نشریه اقتصاد پولی، مالی
پیاپی 22 (پاییز و زمستان 1400)

Pension funds, as intergenerational financial institutions, should be able to finance individuals in old age and disability by accumulating the micro-savings of the insured and investing in them. Therefore, one of the concerns of the mentioned funds is how to invest the micro-savings of the insured in different areas. In Iran, pension funds under the Ministry of Cooperatives, Labor and Social Welfare play a significant role in the capital market and more than 53% of the daily value of the assets of these funds belong to the listed companies (47% of non-listed capital), which possess more than 13% of the total market daily value (stock exchange and over-the-counter).

Minimizing portfolio risk, investors can obtain an efficient portfolio for a certain return. Continuation of this process leads to the development of efficient portfolios, called the mean-variance efficiency frontier. The following data are required to apply the Markowitz model: Expected return on stock i, denoted by E(Ri). The standard deviation of the expected return on ith stock, considered as an indicator for the risk of every stock, denoted by Si. Covariance, as an indicator of coordination between the return rates of different stocks, denoted by δij.

 To determine the optimal portfolio, first the returns of the days in which the transaction did not take place were interpolated by MATLAB and interpolation method and a matrix of 1354 × 9 was obtained. Then, at a 15 percent confidence level, the normality of the time series of returns of each group of industries was investigated by Jarque-Bera (JB) test. Next, the Markowitz model was solved and the weights were determined for each stock in the optimal portfolio of the Social Security Pension Fund. Research data were collected daily for the period 2015:03:25 – 2020:09:21 from the website of the Financial Information Processing Center of Iran and the Social Security Investment Company.

 Findings show that for investment in the Social Security Pension Fund, among real portfolio, the Markowitz model portfolio and the VaR model portfolio, the Markowitz model optimal portfolio is better than the VaR portfolio and the real portfolio as it has the highest return-to-risk ratio. In order to optimize the investment portfolio, this fund should increase its investment share in the groups of pharmaceutical materials and products by 7%, investments by 2% and the base metals by 1%. It should also reduce its investment share in the groups of multidisciplinary companies by 3%, chemical products by 3%, cement, gypsum and lime by 2% and petroleum products by 2%.

Since the results of the study show that the proposed portfolio of this study based on the Markowitz model is optimal for investing in the stock industries of the Social Security Fund, it is suggested to the authorities and planners of this fund to change their existing investment portfolio to the proposed portfolio and especially increase their share of investment in the group of pharmaceutical materials and products as the Social Security Organization (TPICO Holding) has an advantage in this industry on a national scale and its development is consistent with the organization's strategies. It is also suggested that the Social Security Fund reduce the dispersion of investment in markets-industries and over-investment in company management as it has always posed a great risk to pension funds around the world.

Various variables in the economy are affected by monetary policy, which is a process of particular importance for policy-making. in a real economy, the transfer mechanism describes how monetary policy instruments affect the ultimate goal variables. there are two monetary and credit views on how money transfers.

THEORETICAL FRAMEWORK:

Monetary policy is a tool for influencing economic variables that this influence on the economy is formed as a process that is of particular importance in policy-making. the process by which monetary policy instruments affect the ultimate goal variables in a real economy is called the transfer mechanism. there are two views of money and credit on the mechanism of money transfer.the monetary perspective is based on the interest rate channel, the exchange rate channel, the asset price channel and the expectations channel.the credit view is based on the bank lending channel and the balance sheet channel.in this research, the channels of money transfer mechanism have been studied based on different perspectives. the channels examined are interest rate channel, exchange rate channel, asset price channel, q-tobin channel, wealth effect channel, credit channel, bank lending channel, balance sheet channel and expectations channel.

The study uses a stochastic dynamic general equilibrium model based on the new keynesian approach to an open economy. it includes four sections of economic factors including household, domestic and importing firms, foreign trade, and monetary policy. the linearized structural equations include several types of nominal adhesions, and occurs around the steady-state point. on this basis, the money transfer mechanism is determined based on the effect of monetary policy on output. also, taylor's rule (taylor, 1993) used to adjust monetary policy by using the non-covert equity ratio of the interest rate as the reference interest rate (shadow interest rate). in this study, the parameters of the linearized model using the bayesian method, and for the period of 2018 through 2020, the data were used to estimate the seasonal time series. also used MCMC and Metropolis-Hasting’s simulations to verify the results.

According to the results of the analysis of the variance, following channels affecting Iran's money transfer mechanism were identified:Interest rate channel: as a result of interest rate shock, the rates of change in real interest rate, investment and real production are equal to 44.91%, 0.47% and 6.43%. this channel shows the real impact of monetary policy based on interest rates.q-Tobin channel: the amount of change in q-tobin channel, investment and real output in response to the monetary policy shock is 36.74%, 2.76% and (0.02%), therefore q-tobin channel is an effective channel.expectation channel: the expected inflation rate is 49% and the production impact is 32.8%, so the expectation channel is effective.Wealth channel: as a result of the change in interest rates, q-tobin changed by 36.74%, which affected household consumption by 0.02%. as the result, this channel is effective. exchange rate channels, bank facilities and balance sheets have no effect on this model. Effective channels in order of relative importance in this rule are: expectation channel, interest rate channel, q-tobin channel and wealth channel. In order to analyze the long-term production behavior and the result of an analysis of the variance table, the share of each structural shock on production and its components is as follows:Production is mainly affected by the shock of preferences, which 35.09% of gdp forecast error explains the impact of this shock on production. after that, domestic inflation shock, investment shock, monetary policy shock, government spending shock and wage shock affect production variance. As a result of the internal inflation shock, 65.7% of the inflation fluctuations are explained by this shock. inflation variance is then affected by shadow interest rate shocks, money demand shocks, investment shocks and q-tobin shocks. Most fluctuations in consumption are caused by preference shock and investment shock, which 72.87% of the consumption variance is explained by these 2 shocks. consumption variance is then affected by internal inflation shock, shadow interest rate shock, wage shock and q-tobin shock. Investment variance is then affected by domestic inflation shock, q-Tobin shock, shadow interest rate shock and wage shock. Most net export fluctuations are caused by monetary policy shocks and domestic inflation shocks, which 99.16% of the net export fluctuations variance is explained by these two shocks. next export fluctuations are then affected by preference shocks, wage shocks, investment shocks and q-Tobin shocks.

CONCLUSIONS & SUGGESTIONS:

The effective channels of Iran's money transfer mechanism are: expectations channels, interest rates, q-tobin and wealth channel, and according to the simulations, increasing interest rated reduce production, consumption, investment and capital utilization rates.

Many markets do not act like commodity markets. in commodity allocations, the price does all the work (clears the market) and the market's task is to discover the price; but even in parts of the financial markets where the price clears the market, the market's task goes beyond price discovery. this study answers the key question "how can market design theory (with emphasis on matching theory) helps to solve corporate finance issues?" firstly, market failures and missing market in the field of financing are identified in accordance with the firms’ life cycle (based on the classification of organization for economic cooperation and development (2013): start-up, early stage, expantion and stabilisation). then, through combination of the theoretical foundations in the field of matching theory with the realities of financing, the theoretical model for problem-solving is presented. in the next step, this theoretical model is presented in the form of conceptual models to determine how to use the capabilities of market design theory and matching theory in solving problems in the field of corporate finance.

Matching theory can be considered as the most important part of market design theory. this theory, which is used in different markets, requires the presence of two elements of supply and demand, each of which presents a list of preferences in different ways, and then the theory of matching and its mechanism enters and brings the two parties in the market together by a matchmaker.

Considering that the subject of the research is under behavioral economics, the methodology of the present research is in the framework of market design theory. in a general context, the application of matching theory is the research method. for this purpose, firstly, market failures and missing market in the field of financing are identified in accordance with the firms’ life cycle. then, based on it, a theoretical model in the form of conceptual models is presented to determine how to use the capabilities of market design theory and matching theory in solving problems in the field of corporate finance. in this regard, the limitation of corporate financing methods in accordance with the life stages of companies in order to identify market participants, examination of the characteristics of financial allocations and also determination the assumptions of algorithms design have been considered.

The results show that there is "market failure" in cash financing of beginner companies (start-up and early stages) and "missing market" in non-cash financing of mature companies (expansion and stabilization stages). Therefore, based on it, three conceptual models including a conceptual model of cash financing (exchange of company with financial source or F-C model) and two conceptual models of barter (exchange of company with company or C-C model) - in terms of one-sided or two-sided market - are designed. the F-C model was designed to achieve matchmaker's goal of providing "cash" financing for beginner companies (start-up and early stages) to use as working capital or as financial support for the company's new and development projects. the C-C model was designed to achieve the matchmaker's goals of barter for developed companies (expansion and stabilization stages). these conceptual models differ significantly in the parties' goals for presenting in the market (cash financing or increasing the liquidity of the portfolio), the identity of the market parties (mature companies or beginner companies), the case of trade (assets or cash), and the type of trade (barter or cash). the limitations of financing methods and tools in the conceptual F-C model and its dependent algorithms, the study of the characteristics of financial allocations and their reflection as general and specific assumptions of the design and application of each algorithm, were also emphasized.

CONCLUSIONS & SUGGESTIONS:

With emphasis the stability of algorithm outputs, four algorithms were proposed to improve financial allocations in corporate financing:  1) decisive acceptance algorithm in one-to-one allocation (two-sided matching) for cash financing of beginner companies was presented. 2) deferred acceptance algorithm in many-to-many allocation (two-sided matching) for cash financing of beginner companies, based on the gale-shapley SMP algorithm and its developments with emphasis on the algorithm redesigned by roth in 2008 (as the basic algorithm), was suggested. 3) deferred acceptance algorithm in one-to-one allocation (two-sided matching) for barter financing of mature companies, which was proposed based on Gale-Shapley SMP algorithm and its developments. 4) SRP algorithm in one-to-one allocation (one-sided matching) for barter financing of mature companies, which irving’s 1985 SRP algorithm and its developments were proposed as the basic algorithm for redesign.

Company executives are trying to take steps to reduce their income tax, and one of the measures that may be taken to reduce taxes payable and increase post-tax revenue is to use a solution called tax avoidance. For this reason, tax avoidance creates a cloud of information environment and creates information asymmetries related to the company's reputation among investors. In other words, tax avoidance causes asymmetry in corporate reputation information and affects capital costs. So reputable companies strive to provide high quality financial reporting. Tax avoidance disrupts the information environment and creates information asymmetries related to the company's reputation among investors. Therefore, it is expected that the relationship between firm reputation and implicit cost of capital is different in companies that use tax avoidance. Therefore, the purpose of this study is to investigate the moderating role of tax avoidance on the relationship between firm reputation and implicit cost of capital.

 THEORETICAL FRAMEWORK:

From the following two perspectives, tax avoidance as a moderating role is expected to affect the relationship between firm credit and the implicit cost of capital. First, a company's reputation is affected by tax planning, and tax avoidance is likely to negatively affect a company's reputation. When examination how tax avoidance affects the relationship between a firm's reputation and the cost of capital, tax avoidance interferes with the information environment and asymmetry of investors. Second, reputable companies strive to provide high quality financial reporting. In the case of tax avoidance, financial reporting is possible, even if the quality of accounting information is unclear. Therefore, tax avoidance is expected to cause asymmetry in corporate reputation information and affect capital costs.

The statistical sample of the research includes 120 companies listed on the Tehran stock exchange, which has been studied during the years 1392 to 1398. the dependent variable of research is the implicit cost of capital and the independent variable is company reputation and the moderator variable isf tax avoidance. in this research, in order to collect data and information, the library method has been used. the information required by the companies has also been collected through the new rahavard software, the official website of the stock exchange organization and the reports of the board of directors. finally, the data were prepared by using excel software and then final analysis was performed by using ives software.

Findings show that there is a negative and significant relationship between company reputation with implicit cost of capital and tax avoidance with implicit cost of capital. also, tax avoidance as a moderator affects the relationship between corporate reputation and the implicit cost of corporate capital. also, research findings show that more famous companies have lower capital costs, because high reputation indicates better company quality, proper transfer of competencies and doing business in accordance with the interests of shareholders. the company's reputation is affected by tax planning. in other words, when a company becomes involved in tax avoidance, it has a negative impact on the company's reputation. therefore, tax avoidance is expected to cause asymmetry in corporate reputation information and affect capital costs.

 CONCLUSIONS & SUGGESTIONS:

It can be said that the implicit cost of capital plays a key role in managers' decisions. in fact, without knowing the cost of capital, the company can not decide what tools to use to raise the funds needed for its investments, and because of resource constraints, economic units should choose a combination of financial resources. to this end, managers, as representatives of shareholders and stakeholders, should try to regulate the capital structure of the company in such a way that the implicit cost of the company's capital is minimal and as a result, the company's reputation and shareholder wealth are lost. reputable companies are more inclined to reduce the implicit cost of capital, because reputation plays an important role in determining behavior, and by increasing the company's reputation, the firm's stability increases and sustainable management is possible. the effective tax rate has a positive and significant relationship with the cost of the company's capital. the reason for this can be said that managers pay more attention to tax reduction of financial statements, which in most listed companies, tax avoidance is done through tax rates. the company's reputation is affected by tax planning. in other words, when a company becomes involved in tax avoidance, it has a negative impact on the company's reputation. therefore, tax avoidance is expected to cause asymmetry in corporate reputation information and affect capital costs. hence, reputable companies strive to provide high quality financial reporting.

One of the important factors that investors consider in their decision is the return and risk of the stock market. During the last three decades, Iran has faced many risks at the macro-level of society. Increasing economic, financial and political risk affects the level of activities and efficiency of markets. A review of studies of the influence of risk on return and risk Tehran Stock Exchange shows that a comprehensive study to investigate the effect of political, economic, and financial risk with capital markets has not been done. Therefore, this study seeks to answer the question of whether political, economic, and financial risks affect stock risk and return? Which risk has the greatest impact on stock market risk and return? This study tries to examine the effect of political, economic, and financial risks on stock risk and return.

 THEORETICAL FRAMEWORK:

Economic risk is a tool for assessing a country's economic strengths and weaknesses. Financial risk is a tool to assess a country's ability to pay its costs. Financial risk is a measure of a country's ability to formally finance, trade, and trade liabilities. Political risk is often defined as the undesirable risk of political events.Increasing economic and financial risk affects the stock market through different channels:  1. Impact on investors' expectations and consequently change in the current value of investment projects, change in profit flow or change in the value of assets of firms admitted to the stock market 2. Engaging the non-productive sectors and thus changing liquidity flows 3. Changes in international financial flows affect the stock market.Political risk can also affect the stock market through the following channels:  1. Changing economic outlook and consequently changing the trust and behavior of consumers and investors that change the demand and performance of markets 2. Political and social protests as a result of any change of government   3. Changing political parties and consequently changing policymakers' positions on legislation for working-class or upper-class voters   4. Supporting some industries or geographical areas   5. Change in foreign direct investment   6. Affecting the quality and structure of institutions causes instability in prices and market performance.Many studies have been done in this field. For example, Heidari et al. (2015) studied macroeconomic variables affecting the volatility of stock returns on the Tehran Stock Exchange in different regimes using a nonlinear approach to change the Markov ARMA GARCH multivariate regime. Their results show that the growth rate of GDP has a significant negative effect on the volatility of stock returns. Inflation, money growth rate and exchange rate volatility have a positive and significant effect on different regimes, but oil price volatility has different effects on stock price volatility.Zolfaghari and Sahabi (2016) investigated the effect of exchange rate fluctuations on stock return risk based on Markov regime transfers. The results showed that the industry efficiency index follows regime transitions and responds asymmetrically to external shocks. Also, the risk of return on industry indices are significantly affected by exchange rate fluctuations in the short and long term.The difference between this study and previous studies is that, firstly, none of these studies have examined three types of risks (economic, financial, and political) on the Tehran Stock Exchange simultaneously. Second, most studies have considered the relationship between economic and financial variables and the stock market, and few studies have been conducted on financial and economic risks on the stock market.

In this research, financial, political, and economic risk indicators in the framework of structural VAR for the period 2008-2019 have been used seasonally. For stock market risk in the form of conditional variance GARCH model is used. The advantage of the SVAR model, unlike the VAR model, is that it has an economic logic based on economic theories.

CONCLUSIONS & SUGGESTIONS:

The results of the Impulse response functions show that as the economic risk decreases, the stock return risk decreases. But the political and financial risk index has little effect on stock return risk. In other words, stock market risk is more affected by economic variables and political and financial variables have not been able to have much effect on market risk. Also, reducing financial risk has increased stock returns, but the impact of economic risk is first negative and then positive. The effect of political risk on stock market returns is volatile and negligible. The effect of stock market risk on market returns is positive. The results of analysis of variance also show that the economic risk index had the most explanations in stock market return and risk.In general, the Tehran Stock Exchange market is more affected by economic variables and financial and political variables have little effect on this market. Therefore, macroeconomic policy-making seems necessary to reduce economic risk.

Because of the exchange fluctuations in Iranian economy, the capital market has undergone significant changes. the petroleum products stock index has the largest share in the capital market price index compared to currency industries. the present study tries to investigate the impact of the exchange rate crisis on the petroleum products stock index in Tehran stock exchange by using the monthly data of the period of 2009:1-2020:3 and using the nonlinear Markov switching approach.

 THEORETICAL FRAMEWORK:

Due to the high dependence of foreign exchange reserves on the oil foreign exchange receipts (DEXO) and the sharp decline in these receipts, the central bank has faced limitations in supplying the foreign exchange to the market. thus, reducing the currency resources and supplying the foreign exchange on the one hand, and the growth of the foreign exchange demand on the other hand, have caused the raise in the exchange rate.Economic sanctions have always affected the foreign exchange market, the extent of which depends on the severity of the sanctions. the most important reason for the volatile increase in the exchange rate in recent years is the oil and banking sanctions against our country. economic sanctions will significantly reduce the oil and non-oil exports by restricting the purchasing of the trading partners, and through the channel of declining the foreign exchange earnings will lead to a decrease in the supply of the foreign exchange, and consequently a sharp increase in the exchange rate (devaluation of the national currency). now, we turn to the mechanism of transferring the currency crisis to the stock prices.Changes in the exchange rates can have two different impacts on the stock prices. on the one hand, the increase in the exchange rate (in terms of demand) has led to an increase in the income of the exporting companies (such as refineries, petrochemicals, metals, mining, etc.) and, consequently, their stock prices, and on the other hand (based on the supply), leads to lower profits for the importing companies such as some automotive, pharmaceutical and food industries, as well as the transportation and leads to lower stock prices.In addition to dividends, stock buyers also pay attention to the changes in the company's intrinsic value. the intrinsic value of industries whose creation and operation require the supply of machinery from abroad, is affected by the exchange rate changes. and if a company imports the machinery at lower exchange rates, the intrinsic value of the company will increase as the exchange rate increases, and this intrinsic increase intensifies when the establishment of a similar company is not possible due to the high exchange rate, and if the company's products are produced exclusively, its demand will increase and the company's profit will be higher over time. on the other hand, the share of depreciation cost of machinery in the cost of goods produced by the company decreases. considering the above cases by investors, the demand for the shares of these companies will increase and this will increase the stock prices of these companies. in addition, if the exchange rate decreases over time, it will cause the opposite effect for these companies.

Recently, the use of the nonlinear models in fluctuation studies has expanded because of this assumption that the linearity of the exchange fluctuations is a large and unrealistic limitation for these studies. this pattern is also known as the pattern of the regime change. the regime change means that a policy variable may show a behavior in one period of time and behave differently in another time period. therefore, if this issue is not considered in the study of the behavior of the variable, the biased results will be obtained. markov rotation models, as the nonlinear models, are able to model the behavioral pattern of the changing status of the dependent variable over time. in nonlinear models, it is assumed that the behavior of the variable on which the modeling is performed is differently and changes in different states.For this purpose, among the various modes of Markov switching model, MSIAH (2) –VAR (2) has been selected.

The empirical findings of the study show that only in a regime with high fluctuations (first regime), the exchange rate is the causal relationship of the petroleum products stock index and the increase in the exchange rate has increased the petroleum products stock index, while the petroleum products stock index has no impact on the exchange rate. In addition, the results indicate that the sustainability of the petroleum products stock index in the regime with the low fluctuations (second regime) was more than of the regime with the high fluctuations (first regime).

 CONCLUSIONS & SUGGESTIONS:

Due to the results of the present study, there is a one-way relationship between high exchange rate fluctuations and the stock index of petroleum products. investors active in the stock market, in addition to considering how the stock index of petroleum products is affected by other influential domestic variables, should also consider high exchange rate fluctuations and make their decisions. it is suggested that shareholders, in order to benefit from the growth of the capital market index, as soon as the exchange rate rises sharply, buy shares of companies exporting goods, such as refineries, petrochemicals, metals, mining, etc. also, as soon as the exchange rate falls sharply, sell the shares of the mentioned companies and buy the shares of companies independent of the exchange rate in order not to suffer from the risk of a decrease in the stock index.