Original Article
take stock
Homa Mehtarizadeh; Najme Mansouri; Seyed Mohammad Mehdi Hosseini; Razieh Delpasand
Abstract
Investing in stocks offered on the stock exchange is one of the most lucrative investments in the financial and capital markets. However, stock price behavior is one of the most complex mechanisms that researchers have studied. This market always shows unpredictable, chaotic, and non-linear ...
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Investing in stocks offered on the stock exchange is one of the most lucrative investments in the financial and capital markets. However, stock price behavior is one of the most complex mechanisms that researchers have studied. This market always shows unpredictable, chaotic, and non-linear behavior because it is affected by economic, political, and industrial conditions. In this paper, we try to predict the closing price of the share in the coming days by using Multilayer Perceptron Neural Networks and Elman. The weights of the neural networks used in this work are optimized using the squirrel search algorithm, which increases the speed and accuracy of the neural networks. The results are evaluated by MSE, RMSE, MAE, and MAPE criteria. Also, the proposed method is compared with Particle Swarm Optimization (PSO), Genetic Algorithm (GA), Grey Wolf Optimization (GWO), and Artificial Bee Colony (ABC) metaheuristic algorithms to show that the optimization of network weights using squirrel search algorithm averages 72% for Iran Telecommunication Companies, National Iranian Copper Industries, Pars International Products, Ghadir Holding and India Steel has better results than other methods. In comparison with the multilayer perceptron neural network with Elman neural network, Elman neural network has an average of 27% better results than the multilayer perceptron neural network.
Original Article
Financial Economics
ghaem hashemi; Mohammad solgi; Gholam Hassan Taghi Netaj Malik Shah
Abstract
Financial stability refers to a situation where the financial system consisting of intermediaries, markets and market instruments and infrastructure are able to withstand shocks, as a result of which the possibility of disruption in the mediation process is reduced. The purpose of this research is to ...
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Financial stability refers to a situation where the financial system consisting of intermediaries, markets and market instruments and infrastructure are able to withstand shocks, as a result of which the possibility of disruption in the mediation process is reduced. The purpose of this research is to identify the determinants of financial stability, to examine their impact with an emphasis on banking industry level factors, and to provide indications for improving and strengthening financial stability. The statistical population of the current research is the collection of banks admitted to the Tehran Stock Exchange, which were included in the list of banks and financial and credit institutions of the stock exchange from 1390 to 1397, and 12 banks were selected as a sample using a systematic elimination sampling strategy. In this research, the generalized method of moments (GMM) was used to estimate the research model. The results obtained from the research show that competition and concentration have an inverse relationship and financial inclusion has a two-way effect on financial stability.
Original Article
Startups and its financing
Abdonaser Derakhsan; Farshid Ahmadi Farsani; Alireza Abroud
Abstract
Commercial credit is the most important source of short-term financing for companies and commercial enterprises. Commercial credit is one of the methods by which companies provide financing for short-term periods. The purpose of this study is to investigate the impact of enterprise risk management on ...
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Commercial credit is the most important source of short-term financing for companies and commercial enterprises. Commercial credit is one of the methods by which companies provide financing for short-term periods. The purpose of this study is to investigate the impact of enterprise risk management on the supply and demand of commercial credit. Enterprise risk management has been used by Gourdon's comprehensive method (2009) and business credit by two methods of receiving and paying to measure it. The statistical population of the research is the companies admitted to the Tehran Stock Exchange in the period of 2013 to 2022, and by using the systematic elimination screening method, 136 companies have been considered as the final sample of the research. In the current research, Eviuz 12 software was used to test the research hypotheses. The results of the regression test showed that risk management directly affects the demand for commercial credit. But it does not affect the supply of commercial credit. Therefore, by controlling the risks facing the company, it is possible to obtain higher financing through commercial credit and reduce the need to keep cash in purchases.
Original Article
Budgeting and the public sector
Ramezan Ali Arshian; Karim Emami; kambiz peykarjou
Abstract
The present study explains the response of the economic welfare index to fiscal deficit and tax policies despite the government's sovereign role for the years 1365-1400. For this purpose, using the structural vector autoregression model (SVAR), the effect of fiscal deficit, government tax policies and ...
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The present study explains the response of the economic welfare index to fiscal deficit and tax policies despite the government's sovereign role for the years 1365-1400. For this purpose, using the structural vector autoregression model (SVAR), the effect of fiscal deficit, government tax policies and other indicators affecting economic well-being were investigated. The findings showed that an impulse from oil price and exchange rate decreases economic welfare by 26 and 15 percent. The response of economic well-being to the impulse from the area of net tax income and production growth is also close to 11 and 32 percent. The results of instantaneous reaction functions for the model show that the response of economic well-being to the impulses from government governance and tax policies from the upper limit to two periods of downward trend and then at the lower limit to two upward periods and finally in the long term is damped to zero. The main channel of influencing economic well-being is done through the optimal size of the government, governance indicators and financial policies. Therefore, the way of financial market liberalization, weak management of the financial system and the lack of formation of coherent financial markets and the benefit of regulations in the country can be seen as the reasons for reducing the efficiency of investment through sub-optimal allocation of resources in the country, which requires more attention and effort in the country.
Original Article
Financial monetary economy
Mostafa Hassan Jassim Al-Jalabi; maryam emamimibodi
Abstract
1- INTRODUCTIONWith the passage of time and the importance of international interactions between countries in the field of economy, topics such as currency market, foreign trade, capital flow in the international arena, etc. became very important in economic theoretical foundations. One of the issues ...
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1- INTRODUCTIONWith the passage of time and the importance of international interactions between countries in the field of economy, topics such as currency market, foreign trade, capital flow in the international arena, etc. became very important in economic theoretical foundations. One of the issues that is emphasized a lot in the field of international economy is the management of the foreign exchange market and, as a result, issues such as the mechanism of determining the equilibrium exchange rate and exchange rate deviation, which almost all countries are involved in with varying intensity and weakness. . Undoubtedly, the stability of the currency market and the establishment of a real equilibrium exchange rate in this market are of double importance in developing countries. Therefore, managing the exchange rate and preventing its fluctuation and deviation from an equilibrium value has become one of the most important concerns of policymakers in these developing countries, including Iraq. Because, any cross-sectional fluctuation or exchange rate deviation in the short and long term can create challenges for other sectors of the economy, as well as acute imbalances at the macro level and the balance of payments crisis in developing countries are often the direct result of deviation from the long-term equilibrium path is the exchange rate.2- THEORETICAL FRAMEWORKThe exchange rate is one of the important tools in the hands of monetary authorities in all countries of the world in general and developing countries in particular, due to its high sensitivity to the investment environment, business environment and economic conditions. The most appropriate exchange of facts and data is political economy. The excessive sensitivity of macroeconomic variables to the change of the Iraqi exchange rate is due to the deterioration of the real macroeconomic environment.On the other hand, foreign trade plays an important role in determining the fate of any country, and this important economic sector connects the domestic economy of the country with the international economy. Trade is so important that some see it as a driver of development. Different economic schools offer different views on business. Some people like the liberals consider it a factor of peace, realists consider it a factor of increasing national power if the trade balance is positive, and some others like; Marxists propose free trade as a tactic of developed countries to dominate developing countries. The exchange rate is directly related to foreign trade and any increase or decrease can affect the trade balance and competitiveness of domestic producers against foreign goods inside and outside. There are positive relationships between the exchange rate and domestic production, therefore, an increase in the exchange rate can be useful for national production, but it should be noted that the increase in the exchange rate should not be sudden and fluctuating, because Fluctuations in the exchange rate create uncertain conditions for the country's producers and exporters, which can have a negative impact on industrial and agricultural production, employment, etc. The political will of the government should be independent of any political dealings with the exchange rate, so that in this way it can prevent the fluctuations of the exchange rate and its adverse effect on exports and consequently on the power of the country. In fact, policy-making in this area should be technically appropriate to the conditions of domestic and foreign inflation and away from any considerations such as institutional, party interests, election time, and budget deficit.3- METHODOLOGYTo investigate the effect of deviations of the equilibrium exchange rate on the foreign trade relationship of Iraq for the years 2005 to 2021. Therefore, in the first step, the influencing factors on the equilibrium exchange rate were examined using the DOLS method, and the second step was to examine the short-term and long-term effects of deviations of the equilibrium exchange rate on the exchange, export, and import relationship using the ARDL method.4- RESULTS AND DISCUSSIONIn this paper we examine three hypotheses. According to the negative and significant short-term and long-term deviation of the exchange rate with the exchange relationship, it shows exports and imports. Therefore, in the first hypothesis; the effect of exchange rate deviation on the exchange relationship of Iraq is negative, it was confirmed and the results showed that the effect of exchange rate deviation on the exchange relationship of Iraq is negative and significant. In the second hypothesis; the negative and significant effect of exchange rate deviation on Iraq's exports has been tested and this hypothesis has been confirmed. But, the third hypothesis; the exchange rate deviation had a negative and significant effect on Iraq's imports, and this hypothesis was also confirmed.5- CONCLUSION AND SUGGESTIONConsidering the negative and significant effect of exchange rate deviations on exports, imports and the exchange relationship, it is suggested that the currency policies in Iraq be designed in such a way that the real exchange rate moves towards the equilibrium level and from high deviations the exchange rate should be reduced as much as possible. In this regard, the reduction of the nominal value of money is introduced as a solution to eliminate the deviation of the real effective exchange rate from the long-term equilibrium path, which the use of this policy is based on the complementary policy that increases the prices in the country. Can be used as a practical solution and economic policy makers in Iraq use the equal purchasing power method due to the simplicity and availability of information from price indices, inflation rate and consumer price index to estimate Use the exchange rate. Finally, since the exchange rate is influenced by political relations, the imposition of economic sanctions, the price of oil and the occurrence of war, it is strongly affected. Improving political and economic relations with neighboring countries and major economic powers can be effective in this regard.
Original Article
Financial Economics
sadegh bafandeh imandoust; mehdi behname; Mehdi Roshan
Abstract
In this study, the comparative prediction of Bitcoin price was discussed using econometric models and artificial intelligence. For this purpose, daily Bitcoin price data for the period January 1, 2016 to January 1, 2023 was collected from the Bitstamp exchange website. In addition, in this study, in ...
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In this study, the comparative prediction of Bitcoin price was discussed using econometric models and artificial intelligence. For this purpose, daily Bitcoin price data for the period January 1, 2016 to January 1, 2023 was collected from the Bitstamp exchange website. In addition, in this study, in all horizons, 70% of the data is used to train artificial intelligence models and specify econometric models, and the remaining 30% is used to test the output of artificial intelligence models and predictions outside of Samples of econometric models were assigned. Also, in order to evaluate the efficiency of the models, R^2, MAD and RMSE criteria were used. Finally, in order to check the statistical difference in the effectiveness of the investigated models in predicting the daily price of Bitcoin, the restricted F test was used. The results showed that the average daily price of Bitcoin fluctuated from $449.71 on January 1, 2016 to $16,555.75 on January 1, 2023. Also, its minimum and maximum value was $370.21 (February 3, 2016) and $67,482.75 (November 9, 2021), respectively. In addition, in all models, by increasing the prediction horizon from 1 to 4 days ahead, the effectiveness of predicting the daily price of Bitcoin decreases. Finally, the results of comparing the effectiveness of the investigated models confirm that SVM, ANFIS, GARCH and ARIMA models have the most efficiency, respectively.
Original Article
Financial monetary economy
zahra heirani; kiomars sohaili; SHAHRAM Fattahi
Abstract
In this study, we seek to test the financial tension and uncertainty of Iran's monetary policy despite the role of government governance in recession and boom regimes. For this purpose, by using the principal component analysis (PCA) model in the first part, the financial stress index was calculated ...
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In this study, we seek to test the financial tension and uncertainty of Iran's monetary policy despite the role of government governance in recession and boom regimes. For this purpose, by using the principal component analysis (PCA) model in the first part, the financial stress index was calculated and in the second part by using the rotation model and the Markov switching (MS) regime change, the effect of the study variables during the period of 1996 to 2022 on an annual basis was investigated. Based on the obtained weights, the monetary and financial sector has the greatest effect in creating financial tension. After that, the foreign exchange sector and the stock market have the next effects. Among the variables, the free exchange rate has the most impact on financial stress in Iran's economy, followed by oil income to GDP, money to liquidity ratio, government expenditure to GDP ratio, and the real interest rate has the greatest impact on financial stress. in Iran's economy, also based on the results of Markov model estimation, for one percent increase in financial stress and oil price, respectively; 36 and 27 units, monetary policy uncertainty increases. Also, the quality of governance and the volume of business during the boom lead to a decrease of 8 and 12 units of monetary policy uncertainty.
پژوهشی
Capital markets
mohammad reza babaei semiromi; ramezan gholami evati; sayed tohid mosavian
Abstract
Increasing desire for venture capital is one of the growth drivers of small and medium enterprises in developing countries. Startup companies, if supported by venture capitalists, can successfully IPO, lead to the development of their market and rapid increase in profitability and increase in the value ...
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Increasing desire for venture capital is one of the growth drivers of small and medium enterprises in developing countries. Startup companies, if supported by venture capitalists, can successfully IPO, lead to the development of their market and rapid increase in profitability and increase in the value of their shares and successful feedback to their investors. Venture capitalists are actually entrepreneurs who want to help small business owners achieve growth and high profits in the stock market.The purpose of this research is to evaluate the factors affecting venture capital investment among real investors. The research is applied in terms of purpose and descriptive-survey in terms of research method. The statistical population includes real investors active in the market of Tehran Stock Exchange, Sari Branch in the fall of 2023, in unlimited numbers. The non-random sampling method was available, and the sample was determined by Cochran's formula with the number of 384 people.The data collection tool was a standard 22-item questionnaire whose face and structure validity and reliability were confirmed in three different ways. Among the independent variables studied (awareness, educational support and social influence), awareness has the greatest impact on venture capital (β=0.248, t=4.704). Also, the internal effect of independent variables on each other is also significant. But self-control has no moderating role in the effect of independent variables on the dependent variable. In the end, according to the results, in order to improve decision-making in risky financial investment conditions, practical suggestions were presented.
پژوهشی
financial and monetary policies
Seyed Hassan Masoudi Alavi; Mohammad Nadiri; Alireza saranj
Abstract
The purpose of this article is to investigate the impacts of monetary policy on the return of different industries of Tehran Stock Exchange. According to the existing theories, this effect can be different. In the current research, using the Pooled Mean Group (PMG) method, in the period of April 2010 ...
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The purpose of this article is to investigate the impacts of monetary policy on the return of different industries of Tehran Stock Exchange. According to the existing theories, this effect can be different. In the current research, using the Pooled Mean Group (PMG) method, in the period of April 2010 to March 2022, it examines the above issue monthly in 35 active stock market industries. In this research, based on the method of principal component analysis (PCA) and with the proxies of credit volume, exchange rate and net foreign assets of the central bank, a monetary conditions index suitable for Iran's economy was created as a measure of monetary policy. The results indicate that in the long term, monetary policy has a positive and significant impact on the return of Tehran Stock Exchange industries. But in the short-term and the current period, it has no impact on the return of these industries, and it leaves its impacts with two lags. According to the obtained results, monetary policy makers should act in line with the capital market and consider the trust and interests of investors. In this situation, investors should pay attention to monetary policy tools along with their time horizon and try to neutralize the possible risk.
Original Article
Public Sector Economics
hojjat izadkhasti; Farnaz Mirramazani
Abstract
Exchange rate volatility through instability in the economy causes uncertainty in the economy at the macro level and decision-making and planning of economic factors face a crisis. Also, the exchange rate is affected by several factors and the requirement for managing exchange rate volatility is to identify ...
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Exchange rate volatility through instability in the economy causes uncertainty in the economy at the macro level and decision-making and planning of economic factors face a crisis. Also, the exchange rate is affected by several factors and the requirement for managing exchange rate volatility is to identify the factors that cause it. Given the special conditions of the Iranian economy and the intensification of economic sanctions in the last decade and the dependence of the government budget on oil revenues, it is important to examine the impact of oil revenues and the growth of the budget deficit on the exchange rate volatility under severe sanctions. The main purpose of this study is to investigate the interactive effects of oil revenues fluctuations and severe economic sanction on exchange rate volatility using quarterly data in the period (1996-2021) and the combined method of Autoregressive Distributed Lag and Exponential Generalized Autoregressive Conditional heteroskedasticity (ARDL-EGARCH) in Iran. The results show that oil revenues fluctuations and budget deficit growth have positive impacts on exchange rate volatility. Also severe economic sanctions have indirectly increased exchange rate volatility by affecting fluctuations of oil revenues. Economic growth has reduced exchange rate volatility.
Original Article
Macroeconomics
hasan hasankhani; Nasser Elahi
Abstract
With the expansion of computational and simulation capacities, factor-based models have also found a special place in the economics literature. Unlike theoretical models that mainly focus on maintaining theoretical frameworks, these models have the ability to explain the behavior of economic agents without ...
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With the expansion of computational and simulation capacities, factor-based models have also found a special place in the economics literature. Unlike theoretical models that mainly focus on maintaining theoretical frameworks, these models have the ability to explain the behavior of economic agents without considering the representative agent assumption and other cumbersome assumptions far from reality. In this article, while describing the economic conditions after the sanctions shock, with the agent-based modeling method to simulate and evaluate the behavior of the economic factors effective in the currency structure of Iran after the sanctions shock caused by the withdrawal of the United States from the JCPOA NetLogo software has been paid. Considering that at least three exchange rates are created after the shock of the sanctions, the results show that there are at least four policy bottlenecks in front of the currency policymaker in this situation: a) the amount of reserves of the central bank b) the volume of activities Speculative c) The gap between the policy rate and the unofficial market rate of the currency d) The length of time period of the adjustment of the policy rate of the currency by the central bank. The lower the amount of foreign currency and gold reserves available to the central bank, the more speculative activities, the greater the gap between the policy rate and the informal market rate of the currency, and the shorter the period of adjustment of the policy rate by the central bank, the jumps The exchange rate and currency fluctuations will be more severe, so that the central bank may lose all its capacity and foreign reserves as a result of interventions, and with the complete inactivity of this bank, the sanctioned country will leave the stability of the currency system and falls into the abyss of currency crisis.
Original Article
Economic Sciences
Younes Nobakht
Abstract
1. INTRODUCTIONIn addition to creating a wave of infections and deaths, the COVID-19 pandemic has involved various countries in a particular economic crisis. Therefore, researchers have tried to study and investigate the issue from different aspects of this field. For example, some researchers showed ...
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1. INTRODUCTIONIn addition to creating a wave of infections and deaths, the COVID-19 pandemic has involved various countries in a particular economic crisis. Therefore, researchers have tried to study and investigate the issue from different aspects of this field. For example, some researchers showed that the rapid spread of the COVID-19 pandemic had a great impact on financial markets and caused heavy losses to investors in a short period (Mou, 2020). Others showed that the main economic effects of the COVID-19 pandemic were not caused by death, illness, and the duration of patient care, but rather fear and discrimination were the main factors and drivers affecting the economy in this crisis (Gong et al., 2020). Anyway, these studies should be supported by review articles including bibliometric articles. As far as the author has checked, no special research has been done in the bibliometric analysis of articles in the subject area of COVID-19 and economics in Iran. Therefore, this bibliometric study attempts to quantitatively analyze the literature on this field in Iran and visualize the knowledge structure in this field to help future researchers and policymakers.2. METHODOLOGYThis applied study was conducted based on bibliometrics. The statistical population of the research includes all the articles published in the field of the COVID-19 pandemic and economics in scientific journals in the field of economics in Iran from February 2020 to January 2023. Related articles were extracted and analyzed by referring to the website of these journals and through their advanced search section and limiting the search to the words "coronavirus", "COVID-19", "epidemic", and "pandemic". The software used in this research is Excel, VOSviewer, and RavarMatrix software, each of which was used for a part of the research.3. RESULTS & DISCUSSION3-1. The process of publishing articles in the field of COVID-19 researches and the economics in Iran.Results show that the trend of publishing articles in the field of COVID-19 research and economics in Iran is on the rise, and the highest number of published articles is related to the year 2022 with 32 titles and 39% of all articles. In any case, the publication of scientific articles in the field of COVID-19 research and economics in Iran, due to the large number of scientific journals in the field of economics in Iran, has not gone through a successful process in the studied period. 3-2. The intellectual structure of researches in the field of COVID-19 and the economics in Iran. Evaluation of the intellectual structure of research in bibliometric analysis is usually done by examining the most frequent keywords, and the words co-occurrence. The most frequent keywords in identifying the main core of topics that make up the intellectual structure of research and the co-occurrence of words in identifying clusters, the time trend, and also the density of keywords that make up the intellectual structure of research from the point of view of introducing dominant, developed, saturated, extinct or emerging topics, they are used.In this research, to investigate the most frequent keywords, the main words used in the title and the keywords selected by the authors in each of the articles were used. Results show that researchers in the field of COVID-19 research and economics in Iran have used 518 keywords in their articles. Keywords of COVID-19 with 82, Tehran Stock Exchange and pandemic each with 14, stock market with 9, industry and oil price each with 8 repetitions in order of the most frequent keywords of the main core of the topics that make up the intellectual structure is the researches in the field of COVID-19 and the economy in Iran, which has started in recent years. To investigate the words co-occurrence also, social network mapping was used. Analysis of the social network map of the co-occurrence of words through three methods 1. Analysis of clusters of the most frequent keywords, 2. Investigating the time process of formation of clusters of the most frequent keywords, and 3. Density analysis of the most frequent keywords is done. Due to its novelty and the small number of articles in this field in Iran, analysis of the articles by examining the time trend and the density of the most frequent keywords will not be meaningful. Therefore, the co-occurrence of words was done only through the analysis of clusters of the most frequent keywords. In any case, drawing the keywords co-occurrence map in the field of COVID-19 research and the economics in Iran only led to the identification of one thematic cluster. This cluster has eight main keywords including; COVID-19, Tehran Stock Exchange, pandemic, stock market, industry, oil price, economy, and exchange rate connected by red lines. Thus, it can be said that the keywords of this cluster show the direction of studies on COVID-19 and the economics in Iran, which has started in recent years. 3-3. Cooperation networks in the field of COVID-19 researches and the economy in Iran.One of the most important cases in bibliometric evaluations is the analysis of collaboration networks between authors and universities. Knowledge of these networks facilitates the provision of financial and human resources for research and leads to the improvement of scientific interactions and communications (Ding, 2011).In this research, to investigate collaboration networks among authors, the map of collaboration networks based on co-authorship was used. To investigate cooperation networks among universities, the map of social networks based on co-authorship was also used. However, due to the lack of data related to universities in the reference section of Iranian journals, instead of using the relations of citation and keywords, the focus was on the direct relationship between universities. In any case, the examination of the map of cooperation networks among authors and universities in Iran shows that Although there has been good cooperation between universities in the subject area of COVID-19 and economics, there has not been an outstanding subject connection between the authors in this area.4. CONCLUSIONS
