كليدواژه :
الگوي تصحيح خطاي برداري توابع عكس العمل , نوسانات نرخ ارز , تجزيه واريانس , خود رگرسيون برداري , وضعيت بازار ارزي
چكيده لاتين :
This research, Investigate the relation between the currency rates of volatility on open position Tejarat bank and its effects of the impulses from the exchange rate volatility and other variables on open position. In order to do this , we have utilized open position items, reference rates of Central bank , Stock price index , Money supply and Balance of countryʹs monthly payments over a six-year period from 1381 to 1386.Foreign exchange position as itʹs name signifies , shows the state of being long or short in position. In other words, the differential of the assets and the liabilities of the bank in one foreign exchange is called foreign exchange position.
For this purpose, the new econometric procedures have been used. Vector Auto Regressive model has been used for variables which are in the augmented level (Japanʹs Yen and Swiss Frank) and Vector Error Correction Model has been used for variables which became augmented by a differential.(based on Dollar , Euro , Pound , and sum of foreign currencies).In the meantime , as per the standard pattern of Schwarz Bayesian ,Akaike , and Hannan Quinn , Quantity 2 has been selected as the optimum degree for VAR.
Surveys in this research show that the reaction of open position of foreign currency against the impulse from the currency rate variance influence the value of the foreign currency assets and the liabilities of the bank , and make the bank confront with the considerable risk in the value of the foreign currency assets and liabilities.
