تاثیر نوسانات نرخ ارز و سهام بر کارایی تسهیلات اعطایی به بخش کشاورزی

Roudari, Soheil (2022): تاثیر نوسانات نرخ ارز و سهام بر کارایی تسهیلات اعطایی به بخش کشاورزی.

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.

• Item Type: MPRA Paper
• English Title: The effect of exchange rate and stock index fluctuations on the efficiency of agricultural facilities
• Language: Persian
• Keywords: Exchange rate, stock index, efficiency of agricultural facilities, Markov Switching
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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