نشریه اقتصاد پولی، مالی
پیاپی 20 (پاییز و زمستان 1399)

Earning of companies is one of the important factors in economic growth and development and earning manipulation is one of the main challenges of market efficiency that researchers often use accounting data to predict earning manipulation, while non-accounting data also play an important role in predicting earning manipulation.Due to the fact of the conducted research in order to develop the Beneish model has been formed solely because of accounting data, so the effects and consequences of non-accounting variables in all models have been ignored. This study tries to examine the nonlinear relationships of accounting and non-accounting variables and examine the effect of both variables simultaneously. The purpose of this study is to measure the predictive power of Beneish model and the development of the Beneish model (DBM) by non-accounting variables and to compare the accuracy of earning manipulation prediction of the research models using a hybrid Artificial Neural Network trained by Particle Swarm Optimization (PSO) algorithm and Imperialist Competition Algorithm (ICA).Theoretical Framework: The development of the Beneish model (DBM) was done through emphasizing non-accounting variables, including the Information Asymmetry (IS) and Product Market Competition (PMC).(Asgari Alouj et al, 2020). Another study by (Pourali & Kouchaki Tajani, 2021) was conducted to compare the accuracy of companies' profit manipulation predictions using colonial competition algorithm and genetic algorithm. The results showed that colonial competition algorithm with 93% accuracy and 7% error and genetic algorithm with 76% accuracy And 24% error could have predicted the coefficients of the variables of the profit manipulation model. The results also showed that the ability to predict the accuracy of profit manipulation model coefficients by colonial and genetic competition algorithms is more accurate than the prediction of the initial model of Banish (1999) .

This research has been developed the Beneish model) BM) with non-accounting variables including information asymmetry (IS) and competition in the product market (PMC). The data of 184 companies listed on the Tehran Stock Exchange during 2006-2017 has been collected and the prediction accuracy of research models has been compared by two algorithms in training of Artificial Neural Network (ANN): Particle Swarm Optimization (PSO) and Imperialist Competition Algorithm (ICA) in detecting and identification of earning-manipulator companies. In this research, the auditor's report has been used as an alternative solution and the review process has been done such that the audit report of the sample companies has been fully reviewed and studied and if there were the cases as an index of earning manipulation (regardless of the type of report acceptable - adjusted - rejected and no comment), the sample companies would be selected as the earning-manipulator firm and the number 1 would be allocated. Also, if there were no clauses as an index of earning manipulation, for example, the report is adjusted for another reason, it would be selected as a non-earning manipulator and the number zero would be allocated.

After reviewing and auditing the audit reports of the sample companies of 1840 data-year, 900 data-year companies has been classified at the low level of earning manipulator companies and 940 data -year companies has been classified at the high level of earning manipulator companies. In this study, the prediction power of earning manipulation companies has been investigated by hybrid Artificial Neural Network method and Particle Swarm Optimization (PSO) algorithm and also by hybrid Artificial Neural Network method and Imperialist Competition Algorithm (ICA) and a comparison has been made between the accuracy of the research models. The areas under Receiver operating characteristic (ROC) curve of the Beneish model have been estimated up to 0.6001 and 0.5538 using the hybrid neural network trained by Imperialist competition algorithm and particle swarm optimization algorithm, respectively. The area under the ROC curve in the Beneish model has been estimated in the range of 0.5 - 0.6 and indicates the Beneish model test has been rejected in detecting and identifying earning manipulator companies. Therefore, it can be seen that the separation of the two groups of earning manipulator and non-manipulator companies is not significantly different from the separation of the chance model and it can be said that the Beneish model is a completely random model in the Tehran Stock Exchange and cannot be used to identify earning manipulator companies. Also, the best prediction accuracy of the Beneish model has been estimated up to 57.55 and 55.71 percentages using the hybrid neural network method trained by the Imperialist competition algorithm and the particle swarm optimization algorithm, respectively.

Findings indicate that the prediction accuracy of the proposed model has increased from 57.55 to 63.86 percentages and 55.71 to 59.84 percentages by the ANN-ICA and ANN-PSO, respectively. Development of the model, area under curve (AUC) of ROC has been increased and the prediction error has been reduced to 6.31 percentages by the ANN-ICA and to 4.13 percentages by the ANN-PSO, but the test result is still poor. In fact, the accuracy of model prediction by the ANN-PSO has been improved compared to the ANN-ICA.However, it can be seen that relying on these variables by itself could not easily identify earning manipulator and non-manipulator companies. Considering that the proposed model with the variables of Competition in the Product Market and Information Asymmetry has not significantly improved the accuracy of the prediction model, it can be seen that there is a not significant relationship between these variables and earning manipulation variable. In order to judgement whether or not the results of ANN-ICA and ANN-PSO of research models are significantly different, the Wilcoxon test has been performed at a significance level of 5% as the statistical method of non-parametric. The results of Wilcoxon test show that the normal statistic of Wilcoxon test is more than the critical value of 1.64 and the significance level is less than 0.05 in both methods .Also, the average rank has been calculated up to 548.5 before the development of the model and has been calculated up to 5549.7 after the development of the model, so the research hypothesis is confirmed.

Non- Performing Loans (NPL) are affected by various factors, including Moral Hazard and Adverse Selection. On the one hand, often high-risk customers are willing to borrow at higher interest rates, and banks may be at risk of default by lending to high-risk clients for lack of sufficient information. Therefore, banks are exposed to adverse selection and their Non- Performing Loans are increased. On the other hand, Bank executives usually are transferred their lending risk to their depositors or bank shareholders with selecting borrowers without carefully. So, the likelihood of lending to high-risk customers is increased, and consequently, NPLs are increased. The present study is to investigate the impact of moral hazard and adverse selection on NPLs of the Iranian banking system during the period of 2008-2015. To show the adverse selection is used the ratio of interest income to total loans and to show moral hazard between bank managers with depositors and shareholders, are used by banks' liquidity and capital adequacy ratios, respectively.Results show that increasing interest income and decreasing capital adequacy ratio has a positive effect on the NPLs of the Iranian banking system. Therefore, it can be concluded that adverse selection and moral hazard between bank managers and shareholders are effective on NPLs of the Iranian banking system, while there is no evidence that the moral hazard between bank managers and depositors on NPLs is observed.

Ensuring social justice and eliminating poverty and deprivation by balancing the distribution of income and wealth among members of society is the focus of the constitution. Therefore, it is essential that the country's development strategies are based on rapid economic growth and reduction of financial and banking crises and equitable distribution of income, and planning and policy-making should be based on the above objectives. Among these, the two categories of banking crisis and income distribution have not been studied much in empirical studies, while due to the contradiction and incompatibility between income inequality and increasing bank debt and its effects on the banking crisis as one of Reducing variables of economic growth, it can be said that increasing income inequalities can exacerbate the banking crisis.The banking sector in Iran, due to government support never have encountered phenomena such as bank turmoil and bankruptcy, but have always been accompanied by a fraction and signs of crisis, and even in years recent crises have been shown in some financial institutions. Considering the economic and social effects of income distribution on the improvement of social welfare and its relation to financial crises, including banking crisis, this study attempts to study the effects of income inequality on the banking crisis in Iran during the period of 1980-2019. In this regard, the Gini coefficients variables for income inequality index and ratio credits to GDP are used for the banking crisis index as well as by the use of Autoregressive Distributed Lag bounds approach. The results of model estimation in the short run showed that there were no significant relationship between independent and dependent variables, but in the long run these relationships were significant. The increase in income inequality in Iran has led to an increase in lending facilities, an increase in bank debt and a resulting banking crisis. Model stability diagrams also show the existence of structural stability in the estimated model.Go (1974) points out that due to the increase in facilities and, in turn, debt uses, household borrowing allows individuals to smooth their consumption when faced with variable incomes. It allows companies to streamline their investment and production in the face of changes in sales, and allows governments to stabilize tax revenues in the face of various expenses. Borrowing also improves the efficiency of capital allocation among the various possible uses in the country. Therefore, it is safe to say that without debt, the economy will not grow and economic fluctuations will be higher than expected.On the other hand, increasing the provision of facilities and accumulating debt is associated with risk. As the level of lending and debt increases, borrowers' ability to repay gradually becomes more sensitive to declining incomes and sales as well as rising interest rates. In the event of any shock, high debt is likely to result in a higher default. Even in the case of a mild shock, high debt borrowers may no longer be considered a valid financial liability and when borrowers default They stop, consumption and investment decrease. So if the recession is high enough, defaults, low demand and high unemployment could have negative consequences for the economy. Accordingly, instead of high and stable growth with low inflation and stability, debt can mean disruptive financial cycles in which economies are one in the middle between a credit boom and default bankruptcies. - When the recessions are deep enough, the financial system fails and can lead to the bankruptcy of the real economy.In this regard, this study sought to answer the question of whether income inequality will lead to a banking crisis? For this purpose, using the autoregression model with finite distribution intervals and in the period 1359-1396, to investigate the short and long term effects of the Gini coefficient as an indicator of income inequality on the ratio of domestic credit to GDP as an indicator of banking crisis. paid.The results of model estimation in the short run indicate that there is no significant relationship between income inequality and the banking crisis, but in the long run this relationship has shown a positive effect, so that with a one percent increase in Gini coefficient, / 39 A 1% increase in the ratio of domestic credit to production has led to a banking crisis.Regarding other variables, it can be said that with the increase of production, investment, production gap, banking crisis has intensified, but with the increase of exchange rate and liquidity, this effect will have a decreasing trend.Clearly, the policy proposal obtained from this study is to develop financial institutions and instruments and increase the quality and efficiency of existing financial institutions to reduce the inequality of income distribution in the Iranian economy. Equitable distribution of credit is one of the things that can reduce inequality and it is suggested that the central bank implement the necessary measures for equitable distribution of credit in the banking system. Also, action to expand the capital market, especially to provide access to the capital market for all people can be among other measures that are recommended to improve the situation of the financial sector and subsequently improve the income distribution.

The main purpose of this paper is to examine the effect of monetary policy uncertainty and per capita income on insurance premiums in Iran. Economic theories do not clearly show the effects of monetary policy uncertainty on insurance premiums. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the asymmetric effect of monetary policy uncertainty on per capita insurance premiums in Iran using the non-linear autoregressive distributed lag (NARDL) model over the period of 1350-1397. For this, first, the monetary policy uncertainty was extracted using EGARCH model and divided into positive and negative changes. The results of estimation of long-term coefficients for positive and negative changes in monetary policy uncertainty on per capita insurance premiums showed that both long-term coefficients are asymmetric, negative and significant. Also, there is a positive and significant relationship between per capita income and total per capita insurance premiums in the long run. In the short term, there is no significant relationship between positive uncertainty changes and per capita insurance premiums in Iran, but with a time lag, this relationship is positive. At the same time, there is a negative and significant relationship between negative uncertainty changes and per capita insurance premiums, but with a time lag, this relationship is not significant.The main purpose of this paper is to examine the effect of monetary policy uncertainty and per capita income on insurance premiums in Iran. Economic theories do not clearly show the effects of monetary policy uncertainty on insurance premiums. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the asymmetric effect of monetary policy uncertainty on per capita insurance premiums in Iran using the non-linear autoregressive distributed lag (NARDL) model over the period of 1350-1397. For this, first, the monetary policy uncertainty was extracted using EGARCH model and divided into positive and negative changes. The results of estimation of long-term coefficients for positive and negative changes in monetary policy uncertainty on per capita insurance premiums showed that both long-term coefficients are asymmetric, negative and significant. Also, there is a positive and significant relationship between per capita income and total per capita insurance premiums in the long run. In the short term, there is no significant relationship between positive uncertainty changes and per capita insurance premiums in Iran, but with a time lag, this relationship is positive. At the same time, there is a negative and significant relationship between negative uncertainty changes and per capita insurance premiums, but with a time lag, this relationship is not significant.The main purpose of this paper is to examine the effect of monetary policy uncertainty and per capita income on insurance premiums in Iran. Economic theories do not clearly show the effects of monetary policy uncertainty on insurance premiums. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the asymmetric effect of monetary policy uncertainty on per capita insurance premiums in Iran using the non-linear autoregressive distributed lag (NARDL) model over the period of 1350-1397. For this, first, the monetary policy uncertainty was extracted using EGARCH model and divided into positive and negative changes. The results of estimation of long-term coefficients for positive and negative changes in monetary policy uncertainty on per capita insurance premiums showed that both long-term coefficients are asymmetric, negative and significant. Also, there is a positive and significant relationship between per capita income and total per capita insurance premiums in the long run. In the short term, there is no significant relationship between positive uncertainty changes and per capita insurance premiums in Iran, but with a time lag, this relationship is positive. At the same time, there is a negative and significant relationship between negative uncertainty changes and per capita insurance premiums, but with a time lag, this relationship is not significant.The main purpose of this paper is to examine the effect of monetary policy uncertainty and per capita income on insurance premiums in Iran. Economic theories do not clearly show the effects of monetary policy uncertainty on insurance premiums. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the asymmetric effect of monetary policy uncertainty on per capita insurance premiums in Iran using the non-linear autoregressive distributed lag (NARDL) model over the period of 1350-1397. For this, first, the monetary policy uncertainty was extracted using EGARCH model and divided into positive and negative changes. The results of estimation of long-term coefficients for positive and negative changes in monetary policy uncertainty on per capita insurance premiums showed that both long-term coefficients are asymmetric, negative and significant. Also, there is a positive and significant relationship between per capita income and total per capita insurance premiums in the long run. In the short term, there is no significant relationship between positive uncertainty changes and per capita insurance premiums in Iran, but with a time lag, this relationship is positive. At the same time, there is a negative and significant relationship between negative uncertainty changes and per capita insurance premiums, but with a time lag, this relationship is not significant.

The present study evaluated the symmetrical and asymmetrical effects of fiscal policy and trade development on financial development in Iran during 1973-2017.The Johansen-Jocilus method was used to investigate the symmetric effects and the (NARDL) model was used to investigate the asymmetric effects. The results of the symmetric method show that in the long run, the increase in Government Expenditure and inflation have a significant negative effect on financial development. The results show that trade development has a positive and significant effect. Also, the results of the VECM model indicated that in each period, 0.078 of the imbalance or short-run error is adjusted towards the long-run equilibrium. also, the results of the NARDL method show that the positive shock of government expenditure has a negative effect and the negative shock of government expenditure has a positive and significant effect on financial development. the positive trade shock has a positive effect and negative trade shock has a negative effect on financial development. Also, the results show that inflation has a significant negative effect on financial development. Finally, the results of the wald test show that the effects of government expenditure shocks and trade are asymmetric in both the short and long run.The present study evaluated the symmetrical and asymmetrical effects of fiscal policy and trade development on financial development in Iran during 1973-2017.The Johansen-Jocilus method was used to investigate the symmetric effects and the (NARDL) model was used to investigate the asymmetric effects. The results of the symmetric method show that in the long run, the increase in Government Expenditure and inflation have a significant negative effect on financial development. The results show that trade development has a positive and significant effect. Also, the results of the VECM model indicated that in each period, 0.078 of the imbalance or short-run error is adjusted towards the long-run equilibrium. also, the results of the NARDL method show that the positive shock of government expenditure has a negative effect and the negative shock of government expenditure has a positive and significant effect on financial development. the positive trade shock has a positive effect and negative trade shock has a negative effect on financial development. Also, the results show that inflation has a significant negative effect on financial development. Finally, the results of the wald test show that the effects of government expenditure shocks and trade are asymmetric in both the short and long run.The present study evaluated the symmetrical and asymmetrical effects of fiscal policy and trade development on financial development in Iran during 1973-2017.The Johansen-Jocilus method was used to investigate the symmetric effects and the (NARDL) model was used to investigate the asymmetric effects. The results of the symmetric method show that in the long run, the increase in Government Expenditure and inflation have a significant negative effect on financial development. The results show that trade development has a positive and significant effect. Also, the results of the VECM model indicated that in each period, 0.078 of the imbalance or short-run error is adjusted towards the long-run equilibrium. also, the results of the NARDL method show that the positive shock of government expenditure has a negative effect and the negative shock of government expenditure has a positive and significant effect on financial development. the positive trade shock has a positive effect and negative trade shock has a negative effect on financial development. Also, the results show that inflation has a significant negative effect on financial development. Finally, the results of the wald test show that the effects of government expenditure shocks and trade are asymmetric in both the short and long run.The present study evaluated the symmetrical and asymmetrical effects of fiscal policy and trade development on financial development in Iran during 1973-2017.The Johansen-Jocilus method was used to investigate the symmetric effects and the (NARDL) model was used to investigate the asymmetric effects. The results of the symmetric method show that in the long run, the increase in Government Expenditure and inflation have a significant negative effect on financial development. The results show that trade development has a positive and significant effect. Also, the results of the VECM model indicated that in each period, 0.078 of the imbalance or short-run error is adjusted towards the long-run equilibrium. also, the results of the NARDL method show that the positive shock of government expenditure has a negative effect and the negative shock of government expenditure has a positive and significant effect on financial development. the positive trade shock has a positive effect and negative trade shock has a negative effect on financial development. Also, the results show that inflation has a significant negative effect on financial development. Finally, the results of the wald test show that the effects of government expenditure shocks and trade are asymmetric in both the short and long run.

The significance of reported earnings for users of financial statements makes it a motive for manipulating this figure for corporate managers who are also responsible for financial reporting. This measure is interpreted as profit management, which will have a negative effect on the quality of reported earnings and the ability to rely on financial reports. The size of banks' resources and their specific functional sensitivities double the importance of paying attention to the reported earnings in this industry. In this research, the Kasznik model has been used for estimating the earnings management index as a model compatible with the Usury-Free banking industry in Iran by unbalanced panel method. Then, by using this index, the main tool used by managers to manage earnings in the banking system is introduced with the estimating of the Cornett model. The results of this research, while confirming the bank manager’s practices in earnings management, have shown that the LLP variable has a larger share than STGL in explaining the profit management index, and is mainly driven by managers for profit management in the banking system. In other words, managers use the loan loss provisions (LLP) to manage their profits more than their use of securities and transactions gain and losses (STGL).