Document Type : Research Paper

Authors

• vahid farzam ¹
• omid sattari ²
• faranak mirali ³

¹ Dean of faculty

² lecturer

³ postgraduate student

Abstract

Investigating and predicting the effects of uncertainty caused by the recent currency crisis on banks and financial institutions stock index



abstract

Uncertainty is unpredictable change in an exchange rate variable which It Can have a great impact on other variables and economical institutions such as banks and credit institutions especially developing countries such as Iran. In this study, to investigate and predict the influence of Iranian banks and financial credit institutions from recent volatility of the exchange rate Models such as VAR, VECM, Genetic algorithms and the PSO algorithms and monthly data from the 1388/1- 1392/6 has been used. The results of estimating the VAR model indicates whether there are the negative relationship between exchange rate volatility and stock market returns . Co-integration test results also imply there is the existence of an Indirect long-run relationship between these two variables. As well by simulation of model in form of both linearly and exponentially with the use of Genetic Algorithms and PSO to compare the accuracy of these models was determined by the estimated VAR model. VAR model can predict index more accurately. Prediction results by VAR model showed that the continuation of the status quo of currencyfluctuations could lead to an increase index, intensification of currency fluctuations Initially causes diminishing increase and then reduced in the index and In contrary, reduce currency fluctuations, with creation of certainty into economic climate, It can cause increase the financial and credit institution's stock index.

JEL Classification: D80, G23, C53, E47

Keywords

• Keywords: Uncertainty real exchange rate
• financial institutions and credit Stock index
• VAR model
• Genetic Algorithms and PSO algorithm