فصلنامه پژوهش های پولی - بانکی
پیاپی 46 (زمستان 1399)

Significant fluctuations in the price of cryptocurrencies has led to the identification of effective factors on their prices, and it is important to understand this in the financial markets. In the present paper, the time series analysis method is used to study the determinants of Bitcoin and Ethereum prices. For this purpose, the stock price index on the New York Stock Exchange, the Standard & Poorchr500 Index, the world price of gold and the exchange rate of the dollar and the euro as economic factors, the difficulty of mining, the number of daily transactions, the daily number of circulating Bitcoin and Ethereum as technical factors, The variables of the number of daily tweets related to Bitcoin or Ethereum and the number of daily searches of Bitcoin or Ethereum in Google have been examined as social factors. The time period for Bitcoin is from 2014 to 2020 and for Ethereum from 2016 to 2020. The research method is applied and the statistical population of the research includes two cryptocurrencies, Bitcoin and Ethereum. The econometric method used to study the effect of high factors on the price of Bitcoin and Ethereum in the short-run and long-run periods is OLS and VECM. Among the factors studied, the world price of gold has the greatest impact on the price of Bitcoin and Ethereum.On the other hand, in the short run, the exchange rate of the dollar and the euro and the world price of gold have a negative relationship with the value of cryptocurrencies.

The purpose of this paper is to investigate the existence of intrinsic bubbles in the non-official exchange rate of the USD/IRR and the causes of these bubbles and determine the intervals of their occurrence, to adopt appropriate policies at the macro level to reduce these bubbles. Intrinsic (endogenous) bubbles are developed by creating expectations that the foreign currency will be valuable in future periods relative to other assets and overvaluing the foreign currency in this period, due to changes in the fundamental factor affecting the exchange rate. Speculation bubbles, which are based on expectations of an increase in the exchange rate and are formed by the increase in demand for foreign currency in this period, with the motivation of making a profit in future periods, are quite different.From a methodological point of view, there is an intrinsic bubble when the estimated non-official fundamental exchange rate and the estimated non-official exchange rate with the Froot and Obstfeld method (1991) don’t match. The findings of this paper indicate that in the period from June 2015 to the end of March 2016, there was an intrinsic bubble in the non-official exchange rate. The source of the positive intrinsic bubble in this period was the decline in oil revenues due to the negative bubble in oil prices from 2014 to 2016. Also, from February 2018 to September 2018, a positive intrinsic bubble was observed in the non-official exchange rate. The reason for the intrinsic bubble of this period was not the decline in oil revenues. Rather, the budget deficit due to the non-realization of a part of government revenues and the supply of selling cheap gold coins, which led to the entry of liquidity into the foreign exchange market, fears of a sharp decline in oil exporting revenues due to comprehensive US sanctions and implementation of currency control policy in April 2018, which led to the successive failure of the resistance levels of USD and the creation of a cautious demand for the dollar has been the source of this bubble. But when the two rates coincide, there is no intrinsic bubble. In this case, in periods such as January 2012 to March 2012, September 2012 to November 2012, and February 2013 to March 2013, when the requirements of the rational speculation bubble are met, there is a speculation bubble caused by oil and banking sanctions.

The banking system in Iran operates based on the monetary and banking act and the law for usury-free banking operations; however, in most Islamic countries, there is a dual system of Islamic banking and conventional banking. In this study, the monetary policy in Iran is investigated by Taylor rule firstly then the optimal monetary policy (Ramsey method) with maximizing household utility as a target of the central bank is considered by using the nonlinear new Keynesian DSGE model. Necessary changes in various sectors of the model, including households, production sector, government, oil sector, central bank, state-owned banks, non-governmental banks and stock exchanges as financial intermediaries, for a small oil-exporting economy within the framework of usury free banking system is considered and its results are evaluated and described. The results show that in the case of deterministic steady state (Taylor rule), monetary shock has greater impact on gross domestic product, and if Ramsey’s optimal monetary policy is pursued, the effects of shocks, will decreased and economic stability will be improved.

In recent years, banks have been affected by a number of market developments: deregulation, liberalization, globalization and various innovations, each of which affects the competitive conditions of banks. Just as bankschr market power plays a role in their profitability, so does competitive behavior affect financial soundness and stability. Competition and a healthy market structure are important in social welfare, in other words, low prices, low interest rates and good loans to consumers and companies,including small and medium-sized investment companies.Banks are considered as the key institution of the money and capital market in the process of economic development of any country, and the continuous economic growth of a country is impossible without considering the market structure of such an institution. On the other hand, assessing the degree of market power of the banking system is very important. In this study, the level of competition in the banking system of 52OIC countries from 2004  to 2019 has been estimated using GMM method. For this purpose, the Boone index has been used. In the first stage, the Boone index has been calculated and in the second stage, the effect of this variable along with the variables of deposit ratio, capital adequacy, non-current receivables, central bank assets in the econometric model has been studied.The Z-SCORE profitability index is also used to measure stability. The results of the Boone index show that these are short-term trends at all times, in all cases. Findings also show that among the variables under study, Non- performing loan raito have the greatest effect on banks  profitability. In addition, the relationship of all variables except Non- performing loan raito and profitability is positive and significant, so that their growth increases the profitability of banks. Finally, the results indicate that the two variables of Bonn index and banking stability also affect the profitability of banks.

Many researchers believe that the rapid growth of shadow banks is one of the main causes of the global financial crisis of 2009-2007. One of the consequences of the expansion of shadow banking is the reduction of the effectiveness of the monetary policy. This article examines this issue using data from 16 G20 member countries during 2018-2002. To do this, two models were specified and estimated by GMM and quantile regression. The results of both models confirm the research hypothesis and show that increasing shadow banking reduces the effectiveness of the monetary policy. The results of the GMM method in the first model Show that the sign of the money growth rate is positive and the sign of the Interaction variable is negative. This reflects the negative impact of shadow banking on the effectiveness of the monetary policy. The results of the Quantile method show that by moving from an economy based on traditional banking to an economy based on shadow banking, the effectiveness of monetary policy is diminishing.

In this study, while the theoretical and empirical backgrounds related to foreign direct investment (FDI) and its fluctuation including Sudden Flood and Sudden Stops have been expressed; the interaction between these phenomena and the deviations of the output from its long-run trend as a proxy for the output losses has been evaluated with emphasizing on financial crises. Also, the role of macroeconomic variables and policies will be considered to reduce these fluctuations and losses. The used econometric model is a simultaneous equations model with a discrete dependent variable in panel data for the selected emerging market countries during 1990-2014. The results have shown the positive and negative effects of sudden flood and sudden stops on the output, respectively. Also, the deviations of the output have had a significant and consistent with theoretical expectations effect on these phenomena and the role of financial crises in each of the equations has been significant. Furthermore, the role of macroeconomic policies is important in this regard and the output losses can be controlled by using active monetary and exchange rate polices.