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The Impact of Macroprudential Policies on the Vulnerability of the Banking System: Dynamic Panel Model 宏观审慎政策对银行体系脆弱性的影响:动态面板模型
Pub Date : 2020-10-01 DOI: 10.52547/jme.15.4.357
Nafiseh Keshtgar, M. Pahlavani, Seyed Hossein Mirjalili
In the aftermath of the global financial crisis (2007-2009), policymakers in the developing countries and emerging economies have generally relied on macroprudential policies to achieve financial stability. Since the banking system's vulnerability plays an essential role in financial instability, and the banking system's stability is exposed to vulnerability, we examine macroprudential policies' effectiveness in reducing banking vulnerability and economic instability through containing credit growth. We estimated a dynamic panel for 14 Iranian banks using GMM and Arellano-Bovar / Blundell-bond two-stage estimators during 2009-2018. The results indicate that the increase in lending rates in the interbank market leads to the banking system's contraction of lending capacity. The positive and significant effect of the economic growth index indicates the banks' procyclical behavior. That financial institutions in the business cycles behave procyclical in lending. The diminishing effect of the macroprudential policy index on the bank credit expansion indicates that macroprudential authority and policy tools' application reduces the banking system's instability and vulnerability. Therefore, to reduce financial intermediation instability, the financial sector regulator can institutionalize macroprudential policies.
在全球金融危机(2007-2009)之后,发展中国家和新兴经济体的政策制定者普遍依赖宏观审慎政策来实现金融稳定。由于银行体系的脆弱性在金融不稳定中起着至关重要的作用,而银行体系的稳定性暴露于脆弱性之下,我们考察了宏观审慎政策通过抑制信贷增长在降低银行脆弱性和经济不稳定性方面的有效性。我们在2009-2018年期间使用GMM和Arellano-Bovar / Blundell-bond两阶段估计器估计了14家伊朗银行的动态面板。结果表明,银行间市场贷款利率的上升导致银行体系贷款能力的收缩。经济增长指数的正向显著效应表明了银行的顺周期行为。金融机构在商业周期中的放贷行为是顺周期的。宏观审慎政策指数对银行信贷扩张的影响逐渐减弱,表明宏观审慎权威和政策工具的运用降低了银行体系的不稳定性和脆弱性。因此,为了减少金融中介的不稳定性,金融部门监管者可以将宏观审慎政策制度化。
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引用次数: 0
Modeling of Real Estate Income Tax: System Dynamics Approach 房地产所得税建模:系统动力学方法
Pub Date : 2020-10-01 DOI: 10.52547/jme.15.4.463
Manochehr Hazrati, Alireza Bafandeh Zendeh, S. Aali
This study aims to design a model to realize real estate income tax in Tabriz city with due attention to the tax collection process. According to the related literature, the variables of "tax payment," "real estate," "tax evasion," "investment incentive," "rent and real estate speculation," and "advertisement in tax collection" are considered as key variables, affecting the conceptual model of real estate tax system. According to the dynamic systems method, the interaction and relationships between variables are shown by state-flow diagrams based on the literature and experts' opinions. These relationships are finally simulated by Vensim software. The results show that advertisement has a significant effect on the amount of taxes paid by taxpayers. Tax transparency has also reduced rents for taxpayers and ultimately reduced tax evasion and timely tax collection in the estimated budget of real estate resources and single-occupancy jobs. Scenarios show that lowering the tax rate in the trading and business market and large corporations and businesses' rental income are strongly influenced by tax revenues.
本研究旨在设计一个模型来实现大不里士市的房地产所得税,并适当关注税收征收过程。根据相关文献,将“纳税”、“房地产”、“偷税漏税”、“投资激励”、“租金与房地产投机”、“税收中的广告”等变量作为影响房地产税制度概念模型的关键变量。根据动态系统方法,在文献和专家意见的基础上,用状态流图表示变量之间的相互作用和关系。最后用Vensim软件模拟这些关系。结果表明,广告对纳税人的纳税额有显著的影响。税收透明还减少了纳税人的租金,并最终减少了房地产资源和单人居住工作估计预算中的逃税和及时征税。情景表明,降低贸易和商业市场的税率以及大公司和企业的租金收入受到税收收入的强烈影响。
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引用次数: 0
The Effect of Iranian Banks' Merger on Financing 伊朗银行并购对融资的影响
Pub Date : 2020-07-01 DOI: 10.52547/jme.15.3.273
A. Ahmadyan
The merger of banks is one of the methods for reforming the structure of banks, which has attracted Iranian banking policymakers in recent years. In the process of merging, paying attention to its effects can help to integrate banks. In Iran's banking network, financing of production is one of the main concerns of banking policymakers. Therefore, it is important to study the effect of banks' integration on financing. In this paper, considering the importance of this issue, using the financial statements of banks in the period 2006-2018, and the Panel Data method, the effect of the merger of banks on financing has been investigated. The static method has been used to integrate banks. For this reason, banks have been considered in terms of size and health. The results of the survey indicate that the merger of small banks with large banks and the merger of healthy banks, as compared to other options, have a more positive effect on the supply of facilities.
银行合并是改革银行结构的方法之一,近年来吸引了伊朗银行业决策者的注意。在并购过程中,关注并购效应有助于银行的整合。在伊朗的银行网络中,生产融资是银行业决策者主要关注的问题之一。因此,研究银行整合对融资的影响具有重要意义。本文考虑到这一问题的重要性,利用2006-2018年银行的财务报表,并采用面板数据方法,研究了银行合并对融资的影响。静态方法已被用于整合银行。出于这个原因,银行一直在考虑规模和健康状况。调查结果表明,与其他选择相比,小银行与大银行合并和健康银行合并对设施供应的影响更为积极。
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引用次数: 0
Volatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market 汇率波动外溢与全球经济对伊朗股市的影响
Pub Date : 2020-07-01 DOI: 10.52547/jme.15.3.343
A. Gholami, Ehsan Salimi Soderjani
Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles, so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the performances of other markets. This paper by dividing the spillover effect into two parts, mean effect and volatility effect, employing DCC-GARCH method, aimed to capture the spillover effects of dollar return, global market, and Iran financial market in the period 1394-1398. Mean conditional results show that stock returns react negatively to dollar returns. In other words, there is a substitution between dollar returns and stock returns among economic agents. For the global economy, the stock market returns decrease with the fluctuations of the global economy index. Still, for the dollar, the relationship is reversed, so that increase in the global economy index volatility increases the dollar return. For the volatility spillover, the results also supported substantial spillover between each market pairs.
金融市场是任何国家最基本的市场之一。在金融市场中,证券市场和外汇市场是敏感的领域。这两个市场受波动和经济周期的影响,反映经济变化迅速。在一段时间内,由于套利条件导致的一个市场收益的变化会导致其他市场表现的变化。本文将溢出效应分为均值效应和波动率效应两部分,采用DCC-GARCH方法,旨在捕捉1394-1398年期间美元收益、全球市场和伊朗金融市场的溢出效应。平均条件结果表明,股票回报对美元回报的反应为负。换句话说,在经济主体之间,美元回报和股票回报之间存在替代。对于全球经济而言,股票市场收益随着全球经济指数的波动而下降。不过,对美元来说,这种关系是相反的,因此全球经济指数波动性的增加会增加美元的回报率。对于波动性溢出,结果也支持各市场对之间的大量溢出。
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引用次数: 0
The Effectiveness of Regulatory Policies in Curbing the Housing Price in Iran 调控政策在抑制伊朗房价中的有效性
Pub Date : 2020-07-01 DOI: 10.52547/jme.15.3.253
Z. Afshari, Zahra Salimi
In recent years, policymakers have generally relied on regulatory policies to address financial stability concerns. However, our understanding of these policies and their efficacy in curbing housing prices is limited. In this paper, we examine the impact of three regulatory tools, i.e., LTV (loan to value) ratio, reserve requirement rate (RR), and capital adequacy ratio (CAR) on housing price inflation in Iran for 1993: Q2 to 2017:Q1 period. We investigate whether tightening the policy tools are useful in curbing the housing price inflation by using a vector autoregressive model. The results indicate that all three regulatory policy tools exhibit counter-cyclical impact on housing inflation, but with varying degrees of influence. While the impact of CAR tightening in curbing housing prices is quite trivial, the effects of RR and LTV tightening are roughly significant.
近年来,政策制定者通常依靠监管政策来解决金融稳定问题。然而,我们对这些政策及其抑制房价的效果的了解有限。在本文中,我们研究了三种监管工具,即LTV(贷款价值比)比率、存款准备金率(RR)和资本充足率(CAR)对伊朗1993年第二季度至2017年第一季度房价通胀的影响。本文采用向量自回归模型研究了收紧政策工具对抑制房价上涨是否有效。结果表明,三种调控政策工具对住房通胀均表现出逆周期影响,但影响程度不同。虽然CAR收紧对抑制房价的影响相当微不足道,但RR和LTV收紧的影响大致显著。
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引用次数: 0
Estimating Electric Power's Equivalent Scale for the Urban Iranian Household 估计伊朗城市家庭的电力等效规模
Pub Date : 2020-07-01 DOI: 10.52547/jme.15.3.295
A. Salem, Ali Fridzad, M. Amini
The household equivalent scale is an index to measure the impact of household demographic characteristics, such as the householder's age and gender, the number of household members, etc. It plays a significant role in measuring poverty and inequality. By taking into account demographic characteristics differences, this index facilitates the reasonable comparison of households' welfare and functions as a coefficient for the target household with a reference household. Using income and expenditures data of Iranian urban households in 2012-2018, this study measures the relative child cost of each urban household in Iran while estimating the Quadratic Almost Ideal Demand System (QAIDS) and price scaling utilizing Nonlinear Seemingly Unrelated Regression. This model provides significantly more accurate and efficient estimates than the linear model. Also, it calculates the elasticity of income and price of electric power goods. The results illustrate that the relative child cost in Iranian urban households is 33% of an adult cost, and electric power in Iranian urban households is a necessary yet low elasticity commodity. Therefore, pricing policies may not significantly influence the demand for this product.
家庭等效规模是衡量家庭人口特征影响的指标,如户主的年龄和性别、家庭成员的数量等。它在衡量贫困和不平等方面发挥着重要作用。该指数考虑了人口特征差异,有利于住户福利的合理比较,并作为目标住户与参考住户的系数。本研究利用2012-2018年伊朗城市家庭的收入和支出数据,在估计二次几乎理想需求系统(QAIDS)和价格标度的同时,测量了伊朗每个城市家庭的相对儿童成本。该模型提供了比线性模型更准确和有效的估计。同时,计算了电力产品的收入弹性和价格弹性。结果表明,伊朗城市家庭的儿童相对成本为成人成本的33%,电力是伊朗城市家庭的必需品,但弹性较低。因此,定价政策可能不会显著影响该产品的需求。
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引用次数: 0
Forecasting Stock Price Movements Based on Opinion Mining and Sentiment Analysis: An Application of Support Vector Machine and Twitter Data 基于意见挖掘和情绪分析的股价走势预测:支持向量机和Twitter数据的应用
Pub Date : 2020-07-01 DOI: 10.52547/jme.15.3.235
B. Sohrabi, Ahmad Khalili Jafarabad, Ardalan Hadizadeh
Today, social media networks are fast and dynamic communication intermediaries that are vital business tools, as well. This study aims to examine the views of those who are involved in Facebook stocks to understand the pattern and opinion about the intended future stock price. Yet another goal of this paper is to create a more accurate forecasting pattern compared to the previous ones. Two datasets are used in this paper; the first contains 1.6 million tweets that have already been emotionally tagged, and the second has all the tweets about Facebook stock in eighty days. We conclude that positive news about a company excites people to have definite opinions about it, which results in encouraging them to buy or keep that specific stock. Also, some news can hurt users' views as most of the time, things get more complicated, and uncertainties make it harder to forecast the direction of stock movement. By using text mining and python programming language, we could create a system to be operable in those situations.
今天,社交媒体网络是快速和动态的沟通中介,也是重要的商业工具。本研究旨在考察那些参与Facebook股票的人的观点,以了解未来股票价格的预期模式和观点。然而,本文的另一个目标是创建一个比以前更准确的预测模式。本文使用了两个数据集;第一个包含了160万条已经被情感标记的推文,第二个包含了80天内关于Facebook股票的所有推文。我们的结论是,关于一家公司的正面消息会让人们对它产生明确的看法,从而鼓励他们购买或持有该特定股票。此外,一些新闻可能会损害用户的观点,因为大多数时候,事情变得更加复杂,不确定性使预测股票走势变得更加困难。通过使用文本挖掘和python编程语言,我们可以创建一个在这些情况下可操作的系统。
{"title":"Forecasting Stock Price Movements Based on Opinion Mining and Sentiment Analysis: An Application of Support Vector Machine and Twitter Data","authors":"B. Sohrabi, Ahmad Khalili Jafarabad, Ardalan Hadizadeh","doi":"10.52547/jme.15.3.235","DOIUrl":"https://doi.org/10.52547/jme.15.3.235","url":null,"abstract":"Today, social media networks are fast and dynamic communication intermediaries that are vital business tools, as well. This study aims to examine the views of those who are involved in Facebook stocks to understand the pattern and opinion about the intended future stock price. Yet another goal of this paper is to create a more accurate forecasting pattern compared to the previous ones. Two datasets are used in this paper; the first contains 1.6 million tweets that have already been emotionally tagged, and the second has all the tweets about Facebook stock in eighty days. We conclude that positive news about a company excites people to have definite opinions about it, which results in encouraging them to buy or keep that specific stock. Also, some news can hurt users' views as most of the time, things get more complicated, and uncertainties make it harder to forecast the direction of stock movement. By using text mining and python programming language, we could create a system to be operable in those situations.","PeriodicalId":151574,"journal":{"name":"Journal of Money and Economy","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127612958","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analyzing the Causal Relationships between Economic Growth, Income Inequality, and Transmission Channels: New Empirical Evidences from Iran 经济增长、收入不平等与传导渠道的因果关系分析:来自伊朗的新经验证据
Pub Date : 2020-07-01 DOI: 10.52547/jme.15.3.313
Mehdi Hajamini
This paper investigates causal relations between economic growth, income inequality, and transmission channels from 1972 to 2016. These channels include saving rate, investment rate, redistribution policies, human capital, and conspicuous consumption. There is no strong evidence that supports uni-directional or bi-directional causality. Besides, some of the transmission channels lead to the improvement of economic growth and equality simultaneously. It is concluded that rapid economic growth and income inequality alleviation are not necessarily conflicting objectives. Hence, the strategy of “Redistribution with growth” is a more effective and perhaps politically more acceptable approach than “growth before redistribution” or “redistribution before growth” strategies.
本文考察了1972年至2016年经济增长、收入不平等和传导渠道之间的因果关系。这些渠道包括储蓄率、投资率、再分配政策、人力资本和炫耀性消费。没有强有力的证据支持单向或双向因果关系。此外,一些传导渠道同时促进了经济增长和平等的改善。结论是,快速经济增长和缓解收入不平等不一定是相互冲突的目标。因此,与“先增长后再分配”或“先增长后再分配”的策略相比,“再分配后增长”的策略更有效,或许在政治上也更容易被接受。
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引用次数: 0
Optimal portfolio allocation with imposed price limit constraint 带限价约束的最优投资组合配置
Pub Date : 2020-04-01 DOI: 10.29252/JME.15.2.123
Gholamreza Keshavarz Haddad, H. Heidari, Monetary
Price limits set up are adopted by many securities markets in countries such as the USA, Canada, Japan, and various other countries in Europe and Asia, to increase the stability of the financial market. These limits confine the price of the financial asset during any trading day to a range, usually determined based on the previous day's closing price. In this paper, we study the portfolio optimization problem while taking into account the price limit constraint. The dynamic programming technique is applied to derive the Hamilton–Jacobi–Bellman equation, and the method of Lagrange multiplier is used to tackle the constraint. Optimization problem solution results and numerical method show that the equilibrium path of wealth and investment in risky assets has a different pattern than the absence of price limits.
美国、加拿大、日本以及欧洲和亚洲许多国家的证券市场都采用了限价制度,以增加金融市场的稳定性。这些限制将金融资产在任何交易日的价格限制在一个范围内,通常是根据前一天的收盘价确定的。本文研究了考虑价格限制约束的投资组合优化问题。采用动态规划方法推导了Hamilton-Jacobi-Bellman方程,采用拉格朗日乘子法求解约束条件。优化问题的求解结果和数值方法表明,风险资产财富与投资的均衡路径与没有价格限制时的均衡路径具有不同的模式。
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引用次数: 0
Using Satisficing Game Theory for Performance Evaluation of Banks’ Branches (Case Study in the Mellat Bank) 基于满意博弈论的银行分支机构绩效评价研究(以Mellat银行为例)
Pub Date : 2020-04-01 DOI: 10.29252/JME.15.2.135
Atefeh Kahfi, R. Sadeghian, Nasim Darabi, Bank Mellat
Due to its role in the identification of inefficient branches and deciding the consistency of their activities, evaluating the performance of a bank's branches is one of the most important decisions in the field of development and regulation of branch network. In this paper, the satisfactory functions based on game theory strategies have been utilized in order to evaluate the individual and within-group performance of the bank's branches. The proposed approach is based on a cooperative game theory, and the number of players is equal to the number of units which must be evaluated. The satisficing equilibrium set includes the options which are qualified as “good enough” or the efficient units which are both individually and within-group efficient. By applying our analytical method to the bank Mellat case study, we have presented solutions to improve the efficiency of inefficient branches and the branches which are only individually or within-group efficient using sensitivity analysis techniques. Lastly, if efficiency improvement is not possible, we have suggested omitting the branch.
由于其在识别低效分支机构和决定其活动一致性方面的作用,因此对银行分支机构的绩效评估是分行网络发展和监管领域最重要的决策之一。本文利用基于博弈论策略的满意函数来评价银行分支机构的个体绩效和群体绩效。该方法基于合作博弈论,参与者的数量等于必须评估的单位的数量。令人满意的均衡集包括被限定为“足够好”的选项或同时具有个体和群内效率的有效单元。通过将我们的分析方法应用于Mellat银行的案例研究,我们提出了解决方案,以提高效率低下的分支机构的效率,以及使用敏感性分析技术提高单个或集团内效率的分支机构的效率。最后,如果无法提高效率,我们建议省略该分支。
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引用次数: 0
期刊
Journal of Money and Economy
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