Financial monetary economy
Eisa Abbasi; Taymoor Mohamadi; Seyed Shamsedin Hosseini
Abstract
1- INTRODUCTION
Considering that cryptocurrencies exhibit commodity characteristics such as demand shocks, high price fluctuations, etc., cryptocurrencies can be compared with the behavior of the gold and oil markets (except when there is uncertainty about the supply conditions of gold and oil. ...
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1- INTRODUCTION
Considering that cryptocurrencies exhibit commodity characteristics such as demand shocks, high price fluctuations, etc., cryptocurrencies can be compared with the behavior of the gold and oil markets (except when there is uncertainty about the supply conditions of gold and oil. There is no such uncertainty in the cryptocurrency market). Therefore, due to the commodity nature of Bitcoin, the price of oil and gold can affect the price fluctuations of cryptocurrencies. It seems that cryptocurrencies can play the role of a safe haven for commodity market investors, so the cryptocurrency market can cover the fluctuations in gold and oil prices. Commodity markets, which this study focuses on gold, oil and cryptocurrencies, have a series of characteristics. It seems that the gold market has surpassed the cryptocurrency and oil market in absorbing information, while the cryptocurrency market has higher price fluctuations than the gold and oil markets. Empirical evidence shows that Bitcoin can have a close relationship with the commodity market.Therefore, due to the commodity nature of Bitcoin, the price of oil and gold can affect the price fluctuations of cryptocurrencies.بنابراین، به دلیل ماهیت کالایی بیت کوین، قیمت نفت و طلا می تواند بر نوسانات قیمت ارزهای رمزپایه تأثیر بگذارد.
Therefore, due to the commodity nature of bitcoin, the price of oil and gold can affect the fluctuations of the price of crypto-currencies.
بنابراین، به دلیل ماهیت کالایی بیت کوین، قیمت نفت و طلا می تواند بر نوسانات قیمت ارزهای دیجیتال تأثیر بگذارد.
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2- THEORETICAL FRAMEWORK
Every person in the financial markets who has an asset portfolio tries to increase or maintain the value of his asset portfolio. The position of each asset in the portfolio has two characteristics: return (price change) and risk (price volatility). The behavior of asset portfolio owners is such that they try to increase returns and reduce risk. In this framework, they buy or sell assets in their portfolio in order not only to prevent the value of their asset portfolio from decreasing, but also to increase the value of their wealth. This behavior of the capital owners leads to the creation of connections between the global markets, including oil, gold, and cryptocurrencies, so that their yield fluctuations are connected to each other through the risk spillover effect. The asset allocation models have been investigated in a practical way for about half a century. The most well-known asset allocation model is the mean-variance strategy (modern portfolio theory), which was first developed by Markowitz (1952) to describe the process of optimal capital allocation, assuming a fixed investment opportunity set, between different asset groups over a period.
3- METHODOLOGY
In this study, the 𝑉𝐴𝑅− 𝑀𝐺𝐴𝑅𝐶𝐻 − 𝐺𝐽𝑅 – 𝐵𝐸𝐾𝐾 model has been used in order to investigate the asymmetric effects of turbulence spillover between the oil, gold and bitcoin markets because of the following advantages. First, this model has high flexibility. Second, in this model, unlike constant conditional correlation (CCC) models, the conditional correlation changes over time. In addition, it is possible to check several markets at the same time. The existence of the covariance equation makes it possible to examine the simultaneous relationship between two markets. In the BEKK model, the fluctuations of a market are affected by the fluctuations and shocks of other markets, the shocks of that market and the covariance of the markets. In other words, the effects of the markets on each other, which is reflected in the delayed covariance, have an effect on the fluctuations of the markets. These effects can be symmetrical or asymmetrical. Also, this model makes it possible to have a dynamic dependence between the fluctuations of the variables. The only disadvantage of this model is that it is not suitable for examining more than three or four markets due to the increase in parameters.
4- RESULTS & DISCUSSION
The results indicate that the contribution of the memory of turbulence in explaining the current turbulence is greater than the impact of past shocks. The impact of past impulses and the memory of the turbulences of cryptocurrencies is high on the turbulences of this market. In other words, it can be said that fluctuations in the cryptocurrency market are significantly explained by the past impulses of this market. The results show that there is one-way turbulence spillover from the Bitcoin market to the gold market and the oil market, but the opposite is not true. The results of the study also indicate leverage effects in the markets. The leverage effects of the gold market shock along with the oil and bitcoin market shocks on the gold market are significant. The leverage effects of the oil market shock along with the gold and bitcoin market shocks are also significant on the oil market and the leverage effects are also significant for the bitcoin market.
The results of the study indicate leverage effects in the markets, in other words, positive and negative shocks have different effects on price fluctuations, and bad news has a greater effect than good news on price fluctuations.
نتایج تحقیق حاکی از تأثیرات اهرمی در بازارها است، به عبارت دیگر شوک های مثبت و منفی تأثیر متفاوتی بر نوسانات قیمتی دارند و اخبار بد تأثیر بیشتری نسبت به اخبار خوب بر نوسانات قیمت دارند.
The results of the study indicate leverage effects in the markets, in other words, positive and negative shocks have different effects on price fluctuations and bad news has a greater effect on price fluctuations than good news.
نتایج تحقیق حاکی از تأثیرات اهرمی در بازارها است، به عبارت دیگر شوک های مثبت و منفی تأثیر متفاوتی بر نوسانات قیمتی دارند و اخبار بد تأثیر بیشتری بر نوسانات قیمتی نسبت به اخبار خوب دارند.
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hassan heidari; solmaz sadeghpour; morteza dehghandorost
Abstract
Undoubtedly, the financing structure in each country's economy is considered to be the main element of the economic system of that country, because the life of an economy depends on its production and growth in its various fields, and its production and growth will not be realized without the required ...
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Undoubtedly, the financing structure in each country's economy is considered to be the main element of the economic system of that country, because the life of an economy depends on its production and growth in its various fields, and its production and growth will not be realized without the required financial resources. The task entrusted to the economic system of the country is within the framework of its financing structure.
According to some economic experts, in Iran, the state budget, private sector savings and external resources are three determinants of financing sources. This means that active enterprises in various fields of production can pay for these resources to cover their needs. The government budget as one of the sources of financing firms due to dependence on oil revenues, can not be a powerful stimulus to sustain economic growth in the country. With regard to foreign sources, because of the sanctions, there can be no special account on them to finance various production sectors. Thus, it can be concluded that in the current economic conditions, the only possible option for financing firms is private sector savings; which can be equipped with the capital market and the money market (i.e., banks). Therefore, given that turbulence or fluctuations in inflation is one of the challenges in the banking system, what is highlighted in this paper is the uncertainty associated with inflation, and with the amount of bank loan facilities, and the facilities that most small and medium-sized enterprises have need to survive in the current state of the economy. Specifically, cheap bank facilities are referred to as facilities that are used by low-cost bank's resources for applicants.
Considering the importance of the banking system in the financing structure of firms and also need of small and medium firms for cheap banking facilities, and the banks' actions in the face of fluctuations of economic variables such as inflation, in order to maintain bank's financial strength, it seems that the study of the effect of macroeconomic variables on the performance of the banking system of the country has great importance.
Since developing countries, including Iran, have a high degree of uncertainty in macroeconomic variables. And this uncertainty also affects the decisions of bank officials, this paper examines the relationship between the uncertainty of inflation and Gharz-al-hassane facilities paid by commercial banks, in the form of a two-variable GARCH model using monthly data for the period of 2005-2014.
There are several methods to assess uncertainty and volatility in variables, but the most commonly used method in most econometric studies is the use of GARCH patterns. This method, proposed by Bollerslev (1986) is a modeling based on variance of variables over time.
GARCH patterns are categorized in a general classification based on the number of variables in the pattern, into univariate patterns and multivariate patterns. Single-GARCH patterns have limitations that make them difficult to use; one assumes that the conditional variance of each series is independent of all other series. In addition, in this type of models, covariance between series is not considered as an important factor of volatility of variables. These limitations make these patterns in many cases unrecognizable. The multivariate GARCH patterns can potentially overcome the deficiencies and defects of single-variable patterns. Multivariate patterns are very similar to single-variable models, and hence their estimates are similar to simple GARCH-single-variable patterns. However, in addition to the previous equations, there are certain equations for expressing how covariance moves over time (Heidari & Bashiri, 2011).
The first type of GARCH multivariate patterns is the Vech (q, p) pattern introduced by Bollerslev, Engle and Woldrige (1988). In 1991, another class of Vech (q, p) was introduced by Baba, Engle, Kraft and Kroner (1991) which became known as BEKK. This pattern has an interesting feature that, by applying several constraints, the variance-covariance matrix is a positive and definite condition. The problem with previous GARCH multi-variable protocols, including DCCs, is that they are not compatible; therefore, in order to avoid inappropriate results for estimating the conditional mean, variance, and variance of variables of inflation and facilities of the borrower, we use the cDCC model of MGARCH (1,1).
The results from the cDCC model estimation show that the uncertainty of inflation on the amount of Gharz-al-hassane facilities had a positive effect; which was not statistically significant at 5% level. On this basis, it can be concluded that with the increase of inflation, which is a depreciation of the money value and consequently a decline in the purchasers' purchasing power, the amount of Gharz-al-hassane loans has also increased. This is while expected in inflationary conditions, people withdraw these deposits or convert into long-term deposits. In the case of banks, it is also expected that by increasing inflation and rising money prices, and applying incentive policies to attract more long-term deposits instead of Gharz-al-hassane deposits, as a result, the amount of Gharz-al-hassane funds will be reduced and the amount of bank facilities will be lowered from these sources. However, the results indicate inverse of this issue in the selected time frame. It is a result that can prevent the adoption of false policies by the banking authorities. Thus, the banks are aware of the positive correlation between the inflationary fluctuations, that are increasing in inflation in the Iranian economy, and the commercial loans granted by commercial banks, withdrew its previous policies and put new policies in place to keep their capital under inflationary conditions.
As a suggested strategy, banks can use this in the context of the inflationary period in which some firms and households suffer from a drop in supply and demand due to rising prices, in order to adjust the business cycles; Thus, during this period, the resources of its Gharz-al-hassane deposits, which have not been reduced due to inflationary fluctuations, will be provided to this sector of enterprises and households. In this way, firms can continue to produce, and households are also buying power, both of which are a step towards more production and prosperity. On the other hand, the banks themselves have received a fee from the facility, and have also made a contribution to the investments made and can partly offset the depreciation of their finances during the inflationary period.