Journal of Monetary and Banking Research
Year:2010 | Volume:2 | Issue:2|Papers Count:14

By applying conditional variance modeling and Granger causality test, we specified some important determinants of real and nominal uncertainty in Iran (1960-2006). In addition we investigated the negative effects of these uncertainties on output growth. Our results show that an increase in the rate of inflation and a decrease in the level of oil revenues can raise nominal uncertainty, while real uncertainty is arisen by oil revenues. This study could not reject the hypothesis that nominal and real uncertainty has no effect on output growth.

Several Studies Show the positive relationship between stock market development and economic growth. These studies confirm that stock market development can boost economic growth and emphasis on bilateral relationship between economic growth and stock market development at long term but there is only one way relationship between these tow factor, which means growth rate can create stock market development. This paper investigates the impact of stock market and banks on economic growth using a panel data set for period 1990-2007. Results suggest a positive relationship between several indicators as market capitalization ratio, total value of shares traded ratio, turnover ratio and economic growth both directly and indirectly by boosting private investment behavior.

Nonlinear dynamic systems exhibit different behaviors that can be utilized to explain many economic phenomena that seem to be stochastic. Chaos theory suggests a new method to study the changes of nonlinear dynamic systems in the financial markets. In this paper, we studied Iran foreign exchange rate sensitivity to initial conditions by chaos theory and maximum Lyapunov exponent against the U.S. and Canadian dollar, British Pound, the Euro and the UAE Dirham during 24/03/1982 to 23/05/2007. For this purpose, we analyze the presence of chaos behavior in the above mentional currencies by strong correlation test and maximum Lyapunov exponent. The obtional result indicate that Iran foreign exchange rate against the U.S. dollar is and fellows a chaos process. Therefore the linear methods are not appropriate for prediction of the variable. In second part of this paper, we predict the Iran exchange rate against the U.S. dollar by nonlinear neural Network model using optimizing self comparative particles group algorithm. Results of neural network algorithm shows that daily exchange prices in a short period are highly predictable based on prior price.

In this research, the relationship between foreign direct investment (FDI) and capital flight in nine MENA countries was studied using panel data during the 1991-2006 Period. For this purpose, at first, capital flight was estimated by two conventional methods: i.e. Erbe and the World Bank and Morgan. The results of cointegration test show that, regardless of the methods of capital flight estimation there exists a long-run equilibrium between the above mentioned variables. Further more, the results reveal that there exists a significant and positive relationship between capital flights and FDI inflows for the period under consideration for MENA countries. Moreover, the above mentioned results are confirmed by applying both methods of capital flight estimations.

This paper evaluates the effects of financial liberalization on economic growth and volatility of macroeconomic variable, from 1996 to 2007, for a sample of 10 countries In this Connection, particular attention is given to effects on the MENA countries: Egypt, Arab Rep, Iran, Islamic Rep, Jordan, Kuwait, Malta, Morocco, Oman, Saudi Arabia, and Syrian Arab republic & tunisia. In This Study we used the Hernan Rincon (2007) model and Panel data Method.The finding shows that financial liberalization spurs growth and total investment, but has a negative influence on consumption.

The aim of this paper is to measure technical efficiency and total factor productivity of Maskan Bank by using data envelopment analysis approach and Malmquist index. For this purpose, the performance of 40 branches of Maskan Bank in Khuzestan province was studied during the 2005-2008 period. The findings of Malmquist index show that total factor productivity grew about six percent in this period. Technological progress has been on of the major causes of TFP growth. Our findings show that the average of technical efficiency, with assumption of variable return to scale and input oriented, is 0.88, 0.77, 0.83 and 0.78, respectively.

Monetary policy can significantly affect real economic activity, at least in the short run, but the size and the duration of short run effects are intensely debated. Using a structural VAR (SVAR) approach, the purpose of this paper is to investigate monetary transmission mechanism in Iran during 1989:2–2007:3.The results indicate that in the long run, there was not any monetary transmission throughout channels in both models, but in SVAR credit channel had an effective role. Also we found that credit channel is the most effective channel in monetary transmission mechanism in Iran. These findings suggested we must monitor credit channel to be able to control monetary policy properly.