JOURNAL OF ECONOMIC MODELING
Year:2019 | Volume:4 | Issue:4 (15)|Papers Count:7

The purpose of this paper is to estimate the effect of macroeconomic resilience on the probability of bankruptcy of the banking system in its various frameworks (Briguglio-Boorman) using annual data (2005-2016) for 125 countries in the form of models Logite and Probit. Overall results show that the increases of economic resilience and economic growth rate have reduced the probability of bankruptcy. Based on Briguglio model, the effect of increasing good governance and market efficiency on the probability of bankruptcy is negative, and increasing macroeconomic instability has increased the probability of bankruptcy. In the pattern of Boorman, The growth of variables such as good governance, the health of monetary policy, foreign power, export independence, bank credit and reserves have reduced the probability of bankruptcy and increased budget deficits have increased the probability of bankruptcy. Also, the improvement of institutions with the effect on macroeconomic instability has reduced the probability of bankruptcy. The effect of nonperformance loan has been positive and the effect of the ratio of capital adequacy ratio, margin of profit, return on assets and the existence of cash assets is negative.

The automotive industry as a major industry accounts for about 13% of total production and 15% of total employment in the Iranian industrial sector. The purpose of this paper is considering asymmetric, scale and direction the effects of positive and negative monetary shocks on the volume of production and employment in this industry, which evaluated by Non-linear Auto Regressive Distribution Lag (NARDL) model, seasonally since 1376 to 1397. The effects of shocks from monetary variables are classified in to two groups: positive and negative shocks by using Hodrick-Prescott filter. The outputs indicate that the asymmetric effect of exchange rate and interest rate on the amount of production and employment of this industry is confirmed. It also concludes that monetary shocks in the long run have more impact on automotive industry than employment.

The purpose of this study is to compare the impact of Global Metals Price Index on the stock returns of Base Metals group and Extraction of Metal Minerals group in the Tehran Stock Exchange. In this respect, the monthly data of stock market during the period of 2009M01– 2019M05 has been used by applying Markov switching model with Fixed Transition Probabilities (MS-FTP). Based on Akaike information criterion, MSIAH (2)-AR (1) and MSIH (2)-AR (1) were proposed as optimal models in metal and Extraction of Metal Minerals groups, respectively. In estimated models, the first and second regimes determine the high and low stock return. In addition, results show that in the high and low stock return regime of metal group, one percent increase in global metals price will lead to 0. 477 and 0. 365 percent increase in stock return, respectively. Also, results in Extraction of Metal Minerals group indicates that in the high stock return regime, one percent increase in global metals price lead to 0. 535 percent increase in stock returns but is not effective in low stock return. Therefore, the change of global metals price could be having the important role in signaling of changing stock returns especially in high stock return regime.

Monetary and financial crisis have different effects on different economies of the world, which in addition to economic factors of countries, depends on the type of their interlinkage in a global economy. Regarding to the importance of U. S. monetary policy in international trade, it is necessary to study the effect of monetary policy shocks of this country on gross domestic product of major oil-exporting countries for determining macroeconomic policies and forecasts in a global and dynamic framework. In this paper we examine the impact of U. S. monetary policy on GDP of major oil-exporting countries in the period of 1974-2017 using GVAR approach. The results indicate that the effect of U. S. Monetary shocks on GDP of these countries is different in short-term and long-term.

Over the past decade, long-term memory processes have been an important part of time series analysis. Long-term memory has important applications in evaluating market performance and macroeconomic, financial, and accounting variables, while the researcher may in some cases have to convert data or in other words manipulate data, which is expected to provide some data features that are important in economic forecasting. Therefore, in this study, the effect of data conversion on long-term memory and structural dependency and finally the results of the study were investigated. For this purpose, the existence of long-term memory in raw and converted data is first tested. To understand the effect of long-term memory on structural dependence, the tail dependence coefficient between raw and manipulated data (seasonal data 1991 to 2018) is estimated; the results show that raw data have long-term memory, more tail dependence on the manipulated data. It changes the nature of the data and not only reduces their memory but also reduces animal dependency.

Since foreign direct investment has entered into the world's economic literature, countries have sought to attract more of this type of investment by creating appropriate incentive infrastructures. The impact of foreign direct investment on domestic investment may be affected by the different economic conditions of the host country, including their financial development. Accordingly, in this paper, the interactive effect of financial development and direct foreign investment on domestic investment in the East and West Asian countries (including Iran) during the period of 1980-2017 was estimated by using panel data analysis. The results of the research show that the interactive effect of financial development and foreign direct investment on domestic investment in West Asian countries was negative and in the East Asian countries was positive. In other word, developed financial markets and building trust among foreign investors has led to increasing domestic investment in the East Asian countries. Therefore to enhance domestic investment, it is necessary to prepare suitable conditions for financial development and foreign investors entrance to the country.