حسین عباسی نژاد

This article explores meta-heuristic methods for optimizing asset portfolios. It calculates the investment efficiency frontier, identifies the minimum risk portfolio, and computes the Sharpe ratio. Optimal currency baskets serve as signals for algorithmic trading, enhancing investment efficiency, particularly in volatile markets like currencies. The proposed algorithmic trading system is based on optimal currency basket selection.The method involves successive optimization of portfolios, using data mining concepts to determine the Value at Risk (VaR) for short-term portfolios. Key topics include non-linear exchange rate forecasting, VaR calculation via the EGARCH model, meta-heuristic optimization of portfolios, and algorithmic trading system design.To address Markowitz model limitations, future exchange rate predictions using the RNN model are employed. Asset covariance considers exchange rate correlations, scaled by VaR. Random optimization calculates minimum values and asset weights for buying, holding, and selling signals. Selecting 9 out of 28 main currency rates minimizes systematic risk in day trading. Testing the system on 123 daily data points yielded a 27% total return (approximately 4.5% monthly), using only 10% of initial capital and considering transaction costs. The system’s maximum loss was 6%, and the maximum profit was 5.7%.

Pricing The banking system plays an important role in the structure of an economy, and the challenges of this sector can affect other sectors. One of the most important challenges of the banking system is the occurrence of a banking crisis. The International Monetary Fund defines a banking crisis as a situation in which bank runs and bank failures spread and banks are unable to pay their debts, or a situation in which the government intervenes in the banking system on a large scale. In the conditions of banking crisis, bank bankruptcies are widespread and banks are unable to pay their debts. The occurrence of this type of crisis has various causes, the main reasons of which are the high volume of non-current claims and the freezing of bank assets as a result of corporate governance, which reduces the quality of bank assets to pay the bank's obligations, thus creating an imbalance in the banks' balance sheets. One of the features of a banking crisis is systemic risk. An increase in the systemic risk in the banking system coincides with the occurrence of a banking crisis.Systemic risk can be defined as a risk that affects the financial sector and creates an endogenous cycle that exacerbates the effect of the initial shock and causes more damage to the financial sector. With the increase of systemic risk, the probability of crisis and financial and monetary instability increases and negatively affects the real sector of the economy. In normal times, when there is no crisis, banks help the rapid development of the economy and increase the standards of living, but, when a crisis occurs, the problems in the banking sector and the subsequent failures cause serious negative consequences not only in the banking sector but also in companies directly.  It also affects investors; the occurrence of banking crises during the last few decades has always caused problems for the countries engaged in the crisis. Among these problems, one may mention the financial costs of the crisis, production losses, increase in public debts, and increase in uncollectible loans. The banking industry in Iran is one of the important financial intermediaries that can provide the basis for the growth and prosperity of the economy by properly organizing resources and expenses. More than 80% of the financing in Iran is done through banks. Therefore, the health of this sector can significantly contribute to the improvement of economic conditions. The conditions of the Iranian economy and especially the banking system in recent years indicate the signs of a banking crisis in the Iranian economy; the money market pressure index, as one of the most important indicators for measuring the banking crisis, has faced more fluctuations since the end of the 80s. Considering the high share of the banking system in the financing of economic activities in Iran and the lack of studies in the field of banking crisis and its effects on macroeconomic variables, the present research investigates the effects of systemic risk, as a representative variable of banking crisis, on the selected macroeconomic variables.

In order to analyze the effects of the banking crisis on macroeconomic variables, the stochastic dynamic general equilibrium model has been used in the form of two limit scenarios referring to a no-crisis situation and the presence of a banking crisis at the highest level using the data of Iran's economy during the years 1982-2020. In this study, a stochastic dynamic general equilibrium model for a small open economy in terms of oil exports has been developed with an emphasis on Iran's economy in the framework of the new Keynesian school, in which the effect of monetary impulse on macroeconomic variables in the framework of the banking crisis is investigated. As a key feature of the model, employment and production decisions by firms and labor supply and consumption decisions by households are made before goods are produced and exchanged and before market-clearing prices are realized. In the sector of companies producing intermediate inputs, all the company's resources are assumed to be provided by facilities, and the presence of crisis increases the cost of receiving facilities. It is also assumed that the existence of the crisis will limit the lending resources of commercial banks, which will increase the price of the received loans due to the lack of resources.

The results show that, due to monetary stimuli, variables such as production and inflation show a positive reaction to the stimuli, but, over time, the effects disappear. As a result of inflation, the real wage has decreased, and the level of real consumption has also decreased due to the decrease in the purchasing power of the members of the society. Also, due to the inflation and the increase of investment cost, the amount of investment has also decreased. Therefore, the results are compatible with consumption and investment theories. Another important result regarding the systemic risk constraint in modeling is that the banking crisis has reduced the impact of monetary impulses on macroeconomic variables and reduced the size and extent of the impact.

Conclusions and policy implications: 

According to the results of the study, the existence of a banking crisis causes friction in the structure of the economy and the performance of the banking network, which affects various impulses and policies. Therefore, it is suggested that the central bank or the government should consider the state of the banking system from the perspective of its health in determining the rule and before implementing economic decisions.

The purpose of this article was to measure the impact of the impulse caused by the uncertainty of monetary, financial and currency policies on macroeconomic variables in Iran. For this purpose, the statistical information of the period 1991-2022 was used based on the frequency of seasonally adjusted information. The uncertainty index of economic policies in this study was caused by monetary, financial and currency policy. In line with the modeling goal of this study, the dynamic stochastic general equilibrium method was used. In this study, the impulse of economic uncertainty in the behavior of the monetary authority and the government was included in the model. The results obtained from the impulse entered from the area of monetary policy uncertainty show that the variables of inflation rate, interest rate, exchange rate and production deviation have shown a positive reaction to this impulse, but other variables such as investment, employment, Government expenditures, tax revenues and consumption expenditures of the private sector showed a negative reaction. In the second part, the results obtained from the impulse entered from the area of financial policy uncertainty indicate that the variables of inflation rate, interest rate, exchange rate, government expenditure and production deviation have shown a positive reaction to this impulse, but other variables including Employment, taxes and consumption showed a negative reaction. Finally, in the third part, the results obtained from the impulse entered from the area of currency policy uncertainty show that the variables of inflation rate, interest rate, exchange rate and production deviation have a positive reaction to this impulse. But other variables such as investment, employment, government spending, tax and consumption showed a negative reaction.In this study, the shock of economic uncertainty through monetary, financial and currency policy has been included in the behavior of the monetary authority and the government in the model. The results obtained from this study indicated that the real variables of the economy such as investment, production, consumption, government spending and taxes have decreased in response to the shock of economic uncertainty, but the nominal variables such as the exchange rate, interest rate and inflation rate have decreased in response to Economic uncertainty shocks have increased. Based on the obtained results, the shock caused by economic uncertainty by affecting the behavior of economic agents in the households and companies sector has led to instability in optimization and its consequences have been observed on macroeconomic variables. Based on the obtained results, the shock caused by economic uncertainty by affecting the behavior of economic agents in the households and companies sector has led to instability in optimization and its consequences have been observed on macroeconomic variables.

According to the conditions of the banking system in recent years, signs of a banking crisis have been observed in Iran's economy, and considering the high share of the banking system in financing Iran's economic activities, in this article, the effects of productivity impulse on the variables of inflation rate, Nominal interest rate, capital rental rate, interest rate of deposits and interest rate of granting facilities have been investigated using dynamic general equilibrium model in the form of two limit scenarios of no crisis and presence of banking crisis using the data of Iran's economy during 2018-2019. The results show the less impact of the productivity impulse in the case of banking crisis compared to its non-occurrence and incomplete adjustments in banking crisis conditions.

The Coase theorem is significantly prominent in responding to the externality problem, which has been criticized and defended through history. This study addresses zero transaction costs, one of the most significant criticisms of the Coase theorem. Acceptance of zero transaction costs has two misleading consequences. First, that market exchange is not possible once the transaction costs are positive. Second, the government's role is relegated to determining property rights. According to our modified version of the Coase Theorem with positive transaction costs, markets are exchanged when the expected return exceeds the expected costs. Technological progress and institutional innovation are two ways that government can influence market agreements, but their effect on pollution emissions and efficiency is different. Pollution is reduced if the polluter owns property rights, but efficacy cannot be judged. When the pollutant has the property rights, changes in pollution emissions and efficiency depend on the share of reduction costs and transaction costs resulting from technological progress and improvement of institutional quality. In addition, a criterion to determine property rights could be proposed. If all economic entities have the same share of technological progress and improvement of institutional quality, by granting property rights to polluters, efficiency always increases and pollution emissions decrease.

Monetary policymakers can choose between intervention or non-intervention to defend the national currency against speculative attacks in the foreign exchange market. Given the incomplete information of the central bank about the severity of the attack, it is necessary to be aware of the relative consequences of each of the reactions in the unit of economic indicators as a result of each of its possible responses. This study examines these consequences in the unit of changes in GDP and inflation for developing and emerging countries and in the period 1960 to 2018 examines the role of the quality of political institutions between selected countries. The results obtained from the instantaneous reaction functions for GDP and inflation as a result of three possible types of central bank responses including intervention with success, intervention with failure and non-intervention in the foreign exchange market show that in the absence of quality indicators of political institutions Low cost will not face a clear and unequivocal answer. In terms of the quality of political institutions, intervention in the foreign exchange market is preferred in the group of countries with high quality political institutions due to the increasing reputation and credibility of the policies announced by the Independent Central Bank. Findings show that in the group of countries with moderate quality of political institutions, non-intervention of policymakers in the foreign exchange market is associated with increased GDP growth and low inflation and is preferable to intervention in the foreign exchange market. In the group of countries with low quality political institutions, intervention in the foreign exchange market is less risky than non-intervention, and the low-cost response is to defend the national currency.

The purpose of this study was to investigate the effect of monetary policies based on heterogeneous agents. The heterogeneity of agents was examined for its effects on nominal and real sectors. In order to analyze the real sector in this study, the modeling of entrepreneurial firms was based on the protection of property rights. The results indicated that, under discretionary circumstances, the attempts of monetary authorities to redistribute wealth to the borrowing households, which has a higher utility than net wealth, can lead to changes in the inflation fluctuation. However, under the terms of the rule, the inflation pressure will be offset by changes in expectations of the future inflation over time. Also, the results indicated that, if the business environment improves and the index of the protection of property rights becomes favorable, the effect of monetary policies on the real sector will increase. Moreover, under discretionary circumstances, the attempts of monetary authorities to redistribute wealth to the borrowing households, which has a higher utility than net wealth, lead to changes in inflationary biases. However, under commitment circumstances, inflation pressure will be offset by changes in expectations for future inflation over time.

The purpose of this study is to investigate the time consistency of optimal monetary policy in the New Keynesian dynamic stochastic general equilibrium (DSGE) model with considering the heterogeneity of expectations in the. The optimal monetary policy in the proposed theory is based on rational expectations. On the other hand, the homogeneity of economic agents and the way they shape their expectations is a mechanism that has always been taken into account in empirical studies. Some approaches for the standard models have shown that the predictions of inflation and production are not rational, or at least are irrational for some agents and some cases. In this study, we examine the effect of different shaping of individuals' expectations on macroeconomic variables and also investigate the distributional effects of monetary policy. Moreover, the problem of optimal dynamic policy is discussed under the terms of the rule and discretion with using the expectation operators of the economic agents. The results of this study show the monetary policy in the rational expectation approach affects inflation more than production, while in the context of comparative expectations, the real sector is influenced to monetary policy shocks more than inflation. Also, by stimulating inflation, in most cases, inflation has been tacitly higher than the inflation targeting in the five-year plans.

In the Iran Value Added Tax System, some goods and services, including bank services, are exempt from paying tax. Based on theoretical literature, the exemption has created several distortions in the economy. Using Dynamic Stochastic General Equilibrium Model, this paper in order to understand the importance of VAT exemptions in macroeconomic fluctuations and the fundamental role of financial intermediaries in economic shocks, investigates the effects of levying VAT on bank services and by using the annual economic indicators of Iran during the period 1365-1394, moving from exempt treatment to hypothetical full taxation, the response of macroeconomic variables to various shocks is also examined. To optimize the parameters of the model, we used the Bayesian and calibration method. Finally, accuracy of the model is evaluated using the Brooks & Goleman test and impulse response functions. The model is then simulated under reasonable assumptions regarding parameter values. The results indicate that implying VAT on banks, through reduces their costs, leads to increasing in bank resources and lending power so supply of credits, investment and production increases. Simulation results show that shifting the VAT policy from exempt treatment to full taxation, bank facilities increases and as a result, output is higher under full taxation.

This article seeks to find the relationship between happiness and environmental quality. So, the effect of environmental performance index on happiness was evaluated by using data sets of 155 countries during time interval 2006-2016 (as biannual) with panel data method. The results indicate that the improvement of environmental performance index has a positive and significant effect of 6 percent on happiness. On the other hand, the results indicate that the effect of control variables including Gini coefficient and negative impact of environment (An average of negative feelings from environment) was negative, while having the freedom of choice is a positive effect on happiness. Apparently, previous studies confirm the validity of obtained results.

Goal: The value added tax is now being implemented in more than 140 countries. This tax is a tax on the sale of goods and services, which are applied in the chain of import, production, distribution, consumption at a constant (non-progressive) tax rate, and ultimately final consumers are the only payable one. Banking services are exempt from value added tax for technical reasons in most countries of the world.
Value-added tax not subject to tax is the difference between the interest rate on borrowings from the bank and the interest rate that the bank pays to depositors. Financial institutions also earn revenues from providing some services, such as paying services, which are exempt from taxes.
In this case, everything that the bank purchases from other firms to provide services is subject to value added tax, but cannot claim tax on it. Since the interest rates in Iran are determined by an order and externally and banks cannot transfer their taxes to these rates, the costs of the bank have increased and, therefore, their liquidity has decreased and the loans are reduced. In recession and reducing firm's access to domestic resources, they have to be financed externally, which would increase the cost of firms, as well as the problems caused by shortages of banking resources, these costs increase and ultimately leads to escalation of stagnation. A liquidity shock reduces the ability of firms to finance investment projects. This decrease the value of the assets of the firm would increase the cost of external financing and lead to an increase in the cost of new investments. By reducing investment in economic activity and cash flow in future projects, the effects of the initial shock are repeated.
The value added tax has many features that have made it one of the attractive ways for governments to increase revenue. This tax is levied on all sales, including wholesale and retail, and allows firms to pay taxes on their purchases at each stage. So that tax is transferred to the next stage and ultimately the final consumer will be the taxpayer. In practice, most goods and services are not subject to the standard rates of value added tax, and some of them are subject to tax exemptions. One of the cases that has been exempted in most countries of the world is banking services. In this case, the banks do not charge value-added tax on the sale of their services, but likewise do not receive input credits for VAT paid on their inputs. Exemption creates a number of distortions in economy. This study in order to understand the importance of VAT in macroeconomic fluctuations and fundamental role of financial intermediaries shocks on the economy investigates the effects of VAT levied on banks using a standard dynamic stochastic general equilibrium model for the Iran economy. Banks have a central role in model and different interest rates for deposits and loans are considered. Vat is levied on the difference between the two rates. The imposition of VAT on the difference these rates, resulting in sudden changes in other macroeconomic variables has been investigated. By determining the input values and model parameters using the calibration procedure during the period 1370-1394 the results of the simulation variables of the model indicates a model describing the dynamics of the Iran economy.
In addition, the response functions due to the increased rate of VAT on banking and monetary and productivity shocks has been investigated. The results suggest that imposing VAT on banks reduces their costs and increases bank reserves and their lending power so the supply of credit, investment and production increases. Improved technology also appears to increase the productivity of manufacturing firms and increases the demand for bank loans and on the other hand increases the loan supply. As a result of this process, investment and consumption will be increased.

In macroeconomics, we can find evidence of time inconsistency in cases like tradeoff between inflation and unemployment. Generally, the difference between ex ante and ex post optimalities is known as ‘time inconsistency’. Subject to a certain unemployment rate, when the expected rate of inflation is low, the inflation rate will, indeed, be low too. This will give an incentive to the central bank and authorities to enforce a policy to decrease the unemployment rate and increase the society’s welfare based on time inconsistency and their own discretionary power. Accordingly, this paper studies the time inconsistency issue and its effects on inflation and seeks to investigate the existence or non-existence of time inconsistency and its rate in the monetary policies of Iran. In this regard, by applying the model suggested by Clark et al. (1999) and Richard Mash (2000) for Iran based on the data related to the period of 1971-2014, we show that, in these years, there has existed time inconsistency in Iran’s economy and that the inflationary bias decreased from 9.68% in the period of 1971-1994 to 8.15% in the period of 1995-2014; hence, time inconsistency in the period of 1971-1994 had more effect in comparison with the period of 1995-2014.

The relation between macroeconomic variables and stock market index has been vastly investigated in previous studies. To contribute to the literature, this study employs the VARX-DCC-GARCH econometric model. The advantages of using this new model are the consideration of variable change effectiveness in different moment levels (mean and variance of changes), inclusion of oil price as an exogenous variable that has short-run and long-run effects in this model, and the consideration of time series correlation between volatility of the variables. This model is estimated for the period of 1381 to 1391 by using Iran economic and the Tehran Stock Exchange monthly data. Results show that exchange rate, inflation and oil price have a positive effect on stock index in the long run, and the exchange rate has the strongest effect. Also in the short run horizon, oil price shocks have stronger effect on the stock index. Estimated time-varying correlations between variables volatility show that exchange rate volatility has a positive effect on stock market volatility. This correlation is reinforced during 1387 to 1391. In addition, inflation volatility has weak positive correlation with stock index volatility, while oil price volatility does not show any significant effect on stock index volatiliry.

The purpose of this paper is to study the welfare cost of inflation in Iranian economy by using dynamic models. An increase in inflation rate makes individuals to increase their desired level of real balance which in turn leads to an increase in the transaction cost and a decrease in the resources allocated to production of consumption goods. This issue can be analysed as the welfare cost of inflation. To reach that end, we first estimate the money demand function. The estimation is based on cointegration and dynamic least square model (DOLS). The estimation of money demand function is done with the aim of extracting parameters of income and productivity elasticity, parameter of money demand sensitivity to inflation. This estimation has been carried out by applying both static and dynamic models. In the static model, for an inflation rate of 10 percent, the welfare cost of inflation as a portion of income is 36.5 and for a dynamic model, it is 35.4. The results indicate that the central bank policies which have led to a reduction in the rate of inflation have had sufficiently reduced the welfare costs of inflation and this inflation rate is close to its Friedman-Rule value.

Financial repressions, including profit-rate determination for both loan and deposits, high reserves requirement rate, and credit rationing have been imposed in Iran by financial sector for a couple of decades. Following Fry and Narayans models, this article studies the impacts of the repressions on investment and growth of agricultural and industrial sectors using a General Method of Moment (GMM) threshold level model. The findings are that the implementation of these models does not reject the McKinnon-Show hypothesis. However, there are significant differences between before and after threshold level growth and investment in both sectors. Furthermore, the results indicate that among the proxy variables, profit rate has more negative effect on growth and investment of these sectors. The study suggests that the policy-makers should avoid of financial repression after threshold level.

Generally,some booms in housing prices are followed by busts. One common phenomenon relating these changes is that the house price cycle is generally believed to the product of the short-run deviations from the long-run upward trends. The long-term cyclical fluctuation in Iran’s housing market was periodically occurred about every 6 years. Furthermore, Movements in house prices have significant impact on household welfare, financial stability and business cycles. Being able to forecast housing price booms is therefore of central importance for central banks, financial supervision authorities as well as for other economic agents. However, forecasting house prices using only a single or a few selected variables at a time intuitively appears efficient because only a single variable almost contain all of the pertinent investigative information about the past behavior of the variable. In this study, wavelet decomposition has been used to extract the cyclical components of house price, and then using the cyclical components and neural network methodwe start to forecast the booms in housing prices in 2013.

To fully accomplish monetary policy، the awareness of central bank about transmission process and the impact of it on the other economic variables is critical. One of the most important mechanisms is the impact of monetary policy on asset prices. This paper surveys the impact of monetay policy on some asset prices such as Gold، Exchange rate، Real estate and Stock market in Iran. Estimating the response of asset price variation on monetary policy would be felt with some difficulties، problems such as implementation of both monetary policy and asset price change، also some missing variables which have affected the monetary policy and asset price، together. These two issues make identification and diognosing of this reaction harder. So، this research uses the diagnosing techniques through heterogenons variance of monetary policy shocks which have been introduced by Rigbon and Sock (2004). Our monthly estimates during 1999-2012 indicate that expansionary monetary policy has positive impact on Real state، Stock market and Gold price while it has negative impact on Exchange rate.

Financial variables volatility as basic factor of financial assets pricing, has been observed by many studies. In addition to GARCH model as common model for volatility estimation, stochastic volatility (SV) model is another approach that rarely is applied in research. In this paper base of daily data from 1381 until 1392 exchange rate and Tehran stock index volatilities are estimated by applying bivariate stochastic volatility (SV). In order to evaluating the result, a loss function is formed based on value at risk(VaR) and then volatility models result(including stochastic volatility(SV) and GARCH) compare to each other. According to Loss function comparing result, BEKK-GARCH with t student distribution has more accurate estimation of exchange rate and stock market index volatilities. In addition, the results of the best model show that increasing exchange rate growth leads to stock index growth, but stock market changes have not significant effect on exchange rate growth. Also rising in volatility of a market causes increasing in volatility in another one.

The applied economic models in this study reveal if policy makers aren’t simultaneously able to eradicate inflation and unemployment; they have first to solve the problem of unemployment and then solve the problem of inflation. Since this model obviously reveal that unemployment has more destructive effects on than inflation. It must be mentioned that، the importance of Institutional variables such as irregular industrialization، increasing urbanization، and quantity and quality of societies’ literacy is not ignorable. In this sense، they must be amended and improved in short terms and long terms plans. As a result they have intensive effects on crimes. On the other hand، since these components characterized as Institutional elements; the process of their changing is so gradual and progressive and usually short terms and sectional solutions is not applied for them.

The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the characteristics of CPI’s long–run memory and regress its ARFIMA model. In addition, the amount of error terms in ARFIMA model are examined by FIGARCH model in order to determine what model the heteroscedasticity in inflation is following. The results indicate that monthly time series of inflation may have non-integer root. In other words, the degree of integration for inflation can be a non-integer number rather than an integer. To determine this, an Augmented Dikey- Fuller test, Philips–Prone test and KPSS are used and the results show that the degree of integration for inflation series should lie between zero and one. Thus, the hypothesis of inflation series with memory is proposed. By estimating the parameter of long run memory in the model it becomes evident that the inflation series has the degree of integration of 0.46 and one time differentiating leads to over-differentiation. Hence, inflation series has a long run memory in Iran and the effects of each shock on this variable exists for long periods.

This paper studies monetary policy in Iran based on a modified version of Taylor rule in which monetary base growth rate is determined according to output and inflation deviations from their target values. One of the characteristics of Iranian economy is that there is no explicit inflation target for monetary policy. Therefore، we assume that the inflation target is known for monetary authorities but not for other agents. Considering this، we first estimate the implicit inflation target using Kalman filtering approach، then using the estimated inflation target، we estimate a markov switching version of our prposed monetary policy reaction function in which it is assumed that the parameters switch in two regims of recession and expansion. The results show that except the first 3 years of the sample period، monetary policy has correctly recognized the state of economy but this recognision has been with delay.

This paper aims to study the relationship between intellectual property and patent protection and economic growth in Iran using Auto Regressive Distributed Lag (ARDL) technique during 1979 – 2010. This model is based on economic growth models in 1990s. The number of patents is used to measure the impact of patents on economic growth. Moreover، we investigate the casual relationships among economic growth، degree of economic openness، foreign direct investment، information and communication technology (ICT) and human development. The results indicate that patent protection has a positive and significant impact on economic growth. Furthermore، the casual relationships from degree of economic openness، foreign direct investment، ICT and human development to economic growth are positively significant. Based on numerical results، one-unit increases in ICT، HDI، patents، government expenditure and oil revenues lead to 0. 10، 0. 12، 0. 10، 0. 39 and 0. 21 percent increase in economic growth respectively. Hence، we conclude that the higher intellectual property and patent protection results in high economic growth.

In this paper we study how oil price and oil price volatility affect stock return and volatility of stock return. In order to assess this effect Markov- Switching model has been used and furthermore HP filter، GARCH model and Wavelet analysis model have been used for extracting oil price volatility. Comparison of results shows that Wavelet method has more accurate and detailed results. Furthermore results show that oil price increases do not have significant effect on stock returns and only will decrease of stock return volatility. However oil price volatility in D1 (t) scale that extracting from Wavelet decomposition do not has significant effect on stock return، but oil price volatility in D2 (t) and D3 (t) scales have positive effect on stock return in market boom condition. In addition، results show that، transition matrix is sensitive to scaling on oil price volatility.

The knowledge about the money demand function and its effecting factors is the most important ubject in Examination of the effects of monetary policies on economiy in order that the monetary policy can help monetary authorites to achive their goals by effecting money demand. This paper estimates the demand of money in Iran over 1350-1390 period using co-integration and error correction methodology. The analysis shows that narrow definition of money (M1)، domestic gross production، real exchange rate، prices level and return rate on long-term deposit are integrated. Thus، using Johansen-Juselius cointegration approach، the long-term demand for money is specified and estimated. Empirical results show that there are two co-integrated vectors among variables. In this model the coefficient of error correction term is equal to -0. 52 which is found statistically significant. This means that 52 percent of error in each period will be corrected in long run trend. Also we find that the income elasticity of demand for money is equal to 1. 82 which shows that one percent increase in income، lead to 1. 82 percent increase in money demand. The positive income elasticity of demand for money is consistent with related economic theories. Moreover the coefficients of rate of return on long-term deposit and real exchange rate equals -0. 82 and -0. 34 respectively، which shows that one unit increase in return rate on long-term deposit and one percent increase in real exchange rate، leads to -0. 82 unit and -0. 34 percent decrease in money demand that show substitution of money in Iran is confirmed. Finaly results showed that money demand function during this period was stable.