فهرست مطالب

نشریه اقتصاد پولی، مالی
پیاپی 9 (بهار و تابستان 1394)

  • بهای روی جلد: 30,000ريال
  • تاریخ انتشار: 1394/06/16
  • تعداد عناوین: 10
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  • منصور زراءنژاد، علی رئوفی* صفحه 1
    پیش بینی متغیرهای اقتصادی و مالی اهمیت فراوانی برای سیاست گذاران و سرمایه گذارن اقتصادی کشورها دارد، با این حال پیش بینی این متغیرها با توجه به ماهیت پرنوسان و پیچیده ای که دارند بسیار دشوار است. نوع و ماهیت داده از حیث پیچیدگی می تواند بر دقت پیش بینی مدل ها اثرگذار باشد؛ به عبارتی رفتار خطی و یا غیرخطی متغیرها می تواند بر انتخاب مدل پیش بینی اثرگذار باشد. تحقیقات اخیر نشان می دهد اگر بتوان فرآیند مولد داده های یک متغیر (خطی یا غیرخطی) را به دست آورد پیش بینی آن متغیر راحت تر و با خطای کمتری امکان پذیر خواهد بود.
    در این مقاله ابتدا با استفاده از آزمون براک- دیکرت و شاینکمن (BDS)، به بررسی خطی یا غیرخطی بودن و سپس آشوبناک بودن بازده شاخص کل بورس اوراق بهادار تهران (TEPIX) طی بازه زمانی 05/01/1388 تا 23/07/1390 (625 مشاهده) پرداخته شده است. نتایج آزمون نشان می دهد که این متغیر از یک رفتار غیرخطی تبعیت می کند. سپس با استفاده از تکنیک های مختلف پیش بینی، مدل های خطی و غیرخطی ARIMA، GARCH، ANN و ANFIS برآورد شدند و با استفاده از معیارهای دقت پیش بینی مانند RMSE،MAE، U-Thiel و MAPE، مدل ها مورد ارزیابی و مقایسه قرار گرفتند. نتایج نشان می دهد که مدل های غیرخطی نسبت به مدل ARIMA از عملکرد بهتری برخوردار بودند و در بین مدل های غیرخطی نیز مدل ANFIS بهترین عملکرد را در پیش بینی بازده روزانه شاخص سهام دارا بود.
    در ادامه با استفاده از آماره ی مورگان-گرنجر- نیوبلد (MGN) معنی داری تفاوت دقت پیش بینی مدل های غیرخطی با مدل های خطی مورد آزمون قرار گرفت که نتایج نشان دهنده تفاوت معنی دار در پیش بینی روش های خطی و غیرخطی بود.
    کلیدواژگان: شبکه عصبی فازی ANFIS، شبکه عصبی، مدل گارچ، مدل های غیر خطی، نظریه آشوب، بازده سهام
  • مصطفی سلیمی فر*، محمدعلی فلاحی، سید محمد میرهاشمی صفحه 29
    ایران از جمله صادرکنندگان بزرگ نفت در جهان است که وابستگی زیادی به درآمدهای نفتی دارد. بنابراین اقتصاد ایران تحت تاثیر شوک های قیمت نفت قرار می گیرد که این شوک ها نفت می تواند بخش های مختلف اقتصاد ایران از جمله بازار بورس اوراق بهادار را تحت تاثیر قرار دهد. با توجه به اهمیت تغییرات قیمت نفت برای اقتصاد ایران، هدف این مقاله بررسی آثار نامتقارن شوک های قیمت نفت بر شاخص قیمت سهام بورس اوراق بهادار ایران است.
    در این تحقیق رابطه بین قیمت نفت و تغییرات آن با شاخص کل قیمت سهام بورس اوراق بهادار ایران در دوره زمانی تیر ماه 1379 تا آذر ماه 1389 بررسی شده و برای این منظور از روش خودرگرسیون برداری VAR، توابع واکنش به ضربه و تجزیه واریانس خطای پیش بینی با سه متغیر کنترل نقدینگی، شاخص قیمت مسکن و قیمت سکه استفاده شد.
    بررسی آثار نامتقارن نوسانات قیمت نفت بر شاخص قیمت سهام نیز با استفاده از تعاریف مورک (1989) و همیلتون (1996) نشان دهنده این است که نوسانات قیمت نفت آثار نامتقارن بر شاخص قیمت سهام دارد و در هر دو تعریف، کاهش قیمت نفت نسبت به افزایش قیمت نفت، سهم بیشتری را در توضیح واریانس خطای پیش بینی شاخص کل قیمت سهام بورس اوراق بهادار تهران دارد.
    کلیدواژگان: آثار نامتقارن، الگوی خودبازگشت برداری، تابع واکنش به ضربه، تجزیه واریانس، شاخص قیمت سهام
  • سعید صمدی، نسرین ابراهیمی، فریباالسادات عقیلی* صفحه 57
    با توجه به این که طلا یک کالای حساس و استراتژیک است و قیمت جهانی آن در طول سال های گذشته دارای روند صعودی بوده است، این مطالعه بر آن است که عوامل تاثیرگذار بر قیمت سکه طلا را بررسی کند. از جمله مهم ترین عواملی که بر قیمت طلا در ایران تاثیر گذارند می توان به قیمت جهانی طلا، وجود انتظارات تورمی، نوسانات نرخ ارز، نوسانات شاخص سهام و تحریم های بین المللی اشاره کرد. هم چنین بررسی این عوامل می تواند نتایج مفیدی برای سرمایه گذاران و برنامه ریزان به همراه داشته باشد.
    به دلیل اهمیت بازار ارز و بازار سهام، در این مطالعه تلاش می شود تا علاوه بر قیمت جهانی طلا اثر نوسانات نرخ ارز و شاخص سهام نیز بر قیمت سکه ی طلا در ایران از فروردین سال 1380 تا شهریور سال 1390 مورد بررسی قرار گیرد. به این منظور در این مطالعه از مدل خانواده ی خود توضیحی واریانس ناهمسانی شرطی (ARCH) برای اندازه گیری نوسانات استفاده می شود. زیرا این مدل ها می توانند روند واریانس شرطی را با توجه به اطلاعات گذشته ی خود توضیح دهند و سپس با استفاده از مدل (ARDL) چگونگی اثر گذاری این نوسانات در کوتاه مدت و بلند مدت ارزیابی می شود.
    نتایج نشان می دهد از بین عوامل موثر بر نوسانات قیمت سکه، نرخ ارز (نرخ برابری دلار و ریال) هم در کوتاه مدت و هم در بلند مدت، موثرترین عامل است. ضریب قیمت جهانی طلا نیز هم در بلندمدت و هم در کوتاه مدت مثبت و معنی دار است. شایان ذکر است که ضرایب بلند مدت بزرگ تر از ضرایب کوتاه مدت است و این نشان می دهد که در بلند مدت قیمت سکه به نوسانات نرخ ارز و تغییر در قیمت جهانی طلا بیش تر واکنش نشان می دهد.
    کلیدواژگان: قیمت سکه طلا، نوسانات نرخ ارز، نوسانات شاخص سهام
  • مهین دخت کاظمی*، حدیثه گریوانی صفحه 74
    بررسی کارایی بانک ها به عنوان یکی از مهم ترین ارکان بازار مالی هر کشور، ازجمله اقدامات ضروری جهت دستیابی به رشد و توسعه ی اقتصادی است.
    در تحقیق حاضر سعی شده کارایی شعب بانک ملت استان خراسان شمالی برای سال های 1388-1386 اندازه گیری و بررسی شود. انواع کارایی محاسبه شده در این پژوهش شامل کارایی فنی، تخصیصی و اقتصادی هستند که با دو فرض بازده ثابت نسبت به مقیاس(CRS) و بازده متغیر نسبت به مقیاس(VRS) بررسی شده است. متغیرهای تحقیق براساس نگرش واسطه ای تعیین شده اند. بنابراین متغیرهای نهاده شامل سپرده ها، دارایی های ثابت و پرسنل می باشند و متغیرهای ستانده شامل تسهیلات قرض الحسنه و تسهیلات در قالب عقود مبادله ای هستند.
    نتایج تحقیق نشان داد که میانگین سه ساله ی کارایی فنی، تخصیصی و اقتصادی در حالت CRSبه ترتیب 747/ 0، 79/ 0، 59/ 0 و در حالت VRS به ترتیب، 91/ 0، 88/ 0 و 80/ 0 هستند. همچنین، در سال های 1386 تا 1388 به ترتیب 33، 27 و40 درصد از شعب در هر دو حالت CRS و VRS کارا بودند. بعلاوه، میانگین کارایی اقتصادی در هردو حالت CRS و VRS تغییرات چندانی نداشته است.
    کلیدواژگان: کارایی فنی، کارایی تخصیصی، کارایی اقتصادی، تحلیل پوششی داده ها
  • صادق بافنده ایمان دوست*، محسن راستین صفحه 100
    صادرات صنایع چوب و صنایع کاغذ از جمله صادرات غیر نفتی محسوب می شوند که تاثیر بسزایی در توسعه اقتصادی کشور می توانند داشته باشند. این صنایع به دلیل گستردگی زیادی که به صورت صنف و صنعت دارند و هم چنین از نظر عدم فسادپذیری و ارزش افزوده، تاثیر ویژه ای در اقتصاد کشور دارند.
    در این مقاله با استفاده از داده های سالیانه 1355تا1388 به بررسی تاثیر نرخ ارز واقعی بر صادرات صنایع چوب و هم چنین صنایع کاغذ، پرداخته ایم. برای این کار ابتدا با استفاده از الگوی خود توضیح برداری (VAR) و بر اساس روش یوهانسن، توابع عرضه و تقاضا برای صادرات این صنایع برآورد می-شود، سپس با استفاده از مدل تصحیح خطا به تلفیق رابطه کوتاه مدت و بلند مدت آن ها می پردازیم. هم چنین اثر شوک ها و میزان اثرپذیری یک متغیر درونزا بر سایر متغیرهای مدل (با توجه به مدل های تخمینی) نشان داده می شود.
    نتایج تحقیق نشان می دهد که نرخ ارز واقعی بر عرضه و تقاضای صادرات این دو صنعت تاثیر مثبت و معنی داری دارد. هم چنین نرخ تعرفه وارداتی نیز تاثیر منفی بر عرضه صادرات این صنایع دارد. متغیرهای درآمد و ارزش افزوده نیز تاثیر مثبتی در توابع تقاضا و عرضه این صنایع داشته اند. جهت تخمین مدل ها از نرم افزار Eviewsاستفاده شده است.
    کلیدواژگان: نرخ ارز واقعی، الگوی خود توضیح برداری، توابع عرضه و تقاضای صادرات، صنایع چوب، صنایع کاغذ
  • مهدی یزدانی*، سید کمیل طیبی، نفیسه یزدانی صفحه 132
    اقتصاددانان عقیده دارند که بانک مرکزی علاوه بر تعهد در مورد ثبات قیمت ها، برای ثبات مالی در سطح کلان اقتصاد نیز باید تمهیداتی را در نظر بگیرد. در مطالعات موجود بحث می شود که استقلال بانک مرکزی علاوه بر نقش آن در ثبات قیمت ها، موجب تسریع ثبات مالی می شود، به گونه ای که استقلال بانک مرکزی در مورد قاعده مند بودن این نهاد در برابر دولت و هم چنین نظارت های موثر این نهاد در برابر بخش صنعت (استقلال نظارتی و قاعده مند)، برای دست یابی و حفظ ثبات بخش مالی اقتصاد ضروری است.
    این مطالعه رابطه بین استقلال بانک مرکزی و برخی از شاخص های ثبات مالی را با استفاده از یک الگوی داده های ترکیبی پویا (Dynamic Panel Data) طی دوره 2012-1980 در برخی از کشورهای نوظهور ارزیابی کرده است.
    نتایج حاصل از برازش الگو نشان می دهند که متغیر استقلال بانک مرکزی اعم از سیاسی، اقتصادی و کل، موجب کاهش بی ثباتی مالی در کشورهای مورد بررسی شده است. علاوه بر این، در مورد متغیرهای کنترلی نیز انتظارات نظری تایید شده است.
    کلیدواژگان: استقلال بانک مرکزی، ثبات مالی، استقلال نظارتی و قاعده مند، الگوی داده های ترکیبی پویا
  • مهدی قائمی اصل، * محمدحسین مهدوی عادلی، شهاب متین، سید مهدی موسوی بررودی صفحه 152
    بخش نفت در بیشتر کشورهای صادرکننده، دولتی بوده و درآمدهای نفتی متعلق به دولت است. فرضیه اصلی این پژوهش آن است که وابستگی دولت به درآمدهای نفتی، باعث بروز پدیده انفعال سیاستی در اقتصاد ایران شده است. به عبارت دیگر، اجرای سیاست های پولی بانک مرکزی و سیاست های مالی دولت در ایران، وابستگی شدیدی به درآمدهای نفتی دارد و بودجه ریزی و تغییرات پولی، به جای برخورداری از جنبه فعال و اثرگذار، ماهیتی منفعل و اثرپذیر دارند و تابع شوک های درآمدهای نفتی هستند.
    در این پژوهش به منظور بررسی این فرضیه، از داده های فصلی دوره 1369:1 الی 1389:4 متغیرهای درآمدهای نفتی، مخارج دولت (به عنوان نماینده سیاست مالی)، پایه پولی (به عنوان نماینده سیاست پولی)، تولیدناخالص داخلی، نرخ ارز و شاخص تعدیل کننده تولید ناخالص داخلی(به عنوان شاخص قیمت) در چارچوب یک مدل خودتوضیحی برداری اصلاح شده عاملی بیزین استفاده شده است.
    نتایج توابع عکس العمل آنی و تجزیه واریانس به وضوح فرضیه وجود انفعال پولی و مالی در اقتصاد ایران را تایید می کنند. به عبارت دیگر، در میان متغیرهای مدل، بیشترین تاثیرپذیری از شوک درآمدهای نفتی به ترتیب متعلق به پایه پولی و مخارج دولت بوده است. به عقیده نویسندگان، دو راهکار اساسی برای مقابله با انفعال سیاستی در ایران، عقیم سازی و باثبات سازی درآمدهای نفتی از طریق مدیریت صحیح صندوق های تثبیت کننده و تنوع بخشی به صادرات است.
    کلیدواژگان: درآمدهای نفتی، سیاست پولی، سیاست مالی، مدل خودتوضیحی برداری اصلاح شده بیزین
  • سهراب دل انگیزان*، کیومرث سهیلی، مینو محمدی تیراندازه صفحه 182
    طی سال های گذشته، نظام ارزی ایران، با تحولات زیادی مواجه بوده است. این موضوع، امکان ایجاد انحراف از مسیر تعادلی در نرخ ارز واقعی را فراهم نموده است. لذا شناخت مساله ی انحراف از مسیر تعادلی بلندمدت و تاثیر آن بر متغیرهای کلان اقتصادی، می تواند راهکارهای مناسبی را در اختیار سیاست گذاران اقتصادی قرار دهد. در محافل کارشناسی، نرخ ارز صحیح که بتواند نیاز کلیه ی بخش-های اقتصادی، از تولیدکننده تا مصرف کننده را در بهترین شرایط تامین نماید، از مباحث مهم و پرچالش است.
    در این وهش، سعی بر این است انحراف نرخ ارز اسمی بلندمدت ریال در مقابل دلار آمریکا با بهره-گیری از مدل کودرت و کوهارد (2007) مبتنی بر مدل FEER، با روش هم انباشتگی یوهانسن (1999) برآورد گردد.
    نتایج وهش، حاکی از این است که نرخ ارز رسمی ریال در مقابل دلار، 75/ 64 درصد بیشتر ارزش گذاری گردیده است و ریال ایران باید به همین مقدار تضعیف گردد تا بتوان بر اساس آن، به تعادل تراز داخلی و تراز خارجی دست یافت.
    کلیدواژگان: انحراف نرخ ارز، نرخ ارز تعادلی اساسی، تعادل داخلی، تعادل خارجی، تراز تجاری
  • محمد رضایی*، علیرضا باستانی صفحه 208
    این پژوهش به بررسی رابطه علیت میان دو شاخص قیمت مصرف کننده (CPI) و شاخص قیمت تولید کننده (PPI) در ایران می پردازد. در این راستا از الگوی تصحیح خطای برداری (VECM) و آزمون علیت گرنجر استفاده شده و روند داده های ماهانه (از 1378:1 تا 1390:1) مورد بررسی قرار گرفته است.
    مشاهدات نشان می دهد که یک رابطه بلندمدت هم انباشتگی بین این دو شاخص وجود دارد، همچنین علیت از PPI به CPI می باشد. نتایج مطالعه گویای این است که در اقتصاد ایران، عوامل سمت تقاضا نقش مهم تری نسبت به عوامل سمت عرضه دارا می باشند،گر چه دو طرف عرضه و تقاضا بر روند تورم داخلی که توسط CPI اندازه گیری می شوند، موثر می باشند.
    کلیدواژگان: شاخص قیمت مصرف کننده (CPI)، شاخص قیمت تولیدکننده (PPI)، علیت گرنجر، الگوی تصحیح خطای برداری(VECM)
  • مهدی صالحی*، محمود لاری دشت بیاز، علیرضا شفیع بیک محمدی صفحه 230
    حضور در بازارهای جهانی وحتی باقی ماندن دربازارهای داخلی مستلزم رقابت با رقبای قدرتمند است. در این راستا سازمان هایی می توانند به بقای خود ادامه دهند که نسبت به خواسته ها وانتظارات مشتریان و ذی نفعان پاسخگو باشند، هم چنین به سود آوری و ثروت آفرینی به عنوان شاخص های کلیدی و برتر سازمانی توجه کنند. از جمله اقدامات مهمی که به تحقق این هدف کمک شایانی می کند، برپایی و برقراری بایدهای عملیاتی در حوزه های مختلف عملیات از جمله حوزه مالی است که این بایدها تحت عنوان کلی (الزامات) از سوی شرکت های بزرگ برای شرکت های زنجیره تامین مقرر می گردد.
    این مقاله الزامات مرتبط با امور مالی شرکت های زنجیره تامین، تعیین شده از سوی ایران خودرو که شامل: الزام واحد مالی به مشارکت در تهیه امکان سنجی جهت سرمایه گذاری ها، الزام واحد مالی به طراحی و پیاده سازی سیستم بهایابی کیفیت، الزام واحد مالی به طراحی و پیاده سازی سیستم بهایابی لجستیک و الزام مدیریت و پرسنل به ارائه پیشنهاد به منظور دستیابی به قیمت هدف محصولات در حیطه کاری مربوطه، الزام مشارکت واحد مالی در انجام فعالیت های مدیریت هزینه در راستای قیمت هدف، الزام واحد مالی به تهیه گزارشات نسبت های مالی و پایش نسبت ها و انجام اقدامات بهبودی لازم با توجه به نتیجه این پایش، الزام شرکت های قطعه ساز به برقراری سیستم بودجه بندی هزینه و کنترل آن و تهیه گزارشات دوره ای انحرافات لازم، الزام شرکت های قطعه ساز به برقراری سیستم مکانیزه یکپارچه مالی جهت محاسبه قیمت تمام شده و ارائه گزارشات اقدامات لازم الاجرا به منظور بهبود بهای تمام شده محصولات، جهت بررسی افزایش در سودآوری شرکت های قطعه ساز مورد ارزیابی قرار گرفته است.
    یافته های تحقیق حاکی از آن است که الزامات مالی تعیین شده از سوی ایران خودرو علاوه بر تامین نیاز کیفی شرکت ایران خودرو، به طور همزمان باعث افزایش سودآوری شرکت های قطعه ساز نیز گردیده است.
    کلیدواژگان: الزامات حوزه مالی، شرکت های قطعه ساز، بهایابی کیفیت، بهایابی لجستیک، بهایابی هدف
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  • Mansour Zarra Nejad, Ali Raoofi* Page 1
    Forecasting economic and financial variables is of high significance to economic policymakers and investors; however, it is a difficult and complicated task due to the volatile and complex nature of such data. Numerous studies have been conducted concerning different methods of forecasting macroeconomic and financial variables so far. Although frequent and sophisticated methods have been applied to forecast such variables, the nature of data under consideration has not sufficiently been taken into consideration. In terms of complexity, type and nature of data might impact the accuracy of forecasting models. In other words, linear or non-linear behaviors of data can be effective in the selection of the forecasting model. Recent research indicates that a better understanding of the generating process of variable data (linear/ non-linear) leads to easier and more accurate forecasts. If, for instance, the variable follows a linear behavior, linear models, such as ARMA, will produce more acceptable accuracy. On the contrary, using more complex modeling methods such as ANN and ANFIS is more justifiable when the variable behavior is non-linear and chaotic. Using complex models for a variable with linear behavior might lead to excessive model dependency on unnecessary volatility and, in turn, reduced forecast accuracy. This paper focuses on the study of linearity, non-linearity, and/or chaotic nature of TEPIX from March 25th, 2009 to October 15th, 2011 (625 observations) using BDS test. This test was administered in three stages to determine linearity, non-linearity, or “chaotic-ness” of TEPIX: First, the test was administered on daily stock market index return; second, the test was applied to ARMA model residuals; and finally, the test was carried out for ANFIS, GARCH, and ANN residuals. The results suggest that TEPIX return variable follows a non-linear behavior. Therefore, it is expected that non-linear models are better capable of forecasting this variable. Then, different prediction techniques in ARMA linear model were compared with those of non-linear models including ANN, ANFIS, and GARCH. According to the evaluation criteria at hand (RMSE, MAE, U-Thiel, and MAPE), the accuracy of forecasts was compared. The results show that non-linear models enjoy better performance than ARMA model regarding all the criteria above. In addition, among non-linear models, ANFIS model displays the best performance in forecasting daily stock market index return. Taking the non-linear nature of data used into account, such results were predicable.
    Keywords: Adaptive Neuro, Fuzzy Inference System (ANFIS), Neural Network, GARCH model, Non, linear Models, Chaos Theory, Stock Returns
  • Mostafa Salimifar*, Mohammad Ali Falahi, Sayed Mohammad Mirhashemi Page 29
    The oil price rise and fall forms one of the serious factors that really affect consumers, producers and Markets especially in terms of costs, trading strategies and incentives to launch new investment in technology or reorganize former ones. In the literature, there are many studies on the effects of oil price shocks on economic activity. Recently, the relationship between oil price and stock returns has come to the forefront of public attention and this probably because of the fact that Crude oil prices have been showing an exceptional volatility which has led to an increase in uncertainty of the energy sector, the whole economy as well as the financial markets. Despite the significant body of research has examined the effect of oil price shocks on stock market in oil importing countries, only a few researchers focused their attention on exploring how changes in oil prices influence the stock market in oil producing countries. The effect of oil price shocks on the stock market is a meaningful and useful measure of their economic impact. Since asset prices are the present discounted value of the future net earnings of firms, both the current and the expected future impacts of an oil price shock should be absorbed fairly quickly into stock prices and returns, without having to wait for those impacts to actually occur. In other side, large literature has reported that oil price fluctuations have an asymmetric impact on the macroeconomy. That is, while oil price spikes lead to reduced outputs, oil price drops do not necessarily lead to an increase in output. Iran’s economy is highly dependent to oil revenues such as other oil exporting countries, so that Iran’s economy and also stock market can affected by oil price shocks. With regarding importance of oil price changes on Iran economy, the aim of this study is to investigate the asymmetric impacts of oil price shocks on Tehran Exchange Price Index (TEPIX).In this study, the relationship between oil price shocks and TEPIX from 2000:6 to 2010:11 have been investigated. For this aim, the mothod of vector autoregressive regression (VAR), impulse response function and variance decomposition with three control variables of liquidity, constraction price index and gold price have been used. For investigating the asymmetric effect of oil price shock, we use Mork (1989) and Hamilton (1996) approach. Mork (1989) proposes an asymmetric definition of oil prices, which distinguishes between positive and negative changes, which have been defined as follows: Real oil price increase: doilt(+) = max [0, doilt] Real oil price decrease: doilt(-) = min [0, doilt] Hamilton (1996) proposed the concept of net oil price increase/decrease. Net oil price increase (NOPI), which is the percentage change of the increase of oil price if the price of the current month (t) exceeds the twelve previous months’ maximum. If the price of month (t) is lower than it had been at some point during the previous twelve months, the series is defined to be zero for period (t). So: NOPIt = max [0, oilt – max (oilt-1, oilt-2, oilt-3……oilt-12]Similarly, net oil price decrease (NOPD) can be defined as:NOPDt = min [0, oilt – min (oilt-1, oilt-2, oilt-3……oilt-12)]The investigation of the asymmetric effects of oil price shocks on TEPIX by Mork (1989) and Hamilton’s approach revealed that oil price shocks have asymmetric impacts on TEPIX and in both approaches, oil price decrease has greater share in explanation of forcasting error variance of TEPIX respect to oil price increase. The result of Impulse response function showed that, effect of one standard deviation shock in oil price increase variables, is positivein primary period and ofter that convergence to zero. The results also show that one standard deviation shock in oil price decrease has positive effect on TEPIX. Forcasting error variance de-composition of TEPIX showed that in all period, oil price increase after the TEPIX has the largest share in explanation of TEPIX’s forcasting error variance that it is increasing by the time. One standard deviation shock in oil price changes has positive impact on TEPIX that it is not constant during the time. The explanation of the positive connections between oil price shocks and the stock returns and the positive effects on the volatility is intuitive. Since oil export is a substantial source of GDP in Iran, the increase in oil price leads to economic growth by creating significant higher oil revenue. Consequently a rise in oil prices effect on expectation and this affects seriously the stock price.
    Keywords: Asymmetric Effects, Vector Autoregression (VAR), Impulse Response Function, Variance Decomposition, Tehran Stock Market Price Index
  • Saeed Samadi, Nasrin Ebrahimmi, Fariba Aghili* Page 57
    With regard to the fact that gold is sensitive and strategic asset, and its ounce price during past years had an ascending trend, this study is to examine the effective factors on gold price. Among the most important effective factors on gold price in Iran, we can refer to the gold price per ounce, the existence of inflation expectations, exchange rate fluctuations, stock index fluctuations and international sanctions. The investigation of these factors can, also, culminated in effective results for investors and planners.Due to the importance of both exchange market and stock market, this study tries to examine the impact of fluctuations in both exchange rate and stock index on gold coin price in Iran from April 2001 to September 2011 as well as the gold price per ounce. In so doing, in this study, Auto Regressive Conditional Heteroskedasticity (ARCH) model is used to measure fluctuations, because these models can explain conditional variance trend based on their past information, and afterwards by using ARDL model, the effectiveness of these fluctuations is evaluated in the long term and short term. Results show that among the effective factors on gold coin price fluctuations, exchange rate (equality rate of Dollar and Rial) is the most effective factor both in the long term and short term. The coefficient of the gold price per ounce is also positive and significant both in the long term and short term. It is necessary to be noted that long-term coefficients are larger than short- term coefficients, and this indicates that in the long term, gold coin price reacts more to exchange rate fluctuations and the change in the gold price per ounce.
    Keywords: Gold Coin Price, Exchange Rate Fluctuations, Stock Index Fluctuations
  • Mahindokht Kazemi*, Hadise Gerivani Page 74
    Efficiency is the (often measurable) ability to avoid wasting materials, energy, efforts, money, and time in doing something or in producing a desired result. In a more general sense, it is the ability to do things well, successfully, and without waste.In more mathematical or scientific terms, it is a measure of the extent to which input is well used for an intended task or function (output). It often specifically comprises the capability of a specific application of effort to produce a specific outcome with a minimum amount or quantity of waste, expense, or unnecessary effort. Efficiency of course refers to very different inputs and outputs in different fields and industries.In recent years, financial institutions have experienced a dynamic, fast-paced, and competitive environment at a cross-border scale. One of the fastest growing industries is banks.The banking industry around the globe has been transformed in recent years by unprecedented consolidation and cross-border activities.The bank efficiency ratio is a quick and easy measure of a bank's ability to turn resources into revenue. An increase in the efficiency ratio indicates either increasing costs or decreasing revenues. Considering efficiency of banks in each country is one of the main fundamentals of the financial market and a necessary step to achieve economic growth and development.Especially, in recent years with addition managementresponsibility, this matter became premiere. An efficient bank with use of human force, Deposits, Buildings, equipment and materials obtain output and efficient maximum. A Famous method for efficient calculationis DEA method.Data envelopment analysis (DEA) is a nonparametric method in operations research and economics for the estimation of production frontiers.It is used to empirically measure productive efficiency of decision making units (or DMUs). Although DEA has a strong link to production theory in economics, the tool is also used for benchmarking in operations management, where a set of measures is selected to benchmark the performance of manufacturing and service operations.Data Envelopment Analysis (DEA) has been recognized as a valuable analytical research instrument and a practical decision support tool. DEA has been used for both production and cost data. Utilizing the selected variables, such as unit cost and output, DEA software searches for the points with the lowest unit cost for any given output, connecting those points to form the efficiency frontier. Any company not on the frontier is considered inefficient. A numerical coefficient is given to each firm, defining its relative efficiency. Different variables that could be used to establish the efficiency frontier are: number of employees, service quality, environmental safety, and fuel consumption.As regards, banks accept control on their branches operation and work in this study we measured the efficiency of Mellat bank branches in the North Khorasan province for the years 1386-1388. The studies are in four distinct categories: (1)Presentation of past research short description, (2)Present of Data envelopment analysis (DEA) method, research model and variables,(3)Interpretation of model estimation result, (4) researchDeduction and suggestion.Types of performance calculated in this study are consist of technical efficiency, allocative efficiency and economic efficiency that they are investigated with two assumption constant returns to scale (CRS) and variable returns to scale (VRS). Technical efficiency is the effectiveness with which a given set of inputs is used to produce an output. A firm is said to be technically efficient if a firm is producing the maximum output from the minimum quantity of inputs, such as labor, capital and technology. Allocative efficiency is a state of the economy in which production represents consumer preferences; in particular, every good or service is produced up to the point where the last unit provides a marginal benefit to consumers equal to the marginal cost of producing. Economic efficiency is implies an economic state in which every resource is optimally allocated to serve each person in the best way while minimizing waste and inefficiency. When an economy is economically efficient, any changes made to assist one person would harm another. The CRS assumption only may operate, if corporation isoperated in optimum scale. The various questions caused institution don’t operation inoptimum scale, for example:competitive effects, financial constraint and whatnot.The CRS assumption, as long as,all institutes don’t operation inoptimum scale,technical efficiencyamounts is computed will be disturbed.In use ofvariable returns to scale is cause technical efficiency (Inclusive:scale efficiency quantity and management efficiency) analyze exactly. In the DEA method use two variablespack: A) entry variable (inputs), B)output variables. Accordingly, the research variables was determinant according to the Intermediate attitude, therefore the input variables are including deposits, fixed assets and personnel and the output variables are including interest-free loans and facilities in the form of swap contracts. The research results show that in average three-year(1386-1388), technical efficiency, allocation efficiency and economic efficiency, with assumption of the CRS, respectively were 0/747, 0/79, 0/59, and with assumption of the VRS, were 0/91, 0/88 and 0/80. Also, in years 1386 to 1388, respectively 33, 27 and 40 percent of branches in both CRS and VRS were efficient. Furthermore, the average economic performance in both CRS and VRS has not changed much. Although, resultswith assumption of theVRS have superioraverage, but that operation only show Short termefficiency and short termefficiencysize cannot be suitable criterion for adjustmentefficiencyrecovery plan.
    Keywords: technical efficiency, allocation efficiency, economic efficiency, DEA
  • Sadegh Bafande Imandoust*, Mohsen Rastin Page 100
    Export growth hypothesis increased export can perform the role of “engine of economic growth” because it can increase employment, create profit, trigger greater productivity and lead to rise in accumulation of reserves allowing a country to balance their finances.Export earnings assume vital importance not only for developing, but also for developed countries. Developed countries mainly export capital and final goods, while the main part of export of developing countries consists of mining-industry goods especially natural resources.Wood and paper industry could be very important for economic development as non-oil export. Because of fraternity and value added aspect in these industries, it has especial effect on country economic. The main objective of this study is to analyze the impact of changes in the real exchange rate on Wood and Paper Industry Export and to suggest policy proposals which may be useful for policymakers in non-oil export promotion issues.Theoretical frame workThere is huge number of studies that investigate the impact of exchange rate on export. But according to our research objective we try mainly to focus on studies that investigate this relationship in case of oil dependent economies like Iran.For investigating relationship between Real Exchange Rate and Export different methods can be utilized like: The Elasticities Approach, The Absorption Approach and MonetaryApproach.
    Methodology
    The vector autoregression (VAR) is an econometric model used to capture the linear interdependencies among multiple time series. VAR models generalize the univariate autoregressive model (AR model) by allowing for more than one evolving variable. All variables in a VAR are treated symmetrically in a structural sense (although the estimated quantitative response coefficients will not in general be the same); each variable has an equation explaining its evolution based on its own lags and the lags of the other model variables. VAR modeling does not require as much knowledge about the forces influencing a variable as do structural models with simultaneous equations: The only prior knowledge required is a list of variables which can be hypothesized to affect each other intertemporally.This paper investigates the impact of the real exchange rate on wood industry export during 1977-2010 has been studied. For this purpose vector auto regressive (VAR) model has been used and by Johansson approach, supply and demand of export will be estimated, then by using of error correlation model (ECM) short term and long term relationship have been combined.
    Results and Discussion
    Based on findings of present study can be concluded that appreciating real exchange rate has positive and significant effect on supply and demand of wood and paper industries. In addition, tariff rate of import has negative effect on export supply.Since promotion of non-oil export is one of the urgent issues of the strategic economic policy of Islamic Republic of Iran then findings of this study may be useful for policymakers.Conclusions& suggestions: Real Exchange Rate and Wood& Paper Industry Export are strongly connected. Although, based on findings, increasing real exchange rate has positive and significant effect on supply and demand of wood and paper industries, but worth of national money should be moderate in short range. In account of high rate of Competition in the world hiking the export price should be avoided.
    Keywords: Real Exchange Rate, VAR, Demand, Supply Function Export, Wood Industry, Paper Industry
  • Mehdi Yazdani*, Seyed Komail Tayebi, Nafiseh Yazdani Page 132
    Economists believe that except the commitment of central bank about price stability, this institution should consider some arrangements for financial stability in macro level of economic. However, financial stability leads to smoothly and uniformly performance in different parts of financial system such as financial institutions, markets and system of financial pay off (Cihak, 2007; Oosterloo and De Haan, 2004). Moreover, the major parts of economic literatute have emphasized on central bank independence rather than price stability. Available studies discus that in addition to the price stability, the dependence of central bank leads to financial stability, so that regulatory and supervisory independence are necessary to achieve and maintain stability in financial sector of economic (Klomp and De Haan, 2009; Meade and Crowe, 2007; Cukierman, 2008).This study tries to evaluate the relation between the dependence of central bank and some indices of financial stability using a dynamic panel data model during 1980-2012 in selected emerging market countries (namely are Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Morocco, Peru, Philippine, Russia, South Africa, Thailand, Turkey and Iran). In the paper, different types of financial instability indices have been used which have been divided in three categories. The first category is as banking system indices (including change in ratio of bank liabilities to GDP, change in ratio of bank liquid reserves to bank assets, change in ratio of bank capital to assets, change in domestic credit provided by banking sector (% of GDP) and change in domestic credit to private sector (% of GDP)), the second is as risk and return indices (including change in real interest rate, change in interest rate spread and change in risk premium on lending) and the third is monetary authorities indices (including change of money and quasi money (M2) to GDP and change in net foreign assets to GDP). The macroeconiomic control variables are the inflation rate, the economic growth rate, the change in exchange rate and the shocks of term on trade. Moreover gross domestic product per capita to mesure the differences in development level of countries, the budget deficit as an influent variable on central bank independence, the financial liberalization since of its role on risk of financial instutions and the insurance of deposits have been includeed to model. Also to consider the effect of globalization on financial instability, this variable has been added to model which may have positive or negative sign dependent on quality of golobalization phenomenon. Finally the net financial flows as a represenetive variable for international capital flows phenomena (including bonanza, sudden stop and capital flight) has been added to model which can consider the vulnerability of financial sytem to this outcomes.The estimated results show that the dependence variable of central bank including political, economic and overall dependence variables, lead to decrease the financial instability in selected emerging market countries. Moreover, for other control variables, the theoretical expectations have been confirmed where the relationship between economic growth and financial instability is negative and the movements in term of trade, exchang rate and inflation lead to financial instability. Also the coefficient of budeget deficit shows that there is a direct link between rasie in budget deficit and financial instability via its effects on regularity of central bank. According to results, the insurance of deposit is a way which policy makers can control financial istability. Finally the effects of globalization on financial istability is positive which the phenomenon can arise some difficulties for emertging market economies.As a policy implication for Iranian economy based on estimated results of model: i) the independence of central bank is critical for Iranian economy to stabilize the dynamic financial system, ii) the regular and sytematinc fiscal policies are necessitate for financial stability in Iranian econmy, iii) introducing new financial instruments and derivates such as deposit insurance are vital for financial stability in Islamic Banking and finally, iiii) as a buffering element for unfavorable effects of globalization on financial instability, the independence of central bank is determinant too.
    Keywords: Independence of Central Bank, Financial Stability, Regulatory, Supervisory Independence, Dynamic Panel Data Model
  • Mahdi Ghaemi Asl*, Mahmod Hossin Mahdvi Adeli, Shahab Matin, Seyyed Mahdi Musavi Barrodi Page 152
    Iran has more than a century of history in exploration and production; the first successful exploration well was Masjid Suleiman-1 on May 26, 1908. Since then, based on the latest oil and gas reports, 145 hydrocarbon fields and 297 oil and gas reservoirs have been discovered in Iran, with many fields having multiple pay zones. Proved oil reserves in Iran, according to its government, rank fifth largest in the world at approximately 150 billion barrels as of 2014, although it ranks third if Canadian reserves of unconventional oil are excluded. This is roughly 10% of the world's total proven petroleum reserves. Oil sector in most of oil exporting countries (such as Iran) is a state-run sector and oil revenues belong to government. Iran is an energy superpower and the Petroleum industry in Iran plays an important part in it. In 2004 Iran produced 5.1 percent of the world’s total crude oil (3.9 million barrels per day), which generated revenues of US$25 billion to US$30 billion and was the country’s primary source of foreign currency. At 2006 levels of production, oil proceeds represented about 18.7 percent of gross domestic product (GDP). However, the importance of the hydrocarbon sector to Iran’s economy has been far greater. The oil and gas industry has been the engine of economic growth, directly affecting public development projects, the government’s annual budget, and most foreign exchange sources. In 2009, the sector accounted for 60 percent of total government revenues and 80 percent of the total annual value of both exports and foreign currency earnings. Oil and gas revenues are affected by the value of crude oil on the international market. It has been estimated that at the Organization of the Petroleum Exporting Countries (OPEC) quota level (December 2004), a one-dollar change in the price of crude oil on the international market would alter Iran’s oil revenues by US$1 billion.The main hypothesis of this study is that the government's dependence on oil revenues has been caused policy passivity in Iran's economy. Fiscal policy and monetary policy are the two tools used by the state to achieve its macroeconomic objectives. While for many countries the main objective of fiscal policy is to increase the aggregate output of the economy, the main objective of the monetary policies is to control the interest and inflation rates. Traditionally, both the policy instruments were under the control of the national governments. Thus traditional analyses were made with respect to the two policy instruments to obtain the optimum policy mix of the two to achieve macroeconomic goals, lest the two policy tools be aimed at mutually inconsistent targets. In case of an active fiscal policy and a passive monetary policy, when the economy faces an expansionary fiscal shock that raises the price level, money growth passively increases as well because the monetary authority is forced to accommodate these shocks. But in case both the authorities are active, then the expansionary pressures created by the fiscal authority are contained to some extent by the monetary policies.In other word the central bank's monetary policy and fiscal policy of the government have a heavy reliance on oil revenues and budgeting and monetary changes, instead of being active and effective, have an affective and passive nature and are subject to oil shocks.In this study in order to investigate this hypothesis, seasonal data of 1369:1 to 1389:4 of oil revenues, government expenditures (as a representative of fiscal policy), monetary base (as a representative of monetary policy), GDP, exchange rate and GDP deflator (as a representative of price index) in a Factor-Augmented Bayesian Vector Autoregressive model have been used. If a small number of estimated factors effectively summarize large amounts of information about the economy, then a natural solution to the degrees-of-freedom problem in VAR analyses is to augment standard VARs with estimated factors. In this paper we consider the estimation and properties of factor-augmented vector autoregressive models (FAVARs).Results of impulse response function and variance decomposition clearly confirm the passive monetary and fiscal policy in the Iranian economy. In other words, among the variables of model, the most affected variables respectively are the monetary base and government expenditures. According to the authors, there are two basic ways to deal with policy passivity, which are sterilization and stabilization of oil revenues through the correct management of stabilization funds and diversification of exports. Sterilization is, not to bring all the revenues into the country all at once, and to save some of the revenues abroad in special funds and bring them in slowly. In developing countries, this can be politically difficult as there is often pressure to spend the boom revenues immediately to alleviate poverty, but this ignores broader macroeconomic implications. Sterilisation will reduce the spending effect, alleviating some of the effects of inflation. Another benefit of letting the revenues into the country slowly is that it can give a country a stable revenue stream, giving more certainty to revenues from year to year. Also, by saving the boom revenues, a country is saving some of the revenues for future generations. In addition Oil stabilization funds are usually designed to address the problems created by the volatility and unpredictability of oil revenues, the need to save part of the oil revenues for future generations or both.
    Keywords: oil revenues, monetary policy, fiscal policy, Factor, Augmented Bayesian Vector Autoregressive model
  • Sohrab Delangizan*, Kiomars Sohaili, Minoo Mohammadi Tirandazeh Page 182
    Introduction
    Over the past years, Iranian foreign exchange system encountered with many changes. This matter has increased the possibility of deviation of the real exchange rate from its equilibrium path. So, realizing the long run equilibrium path deviations and their impact on macroeconomic variables can provide economic policymakers with suitable solutions. In specialists discussions, the correct exchange rate that meets the needs of all sectors of economy, from producers to the consumers in the best conditions, is among the most important and challenging issues. Theoretical frame work According to the extent of government and central bank intervention there are several exchange rate systems are: 1) fixed exchange rate regime, 2) managed floating exchange rate regime and 3) floating exchange regime. According to Nurks, deviation of exchange rate from long-term equilibrium path leads to internal and external balance simultaneously. The Real exchange rate balance can be determined with respect to three perspectives: Purchasing Power Parity method, The Elasticities Approach, and General-Functional Balance method. The nominal exchange rate can be determined according to: 1) PPP model, 2) Fundamental Equilibrium Exchange rate model, 3) Behavioral Equilibrium Exchange rate model, 4) Permanent Equilibrium Exchange rate model, 5) Natural Rate of Exchange. (Siregar& Rahan,2006)
    Methodology
    This Study attempts to estimate the deviation of nominal exchange rate of Iranian Rial against U.S. dollar from its long-run equilibrium level, using the model of Coudert and Couharde (2007), based on FEER, applying the method of Johansson cointegration (1999).
    Results and Discussion
    None of the variables is stationary in level (TRGOVER/GDP), CPIIRWHOLS, and CPIIR. We apply the Johansen- Juselius test (1999), for testing the existence of cointegration relationship between time series. Vector Error Correction Model (VECM) related to this model is as follow:〖∆Y〗_t=β_1 〖∆Y〗_(t-1)+β_2 〖∆Y〗_(t-2)+⋯+β_(ρ-1) 〖∆Y〗_(t-ρ-1)+∏▒Y_(t-ρ) +φD_t+Uu_tAfter estimation of import and export function and the their effect on exchange rates deviation, the deviations in official exchange rate according to trade balance in public and private sectors is:me (=[(tb) ̌-tbgovertarget-tbprovtarget])/(φ+(a/0.698273))a=φ〖*τ〗_g+ϑ*ε*τ_ρ-ϑ*έ-ϑConclusion & Suggestion: The result shows that the official exchange rate of the Rial against U.S. dollar has been over-valued by about 64.75 percent. Therefore the Iranian rial should be allowed to depreciate by this amount in order to achieve the internal and external equilibrum. The important point that must be considered by policymakers is that iranan country is the importer of many raw and intermediary goods, and with increasing exchange rate, the costs of production of final goods will increase. Therefore this condition leads to inflation, so that by increasing exchange rate, competition capacity of final producs in Iran decreases in comparing with the production of the same goods in other countries.A recommendation for solving this problem is that for importing raw and intermediary goods, subsides should be paid to the producers, so that the competition capacity of domestic producers increase against foreign producers.
    Keywords: Exchange Rate Deviation, the Fundamental Equilibrium Exchange Rate, Internal Balance, External Balance, Trade Balance
  • Mohammad Rezaei*, Alireza Bastani Page 208
    The consumer price index (CPI) measures changes in the price level of a market basket of consumer goods and services purchased by households. Consumer price index (CPI) is used for determining whether general prices are higher, lower or stable over time, calculating annual rate of inflation, and converting nominal values to real. A Producer Price Index (PPI) measures the average changes in prices received by domestic producers for their output. It is one of several price indices. Its importance is being undermined by the steady decline in manufactured goods as a share of spending. What is the causal relationship between PPI and CPI? Do producer prices cause consumer prices or consumer prices cause producer prices? There are two basic approaches about PPI and CPI causality relationship, namely supply side and demand side in literature (Akcay, 2011).According to supply side approach, PPI and CPI are connected by production chain. Advocates of supply side approach claimed that crude materials serve as inputs to the production of intermediate goods, which in turn serve as inputs to the production of final goods. Changes in prices of crude materials should pass through to prices of intermediate and final goods and ultimately to consumer prices (Clark, 1995, p.26). Therefore, changes in PPI lead or cause CPI. According to demand side approach ‘demand for final goods and services determines the demand for inputs between competing uses’. Thus, ‘the cost of production reflects the opportunity cost of resources and intermediate goods, which in turn reflects demand for the final goods and services’ (Caporale, Katsimi and Pittis, 2002, p.705). Consequently, consumer prices can affect producer prices (Akcay, 2011).The causality between PPI and CPI remains a controversial issue in empirical findings. There are three different empirical evidences about PPI and CPI nexus, namely one way, two-way and no causality in literature (Akcay, 2011). There are many studies examining the directions of causality between Producer Price Index and Consumer Price Index in many countries over periods of time. Caporale et al. (2002) examine the causal relationship between wholesale and consumer prices for G7 countries. Their results indicate that WPI Granger-cause CPI. Akdi et al. (2006) investigate the relationship between the consumer price index (CPI) and the wholesale price index (PPI) using the Turkish data. Their finding shows cointegration between the series and both variables Granger-cause each other. Ghazali, Yee and Muhammed (2008), using monthly data from Malaysia between January 1986 and April 2007. They found a unidirectional causality from the PPI to the CPI. Gang et al. (2008), studying the relationship between the PPI and the CPI. They found a long-term connection between them. Their finding showed a bi-directional causality.Sidaoui et al. (2010) found there is long-term cointegration between both indexes (PPI and CPI) and causality goes from the PPI to the CPI. Shahbaz et al. (2009) investigated the relationship between PPI and CPI using monthly data for Pakistan. Their results have verified the existence of long run relationship between producer and consumer prices. They also found that there is bidirectional causality but it is stronger from producer to consumer prices.Akcay (2011) conducted a study for five selected European countries, using seasonally-adjusted monthly data between August 1995 and December 2007. He used the causality test by Toda and Yamamoto (1995). The results indicate that there is a unidirectional causality between producer price index and consumer price index, running from producer price index to consumer price index in Finland and France and bidirectional causality between two indices in Germany. In the case of the Netherlands and Sweden, no significant causality is detected. Muhammad et al. (2012) analyze the Granger causality in the frequency domain between the CPI and the WPI in Pakistan, using monthly data between 1961 and 2010. They found the causality between the CPI and the WPI varies, depending on the frequency domain. They also discovered the CPI Granger-causes the WPI in low and medium frequencies, as well as in high frequencies, which reflects long, medium and short-term cycles.The purpose of this study is to investigate causality between PPI and CPI for Iran. So, the methodology proposed by Granger (1969) and Sims (1972) is used to analyze if the PPI causes CPI. Also, we used time-series Vector Error Correction Model (VECM) approach of stationarity test, cointegration test, stability test and Granger causality test. This study uses monthly PPI and CPI data over the period March 1999 to March 2011, for Iran. We find there is a long-term cointegration between both indexes and causality goes from the PPI to the CPI. The result suggest that in Iran economy, demand-side factors have played a more important role than supply-side factors, although the two sides both have influences on domestic inflation trend which is measured by CPI.
    Keywords: consumer price index (CPI), producer price index (PPI), Granger, causality, Vector Error Correction Model (VECM)
  • Mahdi Salehi*, Mahmoud Lari Dashtbayaz, Alireza Shafiebeyk Mohammadi Page 230
    Introduction- A growing trend of team manufacturing transformed traditional roles in the auto-industry, with employees interacting with counterparts at every level, from engineers to computer technicians to the line workers. The Auto industry is a key sector of priority for Iran. It used to receive considerable preferential treatment over capital allocation and foreign exchange, but these have been gradually withdrawn. By 2001 all manufacturing units ought to have become self-sufficient with regard to foreign exchange requirements. Not being immune from general economic woes of the country, the auto industry also has far lower propensity to react to any general downturn in the economy than most other sectors. Between 1994 and 1998 the auto industry grew by about 30%, five times that of other national industries and eight times the rate of growth of the economy while generating close to 235,000 jobs. So the current industry plays vital rol in Iranian economy.Purpose – Economic survival in current interntational and even domestic markets is heavily dependent on competition with fierce competitiors. Consistent with this view, business enteties can not survive as a going concern unless they consider profitability and wealth creation as key and premier organizational factors and accordingly hold themselves accountable for meeting their clients’ demands and expectations. In this regard, the establishment of a system comprised of operational dos and don’ts within different organizational functions, particularly financial department, should do the trick. The aforementioned operational requirements are currently being imposed by large firms for supply chain firms. Therefore, the present paper aims to investigate the effect of financial requirements of supply chain firms imposed by Iran Khodro Industerial Group (also known as IKCO) on the profitability of automotive component suppliers. Design/Methodology/approach – The authors examine their hypotheses by performing KS test and using t statistic on a sample of 24 observations druing 2008-2009. The time frame is chosen based on the fact that the IKCO implemented its financial requirements from the 2008 onwards. Indeed, the paper utilizes the profitability information of automotive component suppliers both pre and post implementation periods. Findings – After analyzing the IKCO financial requirements (e.g. financial unit obligation to participate in investement feasibility studies, financial unit obligation to design and implement quality costing system and logistic costing system; management and employees obligation to propose alternative approaches to meet target costing objectives, financial unit obligation to participate in cost management activities in line with target costing, financial unit obligataion to prepare and monitor financial ratio reports and also take necessary follow-up actions; the automotive component manufacturers obligation to establish and control cost budgeting system and also prepare cost deviation reports on a periodic basis, the automotive component manufacturers obligation to establish automated integral financial system calculating cost of goods sold (CGS) and prepare necessary reports in order to enhance the CGS), our findings indicate that the IKCO financial requirements not only meet the qualitative needs of the IKCO, but also increase the profitability of automotive component manufacturers. Research limitations/implications – The present study is subject to following limitations. First, the obstinate refusal of automotive component manufacturers to provide detailed information about projects on the improvement of operational and supporting processes. Second, the unwillingness of automotive component manufactures to contribute to studies concerning the financial affairs of business entities. Originality/value – The authors’ research contributes to current accounting literature by providing empirical evidence regarding a positive relationship between financial requirements and the profitability of supply chain firms.
    Keywords: Financial Requirements, Automotive Component Manufacturers, Quality Costing, Logistic Costing, Target Costing