The aim of this paper is to study volatility spillovers among stock, gold and exchange rate markets. A "VAR- MGARCH" model was applied for Iranian financial markets for the period of March 21, 2011 to September 22, 2014. The data used are daily price of Bahar Azadi Coin, Tehran price stock index and nominal exchange rate (Dollar in terms of Rials).The results indicate that there are bidirectional shock transitions between gold and exchange markets and between gold and stock markets and there is a unidirectional shock transition from stock market to exchange market. Also, the results show that there are bidirectional volatility transitions between exchange and gold markets and gold and stock markets.

Exchange Risk can be defined as losses resulted from volatility of Exchange Rate and also asset prices. This applied research studies the FOREIGN currency assets of the Mellat Bank, using daily Value at Risk (VaR) in the year 2010. Data is gathered from ledger of the Bank.Moreover, daily market risk was measured by Marginal VaR (M-VaR). According to the research hypothesis the FOREIGN currency asset-independent variable- has an increasingly risk through 2010. Considering the results of the tests such as means comparison and t-test, the hypothesis sounds significant. Also, analytical regression model confirms the efficiency of the model.

ObjectiveThe banking industry is one of the most important and influencing industries in today’s world and highly relies on identifying customer needs besides planning and providing solutions for proper response to their needs. Emphasis on exclusivity and strong competitive power within the banking network can significantly impact the performance and portfolios of banks. To prevent crises and future risks in banking networks, more attention should be paid to managing banks' exclusive power. FOREIGN currency services form a major part of banks' services and generate substantial income in both rials and FOREIGN currencies. Therefore, the main purpose of this research is to provide a pattern for promoting the capability of competitiveness of customer FOREIGN currency services in the banking industry. MethodsThis study is applied research in which a mixed research method has been used. Resources and articles were studied using documentary analysis. The Delphi test was applied to determine dimensions, elements, and indices. Structural equations analysis test, exploratory factor analysis, and Lisrel software were used to determine the current status and influencing elements. The statistical population in the quantitative phase comprised managers and employees engaged in banking marketing and FOREIGN currency operations. The participants in the qualitative section consisted of experts specializing in the same field. The sample size consisted of 166 individuals, including experts and knowledgeable individuals, selected using a random sampling method. ResultsUsing the Delphi method, a pattern for promoting the capability of competitiveness of customer FOREIGN currency services in the banking industry was extracted. The method was applied three times to reach an agreement between the experts. Moreover, the level and extreme effectiveness were confirmed using structural equations tests and exploratory factor analysis. Based on the obtained results, it can be concluded that the coefficient of all factors had a significant effect on the final model, confirming the effectiveness of each factor in promoting the competitiveness of customer FOREIGN currency services within the banking industry. ConclusionFOREIGN currency services constitute one the most important parts of banking services. They result in high incomes for banks, therefore, banks need to undertake requisite measures to establish a competitive edge in attracting, retaining, and servicing customers, while also evaluating the prevailing conditions in the banking sector. For each FOREIGN currency service, banks adopt various procedures simultaneously when handling requests for FOREIGN currency services, including submission, documentation completion, and customer file creation. Banks can possess a greater share of the FOREIGN currency market by adopting proper strategies and determining elements for the capability of competitiveness. This study shows that major elements such as “banking activity”, “credit portfolio”, “monetary and financial”, “market share” and “extra-organizational” shape patterns for promoting the capability of competitiveness of customers’ FOREIGN currency services in the banking industry.

With considering a ‘triangle of three major currency pairs’, there is a tiny difference between multiplication of exchange rate for the first two currency pairs and the third. To discover whether this little difference can lead to a neutral arbitrage or not, I took portfolios of 35 baskets of three major currency pairs (combinations of all 7 major currencies). There are eight approaches (different cases of short and long positions) in each basket; for example buying 1st currency pairs and selling two others, etc.Historical monthly FX rates were gathered from January 1990 until July 2011. Profit or loss derived from eight approaches in all baskets has been calculated. Number of months with a profit has been compared with the months with a loss. Covariances of all approaches of FX rates between growth rates were calculated.I found that this ‘triangle ordering’ of three currency pairs will not always eventuate to a profit. In the other meaning, this is not a neutral strategy. The results showed that in 94% of 280 cases, the probability of gaining profit is almost equal to gaining loss. Also it was found that the most profitable approach is not the best in probability of profit.Standard deviations of results (as indicators of risk of the approaches) were diagramed with the amount of profits. This figured ‘efficient frontier’ of approaches, the best combinations of risks and profits.Covariance were often positive (in 70% of 280 cases), showing probability of simultaneous effectiveness of external factors on all currencies

In searching a market-neutral arbitrage strategy in forex market, we took a portfolio of three major currency pairs, EUR-USD, USD-JPY, and EUR-JPY. There are eight approaches, different cases of short and long positions; for example buying 1st and selling two others, etc.Historical daily FX rates were gathered since January 1990 until February 2011. Monthly covariances between daily growth rate of FX rates and monthly means of profit or loss of all approaches were calculated. Some different tests were applied.Eight approaches have been compared with each other in 28 states. Compared profit or loss of approaches in each state was calculated.With an ANOVA test, we found that the difference between means of approaches was significant. We found that covariance’s often tend to be only positive or negative. We categorized different cases of covariances on the basis of its positive or negative signs in four categories. In each category, means of eight approaches were calculated and they have been compared binarilyin 28 states. There were relations between conditions of the categories (their negative or positive signs) and results of different approaches derived.It has been recommended to use a covariance indicator in forex softwares to make better orders.With computing the weighted average of approaches (on the basis of occurrence ratio of category) we found that BSS (buying 1st and selling the two others) and SSS (selling all the pairs) were the best approaches. They are not completely neutral, but in most of the time, they can eventuate to profit.

This paper aims to study the role of gold, stock and FOREIGN currency as hedges against inflation in Iran based on monthly data over period 2000-2016 by using a novel approach with nonlinear autoregressive distributed lags (NARDL). To achieve this goal, the effect of positive and negative inflation shocks on price of these assets is estimated separately. The results show that all assets (FOREIGN currency, gold and stock) are hedges against inflation in Iranian economy. As inflation rate increases, the prices of these assets also increase, but the magnitude and type of their hedge against inflation vary in different time horizons. The results show that the effects of both positive and negative inflation shocks on gold price are symmetric in the short-run, but in the long run, the effect of positive inflation shocks on gold price are more than negative shocks. The results of the inflationary coverage of FOREIGN currency show that the effects of the positive and negative inflation shocks on it are asymmetric in the short-run and long-run; while these effects are symmetric for stocks in both short-and long-term. Furthermore, stocks is a proper hedge against inflation in the long run and not only it maintains purchasing power, but also it increases value of investors’ assets. Moreover, the inflationary coverage of FOREIGN currency and gold are the same and less than rising inflation, but exchange rate is a hedge in the short-run and gold plays the role of hedge against inflation in the long-run.