vector error correction model

Gold exchange traded fund is one of the new financial instrumentss that underlying asset is gold and traded in the capital markets. This article examines the pricing deviation of the four gold funds on the Iran Mercantile Exchange from their underlying asset index. The main purpose of this study is investigate the effect of underlying asset shocks on the Gold exchange traded funds’ pricing deviation. In order to achieve this purpose, employed daily data of Emami Coin, Gold ETFs in Iran (Tala, Ayar, Zar, Gohar), Vector Error Correction Model (VECM) and Impulse Response Function (IRF). Results The results shown that pricing deviation is stationarity and predictable. Therefore can be considered an implicit transaction cost an Gold ETF. The reason for the predictability of the pricing deviation stems from its stationarity and the specific price discovery processes for this asset class. Utilization of Impulse Response Function shown that the shock effect of the underlying asset was the same and do not persist for more than six trading days, Which indicates the relative pricing efficiency of these funds

The main objective of this paper is to identify the factors affecting the business cycle in Iran through analyzing financial market indicators including, money supply, loans and deposits of banks (from the money market), and the stock price index (from the capital market).

First, using Hodrick Prescott filter, we extract the business cycles. Then, Markov Switching model estimates the optimal interrupt, and then revealed facts regarding the business cycle, including the momentum indicators, their relative variability, and their stability throughout the cycles between the variables of the financial market are compared. We used the Johansson coincidence test to recognize co integration. Finally, the model estimation is performed using Vector Error Correction Model (VECM).

The evaluated indices, regarding various facts about business cycles, show that money supply and loans are the two variables that can result in the mentioned cycles. The Johansen test and the Wald test respectively confirm the relation between the variables in both the long-term and short-term. Meanwhile, the variance analysis table shows that money supply and loans, each respectively cause, 13% and 9% of business cycles' fluctuations.

The results show that the stock market does not affect business cycles and its fluctuations. Meanwhile, the estimated error correction term in the model for the money market and business cycle variables is -0.55. This shows that every year 55% of imbalances present in the aforementioned relations are corrected in the following year. Hence, the equilibrium quickly moves towards a long-term equilibrium.

Banks, as levers in macroeconomic policies, by regulating and adjusting the bank's interest rates, enforce monetary policies and controls inflation and unemployment, which is one of the most important macroeconomic goals. One of these tools is asset-debt management. Therefore, the purpose of this research is to develop the Asset Correlation Risk Model (ACR) with the Asset- Liability Management approach (ALM). This research is descriptive in nature and in terms of its purpose. The statistical population of the research is the companies accepted in the Tehran Stock Exchange and the sample of the banks accepted in this collection, which can be extracted from the research data. The research period is from 1391 to 1396, with 20 banks selected as research samples. This research has a theoretical model and a vector error correction model was used to test the hypotheses. According to the t-statistic and the coefficient of estimation of the VECM model, it is determined that the effect of using the debt-asset management approach on the asset-liability correlation risk in a long-term equilibrium is decreasing.

This research, Investigate the relation between the currency rates of volatility on open position Tejarat bank and its effects of the impulses from the exchange rate volatility and other variables on open position. In order to do this , we have utilized open position items, reference rates of Central bank , Stock price index , Money supply and Balance of country’s monthly payments over a six-year period from 1381 to 1386.Foreign exchange position as it’s name signifies , shows the state of being long or short in position. In other words, the differential of the assets and the liabilities of the bank in one foreign exchange is called foreign exchange position. For this purpose, the new econometric procedures have been used. Vector Auto Regressive model has been used for variables which are in the augmented level (Japan’s Yen and Swiss Frank) and Vector Error Correction Model has been used for variables which became augmented by a differential.(based on Dollar , Euro , Pound , and sum of foreign currencies).In the meantime , as per the standard pattern of Schwarz Bayesian ,Akaike , and Hannan Quinn , Quantity 2 has been selected as the optimum degree for VAR. Surveys in this research show that the reaction of open position of foreign currency against the impulse from the currency rate variance influence the value of the foreign currency assets and the liabilities of the bank , and make the bank confront with the considerable risk in the value of the foreign currency assets and liabilities.