Showing 9 results for Asset
Dr. Hosein Sharifi-Renani, Dr. Sara Ghobadi, Farzaneh Amrollahi, Naghmeh Honarvar,
Volume 2, Issue 3 (3-2011)
Abstract
The aim of this paper is to consider the effects of monetary policy on production and prices through asset price channel (the housing price index) in Iran during 1368Q1 to 1387Q4. By Vector Error Correction (VEC) Model, the effect of monetary policy has been considered through this channel. In general, the results show that the debt of banks to the central bank as instruments of monetary policy through the housing price index, at least in the short run could increase the production level and decreases prices. Thus central bank with given facilities to banks can directly and through the housing price index strengthen production level and control prices in the short run. Also we found that shock of the required reserve ratio in general, directly affects production levels and don’t have any effect on production level and prices through the housing price index. Therefore, in using of these tool as instruments of monetary policy, the housing price index channel in monetary transmission policy, has a little effect and only on the production.
Azam Mohammadzadeh, Mohammad Nabi Shahyaki Tash, Reza Roshan,
Volume 7, Issue 25 (10-2016)
Abstract
One of the capital asset pricing models is CCAPM model that first time were presented by Breeden (1979). In the standard and the basic CCAPM establishes a linear relationship between consumption’s beta and excess return on assets but unfortunately, linear CCAPM made The Equity Premium Puzzle. After presenting puzzles like equity premium puzzle, adjustments were made in the CCAPM. For this purpose in this paper, adjustments have been made in the preferences as explores the implications of a novel class of preferences for the behavior of asset prices. This class of preferences was suggested first time by Marshall (1920), that according to it, people derive utility not only from consumption, but also from the very act of saving.
In this paper, we derive the Euler equations after modeling preferences based on the savings and consumption estimate them with GMM. In order to estimate the models, is examined quarterly data of 1977 to 2010. The models are significant in the other words it can be concluded that consumption and saving are successful in explaining stocks returns. Based on the estimated parameters in the models we can conclude that β is greater than 0.8 and savings is significant in preferences function but don’t have high value. In addition, these results indicate that economic agents are risk averse.
Zahra Naji Azimi, Meysam Omrani,
Volume 7, Issue 25 (10-2016)
Abstract
A wide range of banking activities And its close relationship with the economy is an important reason for the importance of the reliability of banking system and its influencing factors. Accordingly to play the optimal role, banks face several challenges. Optimal management of assets, liabilities And Evaluateing the risks associated with them Such as credit risk and liquidity risk is considered as one these challenges this article attempts to define goals and optimally manage assets and liabilities with a focus on determining the optimal amount of cash and liquidity risks. According to multilateral objectives, Constraints in the banking system And the experiences of the past years, the model used in this article is Fuzzy goal programming with fuzzy constraints. The proposed model has the ability to provide optimal amounts of each of the items of the balance sheet for the coming years in accordance with previous years. To reach the final answer nine Goals and more than thirty fuzzy limits used in the model. Goals presented in the paper Are: Maximizing profits, Observing the limits of the deposit facility, Improving the share of bank deposits of the banking system, Increasing the amount of balance sheet items, Increasing the amount of some items assets to total assets, Observing the Capital adequacy limits, Reducing the volume of investment in tangible fixed assets, more Receivables than debts from central, more Receivables than debts from institutions Also in order to achieve the importance of each of these goals an Analytic Hierarchy Process is used. Finally, the results in crisp and fuzzy model are compared and improvement of results in fuzzy model is observed.
Abolfazl Sadeghi Batani, Ali Souri, Ebrahim Eltejaei,
Volume 7, Issue 26 (12-2016)
Abstract
The main purpose of this study, is to evaluate the effect of diversion earnings forecast and earnings realized on returns stocks in Tehran Stock Exchange. In fact, this research aims to examine the diversion of earnings resulting from the diversion of corporates managers forecasts earnings, what impact these diversion of earnings have on the returns of stock price. To achieve this, 194 companies listed in the Tehran Stock Exchange selected in the period of 2005-2013.
In this study, two groups of companies experienced the highest returns and lowest returns over the period studied, have been selected. Multi-factor model of Fama and French (1993) was used as the theoretical basis. The results indicate that forecasts of companies have experienced highest returns in comparison with lowest returns are more cautious and accurate than prediction of their future earnings. Changes in earnings realized and Tehran Stock Exchange index returns have positive and considerable relationship with stock returns as well, but these relationships for companies with highest returns are stronger than companies with lowest returns.
Hamidreza Izadbakhsh, Ahmad Soleymanzadeh, Hamed Davari Ardakani, Marzieh Zarinbal,
Volume 8, Issue 29 (10-2017)
Abstract
Since pension funds are among the most important and effective organizations in economic and social environments, it is critical to study their problems ahead. Asset and liability management (ALM) is a useful tool to study pension funds and their stakeholders. This paper tries to understand the key factors effecting on ALM and to analyze them using system dynamics. Fuzzy inference engine is also used to quantify the important risks in ALM. Results show that considering ALM and stakeholders’ benefits as whole and paying attention to risk factors such as changing population are the key factors for successful ALM.
Mehdi Pourmehr, Hamid Sepehrdoust, Mohamad Kazem Naziri, Nader Mehrgan ,
Volume 9, Issue 34 (12-2018)
Abstract
Considering the importance of the Banking system in Iran economy and taking into account the strategic objectives of bank’s activities to improve their performance indicators, the main objective of the present study was to investigate the impact of internal and external factors affecting the three profitability components; including the return on assets (ROA), return on equity (ROE) and the net income margin (NIM) indicators of 13 private banks' in Iran for the period 2006 to 2016; using structural autoregressive vector panel model. For this purpose, the macro level factors responsible for profitability of banks are divided into internal components; including the quality of management, asset quality, capital adequacy and liquidity and external components such as inflation rate, interest rates, the growth of GDP, and the development of the stock market. The results indicate that the percentage of coverage of liquidity and the ratio of Non-performing loans to total loan as internal bank variables have a negative effects and the growth of GDP as the external variable has positive effect on the profitability components.
Mahdi Ghaemi Asl, Elahe Ghasemi Nik,
Volume 10, Issue 35 (3-2019)
Abstract
In this research, the factors affecting assets quality in banking system of Iran and some implications for creating appropriate buffers of liquidity and non-performing loans in bank assets management has been investigated. In order to that, statistical data related to macroeconomic variables and financial statements of 30 banks from 2006 to 2016 have been used in the framework of a dynamic panel specification. The results indicate that there is a significant relationship between inflation rate, domestic gross production growth rate, bank share of total revenues, market Structure and bank liquidity with asset quality, but the growth rate of facilities and special and general reserves for non-performing loans have no significant effect on asset quality. Thus, the framework and the amount of special and general reserves for non-performing loans (unlike the liquidity buffer) failed to provide the necessary buffer to improve the quality of bank assets; so, one of the most important reasons for the persistent aggravation and lack of management of the volume of non-performing loans in banking system is dysfunctional and non-observance of the law in the maintenance of special and general reserves. The main requirement for correcting these conditions is to closely monitor the volume of reserves before refinancing and double overdraft from the central bank and other banks and credit institutions.
Reza Roshan,
Volume 10, Issue 36 (6-2019)
Abstract
In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are considered as inputs in the utility function. After estimating the systems of Euler equations using generalized moments method, MSE, MAE, and HJ criteria were used to select the most suitable model for estimating the share of variable of real money balance. The above criteria show that the model with the input of liquidity (M2) and preferences with constant relative risk aversion is the most appropriate model. The results indicate that the share of real money balance in the utility function of Iranian households is statistically significant and is about 34%. Therefore, considering the contribution of the monetary variable to the utility function which is relatively significant, it is emphasized on its entry into the utility functions used in asset pricing models.
Ali Akbar Gholizade, Maryam Noroozonejad,
Volume 10, Issue 36 (6-2019)
Abstract
This paper studies the relationship between housing prices and business cycles in Iran. Since housing has a dual nature, that is, both private and capital nature, it can play an important role in investment costs and economic growth and incite other manufacturing sectors in the country. In this paper, housing prices and business cycles have been used to measure housing as a collateral, which is included in corporate credit constraints as well as a shock based on observations in housing price fluctuations. In order to investigate the relationship between housing prices, investment and economic fluctuations in Iran, seasonal data for the period 1991-2016 was used. To evaluate this dynamic, a dynamic stochastic general equilibrium model has been used. The results show a movement between housing prices and business investments influenced by the dynamics of housing prices in the macroeconomic. The results also indicate that the inclusion of housing prices as a collateral could be a factor in increasing the asset value of firms and, consequently, borrowings and future investments that lead to a move between housing prices and Investment and economic fluctuations in the country.
