جستجوی مقالات مرتبط با کلیدواژه « vector autoregression » در نشریات گروه « علوم انسانی »

Interval-valued prediction includes the prediction of an interval that its boundaries determined by two random variables. The aim of this research is to design and optimize the mean-variance daily scalping trading portfolio based on interval-valued prediction for lowest and highest daily prices with the vector autoregression approach. In the present study, using the vector autoregression method, the interval related to the lowest and highest daily prices is predicted and then based on it, a daily scalping trading system is formed, including buying and selling in the forecasted prices. To reduce the risk of the trading system and increase the number of trading positions, the optimal daily scalping trading portfolio is developed in the mean-variance framework.The sample portfolio includes five shares of the Tehran Stock Exchange in a 190-day period, taking into account trading costs, shows that the average daily return is 0/0018 and the Sharpe ratio is 0/4809, which is better than the Sharpe ratio of individual daily scalping trading of portfolio assets. The daily average of the total index in the research period is 0/001 and the Sharp ratio is 0/0835, which shows that the trading system has a much better performance than the buy and hold strategy. Risk-averse investors who are interested in the daily scalping strategy are suggested to use the optimal portfolio approach introduced in the present study after carefully evaluating the profitability and risk on the set of stocks they want

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.

The efficient market hypothesis (EMH) states that stock prices reflect all available information and price changes (or return) should be unpredictable. But the lead-lag effect is a phenomenon that provides the predictability of return in the stock market. Examining the lead-lag relationship between stocks, in addition to evaluating market efficiency, provides investors with useful trading strategies.

This study has investigated the lead-lag effect between stocks within 20 industries of the Tehran Stock Exchange (which cover 75% of the market capital) from 2015 to 2020 using the vector autoregression (VAR) model.

From 20 industries in our sample, 13 industries show the lead-lag effect. In 10 industries, the return of small stocks leads to the return of big stocks within the same industry. Whereas, in the other 3 industries, the return of big stocks leads to the return of small stocks within the same industry. In addition, a stronger lead-lag effect has been observed in the computer, transportation, and metal products industries (which are relatively small industries).

These observed lead-lag relationships (or predictable returns) between stocks intra-industry show a systemic inefficiency in the Tehran Stock Exchange market. Also, the results show that in some industries of the Tehran Stock Exchange, there are potentially profitable trading strategies.

In this paper, we present the model macro-stress test Risk Credit for the banking system of Iran during the period 2004-2019. The goal is to evaluate the vulnerability of the banking system through the credit risk to the country's economic shocks. In this regard, an extended model of credit risk used by Thomas Wilson has been used for credit facilities in Iran, including credit banking facilities. The results of the applied analysis show that the exchange rate has a strong effect on credit risk. In addition, the variables of the inflation rate, economic growth, loan growth, and liquidity rate have a less negative effect and the unemployment rate has a positive effect on credit quality. Using Monte Carlo simulation and calculating the risk value and expected losses for each of the economic variables, the capital required by banks to cover losses is obtained. The results of the credit risk stress test show that an adverse scenario due to currency shock with a standard deviation has the greatest impact on the amount of capital required to cover unexpected losses compared to the baseline scenario and banks need less capital to cover their losses. But to cover the losses caused by the shocks of other variables, it is necessary to increase their capital. In general, according to the obtained results, it is necessary for Iranian banks to increase their capital in order to cover their unexpected losses according to the instructions of the Ball Committee and to use the stress test as a risk management tool.

Using a vector autoregression model, this study aims to explore the impact of financial markets on crude oil prices and Iran's economic security. The results of analysis of variance indicate that financial transactions markets, particularly the Brent futures market, have the greatest impact on the physical crude oil market. In addition, the results of action-reaction functions suggest that shocks in financial markets have different impacts on crude oil prices, meaning a shock in the Brent futures market creates a positive shock to crude oil prices and a shock resulting from the dollar-price index produces a negative shock to oil prices. Due to the heavy reliance of the Iranian government's budget on oil revenues, fluctuations in financial markets lead to fluctuations in many of the country's economic indexes and negatively affect national security.

Today in many developed countries, renewable energies has been considered as an alternative for fossil energies. Expecting to run out of fossil energy resources and the pollution resulting from using them are the two main reasons that many countries are focusing more and more on renewable energy resources. In an attempt to reduce its dependency on fossil energy sources and the pollution caused from it, Iran is also turning its focus toward alternative resources and there is still much room for improvement in this area. This study aims to investigate the impact of using renewable energy resources through a different aspect in the country. The impact of using renewable energies on the national security of Iran is the subject of this article. In order to investigate that, national security is divided into four dimensions including economic, social, environmental and energy.The impact of using renewable energies has been examined on each of these dimensions using vector autoregression method. The result shows that using more renewable energy resources amplifies each of these four dimensions, hence amplifying the national security of Iran.

Economic policies are activities and intervention in economy to achieve socio-economic aims and transfer from existence to optimal status. Financial policies are one factor that effect government financial system from income and costs aspect to effect on macro elements. Agricultural sector is one of the most important economic sectors in Iran and making financial policies can effect on production and then export and import of its productions. So، this paper is surveyed the effect of financial policies on agricultural trade during 1971-2009. For this aim the relationship between government costs and tax index and agricultural goods trade were estimated by using econometric models in short and long terms. The results indicated government costs and tax index had positive effect on value of agricultural goods import and export in short terms. While government costs had just positive effect on of agricultural goods import and export in long terms and the effect of tax index was negative. So، it was suggested to reform tax system by reduce tax rate on investment to provide suitable situation for investment and production and then employment in agricultural sector.