فهرست مطالب

اقتصاد پولی، مالی - پیاپی 16 (پاییز و زمستان 1397)
  • پیاپی 16 (پاییز و زمستان 1397)
  • تاریخ انتشار: 1398/02/24
  • تعداد عناوین: 11
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  • محمد حسن فطرس، مهدی فردوسی، سعید عیسی زاده، حمید سپهردوست صفحات 1-20
    در ایران نقش بازار پول (بانک ها) در تامین مالی بخش های مختلف اقتصادی به مراتب قوی تر از بازار سرمایه (بورس اوراق بهادار) است. طی دو دهه گذشته، سیستم بانکی در سراسر دنیا تغییرات قابل ملاحظه ای را در محیط فعالیت خود تجربه کرده است و عوامل داخلی و خارجی متعددی بر ساختار و عملکرد آن تاثیرگذار بوده است. باوجوداین بر خلاف تمامی تغییرات مذکور، سیستم بانکی همچنان میدان دار اصلی تامین مالی فعالیت اقتصادی در بسیاری از کشورهاست؛ بنابراین ارزیابی عملکرد نظام بانکی حائز اهمیت است. سودآوری ازجمله عوامل تاثیر گذار در ارزیابی عملکرد بانک ها محسوب می شود؛ ازاین رو شناخت عوامل موثر بر آن که مشتمل بر عوامل درونی و بیرونی است، ضروری می نماید. در این پژوهش به بررسی اثرات ساختار بازار و رفتار ریسک پذیری بر سودآوری نظام بانکی ایران (33 بانک) طی دوره 1382-1393 پرداخته شده است. یافته ها با استفاده از رهیافت پنل دیتا و روش GLS نشان می دهد که افزایش تمرکز در بازار بانکی ایران و عامل ریسک به ترتیب اثرات مثبت و منفی بر سودآوری داشته است. اثر مثبت شاخص تمرکز بازار بانکی بر سودآوری، تایید کننده فرضیه ساختار – رفتار – عملکرد است. نتایج دیگر این که سودآوری نظام بانکی ایران تحت تاثیر مثبت بهره وری کارکنان، شاخص توسعه بازار سرمایه و شاخص مدیریت هزینه و تاثیر منفی شاخص های نقدینگی و تنوع عملیات بانکی بوده است.
    کلیدواژگان: سودآوری، ساختار بازار، ریسک پذیری، نظام بانکی، پنل دیتا
  • مهدی مرادی، مصطفی اسماعیل ‍‍بور صفحات 21-47
    نتایج حاصل از پژوهش های مختلف در خصوص کارآیی برخی از بورس های اوراق بهادار نشان می دهند که این بازارها فاقد کارآیی، حتی در شکل ضعیف هستند؛ بنابراین با در نظرگرفتن ناکارآیی این بازارها می توان نتیجه گرفت که با انجام معاملاتی براساس مجموعهای از اطلاعات، می توان سود اقتصادی کسب نمود؛ به این معنا که عدم کارآیی نشانه این امر است که می توان مدل هایی طراحی کرد تا سودهای غیرمتعارفی به دست آید. پژوهش های فراوانی به منظور بررسی حافظه بلندمدت و طراحی مدل های پیش بینی شاخص های آینده انجام گرفته است و در این پژوهش سعی گردیده تا از یک زاویه دیگر، یعنی از روش آرفیما و روش تحلیل دوره نگار (که یک روش تجزیه وتحلیل سری زمانی است) برای بررسی حافظه بلندمدت و همچنین طراحی مدل پیش بینی استفاده شود. هدف اصلی این پژوهش تجزیه وتحلیل سری زمانی شاخص های‏ کل و مالی بورس اوراق بهادار تهران است که قلمرو زمانی آن به صورت روزانه از 08/01/1383 لغایت 24/04/1394 است. بدین منظور از روش‏هایی از قبیل تبدیل باکس کاکس، دیکی فولر، با استفاده از نرم افزارهای SAS9.4 و R استفاده شده است. نتایج این پژوهش نشان می دهند که شاخص های بورس اوراق بهادار تهران دارای حافظه با دامنه بلندمدت است، همچنین روش تحلیل دوره نگار در مقایسه با روش آرفیما، روش مناسبی برای پیش بینی شاخص های بورس اوراق بهادار است و درنهایت می توان بیان کرد که دوره نهان (دوره قابل تکرار) در بین داده‏های شاخص بورس وجود دارد.
    کلیدواژگان: پیش بینی، شاخص کل، شاخص مالی، حافظه بلند مدت، مدل آرفیما، مدل تحلیل دوره نگار
  • بهنام الیاس پور، محمدطاهر احمدی شادمهری، محمدرضا لطفعلی پور، محمدعلی فلاحی صفحات 49-80
    نرخ ارز از متغیرهای مهم در نظام اقتصادی است و در کشورهایی نظیر ایران که قسمت عمده درآمد دولت از محل عایدات ارزی ناشی از صدور مواد معدنی تامین می شود، تغییر آن، مجموعه ای از تغییرات متفاوت و حتی متضاد را در بخش خارجی و داخلی اقتصاد به همراه دارد که برآیند آن می تواند عملکرد اقتصاد کشور را تحت تاثیر قرار دهد. این پژوهش به بررسی تاثیر نااطمینانی نرخ ارز واقعی بر تراز تجاری غیرنفتی ایران پرداخته و در این راستا ابتدا شاخص نااطمینانی نرخ ارز واقعی با استفاده از الگوی تلاطم تصادفی استخراج می شود. سپس اثر نااطمینانی نرخ ارز بر تراز تجاری غیرنفتی ایران با استفاده از مدل تراز تجاری اصلاح شده رز و یلن و روش هم جمعی یوهانسون-جوسیلیوس و داده های فصلی دوره زمانی 1368-1394 برآورد می گردد. نتایج تحقیق نشان می دهد که در بلندمدت نرخ ارز واقعی و نااطمینانی آن تاثیر منفی بر تراز تجاری غیرنفتی ایران دارند؛ بنابراین شرط مارشال-لرنر برقرار نیست. همچنین با توجه به توابع واکنش به ضربه وجود منحنی جی نیز رد می شود.
    کلیدواژگان: نرخ ارز واقعی، تراز تجاری غیر نفتی، نااطمینانی، مدل تلاطم تصادفی، هم جمعی
  • سهراب دل انگیزان، یونس گلی صفحات 81-104
    رابطه بین کارایی هزینه و رقابت در صنعت بانکی به دلیل اهمیت بالای کارایی هزینه بانک ها در رشد اقتصادی همواره یکی از دغدغه های اصلی سیاست‎گذاران است. مطالعه حاضر با استفاده از داده های 18 بانک خصوصی و دولتی برای دوره زمانی 1385 تا 1393 به بررسی رابطه بین کارایی هزینه و رقابت در صنعت بانکداری ایران می پردازد؛ به همین دلیل از تابع هزینه ترانسلوگ برای برآورد کارایی هزینه بانک ها و از شاخص بون برای برآورد رقابت استفاده می شود. نتایج حاصل از علیت گرنجری نشان می دهد که علیت دو طرفه بین کارایی و رقابت در صنعت بانکداری وجود دارد، و همچنین نتایج حاصل از برآورد مدل به روش گشتاورهای تعمیم یافته نشان می دهد که افزایش رقابت باعث افزایش عدم کارایی و افزایش کارایی باعث کاهش رقابت بین بانک ها می شود؛ بنابراین نظارت دقیق بانک مرکزی بر ورود بانک های جدید برای بهبود کارایی نظام بانکی و عملکرد آن ها در زمینه اعتبارات و نرخ بهره سپرده امری لازم و ضروری است.
    کلیدواژگان: کارایی هزینه، صنعت بانکی، تابع هزینه ترانسلوگ، رقابت، شاخص بون
  • مصطفی قناد، محمدرضا عباس زاده، بهزاد کاردان صفحات 105-133
    معاملات با اشخاص وابسته پدیده ای است که افزون بر اینکه رسوایی های اخیر مالی را بدان نسبت می دهند؛ می تواند موجب از دست رفتن ثروت سهامداران شود و مدیران به جهت سرپوش گذاشتن بر روی این انتقال ثروت، به مدیریت سود اقدام کنند. بنابراین هدف اصلی این پژوهش بررسی رابطه معامله با اشخاص وابسته و مدیریت سود در شرکت های پذیرفته شده در بورس اوراق بهادار تهران است. برای نیل به این هدف، افزون بر بررسی ارتباط مدیریت سود و معامله با اشخاص وابسته در کل شرکت ها، این رابطه برای گروه شرکت های دارای رفتار مدیریت سود کارا و فرصت طلبانه نیز آزمون شده است. به منظور آزمون فرضیه های پژوهش از اطلاعات مالی 164 شرکت در بازه زمانی 1386 تا 1394 استفاده شده و تجزیه وتحلیل اطلاعات با استفاده از الگوی رگرسیون چندمتغیره و داده های ترکیبی صورت پذیرفته است. نتایج حاکی از وجود ارتباط مثبت و معنادار بین مدیریت سود و معاملات با اشخاص وابسته است. افزون براین، رابطه منفی و معناداری میان معاملات با اشخاص وابسته و مدیریت سود فرصت طلبانه یافت شد که نشان از کارا بودن معاملات با اشخاص وابسته دارد. همچنین یافته ها، وجود رابطه مثبت و معنادار بین معاملات با اشخاص وابسته و مدیریت سود کارا را تایید نمود که موید کارایی معاملات با اشخاص وابسته در بورس اوراق بهادار تهران است.
    کلیدواژگان: معامله با اشخاص وابسته، رفتار مدیریت سود، مدیریت سود کارا، مدیریت سود فرصت طلبانه، اقلام تعهدی اختیاری
  • سید حسین حسینی، سیده طاهره خبازی خادر، نسرین رضائی مقدم، صادق صفری صفحات 135-165
    یکی از اهداف مهم دولت ها توسعه اقتصادی است که با توجه به آن سیاست گذاران نظام عدالت کیفری باید تمامی مداخلات را ارزیابی نمایند تا با ارتقای رفاه اقتصادی تعارضی پیدا نکنند. سیستم قضایی نیز باید با در نظر داشتن فلسفه کیفر و کارکردهای آن، همسو با چنین هدفی بوده و ارزیابی هزینه های آن به منظور ایجاد زمینه توسعه مورد ملاحظه قرار گیرد. دراین تحقیق برای ارزیابی هزینه های سیستم قضایی در صدور حکم اعدام در جرائم مواد مخدر (با نگاه موردی به بند 6 ماده 8 قانون اصلاح قانون مبارزه با مواد مخدر) به شیوه تجربی، از داده های دیوانعالی کشور در سال 1395 استفاده شده و جهت محاسبه هزینه های بدوی هر پرونده از داده های دادگاه انقلاب مشهد به عنوان نمونه بهره برداری گردیده است. سپس با بهره گیری از روش پایین به بالا، هزینه های سیستم قضایی در صدور حکم اعدام در جرم مذکور محاسبه گردید. نتایج تحقیق حاکی از آن است که تقریبا 274/0 درصد از بودجه قوه قضاییه (بدون احتساب سازمان های تابعه) به این دست پرونده ها اختصاص می یابد که با حذف مجازات اعدام در موارد غیر ضروری، حدود 90 درصد از موارد مشمول حکم اعدام کاهش می یابد که این مسئله می تواند در کاهش هزینه ها در ارتباط با حکم مذکور موثر واقع شود.
    کلیدواژگان: اعدام، موادمخدر، هزینه های سیستم قضایی، ارزیابی هزینه ها
  • سیاب ممی پور، زیبا ساسانیان اصل صفحات 167-200
    سیاست مدیریت نرخ ارز کمک می کند تا بازار سهام از اثرات نرخ ارز در امان بماند؛ همان طور که برای استراتژی های سرمایه گذاری، سرمایه گذاران می توانند بدون در نظر گرفتن نرخ ارز در کوتاه مدت سرمایه گذاری کنند، ولی برای سرمایه گذاری بلندمدت، قرار گرفتن در معرض نرخ ارز نامتقارن بسیار حائز اهمیت است. هدف پژوهش حاضر، بررسی اثرات نامتقارن نرخ ارز بر بازدهی صنایع فعال در بورس اوراق بهادار تهران است. درواقع اثرات شوک های مثبت و منفی نرخ ارز بر شاخص قیمت های صنایع مختلف موجود در بورس اوراق بهادار در قالب مدل CAPM و با استفاده از الگوی وقفه های توزیعی خود رگرسیونی غیرخطی (NARDL) به صورت ماهانه طی دوره زمانی فروردین ماه 1391 الی اسفندماه 1394 بررسی شده است. نتایج حاکی از آن است که صنایع موجود در بورس اوراق بهادار تحت تاثیر شوک های مثبت و منفی نرخ ارز بوده و این اثرگذاری بر صنایع مختلف، متفاوت هست؛ به طوری که اثرات شوک های مثبت و منفی نرخ ارز در صنایع «زراعت»، «منسوجات»، «لاستیک»، «فنی و مهندسی»، «چرم»، «وسایل ارتباطی»، «محصولات فلزی»، «مواد دارویی»، «مواد شیمیایی» و «چند رشته ای صنعتی» به صورت متقارن است. درحالی که در صنایع «بانک»، «خودرو»، «فلزات اساسی»، «انتشارات و چاپ»، «دستگاه های برقی»، «رایانه»، «ابزار پزشکی»، «سیمان»، «مالی»، «غیرمالی»، «سرمایه گذاری ها»، «کاغذ»، «کانه غیرفلزی» و «ماشین آلات» در کوتاه مدت نامتقارن و در صنایع «کاشی و سرامیک» در بلندمدت نامتقارن است. همچنین در صنایع «انبوه سازی»، «فرآورده های نفتی»، «حمل ونقل»، «زغال سنگ»، «مواد دارویی»، «چوب»، «قند و شکر» و «مواد غذایی به جز قند» در بلندمدت و کوتاه مدت نامتقارن است.
    کلیدواژگان: نرخ ارز، بازده سهام، بورس اوراق بهادار تهران، الگوی وقفه های توزیعی خود رگرسیونی غیرخطی (NARDL)
  • هاتف حاضری، ناصر سیف الهی صفحات 201-217
    اغلب کشورهای درحال توسعه برای رونق دهی به اوضاع اقتصادی، ایجاد اشتغال و دستیابی به رشد و توسعه اقتصادی پایدار با مشکل کمبود منابع در جهت سرمایه گذاری روبرو هستند. برای جبران این کمبود یکی از راهکارها جذب سرمایه گذاری خارجی است. در این تحقیق به بررسی اثر مخارج بهداشت جمعیتی، آموزش نیروی انسانی و متغیر اندازه بازار (درآمد سرانه) بر ورود سرمایه گذاری مستقیم خارجی با استفاده از روش پانل دیتا طی دوره زمانی 2014- 2000 در کشورهای منتخب اسلامی عضو منا پرداخته شده است. این تحقیق از لحاظ هدف، از نوع تحقیقات کاربردی و از لحاظ روش، از نوع تحقیقات توصیفی است. ضریب تعیین مدل برازش شده نشان می دهد که 86 درصد از ورود سرمایه گذاری مستقیم خارجی به کشورهای اسلامی عضو منا توسط سه متغیر مخارج بهداشتی، آموزشی، اندازه بازار و درجه آزادی تجاری توضیح داده می شود. برای اطمینان از هم جمع بودن متغیرها، از آزمون هم جمعی پانل دیتای پدرونی استفاده شده است. طبق نتایج تحقیق با فرض ثابت ماندن سایر شرایط، به ازای افزایش یک درصد سهم مخارج بهداشتی از تولید ناخالص داخلی، ورود FDI به میزان حدود 24 واحد (میلیون دلار) افزایش می یابد. ضریب سهم مخارج آموزشی از GDP معنی دار بوده و معادل 062/0 است.
    کلیدواژگان: سرمایه گذاری مستقیم خارجی عمودی، بهداشت جمعیتی، سرمایه انسانی، کشورهای اسلامی عضو منا
  • داریوش حسنوند، یونس نادمی صفحات 219-238
    ارتباط بین نرخ بهره و تورم همواره یکی از مهم ترین مباحث اقتصاد پولی بوده است که تعیین نوع این رابطه می تواند اثرات قابل توجهی بر سیاست گذاری اقتصادی داشته باشد؛ بنابراین هدف از این مقاله، بررسی رابطه بین نرخ سود و تورم در ایران با رویکرد پارامتر تصادفی در طول زمان است. در این پژوهش صحت اثر فیشر و اثر جایگزین نظری آن، یعنی ماندل مورد بررسی قرار می گیرد. دلیل استفاده از رویکرد پارامتر تصادفی در طول زمان آن است که این روش انتقاد لوکاس را در برآورد پارامترها در نظر می گیرد و درنتیجه می تواند تورش برآوردها را کاهش دهد؛ بنابراین، با طراحی یک الگوی فضا-حالت برای معادله نرخ سود و تورم، این رابطه در بازه زمانی 1352-1394 با روش کالمن فیلتر برآورد شده است. به منظور اطمینان از استحکام نتایج، از دو متغیر وابسته متفاوت استفاده شده است: یکی میانگین نرخ سود اسمی یک ساله تا پنج ساله و دیگری نرخ بازدهی مسکن (به عنوان متغیر جایگزین نرخ بهره بازار) است. نتایج برآورد هر دو مدل تایید کننده اثر ماندل در اقتصاد ایران است؛ ازاین رو، فرض خنثایی پول در اقتصاد ایران را نمی توان رد کرد.
    کلیدواژگان: نرخ سود، نرخ تورم، رابطه فیشر، اثر ماندل، رهیافت فضا حالت
  • رضا محسنی، علیرضا جمشیدی صفحات 239-254
    هدف مقاله حاضر، معرفی معیارهایی برای سرمایه گذاران جهت کسب سود و ارتقاء عملکرد شرکت است. در این راستا، فرضیه رابطه غیرخطی بین اندازه شرکت و بازده سهام برای شرکت های پذیرفته شده در بورس اوراق بهادار تهران، طی دوره زمانی پنج ساله 1387 الی 1394 مورد بررسی قرار می گیرد. نتایج حاصل از تحلیل داده ها در الگوی اول بر اساس روش پانل هم انباشتگی غیرخطی تایید کننده اثرات نامتقارن و رابطه غیرخطی بین اندازه شرکت و بازده سهام است. از طرفی دیگر نتایج حاصل از تحلیل داده ها در الگوی دوم بر اساس روش داده های پانل نیز تائید کننده وجود ارتباطی غیرخطی به مانند منحنی U شکل معکوس بین اندازه شرکت و بازدهی بنگاه ها در سطح شرکت هاست.
    کلیدواژگان: اندازه شرکت، بازده سهام، رابطه غیرخطی، روش پانل هم انباشتگی غیرخطی
  • میثم امیری، محمد جواد محقق نیا، علی بالاوندی صفحات 255-276
    طی چند دهه گذشته افزایش بروز بحران در بازارهای مالی و بانکی، در کنار افزایش عمق و گسترده بودن این بحران ها، موجب توجه بیشتر سیاست گذاران و ناظران مالی به این حوزه شده است. در این میان با توجه به اهمیت و نقش پررنگ بانک ها در بازارهای کشور انجام مطالعاتی در جهت افزایش تاب آوری سیستم بانکی و همچنین حفظ و تداوم ثبات و رشد اقتصادی ضروری به نظر می رسد. بر این اساس در این پژوهش نخست تاب آوری بانک های کشور مورد بررسی و ارزیابی قرار گرفت. نتایج نشان می دهد که بانک های خصوصی درمجموع نسبت به بانک های دولتی تاب آوری بیشتری دارند. همچنین بررسی عوامل تعیین کننده تاب آوری بانک ها نشان می دهد که نسبت حقوق صاحبان سهام، سهم درآمدهای غیرمشاع از کل درآمدها و نسبت تسهیلات پرداختی به دارایی های بانک ها رابطه ای مستقیم و نسبت تسهیلات اعطایی به سپرده ها رابطه ای غیرمستقیم با تاب آوری بانک ها داشته اند. همچنین نتایج بیانگر معنی دار نبودن اثر اندازه بانک ها بر میزان تاب آوری بانک های کشور است.
    کلیدواژگان: تاب آوری بانکی، بانکداری مقاومتی، اقتصاد مقاومتی، شاخص ولاره
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  • Mohamad Hasan Fotros, Mehdi Ferdosi, Saeed Isazadeh, Hamid Sepehrdost Pages 1-20
    Introduction
    In most of countries, banks are one of the important parts of the financial system and have a considerable role as fiscal intermediates on getting economic growth and development.Generally, in every country, banks are the main basics of banking system especially in developing countries where capital markets are not developed; hence, evaluating banks’ performance is important. Competition and risk are two important factors that have effect on performance. In Iran, along with entry of private banks, demands for different types of bank services has increased in that banks are looking for more proportion of market share and more profitability.
    The goal of the present research is to analyze profitability, as a performance index, of banking system in Iran. This research can be distinguished from former studies in that it uses variables like diversification index of bank operations, capital market development, and manpower productivity.
    Theoretical Framework
    In general, there are three theories that explain the relationship between market structure and performance. These theories are SCP hypothesis, efficient-structure hypothesis, and quiet life hypothesis.
    The SCP view represents a positive relationship between profitability and market concentration since banks can collude and get a more profit.
    Efficient-structure theory was first coined by Demsetz in 1973. He said that bank profitability is extracted from efficiency. He maintained that more efficient banks have a more ability to increase its market shares and sizes that let them be more concentrated and gain higher profit.
    The quiet-life hypothesis predicts a negative relation between concentration and profitability in which the firms with a higher market power tend to be inefficient so that its authorities and managers just charge the monopolistic profit and do not make an considerable effort.
    Methodology
    This research investigates profitability determinants of banking system in Iran during2003-2014.To this aim, 33 banks were selected. Two softwares, namely, Eviews.7 and Stata.14 were used. According to the Tan model (2015), the equation includes:Where:ROA: return on assets (profitability index)
    Liq: liquidity index
    Div: diversification index
    Com: index of expenditure management
    Pro: manpower productivity
    Risk: risk index
    HHI: concentration index (Herfindahl- Hirschman)
    Cmd: development index of capital market
    Results & Discussion
    Before estimating the model, test of stationarity must be done. The results of four stationarity tests (LLC, IPS, ADF-Fischer and PP-Fischer) shows that all the variables are stationary.
    Homogeneity test should be done in the next step.
    Considering autocorrelation and heteroskedasticity problems in model, GLS method should be used for estimation.
    The results show that all the coefficient are significant, statiscally. The probability of F-statistic represents that the regression is significant, generally. The R-squred statistic indicates 99 percent of dependent variable variations be explained by the regressors. Variables liquidity, diversification and risk have got a negative effect while the rest, have influenced profitability, positively. When the risk increases one unite, profitability would decreases 0.009 unit.With regard to concentration coefficient, it influences profitability,positively. In other words, SCP hypothesis be confirmed in banking system of Iran. The coefficient of HHI shows that if concentration in banking system increase one unit, profitability would increases 0.193.
    Conclusion & Suggestions
    :This research investigated the determinants of banking profitability in Iran with respectto market structure and risk variables. The results gained using fixed effect and GLS procedures showed that both hypotheses were confirmed,and that concentration influenced profitability positively while risk had a negative effect on it.
    Considering the results, the following suggestions are made:1.Negative sign of the diversification index shows that it is better that banks focus on traditional activities (giving loans).
    2.Concentration influences profitability positively; hence, banks should increase proportions from the market.
    3.The sign of risk index shows that banks should pay attention to quality of loans or paying them back will be delayed.
    4.The positive coefficient of productivity represents the importance of this factor in that banks should protect their staff through several ways like education, and issueslike peyments and salary so thatit can lead to productivity and finally profitability.
    Keywords: profitability, Market Structure, Risk taking behavior, Bank System, Panel data
  • Mehdi Moradi, Mostafa Esmaeilpoor Pages 21-47
    The results of various studies on the efficiency of some stock exchanges show that these markets are inefficient even in weak form. Therefore, considering the inefficiencies of these markets, one can conclude that by trading on the basis of a set of information, economic profit can be obtained. It can also be said that inefficiency is a sign that models can be designed to generate unusual profits. Many studies designed to evaluate the long-term memory and prediction of future models is conducted.In this research, we tried to use an ARFIMA method and a periodogram analysis method (which is a time series analysis method) from another angle to study long-term memory as well as prediction model design. The main objective of this research is the analysis of time series of total، financial and industry index on a daily basis from 27 to 2015/07/15 has been collected. The results show that the index of Tehran Stock Exchange has a memory with the long-term، also the periodogram analysis method is the best method for the prediction of the stock exchange and in the end it can be stated that the ulterior period (repeatableperiod) is exsintence in the index exchange data.
  • Behnam Elyaspour, Mohammadtaher Ahmadi Shadmehri, Mohammadreza Lotfalipour, Mohammadali Falahi Pages 49-80
    Introduction
    Since the advent of the current float in 1973, most countries have been concerned about the uncertainty that floating exchange rates have introduced into world markets. Most European countries have tried to avoid this uncertainty by joining the Euro zone and adopting a common currency, which has flavors of a fixed exchange-rate system. However, most other countries still have to deal with the side effects of exchange rate uncertainty since their exchange rates float.
    There are several channels through which exchange rate volatility could affect the trade flows. First, if traders are risk averse, they could reduce their activities due to exchange rate uncertainty in order to avoid any loss. Second, exchange rate uncertainty could directly affect the trade volume by making prices and profits uncertain, especially in countries where forward markets do not exist such as the developing world. Even if forward markets do exist in some industrial countries, some studies indicate that forward markets are not very effective in completely eliminating exchange rate uncertainty. Third, if exchange rate volatility persists over a longer period of time, it could induce domestic producers to switch buying from foreign sources to domestic sources, reducing the volume of trade, especially traded inputs. Finally, exchange rate uncertainty could also affect direct foreign investment decisions which in turn could lower the volume of trade. To reduce the price fluctuation due to exchange rate volatility, production facilities would be located near final markets, leading to change in pattern of trade.
    Considering the numerous economic changes affecting the exchange rate in the studied period (1989-2015) in Iran, like the oil price shocks, the change of commercial policies, and changing foreign exchange policies and economic sanctions, studying the effect of exchange rate fluctuations on the non-oil trade balance is essential.
    Theoretical Framework
    The relationship of exchange rate and trade balance is explained by various theoretical approaches like the elasticity approach, absorption approach, Marshall-Lerner Condition, J-Curve approach, monetary approach and the two countries imperfect substitution model approach.
    Of these, the two countries imperfect substitution model of the Rose and Yellen (1989) is used in this paper to model the relationship between exchange rate and trade balance. This approach shows the nature of the relationship of real exchange rate on trade balance in both short and long run. It stipulates that depreciation of the real exchange rate improves trade balance. Besides, the model assumes that there are no perfect substitutes in the imports and exports for the locally produced goods and services.
    Rose and Yellen (1989) start with a specification of the import demand equations. As in Marshallian demand analysis, the volume of imported goods demanded by the home (foreign) country is determined by real domestic (foreign) income and the relative price of imported goods. Clearly, real income has a positive impact on the volume of import demand, and the relative price of imported goods has a negative relationship
    Methodology
    This study, investigates the effect of exchange rate uncertainty on Iran’s non-oil trade balance for the period 1989-2015. Stochastic volatility model (SV) is used for calculating uncertainty index of exchange rate. Then, the effect of exchange rate uncertainty on Iran’s non-oil trade balance is estimated using Rose and Yellen (1989)’s model and Johansen and Juselius (1990)’s cointegration procedure.
    An alternative to GARCH-type models is the class of stochastic volatility models, which postulate that volatility is driven by its own stochastic process. Estimation and inference of SV models are more complicated than for GARCH models. On the other hand, SV models have some advantages compared with GARCH models. For example, SV models offering a natural economic interpretation of volatility are easier to connect with continuous-time diffusion models with SV, and are often found to be more flexible in the modeling of financial returns. A variety of estimation methods have been proposed to estimate the SV models, in this paper MCMC methods are used to estimate of SV model.
    Results and Discussion
    The results show that all variables in trade balance model are integrated of first order or in short hand are I(1) and cointegration test suggests one cointegrating vector for this variables.
    Briefly, the results of estimate vector show that real exchange rate, volatility of real exchange rate and GDP of Iran have negative effect on non-oil trade balance and GDP of the world has positive effect on Non-Oil trade balance.
    Conclusions and Suggestions
    The results of estimating trade balance in long-run show that real exchange rate has negative effect on non-oil trade balance; therefore, the Marshall-Lerner condition is not met. In addition to, J-Curve is rejected due to impulse response functions. Also, uncertainty of the real exchange rate has negative effect on non-oil trade balance; therefore, policy makers must adopt policies to help stabilize the real exchange rate.
    Keywords: Real exchange rate, Non-Oil trade balance, Uncertainty, Stochastic Volatility model, Cointegration
  • Sohrab Delangizan, Younes Goli Pages 81-104
    Introduction
    One of the main goals of all countries is economic growth. This purpose can be accessible through having strong financial sector that provides finance for real sector. One of the main problems of the Iranian economy is the high share of the banking sector in financing economic activities. According to the evidence of statistical center of Iran, the share of the banking sector to finance economic activities is over 90 percent. Therefore, considering the importance of banking sector in economy, studying bank performance is very important. One of the criteria for banking performance is cost efficiency. Higher cost efficiency leads to an increase in the flexibility of banking sector to negative shocks. In the last year, the number of banks in Iran has increased; therefore, competition between banks will increase to gain higher share of the market. The banks' reactions to the increase competition cause changes in the financial structure of banks. This study tries to investigate if competition can have any effect on cost efficiency.
    Theoretical Framework
    Theoretical literature on the relationship between competition and bank efficiency can be explained as follows. The Quiet Life Hypothesis (QLH) was first suggested by Hicks (1935). Based on QLH, market power allows firms to enjoy a quiet life, but such a life reduces firm managers’ effort to maximize their firm efficiency. In other words, managers can exercise market power of banks to gain supernormal profit without making efforts to work or control costs toward increasing bank efficiency. Thus, increased monopoly power results in a decrease in efficiency whereas competition fosters bank efficiency.
    Demsetz (1973) in his Efficient-Structure Hypothesis (ESH) suggests that an efficient firm can lower costs of production and thus gain both higher profits and larger market shares. Thus, as the market becomes more concentrated and banks can exploit greater market power, they face less competition. As a result, the ESH posits a positive causality running from efficiency to market power.
    The Information Generation Hypothesis (IGH) theorizes a negative relationship between competition and efficiency. IGH is based on the view that banks are special intermediaries because they have access to borrowers’ information to collect and analyze internal/personal information. Thus, they are able to reduce their adverse borrower selection to a minimum level due to the ability to generate superior information compared to their peers (Koetter, Kolari & Spierdijk, 2008). To summarize, competition among banks leads to a decline in their information-gathering capacities, and eventually results in a higher probability of adverse borrower selection and thus higher bank inefficiency.
    Methodology
    In this study, parametric Stochastic Frontier Approach (SFA) is used to measure the cost efficiency of 18 Iranian commercial banks. The SFA is a stochastic method because it allows banks to be distant both from the frontier and randomness. It differs from Data Envelopment Analysis (DEA) which supposes that to be far from the frontier is entirely due to inefficiency. We then use these measures to examine whether bank competition enhances or impedes bank cost efficiency by employing generalized method of moment approach.
    Results and Discussion
    The results of cost inefficiency show that, the entire mean cost inefficiency of 18 Iranian commercial banks is 0.146 in 2006 and increases over the sample period to 0.265 in 2014. The cost inefficiency of Melli banks is the highest while that of Sina bank is the lowest. Cost inefficiency of privately-owned banks are relatively higher than stat-owned banks. The results of Granger-Causality indicated that there is bidirectional causality between competition and cost efficiency. Also, the results of GMM estimation show that higher inflation, low growth rate and higher competition have positive effect on cost inefficiency. Therefore, information generation hypothesis in Iran banking industry is verified because increasing competition leads to a decline in their information-gathering capacities, and eventually results in a higher probability of adverse borrower selection and thus higher bank inefficiency. These effects have been proved for loan and deposit market.
    The results of factors affecting competition indicated that increasing inflation, growth rate, size of the banks and cost inefficiency have positive effect on competition. Therefore, the efficient-structure hypothesis can be confirmed, and higher cost inefficiency leads to increasing in competition.
    Conclusions and Suggestions
    One of main goals of this study is to find out the relationship between competition and cost inefficiency in banking industry over 2006-2014. The results of study show that macro-level variable is the most important in determining cost inefficiency. Therefore, creating economic stability and increasing economic growth can lead to an increase in cost efficiency. Moreover, the Central Bank’s supervision should increase over commercial banks and controlling entry of new banks for increasing the quality of banking system and increasing the quality of borrowers by strong screening process.
    Keywords: Cost efficiency, Banking industry, Translog cost function, Competition, Boon index
  • Mostafa Ghannad, Mohammad Reza Abbaszadeh, Behzad Kardan Pages 105-133
    Related party transaction is a phenomenon that while they attribute recent financial scandals are known to be related to it,it can also lead to the loss of shareholders’ wealth and managers start earnings management to cover transfer of wealth. Therefore, the aim of this study is to investigate the relationship between related party transactions and earnings management in listed companies in Tehran Stock Exchange. To achieve this goal, in addition to the examination of the relationship between earnings management and related party transactions in all of the companies, this relationship has also been tested for the group of companies with an efficient and opportunistic earnings management behavior. In order to test the research hypotheses, financial data of 164 companies during 2007-2015 were used, and data analysis was done using multivariate regression model and panel data. The results showed a positive and significant relationship between earnings management and related party transactions. In addition, a significant negative relationship was seen between related party transactions and opportunistic earnings management, which show the efficiency of the related party transactions. In addition, the findings showed a positive and significant relationship between related party transactions and efficient earnings management, which approved the efficiency of related party transactions in Tehran Stock Exchange.
    Results and Discussion
    Three hypotheses were proposed for this research, and all the three hypotheses fit the same model. In all three models, the dependent variable is discretionary accruals and the independent variable is the related party transaction. The difference between the three models is that, for the entire sample group companies, the group of companies with the opportunistic behavior of the earnings management and the group of companies that have an effective earnings management behavior are fitted.
    Conclusions
    The purpose of this study was to discover the relationship between Related Party Transactions with affiliated entities and earnings management in a group of opportunistic and efficient companies in order to create managerial motives for dealing with affiliates to achieve specific goals. In this study, using financial information of listed companies in Tehran Stock Exchange, there was a positive and significant relationship between Related Party Transactions with affiliated entities and Earnings Management.
    Moreover, this study examines the relationship between Related Party Transactions with affiliated entities and Earnings Management in the group of companies with the behavior of effective and opportunistic Earnings Management. The results indicate a negative and significant relationship between these two variables in the group of companies with opportunistic behavior of earnings management. In addition, the results indicate a positive and significant relationship between Related Party Transactions with affiliated entities and Earnings Management in companies with good Earnings Management behavior. Therefore, these results are based on the strengthening of the theory of
    Keywords: Related Party Transactions, Behavior of Earnings Management, Efficient Earnings Management, Opportunistic Earnings Management, Discretionary Accruals
  • Seyyed Hossein Hosseini, Seyyedeh Tahereh Khabbazi Khadar, Nasrin Rezaei Moghaddam, Sadegh Safari Pages 135-165
    One of the important goals of the governments is economic development with regard to which, policymakers of criminal justice system should evaluate all interventions which do not conflict with promoting economic prosperity. Criminal Justice policy makers support interests and goals to approve laws and programs in this Field and move towards them. In this regard, it is necessary to determine the extent of achieving the goal and measuring the costs incurred by the criminal justice system so far as to be selected the best way according to the supported interests and desired purposes. In other words, decision-makers in this field should always pass laws and run programs that can give these questions a convincing answer: Whether this law or program is effective in achieving the target? and is this program or law worth the intended purpose?
    To understand this, it requires that the programs and laws be analyzed in order to determine their efficiency and compliance with the stated goals and their value. In this way, the judicial system is one of the steps to be taken into consideration and its costs need to be estimated. The costs of the judicial system have been measured in other countries.
    Judicial system should accompany with the goal of economic development, with looking at philosophy of punishment and its functions, and consider evaluating its costs to create fields of development. Therefore, the present article measures the costs of the judicial system in drug offences (A look into Paragraph 6 of Article 8 Law Amending the Law on Narcotics) in Iran.
    Methodology
    Using an empirical method, in this research we have survey various types of judicial cost, their measures in comparison with budget and different methods to estimate them.
    Different types of cost in judicial system could be categorized into various, occasionally overlapping groups. For example, one could have direct and indirect costs; variable, Fixed and Step-fixed costs; average and marginal costs. In addition, there are two general methods to evaluate the expenses; the first one is named the top-down procedure while the second is known as the bottom-up approach. The top-down approach is most commonly used. This method produces accurate estimates in fields whose budgetary costs can be easily aligned with workload or output. Analysts often prefer this procedure because the calculations are relatively simple if detailed budget data is available.
    On the other hand, the bottom-up method is used to include all the costs related to a single unit by evaluating the direct cost of every interventions. Although, this approach requires detailed operational data, which is often not readily available, and the calculations are also more complex. Thus, this method needs more time and labor. However, it may provide a more accurate estimate of the resources being used.
    Bottom-up formula:Average time spent on unit output × Cost per hour = Average cost In this research for estimating judicial system costs related to Paragraph 6 of Article 8 Law Amending the Law on Narcotics, data is collected through interviews at the supreme court in last year (2016) and to evaluate primitive costs of each case, data from Enghelab Court of Mashhad has been used as sample. Then, average cost was obtained using the above formula. Also with using the following equation, the total costs of these cases were obtained. Eventually, their ratio is measured by the budget.
    Total cost =Number of cases × Average cost
    Results and discussion
    The cost of judicial system in each case under Paragraph 6 of Article 8 Law Amending the Law on Narcotics are:Total salary and benefits of the administrative and judicial staff 47,049,280 Rials.
    Total cost of renting office building 22,578,400 Rials.
    Total cost of renting office equipments and supplies 2,649,020 Rials.
    The cost of utilities12,600 Rials.
    **total cost of a case 72,289,320 Rials.
    The results of the research show that about 0.274 percent of judiciary budget is allocated to these cases. The results are very important because this percentage is only for a paragraph of an article from the list of crimes. In addition, it has been proven that capital punishment in drug offences is not working and has not achieved the desired goals. Furthermore, it has too many negative effects.
    Conclusion
    Economical analysis is usually based toward describing a situation that has failed to meet its defined goals and could not provided a specific outcome and then evaluate the costs; thus, it seeks a proposal to overcome the existing deficiencies. In this topic we have shown that capital punishment in drug offence is not providing its desired aims while it has too many negative effects. Thus, limiting the death penalty to organized groups and armed drug trafficking gangs can be introduced as an alternative strategy. The reason is that the punishment should not exceed what is sensible and necessary especially with regard to the losses and costs. It is worth noting that the consequential deterrence theory also confirms this.
    With this explanation, if the death penalty is limited to organized groups and armed drug trafficking gangs, then we will expect an estimated 90% decrease in the cases leading to the capital punishment under Paragraph 6 of Article 8 Law Amending the Law on Narcotics. This huge reduction in death penalty could provide lower judicial system costs and also reduce the social costs in this area.
    Perhaps, by considering other researches focused on this issue in a social way and measuring social costs of sentencing capital punishment in such cases, the benefits of the proposed strategy can be better evaluated.
    Keywords: Death penalty, Drugs, Costs of judicial system, Evaluating costs
  • Siab Mamipour, Ziba Sasanian Asl Pages 167-200
    Financial markets are sensitive to exchange rate fluctuations of the Iran’s economy. Changes in the foreign exchange market affect household, businesses, and government spendings. Exchange rate management policy helps stock market to be protected from the effects of exchange rates. As for investment strategies, investors can invest without considering the exchange rate in the short run investments, but exposure to asymmetric exchange rate is very important in long run.
    This study explores the asymmetric exchange rate exposure of stock returns building upon the capital asset pricing model (CAPM) framework, using monthly returns of Iranian industry indices. In accordance with the existing literature, industry returns are subject to lagged exposure effects, but the asymmetries vary across industries, which could be due to the discrepancies of trade balance and ownership of certain industries.
    Furthermore, the dynamic multipliers depict that industry returns quickly respond to changes in the exchange rate and correct the disequilibrium within a short time, making the long run exposure to be symmetric or very small (Cuestas & Tang, 2015).
    Methodology
    The main aim of this study is, hence, to investigate the asymmetric exchange rate exposure of stock returns in the Iranian stock market at the industry level. Specifically, we introduce the conventional CAPM for measuring exchange rate exposure. We construct the dynamic nonlinear model to investigate both the long run and short run asymmetric exposure effects, which is carried out by means of estimating a nonlinear autoregressive distributed lag (NARDL) model introduced by Shin and Greenwood-Nimmo (2014).
    Building upon the CAPM structure, this paper contributes to a growing literature on the analysis of exchange rate exposure of Iran's stock market on the following grounds. First, compared to linear regression models, the NARDL model demonstrates its competence and efficiency in estimating the exchange rate exposure. The disparities in the exposure effect depend on the ownership of these companies and the expansion of their global operations. Second, industry returns strongly and quickly respond to exchange rate changes in the very short run, while most of the long run exposures are symmetric or very small.
    In fact, this paper studies the effects of positive and negative shocks of exchange rate on the return of various industries in stock market based on CAPM model and NARDL approach to estimate parameters during the period of April 2012 to March 2015.
    To evaluate the efficiency of asymmetric effects of exchange rate on active industries in Tehran stock market, first exchange rates decompose to positive and negative shocks and then its asymmetric effects on stock market is analyzed using NARDL model. To do it, we use the Wald test for the symmetry or asymmetry effects of positive and negative exchange rate on return of active industries in the short run and long run.
    Results and Discussion
    The results indicate that most industries of stock market are under the influence of positive and negative shocks of exchange rate and these effects are different for industries. Hence, the effects of positive and negative exchange rate shocks for the industries such as agriculture, textile, rubber, engineering, leather, communication, steel products, radio, chemical materials, and multi-disciplinary industries are symmetric while the effect of exchange rate shocks on return of industries like bank, automobile, basic metals, publishing and printing, electrical devices, computer , tool medical, cement, finance, non finance, investments, paper, non-metallic minerals, and machinery industries are asymmetric in short run, and for industries of ceramic tiles, they are asymmetric in the long run. Additionally, in industries like mass production, oil, transport, coal, drugs, wood, sugar, food ingredients except sugar, they are asymmetric in the short run and long run.
    Thus, the results of this study can be useful for investors and shareholders in predicting the short and long term effects of exchange rate shocks on the stock prices.
    Therefore, it can be argued that sudden shocks exchange rate can affect about 70 percent of returns of active industries in Tehran Stock market. Therefore, avoiding sudden shocks and maintaining relative stability in exchange market are the main suggestions for policymakers. Also, given that the exchange rate shocks are exogenous variables for firm managers, investors should further evaluate the performance of companies and their profitability, and consider long run vision in analysis and making decisions.
    Keywords: Exchange Rate, Stock Return, Tehran Stock Exchange, NARDL Model
  • Hatef Hazeri, Naser Sayfolahi Pages 201-217
    Introduction
    Nowadays, foreign direct investment (FDI) is one of the best and most prominent methods in the area of financing investment projects. In addition to financing, employing this type of investment follows other purposes such as improving technology, developing skills and management for refining the qualitative abilities of domestic work force, developing export markets, increasing the standards of domestic productions and moving towards the global market economy. In other words, foreign direct investments enables domestic enterprises to have more access to the global markets as well as facilitating technology transfer (Dargahi, 2006).
    Alongside the role and significance of foreign direct investments, many policy makers along with economic organizations and institutions have asserted the importance of population health and forming a human capital, especially in the developing countries during recent years. In this regard, much emphasis has been placed on the development of population health and forming human capital as one of the effective factors in increasing the tendencies of countries toward attracting private investments, both foreign and domestic. Furthermore, the World Health Organization (WHO) acknowledged healthy work force as one of the most significant effective factors in human capital as well as attracting foreign direct investments (The Commission on Macroeconomics and Health, 2010).
    Theoretical Framework
    There are a number of reasons concerning the role and impact of population health in attracting FDI. In general, a high level of healthcare alongside other factors would increase a country’s ability to attract foreign direct investments; in return, death and disease due to weak healthcare lead to an increase in production expenses followed by a decrease in the inflow of foreign direct investment. In other words, healthcare is an inseparable part of human capital, the reinforcement of which would increase the productivity of work force along with the escalation of economic growth (Celine and Desbordes, 2009).
    Macroeconomic analyses through measuring anthropometric indices (including nutrition status, height, etc.) and disease indices (such as the number of days missed by a worker due to illness) have shown that healthcare impacts the productivity of workers (Ribero, 2008). By developing productivity, health-related expenses along with improving the individuals’ health in a society can increase the level of production followed by enhancing the country’s capability to attract foreign direct investments (Bleakley, 2010).
    In addition to the role and significance of healthcare as a consumer product, improving health-related conditions of the work force as a particular form of human capital can directly increase economic efficiency at individual level and ultimately, in the society (Azam, 2015). This is due to the fact that a work force with a proper health condition is at a better state in terms of physical, spiritual, and productivity aspects, compared to an unhealthy work force. In return, weak healthcare results in the reduction of productivity and consequently, low incomes which would eventually lead to improper nutrition and health state. Bhargava, Jamison and Murray (2001) concluded that economic growth and attracting foreign direct investments caused by improving healthcare conditions have majorly occurred in developing countries compared to industrial ones.
    Method
    The present inquiry is a descriptive study. Descriptive studies entail a set of methods with the purpose of describing certain conditions or phenomena. The purpose of the present research is applied, as the aim of such studies are to gain the required understanding or knowledge so as to determine the tools, through which a certain, known necessity can be mitigated.
    Main Hypothesis
    Increasing the expenses for population health and education of human resources has a significant impact on the inflow of foreign direct investments.
    Secondary Hypotheses
    The market size (income per capita) has a significant impact on the inflow of foreign direct investments.
    The degree of trade freedom has a significant relationship with the inflow of direct investments.
    Results & Discussion
    According to the results, the estimation regression model is not false, and all variables are expected and consistent with theoretical foundations. The coefficient of determination of the fitted model indicates that 86% of the direct foreign investment inflow to the Islamic countries of the MENA country is explained by three variables: market size (per capita income), health and education expenditures, and the degree of trade liberalization. Based on table results, the estimated coefficients of these variables are positive and significant at the 90% confidence level. As the increase in each of the variables Per capita income, the share of health and education expenditures on GDP and the degree of trade liberalization, have led to an increase in FDI inflows into the studied countries.
    Conclusion and Suggestions
    The results obtained from the goodness of model show that the portion of expenses for healthcare from gross domestic production alongside education is an important parameter concerning the extent of inflow of foreign direct investments to the Islamic country members of MENA. In fact, improving healthcare and education and the development of human capital in general, through enhancing the productivity of the work force, reducing investment risks, and offering high-level skills to the work force along with indirect impacts such as providing desirable social conditions lead to more attraction of foreign investments in Islamic country members of MENA. Furthermore, increasing GDP per capita as a result of enhancing capabilities to attract foreign investment flows and expanding market capacity can increase the inflow of FDI. Additionally, increasing the trade share gained form gross domestic production caused by domestic products and moving towards global market economy can play a role of utmost importance in offering positive trade impacts on foreign direct investments. As a result, it is recommended that in order to attract more foreign investments, a human resource development policy can be incorporated which may entail population health and educational policies along with other attraction strategies.
    Keywords: Vertical Foreign Direct Investment, Population Health, Human Resource, Islamic MENA Countries
  • Darioush Hassanvand, Younes Nademi Pages 219-238
    Introduction
    The relationship between interest rate and inflation has always been one of the most important issues in the monetary economics and determining the nature of this relationship can have significant effects on economic policy making. Therefore, the aim of this paper is to investigate the relationship between interest rate and inflation in Iran. In this research, the accuracy of Fisher effect and its theoretical alternative, the Mundell effect, have been investigated.
    Theoretical Framework
    In economic literature, there is a positive relationship between the nominal interest rate and expected inflation. This effect, which was introduced by Irving Fisher in 1930, became known as the Fischer effect. According to this theory, an increase in the expected inflation rate will increase the nominal interest rate but the expected real interest rate will remain unchanged.
    Mundell (1963) argues that inflation can be continuously lower than real interest rates. In this case, wealth holders redistribute their portfolio and save less money and more interest-bearing assets. Also, by accepting the assumption that consumption is a function of the interest rate, people will reduce their consumption. Simply, an increase in money growth leads to an increase in inflation, and an increase in inflation increases the cost of money opportunity. As a result, it decreases the real balance of money and increases the demand for interest-bearing assets. Because money is a part of wealth, wealth also will be decreased, and reducing wealth reduces consumption and increases savings.
    Methodology
    In this study, Time Varying Parameters method has been applied. The reason of using TVP approach is that this method incorporates Lucas critique in estimation of parameters and as a result, it can decrease the biased estimations. Therefore, by designing a state-space model for nexus interest rate and inflation, this relationship has been estimated by the Kalman filter method during the period of 1973-2015. For ensuring the robustness of results, two different dependent variables have been applied one of which is the mean of one to five years’ interest rates and the other one is the rate of return of housing sector.
    Results and Discussion
    The estimation results indicate that random variable parameters of the inflation in the Fisher equation from the 1970s to the late 1980s and early 1990s have been ascending and upward, with the coefficient from about 0.02 in 1991 to about 0.28 in the year 2011. Thus, an increase has been seen in the weight of the inflation factor over the past two decades in determining the banks' interest rate by the monetary authorities of the country. However, in this direction between 2005 and 2007, the rising trend of inflation in determining the rate of interest on bank services had a downward and reversal trend. This was due to the new government's implementation and the determination of bank profits regardless of inflation, but from 2008 to 2011, the inflation rate has been decisive in determining the bank's interest rate. In the year 2012, the trend was also lower due to the start of banking and oil sanctions, which led to a high inflation away from the nominal rate of bank profits. But in the years 2012 to 2015, the upward trend in the inflation rate has been increasing in determining the rate of interest on the bank with a growing trend. It is one of the reasons the new government used to determine the rate of interest based on inflation rate in 2013. The results also show that in the 1970s, the process of determining inflation in the rate of interest on bankrolls has become increasingly rooted in the trend, which has been decreasing since the beginning of the 1980s and during the years 2001-2004. Furthermore, the rate of return of housing, rather than the nominal rate of bank earnings, shows the coefficient of inflation in determining the rate of return of housing has been upward.
    Conclusions and Suggestions
    Therefore, in total, it can be said that Mundell's relationship has been established in Iran. Of course, it is necessary to note that this relationship has gone up and, in the long run, the relationship has been tightened and moved towards the Fisher relationship in which the money is neutral. This pattern shows that economic activists are gradually paying more attention to real interest rates. However, in the way that has been investigated, the money has not been neutral, and changes in inflation have led to changes in the real interest rate. The consistency of this relationship with Mundell's vision means that the increase in the expected inflation rate will reduce the real money back, and, as a result, wealth will be decreased. Decrease in wealth reduces consumption and increases savings, which indicates that a unit of increase in expected inflation will reduce real interest rates and the effect of expected inflation on nominal interest rates will be less than one, thus, monetary policy changes are not neutral and effective on real variables.
    Keywords: Interest rate, Inflation rate, Fisher relation, Mundell effect, State-Space approach
  • Reza Mohseni, Alireza Jamshidi Pages 239-254
    Introduction
    The purpose of this paper is to introduce criteria for investors to improve their company's profitability and performance. In this regard, this study investigates the nonlinear relation hypothesis among firm size and stock returns, with respect to the firms listed on Tehran Stock Exchange during the five-year period between 2008 and 2016.
    Theoretical Frame work
    Due to the importance of the relationship between risk and return, asset pricing models were always explained. Capital asset pricing model was introduced as the starting point for asset pricing models. Subsequently, other asset pricing models, including Fama model, French model, arbitrage model, etc., as the most important models were developed by adding and modifying variables. In most of the models, variable size enterprise is one of the most important determinants of returns. On the other hand, with the development of studies and changing circumstances, some factors lose their explanatory power. For example, the result of a study done by Hung, Azad & Fang(2014) showed that most of factors which were tested lost power explaining. Also, some research results show that the form of relationship between risk and returns is possible to change in some conditions. For example, the results of a study done by Apergis & Payne (2014) showed that there is a nonlinear relationship between enterprise size and returns.
    Methodology
    In this study, two models with two different statistical methods were used to test hypothesis of nonlinear relationship between enterprise size and returns. The first model uses a panel nonlinear cointegration method to confirm or reject hypothesis, and investigates positive and negative effects of enterprise size over returns. Using a panel co-integration method, the second model tests nonlinear relationship, i.e. the inverted-U cure hypothesis, between firm size and stock returns.
    Results and Discussion
    The results of analysis of data in the first model based on a panel nonlinear cointegration model, provide evidence of asymmetric effects and nonlinear relationship between stock returns and firm size. On the other hand, the results of analysis of data in the second model based on panel data also confirm that there is a nonlinear relationship, i.e., inverted U curve, between firm size and stock returns at the company level.
    Conclusions and Suggestions

    According to the results mentioned, investors, shareholders and Capital market analysts are recommended to consider firm size as the most important factor to explain returns and pay attention to this issue that there is a nonlinear relationship between firm size and stock returns.
    Keywords: Firm size, stock returns, nonlinear relation, panel nonlinear cointegration model
  • Meysam Amiry, Mohammad Javad Mohagheghnia, Ali Balavandi Pages 255-276
    Introduction
    Over the past few decades, the rise in the crisis in the financial and banking markets, along with increased depth and breadth of these crises, have made policy makers and financial monitors to pay more attention to this area. In this regard, given the important and significant role of banks in the markets of the country, it is essential to carry out studies to strengthen the resilience of the banking system, and to sustain the stability and economic growth. Therefore, in the present study, first resilience of the Iranian banks was investigated and evaluated, and then, the main determining and effective factors in resilience of the banks were investigated.
    Resilience is a relatively new concept in economics, and in recent years, especially after the financial crisis of 2008, it has seriously attracted researchers' attention. Among the first studies conducted in this field is the study by Briguglio, Cordina, Farrugia & Vella (2009), who investigated resilience in several countries, and concluded that economically successful, or crisis-resistant countries are inherently invulnerable, and do not experience crisis. They also concluded that the lack of economic strength in some countries might be due to the low resilience of their economies. In addition, results of this study suggest that there is a direct and indirect relationship between resilience of economy, with gross production per capita and economic fluctuations respectively.
    Other studies also investigated resilience of banking system, including the study by Blogna and Prasad (2009), who investigated resilience of Oman's banking system, and the performance of its banks from the international perspective focusing on changes in capital and liquidity risk. They analyzed the extent and magnitude of vulnerabilities that may occur within financial markets, and they investigated the effect of liquidity rules, as in Basel, on liquidity risk and resilience of banks. Results of their study demonstrated that Oman's banking system was less affected by the financial crisis of 2008 due to raising the capital of banks. In addition, the lack of extensive communication with the world's financial markets is another reason for the insignificant influence crisis on Oman's banking sector. On the other hand, the government's financial support and the central bank also helped the banking system in order not to face serious challenges.   Vallascas and Keasey (2012) also investigated the resilience of 157 banks from 17 European countries. They concluded that in addition to the leverage and liquidity constraints in Basel III, there are other key variables including the bank size, non-interest income and asset growth that affect resilience of banks. In addition, they concluded that increasing both absolute size and system of the bank will increase their risk taking, and countries with smaller economies require smaller banks. Markman and Venzin (2014) also investigated resilience of a group of international European banks in 2002-2011. Results of their study suggested that relatively small banks (relative to domestic gross production), are more resilient compared to the relatively large ones. In addition, there was no significant relationship between the diversity of banking services and products with the resilience of the banking system.
    Methodology
    In this study, Volare index was used to calculate the resilience of banks. To calculate this index, first average return on equity (ROE) was calculated for each bank in different years, and this long-term average was in fact a measure of how well the bank operates and how profitable it is. Then, to calculate the volatility of ROE over the years, its adjusted standard deviation (ASD ROE) was used, which indicated  the ability of banks to sustain profitability, and then, the  adjusted return on equity (ASD ROE) was introduced.
    After calculating the difference in ROE of each bank for consecutive years, the sum of these differences was set to P for those years when the difference is positive and N for the years when the difference is negative. SD is the ROE's standard deviation for the years under study. It is expected that banks with higher ROEs have higher ASDs and vice versa. In addition, those banks that were able to have less fluctuations while sustaining the average stock market return, were more resilient, while those with lower average stock market return along with high fluctuations, were less resilient.
    In the next step, after calculating resilience of the banks, to investigate factors affecting resilience of the banks, the effect of the bank size, share of non-interest income, leverage and liquidity ratios on resilience of banks was investigated using a regression equation derived from studies conducted by Vallascas and Keasey (2012), Markman and Venzin (2014) Calmès and Théoret,(2014). 
    Results and Discussion
    In the present study, resilience of the banks was investigated and measured using Volare index. Average Volare index for private banks, privatized government banks, and government banks was 0.20, 0.10 and 0.07 respectively. Therefore, it is concluded that resilience of banks is affected by the bank's ownership structure and corporate governance.
    In the second section of the study, main factors affecting resilience of banks were investigated. Investigating main factors affecting resilience of banks indicated that there is a direct relationship between resilience of banks with equity ratio, share of non-shared revenues from total revenues, and the ratio of facilities to bank assets, and, there was an indirect relationship between the ratios of facilities to deposits with resilience of banks. In addition, the results indicated that the effect of bank size on the resilience of Iranian banks was not significant.
    Keywords: Banking resilience, Economic resilience, VOLARE index