فصلنامه پژوهش های پولی - بانکی
پیاپی 27 (بهار 1395)

The purpose of this paper is to analyze the transmission effect of “monetary policy”, as reflected by innovations in the growth rate of the stock of M2--which for many years has been the intermediate target of monetary policy in Iran. We recognize that M2 contains both inside and outside money components whose expansion is generated through distinct processes and has differential impact on inflation and output. Moreover, changes in the stock of monetary base reflect changes in the stock of net foreign assets and the stock of domestic assets. Differences in growth rates of the components of liquidity reflect changes in the relative supply of various assets and resources (foreign currency, domestic credit, outside, and inside money), which in turn, induce changes in asset portfolios and credit supply, alter expected rates of return on domestic assets and the exchange rate. Therefore, they can have differential impact on aggregate output and the rate of inflation. To empirically test these propositions, a vector error correction macroeconomic model with exogenous variables (VECMX) that specifies long term structural relationships and the short term dynamics is estimated based on the relevant data on the Iranian economy during 1990 to 2014. The response of macroeconomic variables to monetary shocks confirms different effects of the liquidity components on the output and inflation in the short and long term. These results have significant policy implications for the conduct of monetary policy.

The Survey of relationship between the exchange rate and domestic price levels, that has been known as “exchange rate pass-through” in international finance literature, have been one of the key issues in the field of international economics in recent decades. Exchange rate pass-through is defined as "percentage change in the domestic price of imported goods for every one percent change in the exchange rate between the exporting and importing countries”. In this study we examined the positive and negative exchange rate shocks on Iranian inflation rate and other macroeconomic variables during the period from 1339 to 1392, and in the context of a VAR Approach. The results indicate that the reaction of inflation rate to positive exchange rate shock (devaluation of the national currency and increasing the nominal exchange rate) is much more of a negative shock (increase the value of the national currency and decreasing the nominal exchange rate) is. In other words we can say that the degree of exchange rate pass-through in the event of a positive exchange rate shock is more (complete). The analysis of variance decomposition also shows that the sensitivity of inflation to the increase in exchange rate (devaluation of the Rial), is far more than reducing it (strengthening the Rial). The average explanatory of inflation by positive exchange rate shock in different periods is 4.1 percent, while for negative shock is 1.8 percent.

The most important regulations of the World Trade Organisation (WTO) on trade in services, including banking, are enunciated in the General Agreement on Trade in Services (GATS). According to this agreement, under the accession process, members could follow trade liberalization based on their economic and legal conditions. Accordingly, they should present their commitments under GATS in the schedule of specific commitments. Iran as an observer member should take the necessary steps for developing the aforementioned schedule, as well. Hence, in this article based on a general survey on Iran legal system and identifying its incompatibilities with the principles of GATS, a schedule of specific commitments on banking services is presented. Achievements of this study can assist regulators and negotiating team of Iran in the accession process to WTO and promote the necessary coordinations with the regulations of this organization in the banking services.

The present study investigates the potential threshold effects in the relationship between political stability index and inflation rate for 16 countries from MENA countries with presence of other variables, including GDP growth, government consumption expenditures growth, liquidity and openness index over the period 1996-2014. For this purpose, the paper uses the Panel Smooth Transition Regression (PSTR) model. The estimation results of model reject the linearity hypothesis, and estimate a continuous transition function with two regimes that gives a threshold at political stability of 0.756 for under review countries. Moreover the study results indicate political stability index, GDP growth and openness index have a negative impact on inflation rate that their impacts are increased in the values above a threshold is calculated for political stability. The other results indicate that the influencing coefficients of the government consumption expenditures growth and liquidity variables are positive and significant in two regimes. Though, their impacts are declined in second regime. In general, the results of this study confirm the results of many done studies about positive effects of government consumption expenditure growth and liquidity and also negative effects of political stability index, GDP growth and openness index on inflation rate.

This research seeks to identify the effect of shareholders concentration on risk-taking behavior of Iranian private banks over the period 2008-2014.We used Herfindahl-Hirschman Index as proxy for concentration. The banks’ risk-taking is represented by Z-score. The model is estimated on a panel of 10 commercial banks from Iranian private banks. In addition the bank size, interest marginal revenue, Interest activity, capital reserve and non-current loans are considered as controlling variables. The results show that shareholders concentration could mitigate banks risk. Among the control variables, bank size has positive and capital reserve have negative impact on risk-taking of private banks.

This study predicts the movements in the stock price index of Tehran Stock Exchange by using neural networks. The source of this paper is the information from banks and financial institutions listed on the Tehran Stock Exchange during the years 1385 to 1391 are used. The results show that the ANFIS algorithm has the best performance between FA, RBF, MLP and ICA algorithms. Results indicate that the proposed algorithms overall have high ability to predict the stock price index movement of Tehran Stock Exchange. Output of MATLAB shows that correlation coefficient of ANFIS algorithm about 0.9985.