پژوهشنامه اقتصادی
پیاپی 43 (زمستان 1391)

In this paper we empirically investigate the link between bank lending behavior and macroeconomic uncertainty. This relationship is examined using conditional variance model based on monthly data for a panel of Iranian banks during the period 1383-1388. The results indicate that the uncertainty based on CPI and PPI indicators, implying uncertainty in macroeconomics, has a negative significant effect on bank lending behavior. In other words, banks decrease their lending ratios when macroeconomic uncertainty increases, becomming more conservative. The increase of uncertainty leads to credit risk of banks and the probability of losses due to unsafe loans and decrease in credits volume and the loans to the private sector.

The purpose of this paper is to investigate the relationship between bank ownership and prudential behavior of banks in Iranian banking industry. Although, the relationship between bank ownership and performance is well studied but there are few studies focusing on the effect of ownership upon banks lending and prudential behavior (Jia 2009). This paper as the first study over Iranians banking system is to tackle this subject using a panel of 12 banks over 2002 – 2008. To this aim the main determinants of prudential behavior as control regressors are considered to provide a much more accurate model to describe the relationship between the prudential behavior and ownership structure of banks. The findings of the study provide the strong evidence to conclude that the lending by states–owned banks has been less prudent than lending by private banks. Furthermore, the results of this study show that the larger banks tend to be more prudent than the smaller ones. Moreover, the results indicate that the less market concentration in Iranian banking industry and the more GDP growth lead to the less prudential behavior. The results also show that the higher percentage of loans in arrears results in the more prudential behavior. Last but not least, the findings of this research show that lending by state–owned banks is becoming more prudent indicating the positive effects of the reforms of Iranian banking system over the last decade.

Due to the increasing importance of Internet Banking and the critical actions taken by banks in order to offer Internet Banking services in Iran and also according to the increasing number of people using Internet Banking services, it is essential for bank marketers to understand Internet Banking customers better. Only through this comprehension the marketers are able to develop strategies and tactics to attract and sustain their customers. In this study we have investigated the influential factors in purchasing decisions of Internet Banking customers. Electronic questionnaires were applied for data gathering through a case study of Mellat Bank internet banking customers. The results of the research show that banks can achieve a more distinctive status in service offering through designing systems to offer secure and certain services with minimum errors; offering various internet based services; providing timely information related to these sort of services; educating customers on how to use them and trying to create a positive image on customer’s minds by appropriate advertising packages.

Deposit insurance is a type of shelter for banks depositors. The main purpose of this system is stabilization of financial market and providing a situation that small and fragile bank and deposit institutions can survive in credit market. Appropriate pricing of deposit insurance rate is necessary for realization of this goal. In this paper we use Merton option pricing model for estimating deposit insurance rate of some Iranian private banks. For this purpose, first, banks asset value and its variance that are unobserved, were estimated with specification of maximum likelihood function. Then deposit insurance price of each bank based on their risks were calculated. We found banking deposit insurance premium and risk are growing. In some years, estimated deposit insurance premium unusually was very high. This fact can be due to two events: first D/E ratio in this year was high, which means debt to equity ratio was high. Secend, banks value variance were high. Other finding of this study is that deposit insurance premium of Iranian banks are different. This fact shows that these banks have different risk levels so, with respect to differences in deposit insurance premium of each bank, this paper recommends that deposit insurance system in Iran should be based on their risk levels.

Motive for the purchase of insurance by individuals is differing among the firms. Risk aversion is the main motive for the purchase of insurance by individuals. But, incentive to purchase of insurance by firms is affected by many factors. Researchers have argued several theories about the motive of corporate for purchasing insurance. Expected bankruptcy costs, tax consideration, firm size, share ownership, operational leverage, underinvestment and type of industry are reasons of corporate demand for insurance. In this study, we have surveyed effective factors on the demand for property insurance by using 1387-88 panel data of publicly listed companies operating in Tehran Stock Exchange. Our results indicate that, consistent with our hypotheses, large companies with high bankruptcy costs and financial risks profiles are likely to purchase greater amounts of property insurance than other companies. We also find that industry type have significant effect on the purchase of property insurance by corporates. Additionally, service companies purchase more property insurance than other companies. Contrary to what we expected, tax incentive, majority shareholders and underinvestment were not found to be important determinants of the corporate purchase of property insurance in the publicly listed companies operating in Tehran Stock Exchange.

One of the new approach in finance literature is behavioral finance, that describes behavior of investors and satisfies some of the anomalies that effective market hypothesizes were not able to describe it. One of the statement in behavioral finance paradigm is prospect theory and disposition effect that replies the position of individual during decision making. The disposition effect's base comes from Kahneman and Tversky’s prospect theory, point to construction of the reference points and replies that investors will decide according to their intended reference points. According to this theory, investors are more likely to close positions with gains than they are to close positions with losses. So, individuals define gains and losses relative to the reference point, and are risk-seeking when faced with loss outcomes and risk-averse when faced with gain outcomes. The main goal of this research is inspection of construction of reference point on max and min of stock price of 52 weeks prior reference point and it's effect on volume. Results of research represent with increasing of stock price in compared as max price of 52 weeks prior to reference, volume increases. While with decreasing of stock price from min price of 52 weeks prior, volume approximately remain the same.

This study is an attempt to investigate the impact of free float announcement on stock return behavior of the companies accepted in Tehran Stock Exchange. So we collect free float announcement in twenty quarters period between 2004 and 2009. The researches contain stocks behavior in time window between ten days before and after announcement changes. The most important finding of the study revealed that, the Abnormal Return and Cumulative Abnormal Return statistically differ significantly before and after of free float announcement.

Liquidity is one of the effective factors on the investor's portfolio decision-making. The previous research evidences shows that liquidity risk factor plays the significant role in cross-sectional return explanation. The present study aimed at investigation of relationship between the expected return and liquidity. For this purpose liquidity proxy variable used in this study is the turnover ratio of trading volume. This study included 30 companies listed in Tehran Stock Exchange during the years of 1380-1386. The obtained result from generalized least square (GLS) method revealed that there was a positive relationship between cross-sectional return and liquidity.

We interpret fluctuation in GDP and unemployment rate as due to two types of disturbances: disturbances that have a permanent effect on output and disturbances that don’t. We interpret the first as supply disturbances, the second as demand disturbances. This paper surveys the effects of demand and supply disturbances on variables GDP and unemployment in Iran economy. So with using Blanchard-Quah econometric technique, shocks will be divided into two sections: the supply shocks and demand shocks. Then, we survey the effect of these two shocks on GDP and unemployment in Iran with using Structural Vector Auto Regressive (SVAR) method, impulse response function and variance decomposition. Results report that supply shocks proportion in explaining the GDP and unemployment fluctuation are 45/5 and 30/87 and the demand shock proportion are 54/56 and 69/21.

This study investigates the relation between unemployment rate and Government Size in Iran. For that, we have used some VAR models, which include the following variables: government size, measured as total government outlays as a percentage of GDP, unemployment rate, real GDP growth rate, Inflation rate, minimum wage. Our results show that an increasing in the Government Size would raise unemployment rate, and an increasing the GDP growth rate and Inflation rate would reduce unemployment rate.

The purpose of this study is to introduce an artificial neural model for predicting systematic risk of Saipa Company by using macro economic variables. The net used in the study is a neural feedforward network with backpropagation algorithms. Price Index in Tehran Stock Exchange, Exchange Rate, Oil Price and Gold Price have been considered as four input variables, and the systematic risk as the output variable. The relevant data for each variable has been set weekly and monthly, and based on the data, 80 different neural networks were designed. The results show that the optimal model for predicting weekly systematic risk is a four- layer- model with the Root- Mean- Square (RMS) of 0/033314. Furthermore, the optimal model for predicting monthly systematic risk is a three- layer- model with the RMS of 0/065557.

Game theory has a significant role in contemporary orthodox economics. This theory studies the strategic behavior of players. So strategic interaction is the key point in the games theory. Principalagent model is an application of the theory. This model is applied when a job or an activity is delivered to an agent by a firm or another agent called the principal. Naturally the terms and conditions including the rights and obligations of two sides are elaborated in the contract. Depending on whether the information on exact details of the subject and the terms are the same or not, different models are developed. One of the most important financing instruments in noninterest banking as a main field of Islamic Economics is profit-loss sharing contracts among which we can name sleeping partnership. The subject matter of sleeping partnership is trade in which a capital owner finances the money needed by the agent to start a business which is based on profit-loss sharing. This paper tries to construct an analytical model to explain the sleeping partnership by appling principal – agent model with asymmetric information case which is causing adverse selection. In this paper we showed that Islamic finance instruments (sleeping partnership) in the spirit of profit-loss sharing can be explained through the modern achievements of contemporary economics and we can analyze sleeping partnership with the help of game theory method.