IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/127368.html

تاثیر نوسانات نرخ ارز و سهام بر کارایی تسهیلات اعطایی به بخش کشاورزی
[The effect of exchange rate and stock index fluctuations on the efficiency of agricultural facilities]

Author

Listed:
  • Roudari, Soheil

Abstract

The purpose of this study is to investigate effect of fluctuations in some asset markets such as exchange rate and stock index along with the variables of business cycles and import of agricultural products on the efficiency of agricultural facilities. In the present study, several econometric models have been used to investigate the effect of exchange rate and stock index fluctuations and business cycles on the efficiency of agricultural facilities. Initially, wavelet transform model was used to extract exchange rate and stock index fluctuations. The Daubechies discrete wavelet is used for this purpose. The advantage of this approach over the family of Arch models is the ability to distinguish fluctuations across time periods. In addition, Hodrick Prescott filter is used to extract business cycles, and Bootstrap data envelopment analysis approach is used to evaluate the efficiency of agricultural facilities. The advantage of this approach over the data envelopment analysis approach is its bias correction and greater stability. The Markov switching model is also used to estimate the final research pattern. The period that used in the study is 1384:1-1396:4. Based on the results of model estimation, the occurrence of business cycles in all regimes lead to a decline in the efficiency of the banking network facilities provided to the agricultural sector. The impact of exchange rate fluctuations depends on the time period. Short-term fluctuations have no significant effect on facility efficiency but medium- and long-term fluctuations have a negative significant impact. If the currency market volatility persists, it will reduce the efficiency, regardless of the regime and the level of efficiency of the facility. Of course, long-term exchange rate fluctuations will have a stronger negative impact when the regime of agricultural facilities efficiency is high. Stock index fluctuations in the medium and long term also have a positive and significant impact when the efficiency of agricultural facilities is high. If the efficiency of agricultural facilities be at a high level, increasing imports of agricultural products will lead to a decrease in efficiency.

Suggested Citation

  • Roudari, Soheil, 2022. "تاثیر نوسانات نرخ ارز و سهام بر کارایی تسهیلات اعطایی به بخش کشاورزی [The effect of exchange rate and stock index fluctuations on the efficiency of agricultural facilities]," MPRA Paper 127368, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:127368
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/127368/1/MPRA_paper_127368.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Castro, Vítor, 2013. "Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI," Economic Modelling, Elsevier, vol. 31(C), pages 672-683.
    2. B. Hollingsworth & P. Smith, 2003. "Use of ratios in data envelopment analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 733-735.
    3. Claessens, Stijn & Kose, M. Ayhan & Terrones, Marco E., 2012. "How do business and financial cycles interact?," Journal of International Economics, Elsevier, vol. 87(1), pages 178-190.
    4. Ali Emrouznejad & Emilyn Cabanda, 2014. "Managing Service Productivity Using Data Envelopment Analysis," International Series in Operations Research & Management Science, in: Ali Emrouznejad & Emilyn Cabanda (ed.), Managing Service Productivity, edition 127, pages 1-17, Springer.
    5. Sine KONTBAY BUSUN & Adnan KASMAN, 2015. "A Note on Bank Capital Buffer, Portfolio Risk and Business Cycle," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 15(1), pages 1-7.
    6. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
    7. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
    8. Léopold Simar & Paul W. Wilson, 1998. "Sensitivity Analysis of Efficiency Scores: How to Bootstrap in Nonparametric Frontier Models," Management Science, INFORMS, vol. 44(1), pages 49-61, January.
    9. Costas Azariadis, 2018. "Credit Cycles and Business Cycles," Review, Federal Reserve Bank of St. Louis, vol. 100(1).
    10. Ali Emrouznejad & Emilyn Cabanda (ed.), 2014. "Managing Service Productivity," International Series in Operations Research and Management Science, Springer, edition 127, number 978-3-662-43437-6, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Roudari, Soheil & Homayounifar, Masoud & Salimifar, Mostafa, 2019. "تاثیر نوسانات نرخ ارز اسمی و چرخه¬های تجاری بر مطالبات شبکه بانکی کشور با تاکید بر تغییرات رژیم و زمان- مقیاس [Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with Emphasis on Regime Changes and Time," MPRA Paper 127020, University Library of Munich, Germany, revised 07 Jan 2020.
    2. Xue, Wenjun & Zhang, Liwen, 2019. "Revisiting the asymmetric effects of bank credit on the business cycle: A panel quantile regression approach," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    3. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
    4. Oliver Tiemann & Jonas Schreyögg, 2012. "Changes in hospital efficiency after privatization," Health Care Management Science, Springer, vol. 15(4), pages 310-326, December.
    5. Kolade Sunday Adesina & John Muteba Mwamba, 2016. "Do Basel III Higher Common Equity Capital Requirements Matter for Bank Risk-taking Behaviour? Lessons from South Africa," African Development Review, African Development Bank, vol. 28(3), pages 319-331, September.
    6. Bolt, Wilko & de Haan, Leo & Hoeberichts, Marco & van Oordt, Maarten R.C. & Swank, Job, 2012. "Bank profitability during recessions," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2552-2564.
    7. Varabyova, Yauheniya & Schreyögg, Jonas, 2013. "International comparisons of the technical efficiency of the hospital sector: Panel data analysis of OECD countries using parametric and non-parametric approaches," Health Policy, Elsevier, vol. 112(1), pages 70-79.
    8. Gross, Marco & Henry, Jerome & Semmler, Willi, 2018. "Destabilizing Effects Of Bank Overleveraging On Real Activity—An Analysis Based On A Threshold Mcs-Gvar," Macroeconomic Dynamics, Cambridge University Press, vol. 22(7), pages 1750-1768, October.
    9. Mikel Bedayo & Ángel Estrada & Jesús Saurina, 2018. "Bank capital, lending booms, and busts. Evidence from Spain in the last 150 years," Working Papers 1847, Banco de España.
    10. Uwe Vollmer, 2022. "Monetary policy or macroprudential policies: What can tame the cycles?," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1510-1538, December.
    11. policy, Work stream on macroprudential & Policy, Monetary & Stability, Financial & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas , 2023. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
    12. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.
    13. Halkos, George & Tzeremes, Nickolaos, 2011. "A nonparametric analysis of the Greek renewable energy sector," MPRA Paper 30467, University Library of Munich, Germany.
    14. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
    15. Mihail Petkovski & Jordan Kjosevski & Kiril Jovanovski, 2018. "Empirical Panel Analysis of Non-performing Loans in the Czech Republic. What are their Determinants and How Strong is their Impact on the Real Economy?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(5), pages 460-490, October.
    16. Tobias Adrian & Nellie Liang, 2018. "Monetary Policy, Financial Conditions, and Financial Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 73-131, January.
    17. Gary Ferrier & Julie Trivitt, 2013. "Incorporating quality into the measurement of hospital efficiency: a double DEA approach," Journal of Productivity Analysis, Springer, vol. 40(3), pages 337-355, December.
    18. Chen, Minghua & Wu, Ji & Jeon, Bang Nam & Wang, Rui, 2017. "Monetary policy and bank risk-taking: Evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 31(C), pages 116-140.
    19. Herwartz, Helmut & Ochsner, Christian & Rohloff, Hannes, 2020. "The credit composition of global liquidity," University of Göttingen Working Papers in Economics 409, University of Goettingen, Department of Economics.
    20. policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:127368. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.