Reza Taleblou; mohammad mahdi davoudi
Abstract
In recent years, by using extreme value theory (EVT), researchers have estimated the market risk for rare events (crises) more accurately. This paper examines the different methods of measuring market risk at different levels of reliability. According to the assumptions of the EVT methods, measuring ...
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In recent years, by using extreme value theory (EVT), researchers have estimated the market risk for rare events (crises) more accurately. This paper examines the different methods of measuring market risk at different levels of reliability. According to the assumptions of the EVT methods, measuring the effects of the financial crises on the value of assets requires a lot of time-series observations. Therefore, this paper has used four indices: total index, industry index, the first market index and the second market index of the Tehran stock exchange. The backtesting results showed that among the various methods, semi-parametric approach or the EVT approach in comparison with parametric (EWMA, MA, GARCH) and nonparametric approaches (Historical simulation) is more efficient and has a higher level of reliability. Also HS method shows acceptable results at high confidence level, while in calculating the value at risk in the 0.90 and 0.95 confidence levels, parametric methods (EWMA, MA, GARCH) provide more reliable results. Also the richness of the dynamics of GARCH and EWMA models are much more than the other models. In the next step by incorporating various models, the three models EWMA-EVT, GARCH-EVT and AWHS were made. Backtesting these three patterns showed that, AWHS and EWMA-EVT have provided the best results among various patterns, and have provided acceptable adequacy in estimating the value at risk at all levels of reliability. However; GARCH-EVT model shows acceptable results only in 0.999 reliability level.
International economy
Seyed Hasan Malekhosseini; Seyed Komail Tayebi; Monireh Rafat; Mahdi Yazdani
Abstract
Estimating the real exchange rate misalignment from the equilibrium value and exploring the factors affecting its changes is crucial for both economic policymakers and economic agents. Among the various factors affecting exchange rate misalignment, the exchange rate regime, has received less attention ...
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Estimating the real exchange rate misalignment from the equilibrium value and exploring the factors affecting its changes is crucial for both economic policymakers and economic agents. Among the various factors affecting exchange rate misalignment, the exchange rate regime, has received less attention in experimental studies. Accordingly, the present paper seeks to find out the answer to the question of how real exchange rate misalignment is affected by different exchange rate regimes. In other words, in which of the exchange rate regimes is the exchange rate misalignment less and in which one it is higher? To answer the question, the propensity score matching approach has been used. For this purpose, we have used data from 116 developing countries with different exchange rate regimes in 2019. Other factors such as real exchange rate misalignment in the previous period, inflation, the quality of institutions and financial development have been considered as match variables to net the effect of the exchange rate regime on real exchange rate misalignment and to separate the effects of other variables. The results showed that the real exchange rate misalignment from its equilibrium level has responded significantly to the type of exchange rate regime adopted by the countries, so that the floating exchange rate regime increases the real exchange rate misalignment in the selected developing countries wherever implemented. It can be argued that factors such as high exchange rate fluctuations, a more drastic adjustment in the price level, and speculative bubbles or contagion effects in the floating exchange rate regime have led to an increase in these misalignments.
Behrooz Hadi Zonooz
Volume 1, Issue 2 , October 1996, , Pages 53-81
Vali Gerivani
Volume 8, Issue 26 , April 2006, , Pages 55-79
Abstract
In recent years, the subject of globalization has been accomplished and it has been intensified by the discussion of the joining Iran to World Trade Organization (WTO). But the topic that has been discussed a little is the evaluation methods for globalization effects on the industries. So this paper ...
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In recent years, the subject of globalization has been accomplished and it has been intensified by the discussion of the joining Iran to World Trade Organization (WTO). But the topic that has been discussed a little is the evaluation methods for globalization effects on the industries. So this paper is going to provide a frame with presentation and explanation of a theoretical method titled by Policy Analysis Matrix (PAM). That allows the indicators in relation to the globalization discussion to be studied and simultaneously calculated as possible. In this method, the producer's incomes expenses are placed in a 3*4 matrix frame and with this way we can go through the government policy analysis and it is effects on the producer's products. After expanding this matrix, different indicators that come on the topics in one service in relation to globalization effects are derived and classified in three groups: protection coefficient, cost competitiveness and comparative advantage. Following that, the Policy analysis Matrix was created for Mobarake Steel Company and different indicators of evaluation of Iran joining effects to World Trade Organization (WTO) will be calculated on this Company. At the end, these indicators will be analyses integrand to basic institution and this company's products and their sensitivity.
Hossein Pirasteh; Rahman Khoush Akhlagh
Volume 5, Issue 14 , April 2003, , Pages 57-82
Abstract
Provision of regional input-output tables by the use of information obtained through census methods, in addition to imposing excessive costs on planning apparatus, imposes time constraints on the realization of regional development plan objectives in due time. Moreover, the use of sample surveys at the ...
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Provision of regional input-output tables by the use of information obtained through census methods, in addition to imposing excessive costs on planning apparatus, imposes time constraints on the realization of regional development plan objectives in due time. Moreover, the use of sample surveys at the regional level, may lead to high inaccuracy due to limited number of observations.One of the more common approaches in obtaining regional input-output tables with much less expenses and time, is the GRIT methodology, which uses the national input-output table as the base and then make necessary adjustments for: 1) the change inprices with respect to time and location and 2) the differences between the pattern of a country's foreign trade and the regional trade within the country's territory. These adjustments lead primarily to a mechanically-produced table of regional inter-industry transactions. In further steps, recent "superior data" is to be used to adjust the technical coefficients in that table, based on their degree of importance.It is evident that construction of such regional tables, as appropriate planning tools, is important and as such, construction of this table for the province of Isfahan in Iran was undertaken. The aim of this article is mainly an attempt to summarize and briefly present the GRIT methodology of obtaining regional input-output tables, describe its strengths and weaknesses and discuss the summary results of its application to the region of Isfahan in Iran.
abbas shakeri; Mir Hossein Mousavi
Volume 5, Issue 17 , February 2004, , Pages 57-78
Abstract
Tax income is the most important source of income for government after the oil income in Iran. The tax system, however, suffers from two factors: long lags, and inflexibility. In this paper, we investigate the efficiency in the Iranian tax system with respect to the two factors above using cointegration ...
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Tax income is the most important source of income for government after the oil income in Iran. The tax system, however, suffers from two factors: long lags, and inflexibility. In this paper, we investigate the efficiency in the Iranian tax system with respect to the two factors above using cointegration analysis for period 1982:3-2002:4. The results indicate that in the long run there is a twenty-two-month lag in tax collection, and, 9-18 month lag in short term. Since the tax system is not flexible enough in response to price changes, this time lag in tax collection along with inflation has led to a decline in real income tax.
Hassan Heydari; Soheila Parvin
Volume 12, Issue 36 , October 2008, , Pages 59-84
Abstract
This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, ...
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This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allowed to vary over time. Application using quarterly data of the Iranian economy from 1981:Q2 to 2006:Q1 shows that the performance of different specifications of time-varying BVAR models for forecasting inflation depends on the number of lags, hyper parameter that controls time variation, and forecast horizons. Our results, however, show that the modified time-varying BVAR model performs much better than other models regardless of the factors above.
Karim Eslamloueyan; Emad Aldeen Sakhaei
Volume 16, Issue 46 , April 2011, , Pages 61-76
Abstract
Using panel data error correction models, we investigate the short- and long-run causality between financial development and economic growth in the Middle East. Three different indicators are used to measure financial developments. Generalized Least Square (GLS) method with cross-section Seemingly Unrelated ...
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Using panel data error correction models, we investigate the short- and long-run causality between financial development and economic growth in the Middle East. Three different indicators are used to measure financial developments. Generalized Least Square (GLS) method with cross-section Seemingly Unrelated Regression (SUR) and fixed effects in cross dimension is used to estimate the models. Our estimation results suggest that there is bidirectional causality between financial development and economic growth in both the short- and long run. The result underscores the feedback between finance and growth and hence advocates the third view that emphasizes on mutual causality between financial development and economic growth. In other words, finance can promote growth and in turn output growth will enhance financial development in the Middle East. This result can have important policy implications for both policymakers and international institutions.
Mansour Zarra Nezhad; Elahe Ansari
Volume 12, Issue 37 , February 2009, , Pages 61-79
Bijan Baseri; Esfandiar Jahangard
Volume 8, Issue 28 , October 2006, , Pages 61-85
Abstract
In this paper, we investigate the effects of technological changes on employment in the Iranian manufacturing industries. We estimate an empirical relationship between R&D spending as a proxy of technological change and skiledl and unskilled employment across the manufacturing industries. We use ...
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In this paper, we investigate the effects of technological changes on employment in the Iranian manufacturing industries. We estimate an empirical relationship between R&D spending as a proxy of technological change and skiledl and unskilled employment across the manufacturing industries. We use the survey data on the four-digit large manufacturing industries for the period 1995-2000. In order to control for the heterogeneity among different industry groups, we use the multilevel model estimation. Our findings show a positive correlation of various measures of technology with the skill structure suggesting that technology is, on average, biased towards skilled labor. In other words, technological progress is complimentary with skilled labor and has a weak relation to unskilled employment in various activities.
Hadi Qavami
Volume 5, Issue 15 , July 2003, , Pages 63-91
Abstract
In this paper, the structural changes of self-employment are studied in economic sectors of Iran by using decomposition methodology during 1956- 96.The self-employment changes in economic sectors in ten-year period can be decomposed into several components such as employment and self-employment ...
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In this paper, the structural changes of self-employment are studied in economic sectors of Iran by using decomposition methodology during 1956- 96.The self-employment changes in economic sectors in ten-year period can be decomposed into several components such as employment and self-employment shares.In this study these factors and their effects on self-employment changes have been analyzed.The period at and the extent to which the total self-employment and economic sectors have changed due to changes in the total employment and sectoral have also been analyzed.Finally, self-employment changes are studied based on factors such as age, sex, region, and are compared with different paid employment of public and private sectors.
Ghahraman Abdoli
Volume 7, Issue 25 , February 2006, , Pages 65-82
Abstract
In this paper, we apply partial adjustment model in order to study the effects of economic, demographic, insurance and other factors on targeted income of Iran is Social Security Organization for the period of 1961 – 2001. Our findings show some variables such as bureaucracy, costs of changes, ...
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In this paper, we apply partial adjustment model in order to study the effects of economic, demographic, insurance and other factors on targeted income of Iran is Social Security Organization for the period of 1961 – 2001. Our findings show some variables such as bureaucracy, costs of changes, habits, organizational and institutional constraints would delay reaching the targeted income. The estimated elasticties imply the variables such as minimum wages, number of insurers, and social security tax, would speed up reaching the targeted income. To increase the effects of these factors, an increase in labor intensity of product, capital, and output of economic sectors, are suggested.
Mahmoud Khataie
Volume 1, Issue 1 , April 1995, , Pages 67-98
Saeed Moshiri; Faezeh Foroutan
Volume 6, Issue 21 , February 2005, , Pages 67-90
Abstract
The movements in oil prices are complex and, therefore, seem to be unpredictable. The traditional linear structural models have not been promising when applied to forecasting, particularly in the case of complex series such as oil prices. Although linear and nonlinear time series models have done much ...
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The movements in oil prices are complex and, therefore, seem to be unpredictable. The traditional linear structural models have not been promising when applied to forecasting, particularly in the case of complex series such as oil prices. Although linear and nonlinear time series models have done much better job in forecasting oil prices, there is yet room for an improvement. If the data generating process is nonlinear, applying linear models could result in misleading forecasts. Model specification in nonlinear modeling can also be very case dependent and time-consuming. In this paper, we model and forecast daily futures oil price, listed in NYMEX, applying ARIMA, and GARCH models, for the period April June 1983 – Jan. 2003. Then, we test for chaos using BDS, Lyapunov exponent, Neural Networks, and Embedding Dimension methods. Finally, we will set up a nonlinear and flexible ANN model to forecast the series. Since the tests for chaos indicate that the oil price in futures markets is chaotic, the ANN model should make better forecasts. The forecasts comparison among the models approves that.
Sonia Sabzalizad Honarvar; Mohammad Jelodari Mamaghani; Aliasghar Banouei; Afsaneh Sherkat; Ashkan Mokhtary Asl Shouti
Volume 18, Issue 57 , February 2014, , Pages 69-84
Abstract
During thepast six decades, the analysts of the input – output economics(IOE) have used two approaches of input – output coefficient matrix(IOCM) and intermediate transactions matrix(ITM), both of which are based on iteration algorithms, in updating input – output tables(IOTs). The ...
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During thepast six decades, the analysts of the input – output economics(IOE) have used two approaches of input – output coefficient matrix(IOCM) and intermediate transactions matrix(ITM), both of which are based on iteration algorithms, in updating input – output tables(IOTs). The former is theoretically based on the production function and is more popular as compared with the latter which is only in terms of accounting. The challenging issue for the analysts of IOE is similar or different results of the two approaches. A group insists on different results, whereas, the observations of another group suggest that the results are equivalent. Neither of the mentioned groups consider factors such as aggregation and convergence speed with respect to the number of iterations in algorithms of the two approaches. The main focus of this article is to investigate the theoretical and empirical aspects of factors, using two survey-based symmetric IOTs of Iran for the years 1996 and 2001. With respect to the above factors, the 3 sectors, 7 sectors, 15 sectors and 21 sectors are considered. This article concludes two overall findings: a 1-statistical error in the two approaches exits but insignificant. 2-The convergence speed with lower number of iterations in the IOCM approach is higher than that of the second approach.
Mohammad Hossein Poorkazemi; Seyyed Hassan Ghazanfari
Volume 7, Issue 22 , April 2005, , Pages 69-90
Abstract
In this paper, we use data envelopment analysis (DEA), a specific non-parametric method, to obtain the efficiency of sugar produces. The main advantage of these non-parametric method, comparing parametric one, is that there is no necessity to specify a production function, and also, they provide some ...
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In this paper, we use data envelopment analysis (DEA), a specific non-parametric method, to obtain the efficiency of sugar produces. The main advantage of these non-parametric method, comparing parametric one, is that there is no necessity to specify a production function, and also, they provide some ways to calculate the efficiency of multi-product firms.
In this study, we measure the efficiency of 33 sugar factories of Iran in 1999. For this purpose, technical and scale efficiency of the sugar factories are calculated. The result shows the average technical efficiency is 69 percent. In addition, the technical efficiency of 7 factories including Neishabour, Piranshahr, Joveen, Isfahan, Eghlid, Miyandoab and Ghazvin is 100% relatively.
Also, the results of the scale efficiency show that 14 factories satisfy the efficient boundary condition and the average scale efficiency of the factories is about 75 percent. In addition, the rank of the efficient factories is determined, using different ranking methods.
Reza Nasr Esfahani; Kazem Yavari
Volume 5, Issue 16 , October 2003, , Pages 69-99
Abstract
The purpose of this study is to analyze the effects of real and nominal variables in inflation by using a Vector Autoregressive Model (VAR). This model used liquidity growth، exchange rates growth، inflation rate، expected inflation as nominal variable and real output gap as real variable by employing ...
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The purpose of this study is to analyze the effects of real and nominal variables in inflation by using a Vector Autoregressive Model (VAR). This model used liquidity growth، exchange rates growth، inflation rate، expected inflation as nominal variable and real output gap as real variable by employing seasonal data. The results show that the cause of inflation is not just the liquidity growth، the chronic inflation is also related to real variables. The VAR results show that in the short-run، nominal variables such as liquidity growth، and exchange rates do affect inflation rate. In the long run، however، stability of prices depends not only on monetary growth but also on the expected inflation and real output gap. The empirical results indicate that liquidity growth is endogenous and nominal variables are related to real output gap. The paper concludes that it is not enough to rely just on monetary policy to control prices in the Iranian economy and in the long run، real output gap should be reduced.
Mohsen Rezaee; Rafi Hasani Moghaddam
Volume 17, Issue 51 , July 2012, , Pages 71-87
Abstract
Discussion of the issues and ideas about consumption is important to the economic literature and there are many books and papers in the field. In the other hand Islamic Economics has specific view in the consumption that distinguishes it from conventional theories. However, there are important issues ...
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Discussion of the issues and ideas about consumption is important to the economic literature and there are many books and papers in the field. In the other hand Islamic Economics has specific view in the consumption that distinguishes it from conventional theories. However, there are important issues about consumption which are suggested in Islamic Economics. There are two important principles which distinguishes Islamic Economics from conventional economics. These principles include:1) expenses related to the Infaq 2) Prohibition of Israf. The main purpose of this paper is to survey consumer behavior and its optimization according to the mentioned constraints, using the Dynamic Programming Methods. Finally, after modeling it is specified that in the euilibrium path the marginal utility of consumption equals the marginal utility of infaq and the expected rate of return (as of Islamic Finance) and rate of time preference influences the consumption and infaq.
Seyyed Jalal Dehghani Firoozabadi; Mokhtar Salehi
Volume 17, Issue 52 , October 2012, , Pages 73-114
Abstract
This paper intends to study the role and significance economic diplomacy in the era of globalization. It then examines the performance of Iranian foreign policy and its interaction with global economy. The main challenges are reviewed, and major areas of activities evaluated. Five basic indices of globalization ...
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This paper intends to study the role and significance economic diplomacy in the era of globalization. It then examines the performance of Iranian foreign policy and its interaction with global economy. The main challenges are reviewed, and major areas of activities evaluated. Five basic indices of globalization were taken to be applied to the case of Iran evaluation of its performance in the course of globalization. Subsequently, the nature of relationship between Iranian economic diplomacy and indices of globalization in the areas of economic globalization, privatization, competition, foreign investment and development of ICT was analyzed and demonstrated.
Behzad Salmani; Alireza Mohammadi
Volume 13, Issue 39 , July 2009, , Pages 73-93
Abstract
This article investigates the effect of government health expenditures as a proxy for health on Iran's economic growth. In doing this the growth model of generalized Aggregate Production Function (APF), based on the growth accounting approach has been used. The basis of this model is the estimation ...
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This article investigates the effect of government health expenditures as a proxy for health on Iran's economic growth. In doing this the growth model of generalized Aggregate Production Function (APF), based on the growth accounting approach has been used. The basis of this model is the estimation of production function in growth accounting methodology. In order to estimate the model the Auto Regressive Distributed Lag Method (ARDL) over the period 1350- 1381 has been used. The results of the research indicate that in the long run, government health expenditures have a positive and significant effect on Iran's economic growth. Also convergence relation among government health expenditures, economic growth and other variables of the model, has been ratified. Investigating the reliability of the results there can be found a positive correlation between government health expenditures and economic growth. Investigating the stability test of the estimated models represents the estimated coefficients stability in the long run.
Shekoofeh Farahmand; Nematollah Akbari
Volume 10, Issue 34 , April 2008, , Pages 73-98
Abstract
Urbanization occurs when sector composition changes from agriculture to industry. Technology improvement in agriculture releases labor from this section and causes labor to immigrate from rural areas to urban areas. Population movements from rural to urban areas change spatial shape of a country. This ...
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Urbanization occurs when sector composition changes from agriculture to industry. Technology improvement in agriculture releases labor from this section and causes labor to immigrate from rural areas to urban areas. Population movements from rural to urban areas change spatial shape of a country. This change will lead to the growth of existing cities, creating new cities, and/or both. This urban development has two sides: growth in number of cities and growth in sizes of cities. This study considers only the growth in number of cities. This paper tests the impact of economic factors on urban development through traditional and spatial specification of Henderson’s models for Iran’s urban system in 1966-96. The results show that considered factors has affected the growth of number of cities in Iran, although there has not been significant spatial dependence.
Ebrahim Hadian
Volume 2, 4&5(Spring and Summer) , April 2000, , Pages 73-80
Abstract
The distributed lag effect of a unit change in one of the explanatory variables on the dependent variable is one of the major shortcomings of the standard linear regression model. Such a model, that specifies a causal relationship between a variable and its determinants, states that a unit change in ...
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The distributed lag effect of a unit change in one of the explanatory variables on the dependent variable is one of the major shortcomings of the standard linear regression model. Such a model, that specifies a causal relationship between a variable and its determinants, states that a unit change in one of the explanatory variables can result in a change in the dependent variable only during the period specified by the model. In practice, however, changes in, for example, the firm's advertisement may affect its sales over various periods.
This paper aimes to develop an approach to estimate the distributed lag effects of a temporary (once -and - for - all) and a permanent (continuous) change in the explanatory variables by using information given by a cointegration model.
Rahim Dabbagh
Volume 16, Issue 47 , July 2011, , Pages 75-104
Abstract
Total factor productivity is an index to represent optimal use of production factors, and the degree of achievement of predetermined goals. In this study efficiency and productivity of research sector and total production (education and research) of 31 large state universities has been investigated, ...
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Total factor productivity is an index to represent optimal use of production factors, and the degree of achievement of predetermined goals. In this study efficiency and productivity of research sector and total production (education and research) of 31 large state universities has been investigated, in order to improve the competitiveness and productivity. With the use of data envelopment analysis the efficiency and productivity changes of universities were measured, and also productivity growth of total and research productivity with separate components has been investigated. The results indicate that universities are technically inefficient. For example in research scope during 5 year, 7 universities are efficient, while 23 universities are inefficient. In total efficiency (research and educational) scope, 19 universities are efficient, while 12 university are inefficient. In order to avoid having randomized result in one year or to compare the first year with the last period, the geometrical mean of 5 years of study have been used. The findings of this study indicates that, Tehran university, Shiraz university, Kurdistan university, Ardebil university, Kermanshah university, Lorestan university and Hamedan university have the highest rang of efficiency among the others and also 13 university were lower than average. Consequently the study suggests that there are no significant improvements in research productivity and TFP in these years, which is due to the low improvement in technological efficiency. Moreover improvement of efficiency and productivity in universities requires strategic planning and productivity management cycle improvement.
Saeed Moshiri; Somayeh Nikpoor
Volume 9, Issue 33 , February 2008, , Pages 75-103
Javad Torkamani; Ali Hosseini
Volume 8, Issue 29 , February 2007, , Pages 75-92
Abstract
The main objective of this paper is to determine the optimum portfolio of the Tehran Stock Exchange with respect to the Value at Risk (VaR) index. Daily data are on the shares of 30 active companies traded in the Tehran Stock Exchange with daily expected return above 0.4 percent in 2004. Optimum portfolio ...
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The main objective of this paper is to determine the optimum portfolio of the Tehran Stock Exchange with respect to the Value at Risk (VaR) index. Daily data are on the shares of 30 active companies traded in the Tehran Stock Exchange with daily expected return above 0.4 percent in 2004. Optimum portfolio is selected subject to the investors' budget, risk and VaR confidence levels. Results reveal that the higher confidence level of VaR requires more diversified portfolio. Therefore, beginner investors and those with higher degree of risk aversion should diversify their budget among shares of various companies. Also, the level of investment affects the combination of the selected portfolio. Results also show that the Risk-Return trade off are in favor of risk averse investors and the change in time length period can also change the optimal portfolio.
