seyed komail tayebi; Khadije Nasrollahi
Volume 4, Issue 13 , February 2003, , Pages 109-133
Abstract
With the view of the shortcoming of purchasing power parity (PPP)approach in interpreting the behavior of LRER in many Developing Countries in last decades, new literature, emphasized on the role of fundamental variables in determination of LRER. These factors from both sides of the supply ...
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With the view of the shortcoming of purchasing power parity (PPP)approach in interpreting the behavior of LRER in many Developing Countries in last decades, new literature, emphasized on the role of fundamental variables in determination of LRER. These factors from both sides of the supply and demand of the economy structure, includes government fiscal policies, international financial assessment, changes in productivity growth, fluctuation of terms of trade and trade policies are the fundamental variables in this regard.
In the case of Iran, while some studies concentrate on determinants of LRER, some others which is in relation with PPP. Approach has concluded that results depend on the period of the study, the types of data and the approach of test.
In this study, total productivity of factors (TPF) of production, the ratio current expenditures to development expenditures used as an index of government fiscal policy, domestic terms of trade, ratio of Central Bank exchange reserves to the base money and an index of import-intensive of investment have taken into account as the determinants of the LRER in Iran. The long-run effects of these variables on the behavior of LRER have been determined by the use of economic methods and then have been analyzed.
In addition, with the attention to the structure of the exchange market in Iran, there have been at least five real exchange rates in the form of real effective formal exchange rate, real effective parallel exchange rate, real effective export exchange rate, real effective recievement exchange rate and real effective payment exchange rate which investigated respectively. Hence, variety of measures should be calculated and interpreted to permint crosschecks in the study. The research illustrate that the direction of the effects of each of these variables depend on which type of real exchange rate has been used. However, another result is that, in the short-run diseqilibrium in all of the cases of real exchange rate would be eliminated except that of parallel market, because of the role of expectation in this market.
Firooz Falahi; jalal montazeri shoorekchali
Volume 15, Issue 44 , October 2010, , Pages 111-133
Abstract
The annual data on economic growth and energy consumption in Iran during the period 1352-1386 is used to study the effect of energy use on the growth of Iranian economy. To that end, a smooth transition regression model is used. The selected model has two regimes and two thresholds. Regime one starts ...
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The annual data on economic growth and energy consumption in Iran during the period 1352-1386 is used to study the effect of energy use on the growth of Iranian economy. To that end, a smooth transition regression model is used. The selected model has two regimes and two thresholds. Regime one starts from 1353 and ends in 1362; while the second regime covers the period 1363-1386. The results show that the energy use had a negative effect on the economic growth in both regimes, and that the effect is larger in the first regime. Therefore, based on these results the growth hypothesis does not hold in the Iranian economy. This could be considered as a sign of inefficient use of energy in Iran.
Ghahreman Abdoli; Ali Khirandish
Volume 14, Issue 43 , July 2010, , Pages 111-140
Abstract
Many governments and private projects are done by contractor. They get projects in a competitive bid auction environment. A contractor in order to overcome to other competitors in a bid auction, opportunely cuts down biding price(bids project at or below minimum profit level) and wins the contract, and ...
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Many governments and private projects are done by contractor. They get projects in a competitive bid auction environment. A contractor in order to overcome to other competitors in a bid auction, opportunely cuts down biding price(bids project at or below minimum profit level) and wins the contract, and hopes to recover the loss (or less profit) from this action ,through negotiations or claims. Based on a dynamic game theory model, the opportunistic winner would request a compensation for the damage incurred by the party after the contract start. After a claim filed, the owner offers to negotiate with the builder. Nash equilibrium solution of this model is negotiating and settling, not going to court. Appling Rubinstein (1982) bargaining theorem the possible range of negotiation settlement is obtained. The lower bound of this range is minimum gain of builder from claim and maximum bound is maximum loss of owner in claim. In the application case, the opportunely and the claim amount are obtained between the ranges implied by the theoretical model
Atousa Goudarzi; Haidar Zobaidie
Volume 11, Issue 35 , July 2008, , Pages 111-140
Abstract
Electronic banking is one of the applications of the information and communication technology (ICT) in money market and banking industry. In this paper, we investigate the effects of electronic banking on the commercial banks profitability using an econometric model. The model is based on the* Structure-Conduct-Performance* ...
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Electronic banking is one of the applications of the information and communication technology (ICT) in money market and banking industry. In this paper, we investigate the effects of electronic banking on the commercial banks profitability using an econometric model. The model is based on the* Structure-Conduct-Performance* approach in which the return of total assets (ROA) depends on market concentration, bank size, the number of automated teller machines (ATM), and the membership in the SHETAB network. We estimate the model using a panel data method consisting of the six major commercial banks (Tejarat, Refah Kargaran, Sepah, Saderat, Mellat and Melli banks) over the period 1998-2004. The results show that the number of automated teller machines (ATM) has a positive effect on profitability of commercial banks and the effect increases after joining the SHETAB network. We conclude that the expansion of electronic banking has a positive and significant effect on the commercial banks profitability.
Ali Hossein Samadi
Volume 9, Issue 32 , October 2007, , Pages 111-136
Abstract
Granger and Newbold (1974) proposed the idea of spurious regression in econometrics. They showed that with I(1) dependent and independent variables, if a regression model is estimated by OLS method, the results may be spurious. This idea is extended to variables with different order of integration. In ...
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Granger and Newbold (1974) proposed the idea of spurious regression in econometrics. They showed that with I(1) dependent and independent variables, if a regression model is estimated by OLS method, the results may be spurious. This idea is extended to variables with different order of integration. In this paper , we review the literature of spurious regression and show that when the variables have different order of integration , for example I(1) & I(2) , and I(1) & I(0) , the spurious results may occur.
Kazem Yavari; Hossein Ghaderi
Volume 6, Issue 18 , April 2004, , Pages 111-140
Abstract
The purpose of this paper is to find out simultaneously the determinants of the parallel market premium, real exchange rate and price level by using a macroeconomic model. Using the 3SLS regression technique, the paper shows that money, expected inflation rate, net return of foreign exchange, investment, ...
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The purpose of this paper is to find out simultaneously the determinants of the parallel market premium, real exchange rate and price level by using a macroeconomic model. Using the 3SLS regression technique, the paper shows that money, expected inflation rate, net return of foreign exchange, investment, public budget and oil revenues have significant effects on the parallel market premium, real exchange rate and price level. Our simulation results show that devaluation of domestic currency raises prices. It also lowers the premium in the short run but not it the long run. The nominal devaluation leads to real devaluation in the first year but will cause the real exchange rate to be overvalued at the end. This policy will also lower output and raise domestic currency denominated oil revenues and official foreign reserves. An important implication of the empirical results of the paper is that government has to maintain discipline in fiscal and monetary policy to be able to stabilize the parallel market premium, real exchange rate and prices.
Hossein Raghfar; Narges Ajorlo
Abstract
The purpose of this study is to calculate Value at Risk (VaR) of a selection of bank's currency portfolio, using GARCH-EVT-Copula (GEC) approach. Today's main challenge of a banking system is to calculate and quantify the risks that the system is encountered. There are numerous approaches ...
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The purpose of this study is to calculate Value at Risk (VaR) of a selection of bank's currency portfolio, using GARCH-EVT-Copula (GEC) approach. Today's main challenge of a banking system is to calculate and quantify the risks that the system is encountered. There are numerous approaches to calculate the risks. Usually these approaches assume a common known distribution for the assets portfolio and generally a normal distribution is utilized for the experimental models. Nevertheless, the distributions of the assets are fat-tailed distribution and consequently normal distribution assumption may lead to inaccurate estimation. This article does not assume a specific asset distribution. This study applies autoregressive threshold variances (GJR-GARCH) for intertemporal individual's asset variable returns distribution. It also utilizes extreme value theory or the fat-tailed distributions and Coppola functions for all asset returns in an asset portfolio. In this study VaR is estimated using variance-covariance and historical simulation methods. Finally, in order to test the reliability of the applied models Kopic method is used. The sample data of the bank's currency portfolio consists of the market daily figures of the US Dollar, Japan's Yen, Turkish Lire, Emirate Dirham, Korean Won, and Euro exchange rates from March 21, 2007 till April 19, 2012. The results showed that the estimated VaR using GEC model is higher than the one estimated using the other two methods. They also show that reliability and precision of Kopic test is higher than those of variance-covariance and historical simulation models.
Hassan Sobhani; Majid Habibian Nagibi
Volume 17, Issue 52 , October 2012, , Pages 115-141
Abstract
Risk and benefit are key concepts of capital market. This issue has been studied sufficiently in various models of the conventional literature, with all its advantages and disadvantages. Islamic capital market often faces with new instrument. Thus, risk management in its discussions suffers from noticeable ...
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Risk and benefit are key concepts of capital market. This issue has been studied sufficiently in various models of the conventional literature, with all its advantages and disadvantages. Islamic capital market often faces with new instrument. Thus, risk management in its discussions suffers from noticeable poverty. Sukuk Manfe'ah (benefit securities) is one of the latest instruments for Islamic capital market. This paper assumes the readers are familiar with the nature of sukuk manfe'ah (benefit securities), so it explains the risks in this market and the sides who take that. Then this paper tries to analysis the risk and the benefit of the sukuk manfe'ah (benefit securities) according to the capital asset pricing model (CAPM). Undoubtedly, the main role of this paper in knowkedge production, is to use the capital asset pricing model (CAPM) in Islamic capital market, which so far is unprecedented.
Majid Ahmadian; Mohammad Ali Motafaker Azad
Volume 8, Issue 27 , July 2006, , Pages 115-131
Abstract
This paper develops a theoretical setting in which firms within industry are risk averse and maximize expected utility of profit under output price uncertainty in an oligopolistic market. The expected profit margin is under influence of increase in market share and concentration coefficient at ...
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This paper develops a theoretical setting in which firms within industry are risk averse and maximize expected utility of profit under output price uncertainty in an oligopolistic market. The expected profit margin is under influence of increase in market share and concentration coefficient at the firm and industry levels. This effect is decomposed of efficiency cost effect as measured by marginal processing cost reduction and the effect due to output price variance under uncertainty. Furthermore, the industry' conjectural elasticity is used as a parameter to evaluate the market's degree of competitiveness. The technique of pooling time-series and cross-section is applied for 11 sugar cane factories that are listed in Tehran Exchange market over the period 1375-1382 . 1382. The findings indicate that the estimate of collusion parameter is lower and it increases with higher sugar price elasticity of demand. Furthermore, the effect of output price uncertainty offsets the cost efficiency effect resulted from market share and concentration.
Hassan Karnameh Haghighi; Nematollah Akbari
Volume 6, Issue 20 , October 2004, , Pages 115-134
Abstract
In this paper, the social demand convergent rate for higher education in different regions of the country is investigated using the generalized growth rate model of Solo-Swan by applying the Panel Data technique. Among the main goals in our study is to determine the rate of social ...
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In this paper, the social demand convergent rate for higher education in different regions of the country is investigated using the generalized growth rate model of Solo-Swan by applying the Panel Data technique. Among the main goals in our study is to determine the rate of social demand convergence for higher education, as well as the rate and type of the convergence based on both gender and the trial groups. The results of the models confirm the convergence of different regions for the growth of social demand within the last two decades. The obtained high rate of convergence indicate the high regional disparities on their criterion volunteer and the size of long term stability reveals the high potential capacity to their growth. Considering the other hypothesis of the research as well as the evaluations being taken for the four enterence exam volunteer groups for universities confirm the validity of hypothesis for mathematical & technical, medical, and the social science groups and not the same for the group of art. The highest and the lowest rates of convergence are considered respectively for the medical science group and the mathematical & technical science group.
Farhad Dejpasand; abbas arabmazar; shapour seifi
Abstract
The purpose of this paper is to estimate the value of human capital in Iran from 2005 to 2014. In the literature, there are two general approaches for estimating the value of human capital stock: the cost-based approach and the income-based approach. The first approach has been selected by this study. ...
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The purpose of this paper is to estimate the value of human capital in Iran from 2005 to 2014. In the literature, there are two general approaches for estimating the value of human capital stock: the cost-based approach and the income-based approach. The first approach has been selected by this study. The analytical model developed in this study is mainly based on Jorgenson-Fraumeni’s model. This paper has used Markov transition probability matrix to calculate the probability of movement of people between different levels of education. Also to compute income from work of persons’ data, this study employed Mincerian wage equation. The findings show that the value of human capital in current prices in 2014 is about 244370 trillion Rials. The same figure in 2005 is 63769 trillion Rials. Despite the increase in the value of human capital at current prices in 2005-14, the real value (in 2004 constant prices) dropped from the 53359 to around 45937 trillion Rials. However, in 2004 the estimated value of human capital stock is 13 times more than the physical capital stock and 58 times more than the gross domestic product (GDP). The results also show that for men the share of total value of human capital stock has increased and the same value for women has decreased over ten years (2005-2014). In addition, the results indicate that on the average, about 85 percent of the value of the human capital stock of male belongs to Diploma and less. About 62 percent of the value of the human capital stock of female belongs to Diploma and less.
Yeganeh Mousavi Jahromi; Farhad Khodadad Kashi; Alame Moosapour Ahmadi
Volume 19, Issue 61 , February 2015, , Pages 117-147
Abstract
In the presentstudy,the evaluation of different economic factors’ impact on income inequality in Iran has been considered during the period 1363-1390. In order to achieve this, Auto-Regressive Distributed Lag method is used. The results indicate that the rate ofeconomic growth and inflation rate ...
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In the presentstudy,the evaluation of different economic factors’ impact on income inequality in Iran has been considered during the period 1363-1390. In order to achieve this, Auto-Regressive Distributed Lag method is used. The results indicate that the rate ofeconomic growth and inflation rate havenegative influence and income tax, labour productivity and gas and oil revenue has a positive influence on income equality.Also based on the results, it can be stated that the relationship between economic growth and income distribution confims Kuznets and Kaldor’s view. The structural stability tests indicate the estimated model is stable. In addition, according to calculated elasticities, it can be concluded that revenue fromincome tax has had the most effect on reducing incomeinequality in Iran during the mentioned period.
Hamid Kordbacheh; Leila Pordel Nooshabadi
Volume 16, Issue 49 , February 2012, , Pages 117-150
Abstract
This paper estimates a dynamic panel model to examine the bank-specific and macroeconomic determinants of non-performing loans in Iranian banking sector using a sample of 12 banks over the period of 2002-2008. The findings of this paper show that prudential behaviour, size and ownership status of banks ...
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This paper estimates a dynamic panel model to examine the bank-specific and macroeconomic determinants of non-performing loans in Iranian banking sector using a sample of 12 banks over the period of 2002-2008. The findings of this paper show that prudential behaviour, size and ownership status of banks are the main statistically significant bank-specific factors of non-performing loans. For robustness of the empirical results, the model has been estimated with alternative indexes of business cycle variable. The findings of the estimated models show that the macroeconomic conditions have significant impact on the non-performing loans in the sample.
Mohammad Asiai
Volume 2, Issue 6 , October 2000, , Pages 117-132
Reza Talebloo; Moloud Rahmaniani
Abstract
In a risky situation probabilities of states are available.Until recently, normal distribution has been used widely in financial applications for a risky situation. Recent studies have shown that normal distribution is not appropriate for financial data and that simple variance of data as an index of ...
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In a risky situation probabilities of states are available.Until recently, normal distribution has been used widely in financial applications for a risky situation. Recent studies have shown that normal distribution is not appropriate for financial data and that simple variance of data as an index of riskiness is a misleading indicator of riskiness. Aumann-Serrano (2008) introduce a new economic index of riskiness to overcome these problems. In this research we use Aumann-Serrano Index to build an optimal portfolio for 23 major stocks in Tehran Stock Exchange. We compare our results with equally weighted portfolio and sharpe-ratio based portfolio and find that economic index of riskiness outperforms others with a 50.6 percent return.
Mehdi Mohammadi; Ghadir Mahdavi
Volume 18, Issue 55 , July 2013, , Pages 119-139
Abstract
We assess the definition and functions of money in modern economic thought in order to clarify the problems arising in Islamic Economics regarding lawfulness of compensation of devaluation in purchasing power of money. Our focus is on the fact that money in current economic activities is Fiat and its ...
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We assess the definition and functions of money in modern economic thought in order to clarify the problems arising in Islamic Economics regarding lawfulness of compensation of devaluation in purchasing power of money. Our focus is on the fact that money in current economic activities is Fiat and its value is derived from government regulation and the promise of central bank and there is neither direct convertibility nor any intrinsic value for money. We also focus on the principle of justice in Imam Ali (a.s) viewpoint, Quran verses and economic theories to challenge the theory of nominal value of money. This paper concludes that money in current economic systems functions as the means of payment and consequently its devaluation should be compensated for clearance from obligation of lender and settling loans. Our main conclusion is the fact that this compensation is not considered as usury.
mirhossein mousavi; Hossein Raghfar; Mansooreh Mohseni
Volume 18, Issue 54 , April 2013, , Pages 119-152
Abstract
The traditional approaches for estimating VAR assume that the joint distribution is well-known and the most commonly used normality of the joint distribution of the assets return. In reality, the financial asset return distribution has fatter tails than normal distributions. On the other hand, the use ...
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The traditional approaches for estimating VAR assume that the joint distribution is well-known and the most commonly used normality of the joint distribution of the assets return. In reality, the financial asset return distribution has fatter tails than normal distributions. On the other hand, the use of linear correlation to model the dependence structure shows many disadvantages. Therefore, the problem raised from normality could lead to an inadequate VaR estimate. In order to overcome these problems, this paper resorts to the copula theory which allows the joint distribution of the portfolio to be free from any normality and linear correlation. Combining copula and the forecast function of the GARCH model, this paper proposes a new method, called conditional copula-GARCH, to compute the VaR of portfolios. Examined data in this study includes daily price of selected portfolio, composed of 17 equities for 1082 days in Tehran stock exchange. Presented model compared with traditional methods (including the historical simulation method & variance_covariance method). the results show that conditional copula-GARCH model captures the VaR more successfully at 95% confidence.
Javid Bahrami; Parvaneh Aslani
Volume 7, Issue 23 , July 2005, , Pages 119-145
Abstract
In this research, we test for the factors that determine private saving in the Iranian economy during 1968-2001 using auto regressive distributed lag model (ARDL). In this model, we examine the effects of factors such as disposable income, social security costs, unemployment rate, long term interest ...
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In this research, we test for the factors that determine private saving in the Iranian economy during 1968-2001 using auto regressive distributed lag model (ARDL). In this model, we examine the effects of factors such as disposable income, social security costs, unemployment rate, long term interest rate, inflation, Gini coefficient, ratio of the value of stocks exchanges to the terms of trade GDP, and a dummy variable for the post-war years. The results show positive effects of income, improvement of income distribution, and more developed financial markets, and negative effect of social security costs on the saving of private sector.
Our results also indicate that the best and the most secured way to increase private saving is to improve financial markets performance that leads to a better absurbtion of saving and to an increases in investment possibility.
Seyed Saleh Akbar Mousavi; Jafar Haghighat; Mohammdreza Salmani Bishak
Abstract
Recent technological advances have increased the importance of human capital over the past years. In this paper, we study the impact of human capital on economic growth in Iran using the nonlinear STR method for the period 1345-1389. To this end, we estimate a two regime Logistic Smooth Transition Dynamic ...
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Recent technological advances have increased the importance of human capital over the past years. In this paper, we study the impact of human capital on economic growth in Iran using the nonlinear STR method for the period 1345-1389. To this end, we estimate a two regime Logistic Smooth Transition Dynamic Regression (LSTR) model in which the transition variable is the logarithmic change in human capital. The results show that the impact of human capital on growth is different in two regimes. In the first regime, if the human capital growth rate is below the threshold value, the effects of human and physical capital on economic growth will be negative and positive, respectively. In the second one, human capital has positive and significant impact on economic growth. The main conclusion of the study is that it is crucial to take the type of regime into account.
Ensieh Mosaddeghi; Rahim Dallali Isfahani; Mohammad Vaez Barzani
Volume 18, Issue 56 , October 2013, , Pages 123-155
Abstract
In the present system of capitalism, the money and interest rate have a special place in macroeconomics and play a major role in conducting monetary policies and determining economic activities level. Classical school believe that interest rate is a real phenomenon. However, Keynes argued that interest ...
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In the present system of capitalism, the money and interest rate have a special place in macroeconomics and play a major role in conducting monetary policies and determining economic activities level. Classical school believe that interest rate is a real phenomenon. However, Keynes argued that interest rate is a money phenomenon. Silvio Gesell reasoned that interest rate is due to the nature of currency. He proposed the free money system, in which the money without interest will also have active circulation. The nature of free money is in such a way that tax is proportional to the money duration of speculation. The objective of this study is to demonstrate the inability of monetary policy (raising inflation expectations) and in this regard, the impact of Gesell tax in escaping from the liquidity trap. Therefore, using the Mathematica software and calibrating a New-Keynesian model for Iranian economy, dynamics of the model were analyzed. The results indicate that an increase in target inflation rate will not affect escaping from liquidity trap. As a result, if the nominal interest rate on currency, on the basis of the rule (Gesell tax) is kept less than the nominal interest rate, the economy will never end up in a zero-bound equilibrium or in a liquidity trap.
Akbar Ahmadi
Volume 4, Issue 10 , April 2002, , Pages 125-146
Abstract
Economic and social modeling in presence of vagueness and uncertainty has been a challenge to scientists for many years. There are several approaches such as non-parametric one, which are used by economists and statisticians to capture the uncertainties in data and measuring unobservable variables. After ...
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Economic and social modeling in presence of vagueness and uncertainty has been a challenge to scientists for many years. There are several approaches such as non-parametric one, which are used by economists and statisticians to capture the uncertainties in data and measuring unobservable variables. After introducing "Fuzzy Set", as a mathematical tool for modeling and analyzing the vague concepts, into the literature, some engineers and mathematician paid great attention to this theory for modeling and simulation nonlinear functions.However, there was a little attention by economists to fuzzy theory in mode ling economic variables and functions. This paper shows the readers how to model economic relations using fuzzy logic, and introduces a new algorithm for measuring the underground economy in Iran. The results of the paper show that the underground economy in Iran which is affected by percapita income and tax incidence had a stable trend during years (1998-1983).
sahar dashtban Farouji; Majid Dashtban Farouji
Abstract
In this paper, we will examine the effect of age structure of the population on the government’s social security expenses. For this purpose, we have estimated the corresponding function by using the relevant data in the period from thefirst season of 1367 to the fourth season of 1392. The results ...
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In this paper, we will examine the effect of age structure of the population on the government’s social security expenses. For this purpose, we have estimated the corresponding function by using the relevant data in the period from thefirst season of 1367 to the fourth season of 1392. The results showed that GDP, general government revenues and age structure of population have positive and significant effects on government’s social security expenses. It means that if the number of retirees increases, the government’s expenses will increase as well. The results also showed that the government’s predicted social security expenses in the spring, summer, autumn and winter of 1393 are as follows: 311903.3 billion rials, 311928.2 billion rials, 312135.5 billion rials and 312200.4 billion rials, respectively.
Naser Yarmohamadian; Ali Moridian Pirdusti
Abstract
Existing congestion in the urban transport network involves many costs such as air pollution, delays for passengers, and increased fuel consumption. Internalizing congestion externality cost is a basis for transportation congestion pricing. This policy is implemented in many metropolitans worldwide. ...
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Existing congestion in the urban transport network involves many costs such as air pollution, delays for passengers, and increased fuel consumption. Internalizing congestion externality cost is a basis for transportation congestion pricing. This policy is implemented in many metropolitans worldwide. One of the methods used in network pricing is the use of a belt pricing. This pricing is made up of a number of arcs that surround the crowded city and passengers who are going to cross these arcs and enter this area are required to pay a fee. The most important issue in this pricing method is to determine the amount of toll imposed on these arcs. The purpose of this research is to determine optimal congestion toll in a particular cordon-based network in which user benefits are maximized. In this study, in order to find the optimal amount of toll, a combinatorial bi-level optimization problem is introduced, in such a way that net social surplus is maximized at the upper level, and user equilibrium problem with elastic demand is solved at the lower level, then genetic algorithm in the MATLAB software is used to solve this model. The results show a toll of 13 thousand Rials for entrance to cordon per hour in 2016, would increase the network user benefits by 41 percent.
Hooman Karami; Maryam Hematy
Volume 20, Issue 65 , February 2016, , Pages 129-157
Abstract
In this paper, following Maćkowiak, Moench and Wiederholt (2009), the reaction of sectoral price indexes to aggregate and idiosyncratic shocks has been evaluated using Bayesian Dynamic Factor Model. The separation of the reaction of prices to these two types of shocks has been done in order to identify ...
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In this paper, following Maćkowiak, Moench and Wiederholt (2009), the reaction of sectoral price indexes to aggregate and idiosyncratic shocks has been evaluated using Bayesian Dynamic Factor Model. The separation of the reaction of prices to these two types of shocks has been done in order to identify the pricing model that is more compatible with Iranian economy. In case of existence of any significant difference in speeds and sizes of price reaction with respect to these shocks, we can conclude that some of the conventional price setting models such as Calvo could not be able to explain the differences. Therefore, for the purpose of explaining the price setting behavior in Iran, alternative pricing models should be evaluated. The results of this study clearly show that there is a significant difference between the reaction of price indexes to aggregate and sectoral shocks. Based on the results, rational inattention model of Mackowiak and Wiederholt (2009a) is more consistent with the stylized facts of Iran’s economy in comparison with the conventional pricing models.
Reza Yousefi Hajiabad; Zohreh Hooshmand; Maryam Khoshnevis
Abstract
The main purpose of this paper is to investigate the interaction effects of risk, capitalization and inefficiency in Iran's banking system. For this purpose, combined data of commercial and private banks of Iran in years (1999-2012), were collected and analyzed using simultaneous equation approach and ...
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The main purpose of this paper is to investigate the interaction effects of risk, capitalization and inefficiency in Iran's banking system. For this purpose, combined data of commercial and private banks of Iran in years (1999-2012), were collected and analyzed using simultaneous equation approach and fixed effects two-stage least squares (FE2SLS), The results confirm the belief that these three variables are simultaneously determined. The results indicate that relationship between inefficiency with quality of loans is significant and positive. Capitalization and loan growth have positive effect on inefficiency. Capital accumulation will decrease quality loans. Capital accumulation also has negative effects on the quality of banking risk indicator.On the other hand ,due to the inefficiency of the banking system's cost and return on assets on capital accumulation, banks that aren't in a good position in terms of performance, are not in a right position in terms of equipping and capital accumulation either.
