فهرست مطالب

Journal of Money & Economy
Volume:6 Issue: 4, Summer 2012

  • تاریخ انتشار: 1392/06/10
  • تعداد عناوین: 7
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  • Abbas Mirakhor, Mughees Shaukat Page 1
    Evidence has been mounting (over the centuries) that the interest based debt financing regime is under ever increasing distress. All of the earlier crises whatever label they carried− exchange rate crisis or banking crisis – have been debt crises in essence. At the present, empirical research suggests that the debt-to-GDP ratio of the richest members of the G-20 threatens to touch 120% mark by 2014 while by 2020; the U.S and the other major European centers would amass a ratio of at least 150%, with Japan and U.K going to 300% and 200% respectively. Even more disconcerting is the projected interest rate paths on their debts which would increase from now almost 5% to 10% in all cases, and as high as 27% in U.K. Moreover there is also evidence that out of securities worth $200 trillion in the global economy, no less than three-fourth represent interest based debt. It is difficult to see how this massive debt volume can be validated by the underlying productive capacity of the global economy. This picture becomes more alarming when it is realized that the growth of the global economy is anaemic at best while the interest rate on debt is sure to exceed the rate of growth of global GDP for the foreseeable future. Hence, a more serious financial crisis may be in the offing and a general collapse of asset prices may occur. This paper argues that the survival of the interest based debt regime is becoming less tenable, as is the process of financialization that has accompanied the growth of global finance over the last four decades. It further argues that Islamic finance, with its core characteristic of risk sharing, may well be a viable alternative to the present interest based debt financing regime.
    Keywords: Regime Uncertainty, Ambiguity, Complexity, Black Swans, Debt Stress, Islamic finance, Risk, Sharing
  • Ahmad. R. Jalali-Naini, Maryam Hemati Page 27
    Price stability has been the foremost task of monetary policy. The information relating to the response of prices to monetary policy shocks is essential for conducting monetary policy in general and for inflation targeting of central banks in particular. Most of the published empirical studies analyze the response of an aggregate price index like CPI or a consumption deflator and their rates of change to monetary shocks. A limited number of studies that examine the effect of monetary shocks on disaggregate prices use vector auto regression models for the analysis. The results of these studies show that some disaggregated prices increase slightly in response to a contractionary monetary shock. This finding can be inconsistent with the standard theory and is referred to as the «price puzzle» in literature. There is a body of new literature (Bernanke et al. 2005, Boivin, Giannoni and Mihov 2009) that utilizes factor augmented VAR (FAVAR) approach to analyze the effect of monetary policy shocks and finds no evidence of a price puzzle. In this paper we use a Bayesian FAVAR (BFAVAR) framework to examine the impulse response function of 12 sub-categories of CPI to one standard deviation in monetary base growth rate in Iran. Our two main findings are: (1) monetary shocks have a lagged effect on disaggregated prices and most prices respond to a monetary shock with delay; (2) there is a substantial difference amongst the 12 CPI sub-categories in terms of their response to an increase in monetary base growth rate. Contrary to the existing studies based on standard VAR model, and in line with FAVAR based studies, we also find that price responses don‘t display a price puzzle in the case of Iran.
    Keywords: Disaggregated prices, factor models, factor augmented VAR, Bayesian analysis, Gibbs Sampling, price stickiness, inflation persistence
  • Anton Comanescu Page 61
    The paper concentrates on the conditions, contingencies and determinants of central bank transparency and communication. From the state of the economy and the quality of national institutions, to the structure of monetary policy committees, the personality of the governor and the nature of the monetary policy framework - with a particular focus on the case of inflation targeting, there is a plethora of factors influencing the design and the conduct of a communication strategy. The debate remains open on whether we can speak about best practice or an optimal communication policy, but conflicting policy choices and outcomes seem to point to the fact that communication remains one of the greatest challenges for every central banker. The conclusion of the study is that there is no one-size-fits-all dogma for transparency. Cultural and national differences are paramount for choosing the best practice.
    Keywords: Central Bank, Transparency, Communication
  • Mostafa Elsan Page 89
    One of the complex matters in banking law is the problems and mistakes which occur in the process of bank payments. Mistake of banker or error in processing of information in bank networks may result in payment delay or paying money to the account of a person other than who was really intended. This article is about rules for allocation of losses between account holders implicated and the intermediary bank-based payments.The paper discusses common mistakes and usual forms of unauthorized payments with intermediation of one or more banks. The main idea of this paper is that the bank may be responsible for some errors and mistakes; even if there is no agreement about or against this liability.
    Keywords: unauthorized payment, liability of bank, payment by mistake, misuses notice, customers obligation
  • Alireza Bahiraie, Ali Arshadi Page 101
    In this paper, a new Dynamic Geometric Genetic Programming (DGGP) technique is applied to empirical analysis of financial ratios and bankruptcy prediction. Financial ratios are indeed desirable for prediction of corporate bankruptcy and identification of firms‘ impending failure for investors, creditors, borrowing firms, and governments. By the time, several methods have been attempted in the use of financial ratios on predicting bankruptcy but some of them suffer from underlying shortcomings. Recently, Genetic Programming (GP) has received great attention in academic and empirical fields of solving high complex problems. The paper proposes the use of Dynamic Risk Space measure (DRS) on bankruptcy prediction utilized with Genetic Programming technique. The paper provides the evidence of the extent to which changes in values of this index are associated with changes in each values axis and how this may alter our economic interpretation of changes in the patterns and direction of risk. Results of Dynamic Geometric Genetic Programming (DGGP) classification methodology is compared with common and transformed ratios. Results confirm the better accuracy which Genetic classification tree achieved (overall 95.14% accuracy rate) using transformed ratios approach while original ratios model achieved only 88.85% accuracy rate.
    Keywords: Genetic Programming, Dynamic risk space, Financial ratio, Risk box, Bankruptcy
  • Parastoo Shajari, Bita Mohebikhah Page 133
    This paper investigates the financial stability, measured by z-score technique in Islamic banking system of 20 countries from 2000 to 2010. We compare the stability of Islamic banks to the commercial banks, before and after the financial crisis. The empirical results from panel estimation show that: a) the large Islamic banks are more stable than the large commercial banks and furthermore, the small Islamic banks have lower z-score comparing to the small commercial banks. b) as past history shows, in general the financial crisis has a direct negative impact on stability of the large banks; moreover, our study shows that after a financial crisis the small Islamic banks are more stable than large Islamic banks. c) there is no significant difference between stability in oil and non-oil producing countries, however results change between the small and large banks in the two groups of Islamic and commercial banks which tend to be more stable for oil producing countries.
    Keywords: Islamic banks, Financial stability, Financial crisis, Oil Producing Countries
  • V.R. Ghezavati Page 167
    When an individual make a cash payment, he needs to consider about the amount to be paid, the coins and banknotes which are available and amount of change. For central banks and retailers, it is of interest to understand how this individual choice process works. The literature of currency use concerns primarily theory; given certain assumptions which can present appreciate denomination range by statistical analysis. Literature surveys try to answer the question that which is the best selection of available coins and banknotes in the wallet to fulfill the charge. There is no mathematical model which can optimize a specific denomination range of coins and banknotes. In this paper, we aim at modeling this process where denomination range of banknotes and coins are optimized through a mathematical model in which all parameters are assumed to be certain in a single period in any economy. Finally, some numerical examples are provided to illustrate the effectiveness of the proposed model.
    Keywords: Denomination, Banknote, Coin, Optimization, Mathematical Modeling