درخت حوزه‌های تخصصی

One of the most important methods employed to measure the market risk is value at risk calculation method. In this study, the value at risk of banks listed on the Tehran Stock Exchange and Over-the-counter (OTC) are calculated using parametric model, Monte Carlo simulation, historical simulation and Two-Sided Power (TSP) Distribution. The sample includes all listed banks in Iran. The results showed that the value at risk estimated by TSP and historical models is more accurate than the VaR estimated by Monte Carlo and GARCH models. TSP model and then historical model are more accurate than the other ones. Moreover, GARCH is the least accurate model. So far, no research has been conducted to investigate all four models of value at risk assessment. JEL Classification: E5, E58, J21

Oil price shocks are the major source of economic instability in oil exporting developing countries, including Iran. In this paper a Multi Sector Dynamic Stochastic General Equilibrium model, with emphasis on optimization of oil sector as a producing sector is designed. Furthermore, an optimizing import sector is introduced into the model by considering the price rigidity in imported goods as a source of inefficiency in a New Keynesian open economy. The impact of oil price shocks on the dynamics of the economic variables is considered during 1988:1-2011:1. For this purpose, the Bayesian approach is used to estimate the model. The impulse response functions show that immediately after an oil price shock, output increases in the oil sector, while in the non-oil sector the result is reverse. Furthermore, GDP, consumption and inflation increase, while the employment and real exchange rate decreases immediately and finally, all the variables converge to their steady state values. JEL Classification: C61, D50, E12, Q43

Several political and economic factors are involved in choosing exchange rate policy in Organization of Islamic Cooperation (OIC) countries. In the present study, these factors have been investigated with an emphasis on OCA and political economic factors during 1990 -2014. The result shows that OCA and political economic factors as well as tradable sector are influential on exchange rate policy in OIC countries. In a way that oil revenue, financial development, GDP, openness of the economy, economic development and political instability all tend to increase the probability of pegging the exchange rate regimes, whereas an increasing industrial sector and size of the economy lead to a decrease in the probability of pegging the exchange rate regimes. Inflation, democracy, political system, legislative system, and monetary crises had no significant effect on the exchange rate regime. Also, the results show that the democracy and oil revenue had the highest impact on choosing exchange rate regime and financial development and monetary crises risk had the least impact on choosing exchange rate regime. JEL Classification: F31, C01

The study aims to reveal that a valid and effective standard, which formerly issued, may reflect the needs and expectation of few interested powerful bodies due to the neutral comments and dearth of lobbyists in the process of setting the standard. The research investigates the working of the IASB, by exploring the standard setting process specifically in relation to the standard on business combinations which has been on the agenda over an extended period of time. The written submissions in response to 14 issues, proposed in Exposure Draft 61 (1997), to revise IAS 22 €œBusiness Combination€ are analysed to understand whether various comments from different interested parties deliberately affect IASB€™s decision. The situations in which any of the lobbyists (e.g. Anglo-American bodies) may exert influence are discussed. The results confirm an overall support to the proposed issues by the participants. So there was a satisfactory degree of consensus between the lobbyists involved in IAS 22 in favour of what the IASB was attempting to do. It may raise our concerns about the effectiveness of the deliberation method in the process of setting IASs. This provides us evidence that the IASB acted independently and made its decisions rationally. However a managed type of consensus was seen, which is consistent with the covert view of excreting power and mimetic isomorphism, as a result of insufficiency of respondents and large numbers of neutral comments on the outcome of the consultation process. It then justifies the needs for a revision of the standard once more as happened in IFRS 3.