THE EFFECTS OF MACROECONOMIC VARIABLES ON THE IRAN MERCANTILE EXCHANGE TRADING VALUE USING THE VAR APPROACH

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SHIRI ZAHRA; TAGHIZADEH HAMID

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Seminar Paper

Paper Information

Seminar: NATIONAL CONFERENCE ON MANAGEMENT AND HUMANITIES SCIENCE RESEARCH IN IRAN
Year:2017 | Issue:3

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Title

THE EFFECTS OF MACROECONOMIC VARIABLES ON THE IRAN MERCANTILE EXCHANGE TRADING VALUE USING THE VAR APPROACH

Author(s)

SHIRI ZAHRA | TAGHIZADEH HAMID

Keywords

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Abstract

IN THIS PAPER, WE EXAMINE THE SHORT-TERM AND LONG-TERM EFFECTS OF EXCHANGE RATE, OIL PRICES AND MONETARY VARIABLE FLUCTUATIONS ON TRADING VALUE OF IRAN MERCANTILE EXCHANGE (IME). DIFFICULTIES ANALYSIS OF PRICE BEHAVIOR IN FINANCIAL MARKETS BECAUSE OF THE INTERTWINING OF RELATIONS BETWEEN THESE SECTOR OF THE ECONOMY WITH OTHER SECTORS OF THE ECONOMY HAS CAUSED WIDE STUDIES DONE IN THIS FIELD IN RECENT YEARS ESPECIALLY WITH THE GROWTH AND DEVELOPMENT OF FINANCIAL MARKETS IN THE YEARS FOLLOWING THE 2007 FINANCIAL CRISIS). IRAN MERCANTILE EXCHANGE AS A NEW ENTITY IN WHICH ALL COMMODITY PRODUCTS SUCH AS PETROLEUM AND PETROCHEMICALS, BASIC METALS AND AGRICULTURAL PRODUCTS TRADE IN SPOT AND THE FUTURE CONTRACT FORM, WILL BE AFFECTED FROM VOLATILITY AND PRICE CHANGES. THE MAIN OBJECTIVE OF THIS STUDY, THE PRESENCE OR ABSENCE OF STABLE LONG-TERM RELATIONSHIPS BETWEEN THE VARIABLES OPEC OIL PRICE, UNOFFICIAL EXCHANGE RATE, LOAN, PRODUCER PRICE INDEX AND TRADING VALUE OF IRAN MERCANTILE EXCHANGE. FOR THIS PURPOSE, TO THIS END, TESTS OF CONVERGENCE (CO-INTEGRATION) AND CAUSALITY OF VARIABLES HAVE BEEN USED FOR 5-YEAR PERIOD, FROM 1392: 1 TO 1395: 10. THE RESULTS OF THE STUDY BASED ON LONG-TERM RELATIONSHIP SHOW THAT AN INCREASE OF 1 PERCENT IN THE LOGARITHM OF UNOFFICIAL EXCHANGE RATE DECREASES 7.67 PERCENT OF THE LOGARITHM OF THE TRADING VALUE OF IRAN MERCANTILE EXCHANGE. THE DIRECTION OF CAUSALITY IS FROM UNOFFICIAL EXCHANGE RATE TO TRADING VALUE OF IRAN MERCANTILE EXCHANGE. MOREOVER, 1% INCREASE IN PPI LOGARITHM WILL INCREASE 2.17 PERCENT OF THE LOGARITHM OF THE TRADING VALUE OF IRAN MERCANTILE EXCHANGE. THE DIRECTION OF CAUSALITY IS FROM TRADING VALUE OF IRAN MERCANTILE EXCHANGE TO PPI. ESTIMATING THE RELATIONSHIP BETWEEN SHORT-TERM ERROR CORRECTIONS FOR THE LOGARITHM OF TRADING VALUE OF IRAN MERCANTILE EXCHANGE ALSO CONFIRMS STATISTICALLY SIGNIFICANT ERROR CORRECTION COMPONENT.

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APA: Copy

SHIRI, ZAHRA, & TAGHIZADEH, HAMID. (2017). THE EFFECTS OF MACROECONOMIC VARIABLES ON THE IRAN MERCANTILE EXCHANGE TRADING VALUE USING THE VAR APPROACH. NATIONAL CONFERENCE ON MANAGEMENT AND HUMANITIES SCIENCE RESEARCH (1ST INTERNATIONAL AND 3RD NATIONA. SID. https://sid.ir/paper/948137/en

Vancouver: Copy

SHIRI ZAHRA, TAGHIZADEH HAMID. THE EFFECTS OF MACROECONOMIC VARIABLES ON THE IRAN MERCANTILE EXCHANGE TRADING VALUE USING THE VAR APPROACH. 2017. Available from: https://sid.ir/paper/948137/en

IEEE: Copy

ZAHRA SHIRI, and HAMID TAGHIZADEH, “THE EFFECTS OF MACROECONOMIC VARIABLES ON THE IRAN MERCANTILE EXCHANGE TRADING VALUE USING THE VAR APPROACH,” presented at the NATIONAL CONFERENCE ON MANAGEMENT AND HUMANITIES SCIENCE RESEARCH (1ST INTERNATIONAL AND 3RD NATIONA. 2017, [Online]. Available: https://sid.ir/paper/948137/en

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