ORIGINAL_ARTICLE
ارزیابی هزینههای 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)
یکی از اهداف مهم دولتها توسعه اقتصادی است که با توجه به آن سیاستگذاران 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 هزینههای آن به منظور ایجاد زمینه توسعه مورد ملاحظه قرار گیرد. دراین تحقیق برای ارزیابی هزینههای 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 شیوۀ تجربی، از دادههای دیوانعالی کشور در سال 1395 استفاده شده و جهت محاسبۀ هزینههای بدوی هر پرونده از دادههای دادگاه انقلاب مشـهد به عنوان نمونه بهرهبرداری گردیده است. سپس با بهرهگیری از روش پایین به بالا، هزینههای سیستم قضایی در صدور حکم اعدام در جرم مذکور محاسبه گردید. نتایج تحقیق حاکی از آن است که تقریباً 274/0 درصد از بودجۀ قوه قضاییه (بدون احتساب سازمانهای تابعه) به این دست پروندهها اختـصاص مییابد که با حذف مجـازات اعدام در موارد غیر ضروری، حدود 90 درصد از موارد مشـمول حکم اعدام کاهش مییابد که این مسئله میتواند در کاهش هزینهها در ارتباط با حکم مذکور مؤثر واقع شود.
https://danesh24.um.ac.ir/article_32051_ef29c5d52c99ca71ab58ddc45dc68691.pdf
2018-04-21
135
166
10.22067/pm.v25i16.64738
اعدام
مواد مخدر
هزینه های سیستم قضایی
ارزیابی هزینه ها
سید حسین
حسینی
shosseini@um.ac.ir
1
دانشگاه فردوسی مشهد
AUTHOR
سیده طاهره
خبازی خادر
khabbazi@mail.um.ac.ir
2
دانشگاه فردوسی مشهد
LEAD_AUTHOR
نسرین
رضائی مقدم
nrrezaee472@gmail.com
3
دانشگاه فردوسی مشهد
AUTHOR
صادق
صفری
sadeghsafari13@gmail.com
4
دانشگاه فردوسی مشهد
AUTHOR
[1] Abrishami, H. & Rezaei, Z. (2015). The Investigation of Empirical Effect of Inflation on Crime in Iran, Majlis and Rahbord Journal, 22(83), 41-74. (in Persian)
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3
[4] Batoli, S. H. (2014). How to Estimate Costs and Analyze Crime, Detective Journal, 7(26), 9-20. (in Persian)
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[5] Brand, S. & Price, R. (2000). The economic and social costs of crime, London: Home office.
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[8] Cohen, M. A. (2000). Measuring The Costs and Benefits of Crime and Justice, Measurement and Analysis of Crime and Justice, Vol. 4, 263-315.
8
[9] Cohen, M. A. (2005). The Costs of Crime and Justice, New York, NY: Routledge.
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[10] Crumpton, D., Carey, S., & Finigan, M. (2004). Enhancing Cost Analysis of Drug Courts: The Transactional and Institutional Cost Analysis Approach, Portland, OR: NPC Research.
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[11] Czabanski, J. (2008). Estimates of Cost of Crime: History, Methodologies, and Implications, Berlin Heidelberg: Springer.
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[12] Dadgar, Y. (2010).Components and basic dimensions of salary and economics, (1sted.). Tehran: Nooreelm Publication. (in Persian)
12
[13] Dadgar, Y. & Nazari, R. (2013). The Impact of Misery Index on Crime in Iran, Nameh Mofid journal, 19(99), 63-86. (in Persian)
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[14] Dadgar, Y. & Nazari, R. (2016). Crime Investigation in Iran Using Several Economic Patterns, Legal Research Journal, 32(73), 59-78. (in Persian)
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[15] Damodar, G. (2004). Basic Econometrics, Fourth Edition, New York: MacGraw Hi
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[16] Dhiri, S. & Brand, S. (1999). Analysis of costs and benefits: guidance for evaluators, London: Home Office.
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[17] Easton, S., Furness, H., & Brantingham, P. (2014). Cost of Crime in Canada: 2014 Report,Vancouver: Fraser Institute.
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[18] Farrell, G., & Clark, K. (2004). What Does The World Spend on Criminal Justice? Helsinki: United Nations European Institute for Crime Prevention and Control.
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[19] Garshasbi fakhr, S. (2011). Relationship Between Unemployment and Robbery in Iran. Social Welfare journal, 11(40), 401-423.(in Persian)
19
[20] Ghannad, F. (2000). Investigating the Correlation between Crime and Punishment in Drug Crimes in the Iranian Legal System, Proceedings of the International Scientific-Practical Conference on the Different Aspects of Criminal Policy Policies on Drug Crimes,(1sted.). Tehran: Official Gazette of the Islamic Republic of Iran.(in Persian)
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[21] Henrichson, C. & Galgano, S. (2013). A Guide to Calculating Justice-System Marginal Costs, New York: Vera Institute of Justice.
21
[22] Hosseini nejad, S. M. (2006). Investigating the Economic Causes of Crime in Iran using a Collaborative Data Model on theft, The Journal of Planning and Budgeting, 10(6), 35-81.(in Persian)
22
[23] Javan Jaafari Bojnourdi, A. & Sadati, S. M. J. (2015). Philosophical and Sociological Nature of Punishment Rethinking about Quiddity and Functions of Punishment, (1st ed.), Tehran: Mizan Legal Foundation. (in Persian)
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[24] Kerr, R. (2001). A Benefit-Cost Framework for the Crime Prevention Investment Fund, Ottawa: National Crime Prevention Centre.
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[25] Mehregan, N. & Garshasbi Fakhr, S. (2012). Income Inequality and Crime in Iran, Economic Research Quarterly, 11(4), 109-125. (in Persian)
25
[26] Miller, T., Cohen, M. & Wiersema, B. (1996). Victim Cost & Consequences: A New Look, Washington D.C: National Institute of Justice Research Report.
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[27] Naeimy, M. (2015). Economic Analysis of Criminal Behavior and Explanation of Deterrence, Criminal Law Research, 6(2), 203-229. (in Persian)
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[28] Najafi Abrandabadi, A.H. (2009) Criminal science news "New Pathology, New Criminology", (1sted.). Tehran: Mizan Legal Foundation. (in Persian)
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[29] Rajkumar A.S. & French M.T. (1997). Drug abuse, crime costs, and the economic benefits of treatment, Journal of Quantitative Criminology,13(3), 291–323.
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[30] Sarirafraz, M.; Sadatmakian, S.; Fahimifar, F. (2009). Preventing Crime: Creating A Secure Society, The2nd safe city Conference in Tehran, Tehran: Shahr Publication. (in Persian)
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[31] Sadeghi, H., Shaghaghi Sh. V., & Asgharpoor, H. (2005). An Analysis of Economic Factors Affecting Crime in Iran,Economic Research journal, 40(1), 63-90. (in Persian)
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36
[37] Zahedani Mazandarani, M. J. (2000). The emergence and decline of the welfare state, Social Security Journal, 2(3), 129-164. (in Persian)
37
ORIGINAL_ARTICLE
اثر مخارج بهداشت جمعیتی و آموزش نیروی انسانی بر ورود سرمایهگذاری مستقیم خارجی در کشورهای منتخب اسلامی عضو منا
اغلب کشورهای درحالتوسعه برای رونق دهی به اوضاع اقتصادی، ایجاد اشتغال و دستیابی به رشد و توسعه اقتصادی پایدار با مشکل کمبود منابع در جهت سرمایهگذاری روبرو هستند. برای جبران این کمبود یکی از راهکارها جذب سرمایهگذاری خارجی است. در این تحقیق به بررسی اثر مخارج بهداشت جمعیتی، آموزش نیروی انسانی و متغیر اندازه بازار (درآمد سرانه) بر ورود سرمایهگذاری 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 میدهد که 86 درصد از ورود سرمایهگذاری مستقیم خارجی به کشورهای اسلامی عضو منا توسط سه متغیر مخارج بهداشتی، آموزشی، اندازه بازار و درجه آزادی تجاری توضیح داده میشود. 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 مییابد. ضریب سهم مخارج آموزشی از GDP معنیدار بوده و معادل 062/0 است.
https://danesh24.um.ac.ir/article_32068_d41d8cd98f00b204e9800998ecf8427e.pdf
2018-04-21
201
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10.22067/pm.v25i16.62871
کلمات کلیدی: سرمایه گذاری مستقیم خارجی عمودی
بهداشت جمعیتی
سرمایه انسانی
کشورهای اسلامی عضو منا
هاتف
حاضری
hatef_hazeri@yahoo.com
1
محقق اردبیلی
LEAD_AUTHOR
ناصر
سیف الهی
naser_seifollahi@yahoo.com
2
محقق اردبیلی
AUTHOR
[1] Asiedu, E. (2002). "On the determinants of foreign direct investment to developing countries: is Africa different?" world development, report No. 30(1): 107-119.
1
[2] Azam, M., Ather, M.A. (2015). Role of human capital and foreign direct investment in promoting economic growth: evidence from commonwealth of independent states, International Journal of Social Economics, 42 (2), pp. 98-111.
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[3] Bhargava, A. (2001)."Nutrition, health and economic development: some policy priorities". commission on macroeconomics and health working paper series WGI: 14, world health organization.
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[4] Bhargava, A. Jamison, D., Lau, L., and Murray, C. (2001). "Modeling the effects of health on economic growth", Journal of Health Economic, Report No. 20(3):423-440.
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[5] Bleakley. H, (2010). Health, human capital, and development, university of chicago.
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[6] Blomstrom, M. and Kokko, K, (2011). "Human capital and inward FDI", center for economic and policy research, London, working paper No.167.
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[7] Bloom, D. E. (2005)."Education and public health: mutual challenges worldwide", comparative education review, Report No. 49(4): 437-451.
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[8] Bloom, D. E., Canning, D., and Jamison, D. (2004). "Health, wealth and welfare". finance and development, Report No. 41(1):10-15.
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[9] Celine. A and Rodolphe. D. (2009). "Public governance, health and foreign direct investment in Sub-Saharan Africa", Oxford Journals, Social Sciences, Journal of African Economies, Volume 18, Report No. 4: 667-709.
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[10] Chakrabarti, A. (2001)0 "The determinants of foreign Direct Investment: Sensitivity of Cross-Country Regression". Kyklos, Report No. 54(1): 89-114.
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[11] Dargahi. H. (2006)0 "Factors affecting foreign direct investment: lessons for Iran economic", Quarterly Journal of Sharif University, Report No. 36: 57-73. (In Persian).
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[12] Hoseinibalam. A. (2007)0 Evaluation of the impact of FDI on economic growth in OIC member states, master's thesis in economics, university of Isfahan. (In Persian).
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[13] Gyimah-Brempong, K., Asiedu, E. (2015). Remittances and investment in education: evidence from Ghana, Journal of International Trade & Economic Development, 24 (2), pp. 173-200.
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[14] Liu, Q. and Qiu, L. D. (2014). “Labor training and foreign direct investment”, Review of International Economics, 22(1)0 pp.151–166. doi: 10.1111/roie.12102.
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[15] Muhammad. T and Eatzaz. A. (2008)0 "Human capital development and FDI in developing countries", Journal of Economics Cooperation, Report No.29: 79-104.
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[17] Riberio, R. (2008)0 "Earnings effects of household investment in health in Colombia", discussion paper No.810, economic growth center, Yale University, New Haven, CT.
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[18] Shaha-Abadi. A, Mahmoudi. A. (2006).,"Determinants of foreign direct investment in Iran", Quarterly Journal of Jastarhaye Eghtesadi, Report No. 5: 89-126. (In Persian).
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ORIGINAL_ARTICLE
تحلیل تجربی حاکمیت رابطه ماندل بین نرخ بهره و تورّم در ایران: رهیافت فضا-حالت
ارتباط بین نرخ بهره و تورّم همواره یکی از مهمترین مباحث اقتصاد پولی بوده است که تعیین نوع این رابطه میتواند اثرات قابل توجهی بر سیاستگذاری اقتصادی داشته باشد؛ بنابراین هدف از این مقاله، بررسی رابطۀ بین نرخ سود و تورّم 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 میگیرد. دلیل استفاده از رویکرد پارامتر تصادفی در طول زمان آن است که این روش انتقاد لوکاس را در برآورد پارامترها در نظر میگیرد و درنتیجه میتواند تورش برآوردها را کاهش دهد؛ بنابراین، با طراحی یک الگوی فضا-حالت برای معادلۀ نرخ سود و تورّم، این رابطه در بازۀ زمانی 1352-1394 با روش کالمن فیلتر برآورد شده است. بهمنظور 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 (بهعنوان متغیر جایگزین نرخ بهره بازار) است. نتایج برآورد هر دو مدل تأیید کنندۀ اثر ماندل در اقتصاد ایران است؛ ازاینرو، فرض خنثایی پول در اقتصاد ایران را نمیتوان رد کرد.
https://danesh24.um.ac.ir/article_32094_51c10ac28ca0335c99fa4747d1bd17c7.pdf
2018-04-21
219
238
10.22067/pm.v25i16.63738
نرخ سود
نرخ تورم
رابطه فیشر
اثر ماندل
رهیافت فضا-حالت
داریوش
حسنوند
darioush_hassanvand85@yahoo.com
1
دانشگاه آیت ا... العظمی بروجردی(ره)
LEAD_AUTHOR
یونس
نادمی
younesnademi@yahoo.com
2
دانشگاه آیت ا... العظمی بروجردی (ره)
AUTHOR
[1] Abounoori A., SajadiS., & Mohammadi T. (2013). “The Relation between the Rate of Inflation and Deposits Profit Rates in Iran Banking System”, Vol. 1, No. 3, 23-52. (In Persian).
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[2] Arısoy, Ibrahim. (2013). “Testing for the Fisher Hypothesis under Regime Shifts in Turkey: New Evidence from Time-Varying Parameters”, International Journal of Economics and Financial Issues, Vol. 3, No. 2, 496-502.
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[3] Asemota, O.J., & Bala, D.A. (2011). A Kalman Filter Approach to Fisher Effect: Evidence from Nigeria. CBN Journal of Applied Statistics, Vol. 2, No. 1, 71-91.
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[4] Asemota, O,J.& D. a. Bala. (2015).“Fisher Effect, Structure Breaks and Outliers Detection in ECOWAS Counteries”, International Journal of Statistics and Applications, Vol. 5, No. 5, 181-195.
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[5] Chuderewicz, R.P. (1997). “Essay on the Fisher Relation and Uncovered Interest Rate Parity. A Thesis in Economics”, The Pennsylvania State University, U.S.A.
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[6] Clemente, J., Gadea, M. D., Montañes, A., &Reyes, M. (2017). Structural breaks, inflation and interest rates: evidence from the G7 countries. Econometrics, Vol. 2, No. 1, 1-11.
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[7] Crowder, William J. & Dennis L. Hoffman. (1996). ” The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited”,Journal of Money, Credit and Banking, Vol. 28, No. 1, 102-118.
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[8] Fama, E. F, & Gibbons, M. R. (1982). “Inflation,real returns and capital investment”, Journal of Monetary Economics Vol. 2, No. 3, 297-323.
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[9] Gul, E. and Acikalin, S. (2008). An Examination of the Fisher hypothesis: The case of Turkey, Applied Economics, Vol. 40, 3227-3231.
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[10] Harvey, A. C. (1990). “The econometric analysis of time series”. MIT Press.
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[11] Hamilton, J. D. (1994). “Time series analysis”, Vol. 2. Princeton: Princeton university press.
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[12] Hatemi-J, A. (2009). “The International Fisher Effect: Theory and Application”. Investment management and Financial Innovations, Vol. 6, 75-79.
12
[13] Hatemi-J, A., & Irandoust, M. (2008).“The Fisher effect: a Kalman filter approach to detecting structural change. Applied Economics Letters”, Vol.15, No.8, 619-624.
13
[14] Kalman, R. E. (1960). “A new approach to linear filtering and prediction problems”. Journal of Fluids Engineering, Vol.82, No.1, 35-45.
14
[15] Komijani, A., & Bahrami, R. D. (2008). “Estimation of the Long Run Relationship between Nominal Interest Rates and Inflation Rate in Iran”. Journal of Economic Research, No.82, 187-210. (In Persian).
15
[16] Komijani a, zamanzadeh. H, & behador, Ali. (2016). “The mechanism for managing interest rates within the framework of monetary policy”. Paper Policy, Monetary and Banking Research Institu0te. No.1, 1-4 (In Persian).
16
[17] Lucas, R. E. (1976, December). “Econometric policy evaluation: A critique. In Carnegie-Rochester conference series on public policy”, North-Holland, Vol.1, 19-46.
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[18] Meregan, n. Ezati, M. & Asgharpour, H. (2006).”“The study of the causal relationship between interest rates and inflation by using the panel data method””, Quarterly Journal of The Economic Research, Vol. 6, No 3, 1-15. (In Persian).
18
[19] Million, Nicolas. (2004) “Central Bank’s Interventions and the Fisher Hypothesis: A Threshold Cointegration Investigation”, Economic Modelling, Vol. 21, 1051–64.
19
[20] Mishkin, F.S. (1992). “Is the Fisher effect for real? A re-examination of the Relationship between Inflation and interest rates”, Journal of Monetary Economics, Vol.30, 195 – 215.
20
[21] Mundell, R. (1963). “Inflation and Real Interest”, The Journal of Political Economy, Vol. 71, No. 3, 280-283.
21
[22] Panopoulou, E., & Pantelidis, T. (2016).”The Fisher effect in the presence of time-varying coefficients”. Computational Statistics & Data Analysis, Vol.100, 495-511.
22
[23] Paul, M. Thomas. (1984).“Interest Rates and The Fisher Effect in India, An Empirical Study” Economics Letters, No.14, 17-22.
23
[24] Saeedi, P., Mazhary, R., & Valian, H. (2012). “Studying the relation between inflation rate and interest rate based on Fisher's theory of the Iranian economy” Financial Knowledge of Securities Analysis., Vol. 5, No 1, Page 83-98. (In Persian).
24
[25] Söderlind, P. (2001). “Monetary policy and the Fisher effect”, Journal of Policy Modeling, Vol.23, No.5, 491-495.
25
[26] Sameti, M.; Dallaly, R. & Khoshakhlagh, R. (2009). “Investigating the Causal Relationship between Macroeconomics Variables for Reducing the Rate of Interest in Iran With Bayesian Causal Map (BCM) Approach”, Journal of Economic research, Vol. 78, pp123-152. (In Persian).
26
[27] Sugita, K. (2017). “Non-Linear Analysis of the Fisher Effect: In the Case of Japan”. International Journal of Economics and Finance, Vol. 9, No. 11, 1-9.
27
[28] Tobin, J. (1969). “A General Equilibriun Approach to Monetary Theory”. Journal of Money, Credit and Banking, Vol. 1, 15-29.
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[29] Zainal, N., Nassir, A. M., & Yahya, M. H. (2014). “Fisher Effect: Evidence from Money Market in Malaysia”. Journal of Social Science Studies, Vol.1, No.2, 112-124.
29
ORIGINAL_ARTICLE
تأثیر اندازه شرکت بر بازده سهام بر اساس روش پانل هم-انباشتگی غیرخطی در ایران
هدف مقاله حاضر، معرفی معیارهایی برای سرمایهگذاران جهت کسب سود و ارتقاء عملکرد شرکت است. در این راستا، فرضیه رابطۀ غیرخطی بین اندازه شرکت و بازده سهام برای شرکتهای پذیرفته شده در بورس اوراق بهادار تهران، طی دوره زمانی پنج ساله 1387 الی 1394 مورد بررسی قرار میگیرد. نتایج حاصل از تحلیل دادهها در الگوی اول بر اساس روش پانل همانباشتگی غیرخطی تأییدکننده اثرات نامتقارن و رابطه غیرخطی بین اندازه شرکت و بازده سهام است. از طرفی دیگر نتایج حاصل از تحلیل دادهها در الگوی دوم بر اساس روش دادههای پانل نیز تائید کننده وجود ارتباطی غیرخطی بهمانند منحنی U شکل معکوس بین اندازه شرکت و بازدهی بنگاهها در سطح شرکتهاست.
https://danesh24.um.ac.ir/article_32106_d41d8cd98f00b204e9800998ecf8427e.pdf
2018-04-21
239
254
10.22067/pm.v25i16.63995
اندازه شرکت
بازده سهام
رابطه ی غیرخطی
روش پانل هم انباشتگی غیرخطی
رضا
محسنی
re_mohseni@sbu.ac.ir
1
دانشگاه شهید بهشتی
LEAD_AUTHOR
علیرضا
جمشیدی
jamshidi20@yahoo.com
2
قزوین
AUTHOR
[1]Alaleh, N., Tamimi, M., & Nematpuor dezfoli, A. (2013), Explain changes in returns in three models CAPM, TFPM, FFPM in Iran Stock Market, No. 5, 115-128. (In Persian)
1
[2]Apergis, N., & Payne, J. (2014). Resurrecting the size effect: Evidence from a Panel nonlinear cointegration model for the G7 stock markets. Review of Financial Economics 23, 46-53
2
[3]Amel-Zadeh, A. (2011). The return of the size Anomaly: Evidence from the German stock Market. European Financial Management 17(1), 145-182.
3
[4]Banz, R.W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics 9, 3-18.
4
[5]Carhart, M. (1997).On persistence in mutual fund performance. Journal of Finance 52, 57-82
5
[6] Fama, E. F., & French, K.R. (1993). Common risk factors on the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
6
[7] Hung, c., & Azad, s. F. v. (2014). Determinants of stock returns: Factors or systematic co-moment? Crisis versus non-crisis periods. Journal of international Financial Markets, Institutions & Money:14-29
7
[8]Jiyang, Ye. (2013). Testing Asset Pricing Models under Non-Linear Assumptions: Evidence from UK firm level Panel Data, Department of Accounting and Finance, Birmingham Business School, Univercity of Birmingham.
8
[9]Lintner, J. (1965). The valuation of risk assets and the selection of risky investment in stock portfolios and capital budgets. The Review of Economics and Statistics 47 (1), 13-37
9
[10]Nalshekan, A. (2010). Test Unsystematic and firm size over stock returns in Iran Stock Market, M.A thesis, Faculty of Administrative Sciences and Economics, esfehan Univercity. (In Persian)
10
[11]Ross, S.A. (1976). Arbitrage theory of capital asset pricing. Journal of Economic Theory 13, 341-360.
11
[12]Sharpe, W.F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk Journal of risk. Journal of Finance 19(3), 425-442.
12
[13]Yahyazadeh, M., & khoramdin, J. (2008). the role of liquidity and liquidity risk factors on stock return surplus in Iran Stock Market, Accounting and auditing reviews, No.15, 101-118. (In Persian)
13
ORIGINAL_ARTICLE
معاملات با اشخاص وابسته و ارتباط آن با رفتار کارا یا فرصتطلبانۀ مدیریت سود
معاملات با اشخاص وابسته پدیدهای است که افزون بر اینکه رسواییهای اخیر مالی را بدان نسبت میدهند؛ میتواند 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 شرکتهای 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 شرکتها، این رابطه برای گروه شرکتهای دارای رفتار مدیریت سود کارا و فرصتطلبانه نیز آزمون شده است. بهمنظور آزمون فرضیههای پژوهش از اطلاعات مالیِ 164 شرکت در بازۀ زمانی 1386 تا 1394 استفاده شده و تجزیهوتحلیل اطلاعات با استفاده از الگوی رگرسیون چندمتغیره و دادههای 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 فرصتطلبانه یافت شد که نشان از کارا بودن معاملات با اشخاص وابسته دارد. همچنین یافتهها، وجود رابطۀ مثبت و معنادار بین معاملات با اشخاص وابسته و مدیریت سود کارا را تأیید نمود که مؤید کارایی معاملات با اشخاص وابسته در بورس اوراق بهادار تهران است.
https://danesh24.um.ac.ir/article_32142_d41d8cd98f00b204e9800998ecf8427e.pdf
2018-04-21
105
134
10.22067/pm.v25i16.64300
معامله با اشخاص وابسته
رفتار مدیریت سود
مدیریت سود کارا
مدیریت سود فرصتطلبانه
اقلام تعهدی اختیاری
مصطفی
قناد
ghannad@mail.um.ac.ir
1
دانشگاه فردوسی مشهد
AUTHOR
محمدرضا
عباسزاده
abbas33@um.ac.ir
2
دانشگاه فردوسی مشهد
LEAD_AUTHOR
بهزاد
کاردان
kardan@um.ac.ir
3
دانشگاه فردوسی مشهد
AUTHOR
[1] Aljifri, K. (2007). Measurement and Motivations of Earnings Management: A Critical Perspective. Journal of Accounting, Business & Management, 14(1), 75-95.
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[2] Audit Organization, Technical Committee. (2015). Principles and rules of accounting and auditing: accounting standards (standards 12), Tehran, Audit Organization Publishers. (in Persian)
2
[3] Babajani, J., Tahriri, A. (2013). Market Information about Firms’ Fundamentals and Earnings Management: Evidence from Companies Listed on the Tehran Stock Exchange (TSE). The Iranian Accounting and Auditing Review, 20 (1): 19-34. (in Persian)
3
[4] Chen, J. J., Cheng, P., & Xiao, X. (2011). Related party transactions as a source of earnings management. Applied Financial Economics, 21(3), 165-181.
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[5] Cheung, Y. L., Qi, Y., Rau, P. R., & Stouraitis, A. (2009). Buy high, sell low: How listed firms price asset transfers in related party transactions. Journal of Banking & Finance, 33(5), 914-924.
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[6] Darabi, R., Davodkhani, M. (2015). The impact of related party transactions on the value of the company. The Financial Accounting and Auditing Researches, 7(28), 131-152. (in Persian)
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[7] Djankov, S., La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (2008). The law and economics of self-dealing. Journal of Financial Economics, 88(3), 430-465.
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[8] El-Helaly, M., & El-Helaly, M. (2016). Related party transactions and accounting quality in Greece. International Journal of Accounting & Information Management, 24(4), 375-390.
8
[9] Gopalan, R., & Jayaraman, S. (2012). Private control benefits and earnings management: evidence from insider controlled firms. Journal of Accounting Research, 50(1), 117-157.
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[10] Gordon, E. A., & Henry, E. (2005). Related party transactions and earnings management. Available at SSRN eLibrary.
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[11] Gordon, E. A., Henry, E., Louwers, T. J., & Reed, B. J. (2007). Auditing related party transactions: A literature overview and research synthesis. Accounting Horizons, 21(1), 81-102.
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[12] Habib, A., Muhammadi, A. H., & Jiang, H. (2017). Political connections and related party transactions: Evidence from Indonesia. The International Journal of Accounting, 52(1), 45-63.
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[13] Healy, P. M., & Wahlen, J. M. (1999). A review of the earnings management literature and its implications for standard setting. Accounting Horizons, 13(4), 365-383.
13
[14] Jian, M., & Wong, T. J. (2010). Propping through related party transactions. Review of Accounting Studies, 15(1), 70-105.
14
[15] Johnson, S., Porta, R. L., Lopez-de-Silanes, F., & Schleifer, A. (2000). Tunneling. American Economic Review, 90(2), 22–27.
15
[16] Kamyabi, Y., Bouzhmehrani, E., Mohammadi, P. (2017). The Study of the Relationship between Related-party Transactions and the Control-ownership Wedge of the Ultimate Controlling Shareholder. Journal of Financial Management Strategy, 4(4), 45-65. (in Persian)
16
[17] Kang, M., Lee, H. Y., Lee, M. G., & Park, J. C. (2014). The association between related-party transactions and control–ownership wedge: Evidence from Korea. Pacific-Basin Finance Journal, 29, 272-296.
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[18] Khanna, T., & Palepu, K. (2000). Is group affiliation profitable in emerging markets? An analysis of diversified Indian business groups. The Journal of Finance, 55(2),867–891.
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[19] Khodami Pour, A., Amini, M., Houshmand Zaferanieh, R. A. (2012). The effect of the disclosure requirements for related party transactions on earnings management. Journal of Accounting reasearch, 2 (6): 65-83. (in Persian)
19
[20] Khomami Abadi, M. (2013). The relation between related party transactions and earnings management.Published Master Thesis in Accounting, Azad University. (in Persian)
20
[21] Kim, J. H., Woo, Y. S., (2008). The effect of transcations to the related-party on the earnings management and the earnings response coefficient. Korean Accounting Review, 33(3), 25-59.
21
[22] Kohlbeck, M. J., & Mayhew, B. W. (2004). Agency costs, contracting, and related party transactions. Contracting, and Related Party Transactions (December 31, 2004).
22
[23] Kordestani, Gh. R., & Tatli, R. (2014). Identification the Efficient and Opportunistic Earnings Management Approaches in the Earnings Quality Levels. Journal of The Accounting and Auditing Review, 21(3), 293–312. (in Persian)
23
[24] Kuan, L., Tower, G., Rusmin, R., & Van der Zahn, J. W. M. (2010). related party transactions and earnings management. Journal Akuntansi & Auditing Indonesia, 14(2), 93–115.
24
[25] La Porta, R., Lopez-De-Silanes, F., Shleifer, A. and Vishny, R. (1998). law and finance. Journal of Political Economy. 106, 1113-1155.
25
[26] Lei, A. C., & Song, F. M. (2011). Connected transactions and firm value: Evidence from China-affiliated companies. Pacific-Basin Finance Journal, 19(5), 470-490.
26
[27] Li, F. & Abeysekera, I. & Ma, S. (2011). Earnings Management and the Effect of Earnings Quality in Relation to Stress Level and Bankruptcy Level of Chinese Listed Firms. Corporate Ownership and Control, 9 (1): 366-391.
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[28] Lo, A. W., Wong, R. M., & Firth, M. (2010). Can corporate governance deter management from manipulating earnings? Evidence from related-party sales transactions in China. Journal of Corporate Finance, 16(2), 225-235.
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[29] Lopez de Silanes, F., Johnson, S., La Porta, R., & Shleifer, A. (2000). Tunneling. In American Economic Review Papers and Proceedings, 90(2), 22-27
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[30] Lotfalipour, M. R., Galdipour, S., Arian, O. (2017). The Impact of Related-Party Transactions on the Value Relevance of Earnings in Determining the Stock Market Value of Companies Listed in Tehran Stock Exchange. Quarterly Monetary & Financial Economics, 12(23), 19-44. (in Persian)
30
[31] Ming, J.(2003). Earning management and tunneling through related party transactions: Evidence from Chinese Corporate Group. A Thesis Submitted to the Hong Kong University for the degree of Doctor of Philosophy.
31
[32] Ryngaert, M., & Thomas, S. (2012). Not all related party transactions (RPTs) are the same: Ex ante versus ex post RPTs. Journal of Accounting Research, 50(3), 845-882.
32
[33] Sarlak, N., Akbari, M. (2013).Relationship between related party transactions and earnings management. The Iranian Accounting and Auditing Review, 20 (4): 77-92. (in Persian)
33
[34] Sheri, S., Hamidi, E. (2012). Identifying Motives of Related Party Transactions. Journal of Empirical Reasearch in Accounting, 2 (6): 49-64. (in Persian)
34
[35] Siregar, S. V., & Utama, S. (2008). Type of earnings management and the effect of ownership structure, firm size, and corporate-governance practices: Evidence from Indonesia. The international journal of accounting, 43(1), 1-27.
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[36] Subramanyam, K. R. (1996). The pricing of discretionary accruals. Journal of accounting and economics, 22(1), 249-281.
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[37] Ullah, H., & Shah, A. (2015). Related Party Transactions and Corporate Governance Mechanisms: Evidence from Firms Listed on the Karachi Stock Exchange.
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[38] Vaez, S. A., Anvari, E., Banafi, M. (2017). The effect of ownership structure on the relationship between related party transactions and investment efficiency. Quarterly Financial Accounting Journal, 8(31), 101-132. (in Persian)
38
[39] Wang, J., & Yuan, H. (2012). The impact of related party sales by listed Chinese firms on earnings informativeness and earnings forecasts. International Journal of Business, 17(3), 258–275.
39
[40] Williamson, O. E., (1975). Markets and Hierarchies: Analysis and Antitrust Implications: A Study in the Economics of Internal Organization. New York, NY, The Free Press.
40
ORIGINAL_ARTICLE
بررسی حافظه بلندمدت شاخص بورس اوراق بهادار تهران
نتایج حاصل از پژوهشهای مختلف در خصوص کارآیی برخی از بورسهای اوراق بهادار نشان میدهند که این بازارها فاقد کارآیی، حتی در شکل ضعیف هستند؛ بنابراین ﺑﺎ در ﻧﻈﺮﮔﺮﻓﺘﻦ ناﮐﺎرآﯾﯽ این بازارها میتوان ﻧﺘﯿﺠﻪ ﮔﺮﻓﺖ که ﺑﺎ اﻧﺠﺎم ﻣﻌﺎﻣﻼﺗﯽ ﺑﺮاﺳﺎس ﻣﺠﻤﻮﻋﻪای از اﻃﻼﻋﺎت، میتوان ﺳﻮد اﻗﺘﺼﺎدی ﮐﺴﺐ نمود؛ به این معنا ﮐﻪ ﻋﺪم ﮐﺎرآیی نشانه این امر است ﮐﻪ میتوان مدلهایی طراحی کرد تا سودهای غیرمتعارفی به دست آید. پژوهشهای فراوانی بهمنظور بررسی حافظه بلندمدت و طراحی مدلهای پیشبینی شاخصهای 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 تجزیهوتحلیل سری زمانی است) برای بررسی حافظه بلندمدت و همچنین طراحی مدل پیشبینی استفاده شود. هدف اصلی این پژوهش تجزیهوتحلیل سری زمانی شاخصهای کل و مالی بورس اوراق بهادار تهران است که قلمرو زمانی آن بهصورت روزانه از 08/01/1383 لغایت 24/04/1394 است. بدین منظور از روشهایی از قبیل تبدیل باکس کاکس، دیکی فولر، با استفاده از نرمافزارهای SAS9.4 و R استفاده شده است. نتایج این پژوهش نشان میدهند که شاخصهای بورس اوراق بهادار تهران دارای حافظه با دامنه بلندمدت است، همچنین روش تحلیل دوره نگار در مقایسه با روش آرفیما، روش مناسبی برای پیشبینی شاخصهای بورس اوراق بهادار است و درنهایت میتوان بیان کرد که دوره نهان (دوره قابل تکرار) در بین دادههای شاخص بورس وجود دارد.
https://danesh24.um.ac.ir/article_32166_5321d2367f5125c3c07b7cf4b4f14b68.pdf
2018-04-21
21
48
10.22067/pm.v25i16.67538
واژگان کلیدی: پیش بینی
شاخص کل
شاخص مالی
حافظه بلندمدت
مدل آرفیما
مدل تحلیل دوره نگار
مهدی
مرادی
mhd_moradi@um.ac.ir
1
فردوسی مشهد
LEAD_AUTHOR
مصطفی
اسماعیل بور
m_esmaeilpoor@yahoo.com
2
ازاد مشهد
AUTHOR
[1] Allagidede, P. (2011). “Return Behavior in Africa s Emerging Equity Markets”. The Quarterly Review of Economics and Finance, 51, 133-140.
1
[2] Alam, Z; Siddikee, N; Masukujjaman, M. (2013). “Forecasting Volatility of Stock Indices with ARCH Model”. Journal of Financial Research, 4. (2), 126-143.
2
[3] Araujo, de A; Ricardo, Ferreira, A.E. Tiago. (2009). “A Morphological-Rank-Linear evolutionary method for stock market prediction” Information Sciences, 237, 3-17.
3
[4] Asadi, Shahrokh& Hadavandi Esmaeil& Mehmanpazir Farhad&Nakhostin Mohammad Masoud. (2012). “Hybridization of evolutionary Levenberg–Marquardt neural networks and data pre-processing for stock market prediction” Knowledge-Based Systems, 35, 245-258.
4
[5] Barkoulas, J. T; & Baum, C. F. (1996). “Long Term Dependence in StockReturns”. Economics Letters. 53( 3). 253-259.
5
[6] Diebolt ,C and V. Guiraud. (2005) " A note on long memory time series" Quality and Quantity . 39(6):827-836.
6
[7] Erfani, Alireza. (1388). Prediction of total index, ARIFMA Tehran Stock Exchange with model. Economic researches, University of Tehran, period 86. (in Persian)
7
[8] Green, L; Myerson, J. (2003). “Discounting delayedband probabilistic rewards”, Journal of Economis Psychology, 24 (5), 619-635.
8
[9] Komijani, Akbar., Naderi, Esmaeel., Gandali Alijani, Nadia. (1394). Long-term memory survey on Tehran Stock Exchange index stock returns. Quarterly journal of treasury of the third year, 3, 67-82(in Persian).
9
[10] Majhi, Ritanjali; Panda, G; Sahoo, G. (2009) “Development and performance evaluation of FLANN based model for forecasting of stock markets” Expert Systems with Applications, 36( 3), 6800-6805.
10
[11] Man,K.S. (2003).“Longmemorytime series and short term forecasts”.International Journal of Forecasting, 19( 3), 477-491.
11
[12] Moradi, Mahdi, Sadooghi yazdi, Hadi, Abdollahian, Javad., (1394). New engineering approach to predict exchange index fluctuations. Journal of Business Accounting, Shiraz University, 7( 2), 117-148. (in Persian).
12
[13] Murari, K. (2013). “Volatility Modeling and Forecasting for Banking Stock Returns”. International Journal of Banking, Risk and Insurance, 1( 2) , 11-22.
13
[14] Poon, S; C. Granger. (2003). "Forecasting Volatility in Financial Markets: A Review",Journal of Economic Literature. 41( 2), 478-539.
14
[15] Sheraee, Saeed., Sanaee, Alam Mohsen. (1389). Investigating the long-term sustainability of Tehtan Stack Exchange and evaluating long-term memory models. Journal of Financial Accounting Research, second year, 4( 6),173-186(in Persian).
15
[16] Wright ,J. (1996), "Testing for structural break at unknown date with long –memory disturbances" Journal of time series analysis, 19(3),369-376.
16
ORIGINAL_ARTICLE
تأثیر نااطمینانی نرخ ارز بر تراز تجاری غیرنفتی ایران: رهیافت الگوی تلاطم تصادفی
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 تأمین میشود، تغییر آن، مجموعهای از تغییرات متفاوت و حتی متضاد را در بخش خارجی و داخلی اقتصاد به همراه دارد که برآیند آن میتواند عملکرد اقتصاد کشور را تحت تأثیر قرار دهد. این پژوهش به بررسی تأثیر 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 میشود. سپس اثر نااطمینانی نرخ ارز بر تراز تجاری غیرنفتی ایران با استفاده از مدل تراز تجاری اصلاح شده رز و یلن و روش همجمعی یوهانسون-جوسیلیوس و دادههای فصلی دوره زمانی 1368-1394 برآورد میگردد. نتایج تحقیق نشان میدهد که در بلندمدت نرخ ارز واقعی و نااطمینانی آن تأثیر 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 میشود.
https://danesh24.um.ac.ir/article_32251_d41d8cd98f00b204e9800998ecf8427e.pdf
2018-04-21
49
80
10.22067/pm.v25i16.64262
نرخ ارز واقعی
تراز تجاری غیرنفتی
نااطمینانی
مدل تلاطم تصادفی
همجمعی
بهنام
الیاس پور
behnamelyaspour@gmail.com
1
فردوسی مشهد
AUTHOR
محمدطاهر
احمدی شادمهری
shadmhri@um.ac.ir
2
دانشگاه فردوسی مشهد
LEAD_AUTHOR
محمدرضا
لطفعلی پور
lotfalipour@um.ac.ir
3
فردوسی مشهد
AUTHOR
محمدعلی
فلاحی
falahi@um.ac.ir
4
فردوسی مشهد
AUTHOR
[1] Ahmadi Shadmehri, M. & Ahmadian Yazdi, F. (2012). The Study of The Impact of Real Exchange Rate on the Iran’s Non-Oil Trade, Journal of Economy and Regional Development, 19(4), 114-155. (In Persian)
1
[2] Ali, D. A., Johari, F. & Alias, M. H. (2014). The Effect of Exchange Rate Movements on Trade Balance: A Chronological Theoretical Review. Economics Research International, 343-349.
2
[3] Asgharpour, H., mohammadpour, S., rezazadeh, A. & jahangiri, K.h. (2012). The Effect of Exchange Rate Volatility on Agricultural Export, Journal of Agricultural Economics Reseach, 4(1), 121-137. (In Persian)J
3
[4] Bahmani-Oskooee, M. & Bolhassani, M. (2014). Exchange Rate Uncertainty and Trade between US and Canada: Is There Evidence of Third-Country Effect?. The International Trade Journal, 28(1), 23-44.
4
[5] Bahmani-Oskooee, M. & Ratha, A. (2004). The J-curve: a literature review. Applied economics, 36(13), 1377-1398.
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[6] Bahmani-Oskooee, M. & Brooks, T. J. (1999). Bilateral J-curve between US and her trading partners. Weltwirtschaftliches Archiv, 135(1), 156-165.
6
[7] Bakhromov, N. (2011). The Exchange Rate Volatility and the Trade Balance: Case of Uzbekistan. Journal of Applied Economics and Business Research, 1(3), 149-161.
7
[8] Bauwens, L., Hafner, C. M. & Laurent, S. (2012). Handbook of Volatility Models and Their Applications (Vol. 3). John Wiley and Sons.
8
[9] Duasa, J. (2007). Determinants of Malaysian Trade Balance: An ARDL Bound Testing Approach. Global Economic Review, 36(1), 89-102.
9
[10] Falahi, M.A., Homayounifar M. & Yavari Z. (2013). The Effects of Exchange Rate Volatility on Export Demand for Apple and Potato (The Main Developing Producer and Exporting Countries), Journal of Agricultural Economics and Development, 27(3), 204-212. (In Persian)
10
[11] Gandolfo, G. (2013). International Economics II: International Monetary Theory and Open-Economy Macroeconomics. Springer Science and Business Media.
11
[12] Hasani Dizaji, K. (2011). The Study of The Effect of Exchange Rate Fluctuations on The Trade of Selected Agricultural Products and The Trade Balance of The Agricultural Sector, Master's Thesis, Tarbiat Modares University. (In Persian)
12
[13] Heidari, H., Salehiyan Salehi Nejad, Z. & Feizi, S. (2014). Investigation and Analysis of Iran’s Trade Balance Reaction to Exchange Rate Changes: A Time Varying Parameter Approach, Journal of Economic Research, 14(54), 67-99. (In Persian)
13
[14] Heidari, H. & Zarei, F. (2012). Investigating the Commercial Relations between Iran and Its Other Major Trading Partner Focusing on J-Curve Test, Journal of Economical Modeling, 6(18), 83-103. (In Persian)
14
[15] Herve, G. B. D., Shen, Y. & Amed, A. (2010). The effects of real exchange rate on trade balance in Cote d’Ivorie: Evidence from the cointegration analysis and error-correction models. MPRA Paper No. 21810
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[16] Huchet-Bourdon, M. & J. Korinek. (2012). Trade Effects of Exchange Rates and Their Volatility: Chile and New Zealand, OECD Trade Policy Papers, No. 136, OECD Publishing.
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[17] Huchet-Bourdon, M. & J. Korinek. (2011). To What Extent Do Exchange Rates and Their Volatility Affect Trade?, OECD Trade Policy Papers, No. 119, OECD Publishing.
17
[18] Igue, N. N. & Ogunleye, T. S. (2014). Impact of Real Exchange Rate on Trade Balance in Nigeria. African Development Review, 26(2), 347-358.
18
[19] Kemal, M. A. (2005). Exchange Rate Instability and Trade: The Case of Pakistan (No. 2005: 186). Pakistan Institute of Development Economics.
19
[20] Lal, A. & Lowinger, T. (2002). The J-curve: Evidence from East Asia. Journal of Economic Integration, 17(2): 397-415.
20
[21] Lindert, P.H. & Pugel, T.A. (1996). International Economics (10th Ed.). United States of America: Irwin, Chicago.
21
[22] Lotfalipour, M. R., & Bazargan, B. (2014). The Impact of Exchange Rate Volatility on Trade Balance of Iran. Advances in Economics and Business, 2(8), 293-302.
22
[23] Lotfalipour, M.R. & Bazargan, B. (2016). The Study of Real Effective Exchange Rate, Export and Import Changes on Trade Balance in Iran, Journal of the Economic Research, 16(1), 73-94. (In Persian)
23
[24] Mansouri Bidakani, M. (2014). The Impact of Exchange Rate Uncertainty on Iran's Exports and Imports, Master's Thesis, Azad University. (In Persian)
24
[25] Memarian, E. & Jalali Naeeni, A.R. (2010). Short-Run and Long-Run Effects of Exchange Rate Shocks on Iran's Trade Balance (J-Curve Phenomenon Test Based on a VECM Model), Journal of Economic Research, 10(37), 45-69. (In Persian)
25
[26] Mohammadi, T., Taghavi, M. & Bandidarian, A. (2012). The Effect of Exchange Rate Uncertainty on Import with TARCH Approach. International Journal of Management and Business Research, 1(4), 211-220.
26
[27] Narayan, P. K. (2006). Examining the Relationship between Trade Balance and Exchange Rate: The Case of China’s Trade with the USA. Applied Economics Letters, 13(8): 507-510.
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[28] Ng, Y. L., Har, W. M. & Tan, G. M. (2009). Real Exchange Rate and Trade Balance Relationship: An Empirical Study on Malaysia. International Journal of Business and Management, 3(8), 130.
28
[29] Nouri, M. & Navidi, H. (2013). The Exchange Rate Risk and Non-Oil Export in Iran, Journal of Economic Growth and Development Research, 3(9), 59-70. (In Persian)
29
[30] Ogutu, G. O. (2014). Effects Of The Real Exchange Rate on The Trade Balance in Kenya. International institute of social studies.
30
[31] Ozturk, I. (2006). Exchange Rate Volatility and Trade: A Literature Survey. International Journal of Applied Econometrics and Quantitative Studies, 3(1), 85-102.
31
[32] Pedram, M., Shirinbakhsh, S. & Rahmani, M. (2011). The J-Curve Dynamics of Iran Foreign Trade, Journal of Economic Research and Polices, 19(60), 5-18. (In Persian)
32
[33] Pesaran, H. H. & Shin, Y. (1998). Generalized Impulse Response Analysis In Linear Multivariate Models. Economics letters, 58(1), 17-29.
33
[34] Rahimi, H. (2001). The Study of the Effect of Exchange Rate Changes on Export Prices and Trade Balance: The Case of Iran (1966-1997), Master's Thesis, Shiraz University. (In Persian)
34
[35] Rasekhi, S., Montazeri, M. & Pasha, P. (2015). Asymmetric Non Linear Response of Trade Balance to Real Exchange Rate Changes: A Case Study of Iran, Journal of Fiscal and Economic Policies, 2(8), 41-62. (In Persian)
35
[36] Rose, A. K. & Yellen, J. L. (1989). Is There a J-Curve?. Journal of Monetary economics, 24(1), 53-68.
36
[37] Salvatore, D. (2013). International Economics. John Wiley & Sons.
37
[38] Sepahvand, E., Niroomand, R. & Zare Mehrjerdi M R. (2015). Effective Factors in Iran Exchange Rate. Journal of Economic Development Research, 4(16), 23-42. (In Persian)
38
[39] Shahbaz, M., Jalil, A. & Islam, F. (2010). Real Exchange Rate Changes and Trade Balance in Pakistan: A revisit. MPRA Paper No. 27631 posted 23.
39
[40] Shao, Z. (2008). Exchange Rate Changes and Trade Balance: An Emprical Study of the Case of Japan. Singapore Management Universty, 1-49.
40
[41] Sharif Azadeh, M.R. & Haghighat, A. (2005). The Effective Determinants of Exchange Rates in Iran, Journal of Management System, 17(3), 31-43. (In Persian)
41
[42] Shirvani, H. & Wilbratte, B. (1997). The Relationship between the Real Exchange Rate and the Trade Balance: An Empirical Reassessment. International economic journal, 11(1), 39-50.
42
[43] Soori, A. (2012). Econometric With Application of Eviews 7, Nourelm, Fifth Edition. (In Persian)
43
[44] Stanèik, J. (2007). Determinants of Exchange-Rate Volatility: The Case of the New EU Members. Czech Journal of Economics and Finance (Finance a uver), 57(9-10), 414-432.
44
[45] Stucka, T. (2004). The Effects of Exchange Rate Change on the Trade Balance in Croatia. IMF Working Papers, 2004(65), 1-29.
45
[46] Takahashi, M., Omori, Y. & Watanabe, T. (2009). Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously. Computational Statistics and Data Analysis, 53(6), 2404-2426.
46
[47] Tenreyro, S. (2007). On the Trade Impact of Nominal Exchange Rate Volatility. Journal of Development Economics, 82(2), 485-508.
47
[48] Torki, L., Tayebi, K., yazdani, M. & Fathi, E. (2014). Dynamics of Iranian Trade with Ten Trade Partners to Exchange Rate Changes According to Financial Crisis Index, Journal of Economic Research, 14(53), 167-196. (In Persian)
48
[49] Trinh, P. T. T. (2012). The Impact Of Exchange Rate Fluctuation On Trade Balance In Short And Long Run (No. 23). Development and Policies Research Center (DEPOCEN), Vietnam.
49
[50] Vargas, G. (2010). Exchange Rate Volatility and Trade: EA-11 and Mexico, Master Thesis In Economics, Jönköping University.
50
[51] Wang, C. H., Lin, C. H. A. & Yang, C. H. (2012). Short-Run and Long-Run Effects of Exchange Rate Change on Trade Balance: Evidence from China and Its Trading Partners. Japan and the World Economy, 24(4), 266-273.
51
[52] Vartabian Kashani, H. (2014). The Analysis of Exchange Rate Volatilities during (2010-2012), Journal of Fiscal and Economic Policies, 1(4), 131-154. (In Persian)
52
[53] Yu, J. & Meyer, R. (2006). Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison. Econometric Reviews, 25(2-3), 361-384.
53
[54] Yusoff, M. B. (2010). The Effects of Real Exchange Rate on Trade Balance and Domestic Output: A Case of Malaysia. The International Trade Journal, 24(2), 209-22.
54
ORIGINAL_ARTICLE
بررسی رابطه رقابت و کارایی هزینه در صنعت بانکداری ایران
رابطه بین کارایی هزینه و رقابت در صنعت بانکی به دلیل اهمیت بالای کارایی هزینه بانکها در رشد اقتصادی همواره یکی از دغدغههای اصلی سیاستگذاران است. مطالعه حاضر با استفاده از دادههای 18 بانک خصوصی و دولتی برای دوره زمانی 1385 تا 1393 به بررسی رابطه بین کارایی هزینه و رقابت در صنعت بانکداری ایران میپردازد؛ به همین دلیل از تابع هزینه ترانسلوگ برای برآورد کارایی هزینه بانکها و از شاخص بون برای برآورد رقابت استفاده میشود. نتایج حاصل از علیت گرنجری نشان میدهد 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 میدهد که افزایش رقابت باعث افزایش عدم کارایی و افزایش کارایی باعث کاهش رقابت بین بانکها میشود؛ بنابراین نظارت دقیق بانک مرکزی بر ورود بانکهای جدید برای بهبود کارایی نظام بانکی و عملکرد آنها در زمینه اعتبارات و نرخ بهره سپرده امری لازم و ضروری است.
https://danesh24.um.ac.ir/article_32268_940df0cf773e2bcfc308d8f77cae5e07.pdf
2018-04-21
81
104
10.22067/pm.v25i16.63947
کارایی هزینه
صنعت بانکی
تابع هزینه ترانسلوگ
رقابت
شاخص بون
سهراب
دلانگیزان
sohrabdelangizan@gmail.com
1
دانشگاه رازی
AUTHOR
یونس
گلی
younes.goli67@gmail.com
2
دانشگاه رازی
LEAD_AUTHOR
[1] Al-Gasaymeh, A. (2016). Bank efficiency determinant: Evidence from the gulf cooperation council countries. Research in International Business and Finance, 38, 214-223.
1
[2] Andrieş, A. M., & Căpraru, B. (2014). The nexus between competition and efficiency: The European banking industries experience. International Business Review, 23(3), 566-579.
2
[3] Ariss, R. T. (2010). On the implications of market power in banking: Evidence from developing countries. Journal of banking & Finance, 34(4), 765-775.
3
[4] Battese, G. E., & Coelli, T. J. (1995). A model for technical inefficiency effects in a stochastic frontier production function for panel data. Empirical economics, 20(2), 325-332.
4
[5] Berger, A. N. (1995). The profit-structure relationship in banking--tests of market-power and efficient-structure hypotheses. Journal of Money, Credit and Banking, 27(2), 404-431.
5
[6] Berger, A. N., & Hannan, T. H. (1998). The efficiency cost of market power in the banking industry: A test of the “quiet life” and related hypotheses. The Review of Economics and Statistics, 80(3), 454-465.
6
[7] Boone, J. (2008). A new way to measure competition. The Economic Journal, 118(531), 1245-1261.
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[8] Boot, A., & Schmeits, A. (2006). The competitive challenge in banking. Advances in Corporate Finance and Asset Pricing, 133-160.
8
[9] Casu, B., & Girardone, C. (2009). Does competition lead to efficiency? The case of EU commercial banks.
9
[10] Chen, C. (2009). Bank efficiency in Sub-Saharan African middle income countries (No. 9-14). International Monetary Fund.
10
[11] Chen, X. (2007). Banking deregulation and credit risk: Evidence from the EU. Journal of Financial Stability, 2(4), 356-390.
11
[12] Claessens, S., & Laeven, L. (2005). Financial dependence, banking sector competition, and economic growth. Journal of the European Economic Association, 3(1), 179-207.
12
[13] Claeys, S., & Vander Vennet, R. (2008). Determinants of bank interest margins in Central and Eastern Europe: A comparison with the West. Economic Systems, 32(2), 197-216.
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[14] Debreu, G. (1951). The coefficient of resource utilization. Econometrica: Journal of the Econometric Society, 273-292.
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[15] Demsetz, H. (1973). Industry structure, market rivalry, and public policy. The Journal of Law and Economics, 16(1), 1-9.
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[16] Dick, A. A., & Lehnert, A. (2010). Personal bankruptcy and credit market competition. The Journal of Finance, 65(2), 655-686.
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[17] Evanoff, D. D., & Ors, E. (2002). Local market consolidation and bank productive efficiency.
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[18] Farrell, M. J. (1957). The measurement of productive efficiency. Journal of the Royal Statistical Society. Series A (General), 120(3), 253-290.
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[19] Goldberg, L. G., & Rai, A. (1996). The structure-performance relationship for European banking. Journal of Banking & Finance, 20(4), 745-771.
19
[20] Hicks, J. R. (1935). Annual survey of economic theory: the theory of monopoly. Econometrica: Journal of the Econometric Society, 1-20.
20
[21] Issa Zadeh, S., & Shaeri, z. (2012). The Effect of Macroeconomic Stability on the Efficiency of the Banking System (Case Study of Middle East and North Africa). Monetary, Financial Economics, 3(19), 53-86. (in Persian)
21
[22] Kasman, A., & Carvallo, O. (2014). Financial stability, competition and efficiency in Latin American and Caribbean banking. Journal of Applied Economics, 17(2), 301-324.
22
[23] Kodadkashi, F., & Hajian, M. (2013). Evaluating Cost-Efficiency of Iran's Banking Industry: 2001-2007. The Journal of Planning and Budgeting. 18 (1), 3-24. (in Persian)
23
[24] Koetter, M., Kolari, J. W., & Spierdijk, L. (2012). Enjoying the quiet life under deregulation? Evidence from adjusted Lerner indices for US banks. Review of Economics and Statistics, 94(2), 462-480.
24
[25] Koetter, M., Kolari, J., & Spierdijk, L. (2008, February). Efficient competition? Testing the quiet life of US banks with adjusted Lerner indices. In Proceedings 44th Bank Structure and Competition Conference, Federal Reserve Bank of Chicago (pp. 234-252).
25
[26] Koopmans, T. C. (1951). Efficient allocation of resources. Econometrica: Journal of the Econometric Society, 455-465.
26
[27] Marquez, R. (2002). Competition, adverse selection, and information dispersion in the banking industry. The Review of Financial Studies, 15(3), 901-926.
27
[28] Najarzadeh, R., Ezati, M., Mirnejad, H.(2012). A Study of the Competitiveness of the Iran’s Banking System using Panzar-Rosse Model. Iranian Journal of Economic research, 17(51), 157-179. (in Persian)
28
[29] Phan, H. T. M., Daly, K., & Akhter, S. (2016). Bank efficiency in emerging Asian countries. Research in International Business and Finance, 38, 517-530.
29
[30] Pruteanu-Podpiera, A., Weill, L., & Schobert, F. (2008). Banking competition and efficiency: A micro-data analysis on the Czech banking industry. Comparative Economic Studies, 50(2), 253-273.
30
[31] Smirlock, M. (1985). Evidence on the (non) relationship between concentration and profitability in banking. Journal of money, credit and Banking, 17(1), 69-83.
31
[32] Tan, Y., & Floros, C. (2013). Risk, capital and efficiency in Chinese banking. Journal of International Financial Markets, Institutions and Money, 26, 378-393.
32
[33] Weill, L. (2004). On the relationship between competition and efficiency in the EU banking sectors. Kredit und Kapital, 329-352.
33
[34] Williams, J. (2012). Efficiency and market power in Latin American banking. Journal of Financial Stability, 8(4), 263-276.
34
[35] Zarutskie, R. (2013). Competition, financial innovation and commercial bank loan portfolios. Journal of Financial Intermediation, 22(3), 373-396.
35
[36] Zhao, H., & Kang, S. (2015). Cost efficiency of Chinese commercial banks. International Journal of Finance and Accounting, 4(3), 180-186.
36
ORIGINAL_ARTICLE
بررسی اثرات نامتقارن نرخ ارز بر بازدهی صنایع منتخب در بورس اوراق بهادار تهران (با استفاده از الگوی NARDL)
سیاست مدیریت نرخ ارز کمک میکند تا بازار سهام از اثرات نرخ ارز در امان بماند؛ همانطور که برای استراتژیهای سرمایهگذاری، سرمایهگذاران میتوانند بدون در نظر گرفتن نرخ ارز در کوتاهمدت سرمایهگذاری کنند، ولی برای سرمایهگذاری 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 شوکهای مثبت و منفی نرخ ارز بر شاخص قیمتهای صنایع مختلف موجود در بورس اوراق بهادار در قالب مدل CAPM و با استفاده از الگوی وقفههای توزیعی خود رگرسیونی غیرخطی (NARDL) بهصورت ماهانه طی دوره زمانی فروردینماه 1391 الی اسفندماه 1394 بررسی شده است. نتایج حاکی از آن است که صنایع موجود در بورس اوراق بهادار تحت تأثیر شوکهای مثبت و منفی نرخ ارز بوده و این اثرگذاری بر صنایع مختلف، متفاوت هست؛ بهطوریکه اثرات شوکهای مثبت و منفی نرخ ارز در صنایع «زراعت»، «منسوجات»، «لاستیک»، «فنی و مهندسی»، «چرم»، «وسایل ارتباطی»، «محصولات فلزی»، «مواد دارویی»، «مواد شیمیایی» و «چند رشتهای صنعتی» بهصورت متقارن است. درحالیکه در صنایع «بانک»، «خودرو»، «فلزات اساسی»، «انتشارات و چاپ»، «دستگاههای برقی»، «رایانه»، «ابزار پزشکی»، «سیمان»، «مالی»، «غیرمالی»، «سرمایهگذاریها»، «کاغذ»، «کانه غیرفلزی» و «ماشینآلات» در کوتاهمدت نامتقارن و در صنایع «کاشی و سرامیک» در بلندمدت نامتقارن است. همچنین در صنایع «انبوهسازی»، «فرآوردههای نفتی»، «حملونقل»، «زغالسنگ»، «مواد دارویی»، «چوب»، «قند و شکر» و «مواد غذایی بهجز قند» در بلندمدت و کوتاهمدت نامتقارن است.
https://danesh24.um.ac.ir/article_32301_9bb6cc10628a67a19820d2f4cca5a4d3.pdf
2018-04-21
167
200
10.22067/pm.v25i16.59735
نرخ ارز
بازده سهام
بورس اوراق بهادار تهران
الگوی وقفههای توزیعی خود رگرسیونی غیرخطی (NARDL)
سیاب
ممی پور
mamipours@gmail.com
1
دانشگاه خوارزمی
LEAD_AUTHOR
زیبا
ساسانیان اصل
ziba.sasanian@gmail.com
2
خوارزمی
AUTHOR
[1] Abunoori, A., Abdollahi, M., Hamzeh, M. (2012). Assess the dynamics of the relationship between exchange rate and stock index of Tehran Stock Exchange using bivariate GARCH model, Journal of Commerce, No. 65 (2) 65-86. (in Persian)
1
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2
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3
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4
[5] Azman –Saini, W.N.W., Habibullah, M.S., Law, S. H., Dayang-Afizzah, A.M. (2006). Stock prices, Exchange rates and Causality in Malayisa, MPRA paper,No. 656.
5
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6
[7] Carlos Cuestas, J., Tang, B. (2015). Asymmetric Exchange Rate Exposure of Stock Returns, Sheffield Economic Research Paper Series.
7
[8] Chang, H., C. Su and Y. Lai. (2009). Asmmetric price Transmissions between the Exchange Rate and Stock Morket in Vietnam. International Research Journal of Finance and Economics,No 23, pp 104-113.
8
[9] Chinzara, Z. (2011). Macroeconomic Uncertainty and Conditional Stock Market Volatility in South Africa, South African Journal of Economics, 79(1). pp.27-49.
9
[10] Chue, T.K., Cook, D., 2008. Emerging market exchange rate exposure. Journal of Banking & Finance,32(7). 1349-1362
10
[11] Dominguez, K.M., Tesar, L.L. (2001). A Reexamination of Exchange-Rate Exposure. American Economic Review,91(2). 396-399
11
[12] Du, D., Hu, O. (2012). Exchange rate risk in the US stock market. Journal of International Financial Markets, Institutions and Money,22(1). 137-150
12
[13] Gan, C., Lee, M.,Yong, H.H. A., Zhang, J. (2006). Macroeconomic variables and stock market interactions: NEW ZEALAND evidence, Investment Management and Financial Innovations, 3(4). pp.89-101.
13
[14] Granger, C.W., Yoon, G., (2002). Hidden cointegration. University of California, Working Paper 2002-02.
14
[15] Heydari, H., Bashiri, S. (2012). Uncertainty investigate the relationship between real exchange rate and stock price index in Tehran Stock Exchange: Some Evidence from VAR-GARCH model, Economic Modeling Research, No. 9 (3) 71-92.
15
[16] Jorion, P. (1990). The exchange rate exposure of U.S. Multinationals, Journal of Business 63, pp.331–345.
16
[17] Merabian, A., Chegini, A. (2014). The effect of exchange rate fluctuations on the stock price in Iran, Journal of applied Economics, No. 13 (4) 65-78. (in Persian)
17
[18] Moradi, M., Farhadi Sharif Abadi, M., Eskandari, A. (2013). The effect of exchange rate variations on yields publishing industry in the Tehran Stock Exchange: Some Evidence from GARCH model, Journal publishing, No. 7 (2) . (in Persian)
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[20] Namdari, H. (2004). Master's Thesis, Exchange rate fluctuations and the impact on the boom and bust stock, University of Allameh Tabatabai (ra) . (in Persian)
20
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ORIGINAL_ARTICLE
ارزیابی تابآوری سیستم بانکی ایران و عوامل مؤثر بر آن
طی چند دهه گذشته افزایش بروز بحران در بازارهای مالی و بانکی، در کنار افزایش عمق و گسترده بودن این بحرانها، موجب توجه بیشتر سیاستگذاران و ناظران مالی به این حوزه شده است. در این میان با توجه به اهمیت و نقش پررنگ بانکها در بازارهای کشور انجام مطالعاتی در جهت افزایش تابآوری سیستم بانکی و همچنین حفظ و تداوم ثبات و رشد اقتصادی ضروری به نظر میرسد. بر این اساس در این پژوهش نخست تابآوری بانکهای کشور مورد بررسی و ارزیابی قرار گرفت. نتایج نشان میدهد که بانکهای خصوصی درمجموع نسبت به بانکهای دولتی تابآوری بیشتری دارند. همچنین بررسی عوامل تعیین کننده تابآوری بانکها نشان میدهد که نسبت حقوق صاحبان سهام، سهم درآمدهای غیرمشاع از کل درآمدها و نسبت تسهیلات پرداختی به داراییهای بانکها رابطهای مستقیم و نسبت تسهیلات اعطایی به سپردهها رابطهای غیرمستقیم با تابآوری بانکها داشتهاند. همچنین نتایج بیانگر معنیدار نبودن اثر اندازه بانکها بر میزان تابآوری بانکهای کشور است.
https://danesh24.um.ac.ir/article_32340_d41d8cd98f00b204e9800998ecf8427e.pdf
2018-04-21
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10.22067/pm.v25i16.64030
تاب آوری بانکی
بانکداری مقاومتی
اقتصاد مقاومتی
شاخص ولاره
میثم
امیری
amiry82@yahoo.com
1
دانشگاه علامه طباطبایی
LEAD_AUTHOR
محمد جواد
محقق نیا
mgmohagh@yahoo.com
2
دانشگاه علامه طباطبایی
AUTHOR
علی
بالاوندی
balavandi.ali@gmail.com
3
دانشگاه علامه طباطبایی
AUTHOR
[1] Abdolshah fatemeh, gheiasvand abolfazl. (2015). Concept and Evaluation of Iran's Economy Sustainability. Quarterly Journal of Economic Research.pp 161-187, (in persian).
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[2] Dehghann dehnavi mohammad ali, balavandi ali, kardor soudeh. (2015). Review the performance of development banks in business cycles. The second conference on the role of development banks in the development and prosperity of the country, (in persian).
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[5] Adam Rose. (2009). Economic resilience to disasters. Community and Regional Resilience Institute.
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[6] April, Voxeu. Retrieved from http://www.voxeu.org/article/regulators-should-encourage-more-diversity-financialsystem
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[10] European Central Bank, “Global Liquidity: Measurement and Financial Stability Implications.” ECB: Financial Stability Review, 2011
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ORIGINAL_ARTICLE
عوامل تعیینکنندۀ سودآوری در نظام بانکی ایران با تأکید بر ساختار بازار و رفتار ریسکپذیری
در ایران نقش بازار پول (بانکها) در تأمین مالی بخشهای مختلف اقتصادی بهمراتب قویتر از بازار سرمایه (بورس اوراق بهادار) است. طی دو دهۀ گذشته، سیستم بانکی در سراسر دنیا تغییرات قابل ملاحظهای را در محیط فعالیت خود تجربه کرده است و عوامل داخلی و خارجی متعددی بر ساختار و عملکرد آن تأثیرگذار بوده است. باوجوداین بر خلاف تمامی تغییرات مذکور، سیستم بانکی همچنان میداندار اصلی تأمین مالی فعالیت اقتصادی در بسیاری از کشورهاست؛ بنابراین ارزیابی عملکرد نظام بانکی حائز اهمیت است. سودآوری ازجمله عوامل تأثیرگذار در ارزیابی عملکرد بانکها محسوب میشود؛ ازاینرو شناخت عوامل مؤثر بر آن که مشتمل بر عوامل درونی و بیرونی است، ضروری مینماید. در این پژوهش به بررسی اثرات ساختار بازار و رفتار ریسکپذیری بر سودآوری نظام بانکی ایران (33 بانک) طی دورۀ 1382-1393 پرداخته شده است. یافتهها با استفاده از رهیافت پنلدیتا و روش GLS نشان میدهد 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، تأیید کنندۀ فرضیۀ ساختار – رفتار – عملکرد است. نتایج دیگر اینکه سودآوری نظام بانکی ایران تحت تأثیر مثبت بهرهوری کارکنان، شاخص توسعۀ بازار سرمایه و شاخص مدیریت هزینه و تأثیر منفی شاخصهای نقدینگی و تنوع عملیات بانکی بوده است.
https://danesh24.um.ac.ir/article_32368_d41d8cd98f00b204e9800998ecf8427e.pdf
2018-04-21
1
20
10.22067/pm.v25i16.62055
سودآوری
ساختار بازار
ریسک پذیری
نظام بانکی
پنل دیتا
محمد حسن
فطرس
fotros@basu.ac.ir
1
بوعلی سینا
AUTHOR
مهدی
فردوسی
ferdosi.mahdi@yahoo.com
2
دانشگاه بوعلی سینا همدان
LEAD_AUTHOR
سعید
عیسی زاده
saeed_isazadeh@yahoo.com
3
بوعلی سینا
AUTHOR
حمید
سپهردوست
hamidbasu134@gmail.com
4
بوعلی سینا
AUTHOR
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