per
Monetary and Banking Research Institute
Journal of Monetary & Banking Research
2645-3355
2717-2929
2012-09
4
12
1
18
article
Oil Export and the Economy of Iran
Mohammad Hashem Pesaran
1
Hadi Salehi Esfahani
esfahani@illinois.edu
2
Kamiar Mohaddes
3
This paper presents an error-correcting macro-econometric model for the Iranian economy using a new quarterly data set over the period 1979Q1–2006Q4. It builds on a theoretical long-run growth model developed by the authors for major oil exporting economies. The core variables included in this paper are real output, real money balances, inflation, exchange rate, oil exports, and foreign real output, although the role of investment and consumption are also analyzed in a sub-model. The paper finds clear evidence for the existence of two long-run relations: an output equation as predicted by the theory and a standard real money demand equation with inflation acting as a proxy for the (missing) market interest rate. The results show that real output in the long run is influenced by oil exports and foreign output. However, it is also found that inflation has a significant negative long-run effect on real GDP, which is suggestive of economic inefficiencies and is matched by a negative association between inflation and the investment–output ratio. Finally, the results of impulse responses show that the Iranian economy adjusts quite quickly to the shocks in foreign output and oil exports, which could be partly due to the relatively underdeveloped nature of Iran’s financial markets.JEL Classification: P36, B22, F14, C2, E4
http://jmbr.mbri.ac.ir/article-1-111-en.html
Oil Exporting Economics
Macroeconomic
Iranian Economy
Market Interest Rate
Vector Error Correction Model
per
Monetary and Banking Research Institute
Journal of Monetary & Banking Research
2645-3355
2717-2929
2012-09
4
12
19
44
article
The Impact of Capital Ratio on Iranian Banking Profitability (1380-1388)
Mahshid Shahchera
shahchera_f @yahoo.com
1
Nasim Jozdani
n_jouzdani@yahoo.com
2
This study investigates factors affecting the profitability of private and state banks using panel data over the period (2001-2009), based on the generalized method of moments (GMM).Return on equity is dependent variable and explanatory variable included loan to total asset, capital ratio and cost ratio. Concentration index and the Business Cycle as instrumental variables for dynamic panel data method (DPD) have been used. Capital ratio squared can be used in our model and the coefficients of these variables are significant. The liquidity to total assets, deposits ratio and loans to total asset have an inverse relationship. There are significant negative correlation between the cost ratio and profitability banking system in Iran. According to results business cycles and profitability have positive and significant relationship.JEL Classification: G32, G21
http://jmbr.mbri.ac.ir/article-1-112-en.html
Profitability
Capital Ratio
Banking System
Dynamic Panel Data
per
Monetary and Banking Research Institute
Journal of Monetary & Banking Research
2645-3355
2717-2929
2012-09
4
12
45
70
article
Banking Supervision, Based on an Early Warning System, Using CAMEL Ratios and a Logit Model
Soodabeh Seraj
soodabehseraj3@yahoo.com
1
Mandana Taheri
taherim66@yahoo.com
2
This paper evaluates the financial performance of Iranian banks, based on an early warning system, using Logit Predicting Model and presenting CAMEL ratios: Capital Adequacy, Asset Quality, Management, Earning, and Liquidity. For this purpose, we use financial data of 17 state and private banks during the period of 2005-2011. The results suggest that 6 ratios (from 17 rations of logit regression as independent variables) are able to assess/ evaluate and supervise the banking operation. In other words, central bank, by monitoring these 6 ratios, can apply early warning system and supervise banking system. In addition, results show that there is a significant difference between average of 12 financial ratios of state and private banks.JEL Classification: G21, G33, M42
http://jmbr.mbri.ac.ir/article-1-113-en.html
Banking Supervision
Early Warning System
CAMEL Ratios
Logit Model
per
Monetary and Banking Research Institute
Journal of Monetary & Banking Research
2645-3355
2717-2929
2012-09
4
12
71
100
article
The Effect of Macroeconomc Conditions on Bank\'s Profit: (The Case of one of the Private Banks in Iran)
Hadi Heidari
hadi.h.k85@gmail.com
1
Azam Ahmadian
azam_ahmadyan@yahoo.com
2
In this paper we use the Vector autoregression with exogenous variables (VARX) model to examine the impact of macroeconomic shocks on profit and loss of a private bank in Iran. Net interest and non interest income variables as indicators of the bank's profit and loss are considered as the dependent variables. Exogenous variables are two groups including balance sheet and macroeconomic variables. The results of estimating models with exogenous variables show that exogenous variables such as cash flow, off balance sheet items and macroeconomic variables such as value-added of sectors, inflation, unofficial exchange rate, affect bank's profit and loss. The results of impulse response function indicate that the shocks imported from the net non-intrest profit is a cause of severe volatility in net intrest profit. In adition, the results of stress test suggests that in recession, net interest profit changes faster than net non-interest profit.JEL Classifications: L2, G21, C23
http://jmbr.mbri.ac.ir/article-1-114-en.html
Profit and Loss
XVAR
Stress Test
Macroeconomic Shocks
per
Monetary and Banking Research Institute
Journal of Monetary & Banking Research
2645-3355
2717-2929
2012-09
4
12
101
126
article
Optimal Monetary Policy in Iran
Reza Boostani
r_boostani2000@yahoo.com
1
Since the economy of Iran has the features of a small and open economy, a model is developed with these features in this paper. The model is based on micro optimization, and the prices are staggered. Then the model is calibrated to Iran data. The calibrated model is utilized to evaluate the performance of some monetary policy rules.Domestic inflation targeting is the optimal monetary policy, and a Taylor-type inflation targeting rule replicates the result of optimal policy. Moreover, peged exchange rate and CPI inflation targeting have respectively the worst and the best performance among studied simple rules.JEL Classification: F41, E52
http://jmbr.mbri.ac.ir/article-1-115-en.html
Business Cycles
DSGE
Monetary Policy
Staggered Price
Policy Rule
per
Monetary and Banking Research Institute
Journal of Monetary & Banking Research
2645-3355
2717-2929
2012-09
4
12
127
144
article
Reversing the Burden of Proof in Electronic Banking
Hamid Ghanbari
Ha.ghanbari@yahoo.com
1
One of the important points in electronic banking is that in a dispute between a bank and a customer who shall bear the burden of proof? While in traditional system of evidence, the claimant bears the burden of proof, special realities in electronic banking make use of this system difficult. This article argues that justice requires that in banking disputes the bank shall bear the burden of proof whether the bank is claimant or defendant and at the same time the dual system based on risk and fault should be established for such disputes between bank and client. JEL Classification: G21, K20
http://jmbr.mbri.ac.ir/article-1-116-en.html
Electronic Banking
Civil Responsibility
Error Theory
Risk Theory
Assumed Fault