverse or even disappear over a certain period of time. Through a segmented measurement of the synergism between stock price and investor sentiment over the course of a day, we can also find that investor risk sentiment on social media is forward-looking. This provides theoretical support for the use of investor risk sentiment in stock price prediction. External anxiety can significantly affect the synergy between stock prices and investor risk sentiment, but this effect can increase positive or negative synergy. The existence of growth opportunities increases the performance of companies and shareholder wealth, which leads to participation in job creation and economic development, increasing the value of companies and the demand for high-quality innovation, and the improvement in the global market increases opportunities and competition, which also forces companies to invest and undertake riskier projects to maximize shareholder wealth. If investor risk sentiment does indeed drive asset prices, then analysts' recognition and treatment of risk sentiment may affect the relative profitability of their stock recommendations. For example, an analyst may believe that a particular stock is overvalued based on his private estimate of the company's intrinsic value. However, the analyst may hesitate to issue a sell recommendation if he believes that investor risk sentiment will continue to put upward pressure on asset prices in the short term. Furthermore, if the analyst believes that investors will become even more bullish in the near future, he may actually issue a buy recommendation. If the analyst (1) correctly anticipates an upward (downward) shift in investor sentiment that ultimately causes an increase (decrease) in asset prices and (2) issues a more favorable (unfavorable) recommendation in response, then the analyst's recommendation may be more profitable than his peers.

The current research is based on the classification based on the goal, use, and in terms of classification, it was done using the descriptive-correlation method and using the post-event approach. To collect research data and information by document mining method, field method and databases of Tehran Stock Exchange, comprehensive information system of publishers (Kedal) and modern Rahvard software were used. Finally, the data has been prepared using Excel software and then the final analysis has been done using Eviews software. Content analysis method was used to check the level of risk perception from the activity report of the board of directors, the management's interpretive report and the accompanying notes of the financial statements. In order to test the research hypotheses, the dynamic model approach has been used to estimate the models related to the hypotheses.

According to the findings of the research, the risk perception of annual reports has a significant effect on the stock price, and also the company's growth opportunity and profitability have a significant effect on the value relationship between the risk perception of annual reports and the stock price. Also, growth opportunity and profitability as moderators affect the relationship between risk perception and stock price. It can be claimed that Tehran Stock Exchange market is more influenced by economic variables. Therefore, it seems necessary to make policies in macro areas to reduce the feeling of economic risk.

CONCLUSIONS & SUGGESTIONS:

It can be claimed that Tehran Stock Exchange market is more influenced by economic variables and financial and political variables do not have much effect on this market. Therefore, investors are advised to pay special attention to the effect of risk perception on market returns in financial analysis. In addition, in order to reduce the effect of risk feelings on the economy and especially on the stock market, it seems necessary to make policies in macro areas to reduce the feeling of risk.

Undoubtedly, it is possible to achieve long-term and continuous economic growth in any country by equipping and optimally allocating investment resources in the national economy of that country, and the role of developed financial markets is necessary to achieve this goal. In fact, the role and importance of the financial system in the development process of countries is such that the difference between developed and developing economies can be found in the degree of efficiency and effectiveness of their financial system. Financial development is a category, which, according to the developments of financial markets, following the discussions of globalization and financial integration after the 70s, was taken into the attention of economists. Therefore, considering the importance of the financial development category in different countries, the study of factors affecting it has always been emphasized. Financial development is a set of factors, policies and institutions that lead to the creation of effective financial markets and financial intermediaries and provide deep and wide access to capital and financial services.

 THEORETICAL FRAMEWORK:

Many factors can influence the development process of financial markets, among which, the role of the combined index of globalization and inflation can be very important. Some economists and economic policymakers, such as Greenaway and Baltaji, believe that globalization leads to better macroeconomic performance and faster financial development in terms of financial and commercial openness, which many empirical studies support this view. International institutions such as the World Bank, the International Monetary Fund, and the Organization for Economic Cooperation and Economic Development advise member countries to believe that commercial and financial liberalization has a positive effect on financial development.

In this research, the non-linear effects of globalization and inflation on the financial development index (facilities granted by the banking system) in Iran during the period 1368 to 2020 have been investigated by using the Markov switching econometric technique. In this study, the dependent variable is financial development, and the independent variables are inflation, globalization, capital stock, and government spending.

In the first regime, the economic dimension of globalization has a positive effect on financial development, which indicates that, due to the increase in the economic dimension of globalization, the index of financial development (facilities granted by the banking system) increases. But in the second regime, the economic dimension of globalization has a negative effect on financial development, which indicates that, due to the increase in the economic dimension of globalization, the index of financial development (facilities granted by the banking system) decreases. Inflation caused by demand pressure and monetary inflation in both regimes has a negative effect on financial development, which indicates that, due to the increase in inflation caused by demand pressure and monetary inflation, the index of financial development (facilities granted by the banking system) decreases.Human capital in both regimes has a positive effect on financial development, which indicates that, due to the increase in human capital, the financial development index (facilities granted by the banking system) increases.In the first regime, capital stock has a positive effect on financial development, which indicates that, due to an increase in capital stock, the index of financial development (facilities granted by the banking system) increases. But in the second regime, ithas no effect on financial development. Government spending in both regimes has a negative effect on financial development, which indicates that, due to an increase in government spending, the financial development index (facilities granted by the banking system) decreases.

CONCLUSIONS & SUGGESTIONS:

The results of the estimates indicate that the sources of inflation (inflation caused by demand pressure and monetary inflation, structural inflation, inflation caused by cost pressure and imported inflation) had a negative effect on financial development in both regimes. Regarding the dimensions of globalization (economic dimension, social dimension and political dimension), we saw a positive relationship in the first regime and a negative relationship in the second regime. In connection with the results of the control variables, the variables of capital stock and human capital in both regimes had a positive effect on banking facilities, but the effect of government spending on banking facilities in both regimes was negative. Now, according to the results, policy proposals are presented as follows:- What can be stated with certainty is that paying attention to globalization and joining international organizations such as the World Trade Organization can help improve the performance of financial development indicators in Iran. Because Iran has a long way to go on the path of globalization and integration into it. Therefore, the economic, political, social and cultural dimensions, especially the political dimension, need a fundamental revision.

Financial technology will transform traditional financial markets, especially banks, by taking advantage of innovation. The purpose of this research is to present an entrepreneurial model regarding the subject of this research. The research is exploratory in terms of its applied purpose-developments and data collection method. In order to examine the relationship model and its fit, structural equation modeling has been used. As a result, the components are placed in 5. Therefore, according to these recommendations, in order to improve their business models, it has been provided.

  THEORETICAL FRAMEWORK:

Today, the world is witnessing very rapid progress in various fields of science, the speed of these developments and innovations resulting from it is faster, especially in the science of information and communication technology, and the technologies of this field have become a precursor to developments in other fields as well. Banks have always been the focus of researchers due to their special importance in the economy of countries. With the expansion of technology and the increasing influence of the internet and virtual space in people's daily lives, the need for ideas and innovation in the banking sector also becomes more tangible.In a significant part of the previous research in the field of financial technology ecosystem, the way of its development and evolution and the role of this ecosystem in creating innovation in the financial services industry have been discussed. In research, the proposed classification framework of the paper has three dimensions: financial benefits, challenges and functions enabled by blockchain.The current research seeks to answer the following questions:What factors does the entrepreneurial model of technological businesses in the banking industry include?In what dimensions are the influential factors of financial technology in the banking industry?How are the influential dimensions of financial technology in the banking industry related to each other?

In the first step, to implement this method, the triangular fuzzy values of experts' opinions as well as the components obtained from previous researches in both internal and external studies were calculated and these components were converted into fuzzy values. In the second step, to calculate the average of the opinions of n respondents, their fuzzy average was calculated. In the third step, according to the studies conducted from domestic and foreign researches, the participating team consists of academic experts, number of 20 people, including faculty members of public administration, information technology management, entrepreneurship and banking affairs management, based on the information that they have been determined in the field of financial technologies in the banking system. In the fourth step, to validate the findings of the qualitative part, the method of long-term engagement and continuous observation, review by participants and colleagues, and the triangulation technique of data sources have been used. In order to achieve reliability criteria, including reliability, transferability, reliability, and verifiability, which are used in transferability, the results of the study, in reliability, coding in reports, and in verifiability, recording activities over time. In the fifth step, after data editing, coding and data entry, two methods of descriptive and inferential statistics and software such as Excel, SPSS, PLS have been used to analyze the data. In the sixth step, the interpretive structural model (ISM) was presented by Andrew Sage in 1977.

In the first stage, according to the fact that each of the previous researchers introduced different components in their articles, with the method of content analysis and the combination of similar codes, the primary components in each of the dimensions of the model were identified by analyzing the existing articles and books and interviewing experts became. Fixed fuzzy numbers are calculated by using the average method as follows:ϰ1=(U+M+L)/3; ϰ2=(U+2M+L)/4; ϰ3=(U+4M+L)/6  According to KMO number (more than 0.7) and significance level, Bartlett's test is less than 5%. The explained variance shows that these questions consist of 5 factors and these factors explain and cover about 64.55% of the variance, which actually indicates the appropriate validity of the questions. A good fit index above 0.5 indicates a good fit of the model.According to the results obtained from the structural equation model, the analysis of the research model is presented as follows: the coefficient of determination shows that 74.9 percent of the changes in business internationalization are explained by innovative capabilities, entrepreneurial attitude, supply chain initiatives, and internationalization. Market structure and support activities in this research, the components are placed in 5 levels, which are at the highest level of innovative capabilities and entrepreneurial attitude and at the lowest level of business internationalization.

CONCLUSIONS & SUGGESTIONS:

Over the years, although many researchers have investigated the components of a business model (Bertel et al., 2012), designing a new business model is closer to an art than a science. In order to achieve the goal of the research, with the help of findings from previous researches, key factors have been identified and then using interpretive structural modeling or ISM, for the key factors identified from the point of view of experts, including university professors, banking experts and managers specializing in the field of business and they are technological works, a structured relationship was defined.In a changing environment, the delivery and delivery need of financial services will also change. The proposed model is more comprehensive compared to similar proposed models, and the categories taken from previous researches are in five dimensions. By comparing the previous research with the current research, it can be concluded that the structure of institutions and technological activities are among the elements that need to be paid attention to. In order to start and create technological businesses in the banking industry, entrepreneurs need to have a high entrepreneurial attitude in addition to creating an environment that has high innovative capabilities.

Choosing the appropriate method of financing and transferring funds to manage business risks is a primary concern for international traders. Therefore, the factors that influence payment method and tool selection in international trade have long been a topic of interest to financial institutions and researchers. The level of commercial risk associated with a country is one of the most significant factors in the theoretical foundations of this field. The level of rule of law in a country is considered a guarantee for contract enforcement and is one of the indicators used to measure commercial risk. Theoretical challenges among economists, varying results from empirical studies on the relationship between the commercial risk of countries and the volume of opening of letter of credit, as one of the most effective payment tools in international trade, and a lack of research on the nonlinear relationship between these two variables in Iran, make it necessary to conduct this study.

THEORETICAL FRAMEWORK:

Based on theoretical foundations, the level of commercial risk of the countries involved in a transaction significantly impacts the choice of payment methods used in international trade. Many studies have shown a significant relationship between the volume of opening of letter of credit and commercial risk. Researchers have shown that traders take into account the commercial risk of the other country when choosing payment methods in international trade. Also, some studies, using regression analysis, have evaluated the relationship between the two variables of the volume of transactions through the opening of letters of credit and the level of rule of law in countries in an inverted U shape. These results show that the high rate of use of this tool is in trade between countries that have a similar level of trade risk.

The current study is a combination of causal and exploratory research, conducted with a practical aim. The research focuses on analyzing the relationships between variables using descriptive-correlational methods, and the statistical population consists of Iran's imports from 79 trading partner countries between 2014 - 2017. The relationship between business risk and the volume of opening of letter of credit is modeled by using the Smooth Transition Autoregressive Logistic (LSTAR) method, which allows for a non-linear relationship between the two variables. If the relationship between the two variables changes over time, it is said that a regime change has occurred, and the threshold level indicates the point of regime change. This pattern suggests that the existence of different values of variables in different regions, or other words, the existence of different regimes, leads to different economic relationships between variables. In the first step, sudden change models assuming a finite number of different regimes were considered. Then, the standard STAR model was introduced with a logistic transfer function, which is a type of sudden change model, due to its smoother and more flexible transitions between regimes.  

According to the results of our study, a direct and nonlinear relationship between the volume of opening of letter of credit and the rule of law in Iran's foreign trade during the period under investigation has been confirmed. In the linear section of the model, the rule of law index of the opposing country had a positive effect on the volume of opening of letter of credit from the total imports of Iran. However, in the nonlinear section of the model, this index had a negative effect. Additionally, the results show that the rule of law had a significant and nonlinear negative effect in the previous period, while in the current period, it had a significant and linear positive effect on the volume of opening of letter of credit. Therefore, the hypothesis of the existence of a nonlinear relationship between the volume of opening of letter of credit and the rule of law in Iran's foreign trade has been confirmed.

CONCLUSIONS & SUGGESTIONS:

The results of both the linear and non-linear sections of hypothesis indicate a significant correlation between the rule of law index of Iran's trading partners and the volume of opened letter of credit from Iran's total import volume. This finding is consistent with the theoretical foundations presented in the study, as well as the views expressed, which suggest a significant relationship between these two variables. Moreover, the results of hypothesis two demonstrate a non-linear relationship between these two variables in Iran's foreign trade during the years 2014-2017. It can be concluded that an increase in the rule of law index of Iran's exporting countries initially resulted in an increase in the volume of opening of letter of credit. However, in the long run, the volume of opening of letter of credit decreased, and other methods of transferring funds replaced this financial instrument. This finding also confirms the hypothesis of Niepman and Eisenlohr regarding Iran's economy. It should be noted that this study only used data on the volume of opened letter of credit resulting from Iran's imports, which was accessible through the IT office of the Islamic Republic of Iran Customs. Data on credit document opening resulting from exports by Iranian traders, which was carried out by foreign importers in their own country, was not available and therefore not considered. For future research, it is recommended to re-estimate the model of this study while taking into account the statistics of opening of letter of credit in Iran's export sector, after the possibility of using the SWIFT system for Iranian banks and accessing its data.