Morteza Khorsandi; Ali Afsari
Abstract
In recent years, falling birth rate and rising life expectancy in many countries have led to the population aging which has brought about some problems. One of these problems is the negative impact of this phenomenon on the sustainability of the pension system. In this study we examine the impact of ...
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In recent years, falling birth rate and rising life expectancy in many countries have led to the population aging which has brought about some problems. One of these problems is the negative impact of this phenomenon on the sustainability of the pension system. In this study we examine the impact of fertility rate on the sustainability of the pension system using the two-period overlapping generations model. The parameters of the model are calibrated using actual data of Iran's economy. The results of this analysis showed that the impact of fertility rate on the sustainability of the pension system is affected by the ratio of the child care cost to personal income and as long as the fertility rate is less than 4.12 percent, increasing the fertility rate leads to higher pension payment and improvement of the pension system sustainability.
Hosein Mohammadi; Sayed Hosein Saghaian; Amirhosein Tohidi
Volume 20, Issue 65 , February 2016, , Pages 159-184
Abstract
Exchange rate pass-through is one of the most important issues in the international economic studies. Determining the degree of exchange rate pass-through can be used to define the effectiveness of foreign policy, market structure and exporters behavior. The main objective of this study is to investigate ...
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Exchange rate pass-through is one of the most important issues in the international economic studies. Determining the degree of exchange rate pass-through can be used to define the effectiveness of foreign policy, market structure and exporters behavior. The main objective of this study is to investigate the exchange rate pass-through to export prices of Iranian pistachios during the period 1961-2011. In the previous studies, the exchange rate pass-through was assumed to be fixed during different years. This assumption is not consistent with reality, because many factors can influence the exchange rate pass-through. In this study, sensitivity analysis in the framework of artificial neural network is used to address this shortcoming. The results shows that exchange rate pass-through to Iran's pistachio export prices has been more than 70 percent, and its trend has been periodic. Furthermore, the results showed that there is a direct relationship between exchange rate fluctuations and Iranian pistachio export prices. Thus, by reducing exchange rate volatility, it is possible to supply pistachio with lower prices to the world markets. Considering the high elasticity of demand for the Iranian pistachio prices, a reduction in prices would increase revenues of exporters. Incidentally, given the high elasticity of export demand for Iran's pistachio, the revenues from the export of this product can be increased by reducing the cost of pistachio production.
Saleh Ghavidel; Nasim Mirghiyasi
Abstract
In this paper, the impact of population aging on economic growth is estimated regarding the population growth factor and life expectancy index. For this purpose, the methods of differentiation, averaging and virtual variables have been utilized through the compilation of the data gathered from 146 countries ...
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In this paper, the impact of population aging on economic growth is estimated regarding the population growth factor and life expectancy index. For this purpose, the methods of differentiation, averaging and virtual variables have been utilized through the compilation of the data gathered from 146 countries during 1990-2013 aimed at controlling the unobservable factors. The results demonstrate that the negative impact of population aging on economic growth appears in countries wherein the life expectancy index is above 70 whereas in countries with a life expectancy of less than 70 years the impact of population aging on economic growth is not negative. Furthermore, the results of this research show that the population growth rate has a positive effect on economic growth only when the population above 65 years old accounts for at least 18% and a maximum of 21% of the total population. In countries wherein the population over 65 exceeds the above-mentioned percentage, the positive effect of population growth on economic growth is undermined.
Amir Azamtarrahian; Saeed Asadi
Abstract
This paper studies credit risk management in banking industry and proposes a generic model for corporate loan portfolio loss distribution in economic downturns. Basel assumes a one-factor Gaussian copula for default correlations and introduces the regulatory capital on the ground of Vasicek process that ...
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This paper studies credit risk management in banking industry and proposes a generic model for corporate loan portfolio loss distribution in economic downturns. Basel assumes a one-factor Gaussian copula for default correlations and introduces the regulatory capital on the ground of Vasicek process that works acceptably well in normal economic situations but not in recessions. In this paper, one-factor t-student copula is used for dependence structure of probability of Defaults (PDs), and Basel has been extended by introducing correlated PDs and Recovery Rates (RRs) through Clayton copula and the required economic capital is calculated accordingly. Finally, our findings suggest that Expected Shortfall (ES) safeguards banks against losses beyond the VaR level and it is a better risk metric in economic downturns comparing to VaR.
Madjid Hatefi Madjumerd; Omolbanin Jalali; Alireza Kafiri
Abstract
The main objective of this study is to evaluate the effect of saving rate on money demand function’s regime change in the framework of nonlinear smooth transition auto-regressive method covering the period 1352-1396. In this regard, the linear model was tested against nonlinear model and it revealed ...
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The main objective of this study is to evaluate the effect of saving rate on money demand function’s regime change in the framework of nonlinear smooth transition auto-regressive method covering the period 1352-1396. In this regard, the linear model was tested against nonlinear model and it revealed that nonlinear model is better. Then, the nonlinear logistic model is distinguished by using Trasvirta test. The results indicated that error adjustment speed in linear models is different from nonlinear ones. Adjustment speed is different in various interest rates. If interest rate of bank deposits is very low, money demand function will quickly adjust itself. As the interest rate of deposits increase, the adjustment speed of money demand function will decrease.
behnaz nanavay sabegh; ali fegheh majidi; ahmad mohammadi
Abstract
The stock market is one of the most important infrastructures for economic development in developing and developed countries. The convergence of stock market returns reflects the interdependence of the economies of countries and the mobility of capital among them. This study aims to test the stock market ...
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The stock market is one of the most important infrastructures for economic development in developing and developed countries. The convergence of stock market returns reflects the interdependence of the economies of countries and the mobility of capital among them. This study aims to test the stock market price index convergence between OECD countries Philips and sul (2007) methodology over the period January 2007-Februrary 2017. The results show that the stock markets do not form a convergent cluster. However, there are three convergent clubs with one divergent market, Luxemburg. Also, the result of convergence test among clusters represents that the first and second clusters form a convergent cluster.
Narges Sadeghi; Seyed Hadi Mousavi Nik
Abstract
In 2015 "Ministry of Industry, Mine and Trade" and the "Management and Planning Organization" tried to identify the key sectors of the Iranian economy on the verge of the Sixth Five Year "Development Plan". The first report entitled "industrial development strategy" uses general criteria such as the ...
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In 2015 "Ministry of Industry, Mine and Trade" and the "Management and Planning Organization" tried to identify the key sectors of the Iranian economy on the verge of the Sixth Five Year "Development Plan". The first report entitled "industrial development strategy" uses general criteria such as the share of value added, employment, exports and comparative advantage and the second one namely "key sectors prioritization of the Iranian economy" identifies key sectors on the basis of traditional methods in Input Output analysis. The findings of both institutions suggest the development of heavy industries. In order to assess these findings, traditional, eigenvector and hypothetical extraction methods have been used to answer three following questions: First, which of these methods give a more realistic picture of Iran’s economy and what are the key sectors? Second, to what extent the results of the three methods proposed, are in line with the proposed recommendations of the two institutions? And the third, will there be any differs of the results obtained from the three methods with the new sectoral classifications? The findings of this paper reveal that: First, of all the results of the hypothetical extraction method are more realistic due to considering the intermediate transactions, and the size of the sectoral final demand and value added, reveal that the number of industrial sectors are reduced and service sectors especially distributional ones are identified as key sectors. Second, unlike the other two methods, the results of the hypothetical extraction show a different picture: The shares of industry sectors are reduced and agriculture and service sectors appear as key sector. Third, classifying key sectors according to level of technology shows "Chemicals excluding pharmaceuticals" and "Pharmaceuticals" is common in the three methods whereas there is a considerable difference in Medium-low-technology and Low-technology industries.
Hajar Mozafari Shamsi; Sara Ghobadi
Abstract
One of pleasant subjects for economists, in the field of Macro-political economy, is investigating the impact of relevant factors on financial corruption. This study aims to investigate the effect of economic and political factors on financial corruption, economic growth, and the size of government as ...
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One of pleasant subjects for economists, in the field of Macro-political economy, is investigating the impact of relevant factors on financial corruption. This study aims to investigate the effect of economic and political factors on financial corruption, economic growth, and the size of government as well as their interaction effects in the selected oil producing countries over the 2003-2014 period. To estimate the model, system panel data approach is applied based on Generalized Method of Moments (GMM) estimator. The results showed that an improvement in the economic growth, size of government, democracy, rule of law and access to sound money variables decrease financialcorruption of selected oil producing countries. Also, improving the size of government, political stability, democracy, business regulations variables and decreasing financial corruption has led to economic growth of the selected countries. Finally, improving economic growth, increasing oil revenues and urbanization has increased the size of government in these countries.
Regional Planning
Morteza Ghasemi
Abstract
One of the basic needs of human society, which is related to the issue of development in all its aspects and is now considered as one of the signs of civilization, is the issue of economic infrastructure. In addition to affecting development, this infrastructure is also changing. Therefore, in the present ...
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One of the basic needs of human society, which is related to the issue of development in all its aspects and is now considered as one of the signs of civilization, is the issue of economic infrastructure. In addition to affecting development, this infrastructure is also changing. Therefore, in the present study, the rate of economic infrastructure development in Mazandaran province has been measured using the model of Analytical Hierarchy Process (AHP), FUZZY Logic and Geographic Information System (GIS). The research method is descriptive-analytical and it can be used in the regional planning system. Accordingly, spatial layers of transportation, energy and information and communication technology (ICT) were obtained through the statistical yearbook Mazandaran province in 1398. In the following, three economic infrastructure development evaluation indicators along with related sub-criteria were rated by the participants through a questionnaire and they were integrated in the Geographic Information System (GIS). Finally, the research maps show that 49.01% of the cities in the province are in a very high category of economic infrastructure. 27% of cities are in the middle and upper middle level and 23% suffer from low and very low in economic infrastructure facilities. On the other hand, 39% of Mazandaran villages are situated in the best zone of infrastructure.
Abbas Kalantari; Navid Khalil Paktinat
Volume 19, Issue 58 , April 2014, , Pages 183-206
Abstract
In this paper, the effect of trade volume on TEPIX index is investigated based on bull and bear cycles of Tehran stock Exchange (TSE) using nonlinear Markov-Switching model. In this regards, monthly data of TEPIX and trade volume of TSE is used for the period of the first month of 1381 to the ninth month ...
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In this paper, the effect of trade volume on TEPIX index is investigated based on bull and bear cycles of Tehran stock Exchange (TSE) using nonlinear Markov-Switching model. In this regards, monthly data of TEPIX and trade volume of TSE is used for the period of the first month of 1381 to the ninth month of 1391. The results show that, there is significant nonlinear relationship between trade volume and TEPIX index. Trade volume has positive and significant impacts on TEPIX in both bull and bear regimes but these effects is higher in bull regime. Based on the results, it is expected that increase in trade volume leads to growth in TEPIX index in both bull and bear regimes. However, comparing results with historical evidences shows that Markov-switching model properly fits the bull and bear cycles of TSE. On the other hand, the results of Robustness tests emphasis adequacy and good performance of Markov-Switching model. Based on MAE criterion, the Markov-Switching model has more accurate performance for in-sample fitting and out-of-sample forecasting than ARIMA and VAR models.
Shiva Zamani; Majid Alifar
Volume 19, Issue 59 , July 2014, , Pages 183-210
Abstract
In this paper we formulate the volatility of the Metal Index, by an ARJI-GARCH model, with reference to the effect of the volatility of dollar exchange rate. We express the jump in the dollar exchange rate by an Autoregressive Conditional Jump Intensity (ARJI) model, and then use the output to model ...
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In this paper we formulate the volatility of the Metal Index, by an ARJI-GARCH model, with reference to the effect of the volatility of dollar exchange rate. We express the jump in the dollar exchange rate by an Autoregressive Conditional Jump Intensity (ARJI) model, and then use the output to model the volatility of Tehran Base Metal Index by GARCH. To test the model, we calculate VaR using the ARJI-GARCH volatility, and the GARCH volatilities without considering the dollar exchange rate volatility or the jump in it. We calculate the referred VaR also by an exponentially time weighted historical simulation method. We test the accuracy and preciseness of the resulted VaRs by the associated statistical tests, and conclude that the ARJI-GARCH model is well suited for forecasting volatility in this context
Optimization
Mehrnoosh Khaji; Maghsoud Amiri; Mohammad Taghi Taghavifard
Abstract
The present study aimed to develop a model for determining an optimal bidding strategy for electricity producers, including the recommended selling price and the amount of electricity to be offered for participation in both the competitive electricity market and the energy exchange market. Hourly bids ...
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The present study aimed to develop a model for determining an optimal bidding strategy for electricity producers, including the recommended selling price and the amount of electricity to be offered for participation in both the competitive electricity market and the energy exchange market. Hourly bids are suggested for the electricity market, while a monthly package, comprising peak load, medium load, low load, and base load, is proposed for the exchange market. By modeling a self-scheduling problem, the study aimed to develop optimal power production plans that maximize net profit over a one-month period. The research approach involved mathematical modeling using mixed-integer non-linear programming, which was performed in Lingo software and then validated in terms of effectiveness through an application to the case of a thermal power station. Relying on fuzzy necessity, credibility, and possibility, the research presented a robust model against the uncertainty of price with an adjustable level of robustness. Sensitivity analysis and the simulation approach were used to validate the performance of the model, demonstrating that the optimal response from the robust model, compared to the deterministic model, can maintain its efficiency in the face of fluctuations in the parameter of price uncertainty. Furthermore, the findings indicated that offering a base load package on the energy exchange market can yield a higher net profit value for the producer. Finally, the fuzzy interest rate and decision-making based on fuzzy goals were also examined.1. IntroductionIn recent years, researchers have directed their attention toward robust optimization in markets with uniform pricing systems. However, the application of robust methods in pay-as-bid systems remains unexplored. Therefore, a notable research gap exists, specifically in the robust optimization of pay-as-bid systems in the Iranian electricity market. Moreover, with the establishment of the energy exchange market in Iran, the simultaneous bidding, in both the energy exchange market and the day-ahead electricity market, has surfaced as a significant gap in existing research literature. In this respect, the present study contributes to relevant research by addressing existing gaps while considering the specific needs of the Iranian electricity market. The study tried to model the self-scheduling problem of an electricity producer to determine an optimal and robust strategy. Employing fuzzy theory to address the uncertainty of the market clearing price parameter, the model can protect the producer from electricity price uncertainty in the market, as well as foster a more secure environment for participation in competitive electricity markets.2. Materials and MethodsAs an applied and developmental research, the present study aimed to develop robust optimization models for bidding in the electricity market. This descriptive–analytical study examined, described, and explained uncertainty in decision-making, employing a fuzzy approach to tackle uncertainty. The research involved the mathematical modeling of the problem of determining the bidding strategy for electricity producers, presented as mixed-integer programming. First, the variables and parameters of the modeling process were introduced, followed by presenting the problem formulation. Subsequently, the implementation and its procedural steps were performed in the Lingo software to validate the effectiveness of the proposed model by applying it to the case of a thermal power station. 3.Results and DiscussionThe research proposed a model designed to address bidding challenges encountered by a price-taker electricity producer. The model centers on optimizing simultaneous monthly bidding in both the day-ahead electricity market and the energy exchange market. The objective is to optimally allocate the producer’s capacity between these two markets to maximize profit. To handle the uncertainty of electricity prices, a robust method is employed, necessitating estimates of the next day’s market price and the energy exchange price for the upcoming month. The proposed model underwent testing across various modes, including base load, off-peak load, medium load, and peak load packages. The results revealed that the producer’s profit is maximized when offering the base load package to the energy exchange market, followed by the medium load package. Peak and off-peak packages ranked third with equal values. Therefore, it is recommended for producers seeking participation in the energy exchange market to consider offering a base load package.4. ConclusionThe present research employed a robust fuzzy technique to deal with the volatility of electricity market prices, allowing decision-makers to make firm decisions with an adjustable level of robustness. The results of the proposed method indicated that the possibility criterion adopts an optimistic stance towards the settlement price, thus suggesting prices at higher levels than the necessity and credibility criteria. This criterion is suitable only when market signals indicate a potential price increase. In contrast, the necessity criterion adopts a cautious approach, showing robustness even at low confidence levels. This approach is well-suited for risk-averse decision-makers and scenarios where market signals point towards a potential price reduction.
Financial Economics
Saman Hatamerad; Bahram Adrangi; Hossein Asgharpur; Jafar Haghighat
Abstract
The present research aimed to investigate the relationship between Iran’s stock price index and nine macroeconomic variables during 1996–2019. Three methods were employed to reduce uncertainty, namely three Bayesian averaging methods (BMA, BMS, BAS), weighted average least squares (WALS), ...
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The present research aimed to investigate the relationship between Iran’s stock price index and nine macroeconomic variables during 1996–2019. Three methods were employed to reduce uncertainty, namely three Bayesian averaging methods (BMA, BMS, BAS), weighted average least squares (WALS), and Vselect. The experimental results of the Bayesian methods and WALS showed that the exchange rate and the consumer price index are the most important variables among the nine macroeconomic variables considered in the model. Moreover, the results revealed that the exchange rate has a minor impact on the stock price index, while the stock price index exerts a substantial effect on the exchange rate. The findings of Vselect validated the conclusion that these two variables are the primary drivers of stock price estimation and are present in nearly all predictive modelsIntroductionThe harmonization of financial markets with the macroeconomic sector is crucial for stabilizing the economy and achieving the adopted policies. In recent years, several significant studies have been conducted on financial markets, particularly the stock market, highlighting their pivotal role in allocating capital resources efficiently in advanced economies. Empirical evidence supports the view that financial markets have evolved in tandem with all sectors of the economy. Therefore, it can be argued that financial markets constitute one of the most vital components of any country’s economy. Throughout history, major economic crises have resulted from the collapse of financial markets, which underscores their critical significance. The financial market comprises several components, with the stock market being a crucial part. Economists view it as a barometer of a country’s economic health due to its ability to reflect macroeconomic asset prices more accurately than other markets. The uncertainty surrounding stock prices in stock markets is a significant aspect of the entire economy, capable of generating and disrupting unsustainable growth. For investors, the risk of participating in an investment is a crucial consideration. To comprehend total risk, it is beneficial to examine two aspects: systematic and non-systematic risk.The present study aimed to examine the impact of economic factors on stock market prices in Iran with the high degree of risk involved. There is a consensus among economists that asset prices are responsive to economic news, and that stock prices and economic factors are strongly interconnected. Thus, this research investigated the potential impact of macroeconomic factors on the Iranian stock price index from 1996 to 2019 using Bayesian averaging methods, followed by an analysis of the effect size of each variable through the weighted average least square method (WALS).Materials and MethodsResearchers often draw conclusions based on the assumptions of their selected model, assuming that it can accurately predict real-world situations. However, this approach may overlook true uncertainty, leading to non-conservative conclusions. Statistical models comprise two parts: variables and assumptions, and the model selected based on these assumptions to estimate the variables. Uncertainty exists at both levels. For instance, a researcher estimating the impact of influential factors on an independent variable may choose a model based on their assumptions and report their estimates. But is this the best answer? Another researcher with different assumptions may opt for a different model with lower variance and error. In other words, numerous models may fit the sample data equally well but with different coefficient estimates and standard errors. Bayesian model averaging (BMA) is a robust method that aims to remove uncertainty. It assesses the robustness of results to alternative specifications by computing posterior distributions for coefficients and models. This study employed three models of BMA, BMS, and BAS, using various averaging methods to verify the reliability of the results. Moreover, two non-Bayesian methods, namely WALS and Vselect, were used to select the best variables for predicting the optimal models.ConclusionThis study tried to investigate the relationship between Iran’s stock market index and nine macroeconomic variables during 1996–2019 by using the models that identify and limit uncertainty. The models selected include three Bayesian averaging models as well as WALS and Vselect which were used to verify the results obtained. The results indicated that only two variables, the exchange rate and consumer price index, are statistically significant when assuming a uniform distribution of the prior distribution function, which is the assumption of the BMS method. The remaining variables are not statistically significant. Furthermore, the estimates derived from the BMA and BAS models were quite similar, with the exception of less important variables. However, the similarity decreased in the BAS method. Moreover, WALS and Vselect confirmed the results obtained from all the three methods.
Ashkan Mokhtari Asl Shoti; Afsaneh Sherkat
Abstract
The most well-known application of the supply and use tables is the calculation of a variety of symmetric tables with different technological assumptions. From the 1960s to the late 2000s, only symmetric industry by industry tables under fixed sale commodity assumption, could be used as the basis of ...
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The most well-known application of the supply and use tables is the calculation of a variety of symmetric tables with different technological assumptions. From the 1960s to the late 2000s, only symmetric industry by industry tables under fixed sale commodity assumption, could be used as the basis of updating. However, a symmetric table cannot provide the simultaneous analysis of product and activity and, therefore, cannot be applied in any fields of economy. Since the late 2000s, the input-output analysts have developed various methods in order to directly use the supply and use tables as the basis of updating instead of updating the symmetric tables. Despite more than three decades of experience of compilation of the supply and use tables in Iran, statistical institutions still use the symmetric tables as the basis of updating. The present paper aims to quantitatively study and compare conventional methods of updating the supply and use tables with the view to answer the following question: Which of the reviewed methods best suits the available statistics in Iran and can be applied for the updating the supply and use tables? The results show that, among the methods under consideration, the SUT_RAS method is more consistent with the nature of data and statistics in Iran.
javad ramezani; Yahya Kamyabi
Abstract
Successful investment requires identifying influential investment factors, its related risks and allocating optimal resources to obtain the highest returns. Individuals and institutional investors employ strategies to obtain additional return. One of these strategies is to determine the factors affecting ...
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Successful investment requires identifying influential investment factors, its related risks and allocating optimal resources to obtain the highest returns. Individuals and institutional investors employ strategies to obtain additional return. One of these strategies is to determine the factors affecting risk and return in investment processes. This paper aims at examining the explanatory power of stock returns through the six-factor model and comparing Fama–French five-factor model, Carhart four-factor and Hou, Xue, Zhang (HXZ) q-factor models to determine the expected return on stocks of listed companies in Tehran Stock Exchange. Monthly data from the listed companies from 2002 to 2016 reveals that Fama–French five-factor model can explain stock returns better than Carhart four-factor model and HXZ six subscales. More importantly, adding momentum to the five-factor model did not increase the explanatory power. Also, the study showed that there were not significant results regarding Fama-french five-factor model of the value factor (HML) in Tehran Stock Exchange. Therefore, adding two factors of investment and profitability increases the explanatory power of the model.
Monetary economy
Hossein Samsami; Parviz Davoodi; Rana Abbasgholi Nezhad Asbaghi
Abstract
One of the factors that change the results of the expansionary monetary policy through the credit channel on the economy is the financial frictions that affected Iran's economy especially in the 2002’s and 2022’s. These frictions are manifested in variables such as capital adequacy violations, ...
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One of the factors that change the results of the expansionary monetary policy through the credit channel on the economy is the financial frictions that affected Iran's economy especially in the 2002’s and 2022’s. These frictions are manifested in variables such as capital adequacy violations, the ratio of nonperforming loans, the ratio of fixed assets to the total assets of banks, and the government's net debt to banks. In this article, with the help of building a macro structural econometric model in the period of 1968-2022, the effect of expansionary monetary policy on the change of each type of financial friction has been investigated and compared with emphasis on the endogeneity of money on Iran's economy. The obtained results show that due to the endogeneity of money, the influence of the central bank's monetary policy on the real sector of the economy has decreased and most of its effect is manifested in nominal variables such as liquidity, inflation rate and exchange rate. In addition, an increase of one standard deviation in the ratio of nonperforming loans reduces the impact of the expansionary monetary policy on the real sector of the economy more than other mentioned financial frictions. After that, the decrease in capital adequacy, the increase in the government's net debt to banks, and the increase in the ratio of fixed assets to total assets are in the next level of importance of reducing the effectiveness of monetary policy.1.IntroductionIran’s economy heavily relies on banks to finance economic entities, emphasizing the crucial impact of monetary policy through the credit channel. However, the effectiveness of monetary policy on the real sector of economy can be impeded by financial frictions. These frictions intervene in financial transactions and may increase the costs associated with obtaining external financing, such as loans, for investors (Farzinvash et al., 2014). Empirical evidence suggests that, despite high liquidity, Iran’s economy has encountered a credit crunch, especially during the period spanning from 2002 to 2022. This credit crunch can be attributed to violations of prudential ratios, including capital adequacy, nonperforming loan ratio, fixed asset ratios to total bank assets, and the government’s net debt to banks.As a consequence of these frictions, banks face resource shortages and resort to borrowing from the Central Bank through overdrafts. This results in an expansion of the monetary base, subsequently increasing liquidity and leading to a rise in the general price level. Consequently, owing to the endogeneity of money in Iran’s economy, the Central Bank lacks an independent monetary policy instrument to effectively achieve its goals. The impact of liquidity on the real sector of economy is limited, with most impact observed in nominal variables and manifested as price increases.In this respect, the present study aims to examine the impact of financial frictions on the effectiveness of expansionary monetary policy through the credit channel, specifically focusing on the endogeneity of money. Additionally, it tries to compare the respective effects of the frictions on the Iranian economy. The analytical perspective ensures the distinctive and innovative aspect of the study.2.Materials and MethodsConcerning the period from 1968 to 2022, a large-scale macroeconometric model was developed based on aggregate supply–aggregate demand frameworks and national income accounting. The research model encompasses various components, including consumption and investment expenditures, government activities, foreign trade, production, money and credit, general price levels, exchange rates, and the balance of payments. Data for constructing the model was sourced from the Central Bank’s Time Series Data Bank, the Central Bank’s balance sheet, (non-)governmental banks balance sheets, the Statistical Centre of Iran, and the World Bank.The model consisted of 28 behavioral equations, 9 connecting equations, and 91 identities. Auto-Regressive Distributed Lag (ARDL) method was used to estimate the model equations, and all equations were concurrently solved through dynamic simulation. The study relied on the criteria such as Root Mean Square Percentage Error (RMSPE) and the Theil index of inequality (U) to test the model’s performance.3.Results and DiscussionIn order to investigate the influence of individual financial frictions on the impact of expansionary monetary policy on Iran’s economy, the study assumed an annual one standard deviation increase in bank debt to the central bank as a monetary policy instrument in each considered scenario. The scenario development period spans five years, from 2018 to 2022, where the baseline trend represents the state of implementing solely expansionary monetary policy while keeping all types of financial frictions invariable in the current state of Iran’s economy.Moreover, in case of one standard deviation alteration in each financial friction during the implementation of expansionary monetary policy, it can be used to classify capital adequacy, nonperforming loans ratio, the government’s net debt to banks, and fixed asset ratios to total bank assets in the scenarios 1, 2, 3, and 4, respectively (see Table 1). Table 1. The average percentage deviation of the simulated values of the important endogenous variables in the examined scenarios from the base simulated values during the period 2018–2022Scenario 4:Increase in the fixed asset ratios to total bank assetsScenario 3:Increase in the government’s net debt to banksScenario 2:Increase in the nonperforming loan ratio Scenario 1:Reduction in capital adequacy of banksVariables-18.63-23.33-24.9-22.13Depth of bank credits-3.16-3.25-3.22-2.86Production capacity utilization rate-5.14-6.14-6.38-5.96Investment-1.82-2.3-2.4-2.24Employment-1.94-2.26-2.36-2.39Total factor productivity-2.84-3.2-3.3-3.23Gross domestic product-3.1-3.49-3.6-3.52Non-oil gross domestic product12.8913.8413.8414.19Changes in inventories19.3731.4235.4236.24Liquidity3.15.185.935.81Inflation rate7.3312.4414.1114.36Exchange rate* Source: Research resultsTable 1 illustrates that the impact of expansionary monetary policy varies across different scenarios examined. Scenario 2 (i.e., the increased ratio of nonperforming loans) impacts both the real and nominal sectors of economy by causing more significant fluctuations in these variables compared to the baseline simulation. Scenarios 1, 3, and 4 hold subsequent degrees of importance in diminishing the effectiveness of monetary policy.4.ConclusionBased on the findings, it can be concluded that the effectiveness of expansionary monetary policy on the real economy weakens the most when the nonperforming loan ratio increases, compared to three other financial friction indicators. Therefore, to mitigate nonperforming loans in banks, the study suggests that economic policymakers focus on controlling inflation rates, exchange rates, fluctuations in gross domestic product, and fluctuations in investment in the real estate sector. The priority should also be given to monitoring the decline in the quality of bank management due to the increase in the ratio of bank credit balance to total volume deposits after deducting the legal reserves. It is also worth noting that the proper implementation of Islamic contracts by banks can significantly contribute to reducing nonperforming loans.
Behavioral economics
Mohaddeseh Pouralimardan; Heshmatolah Asgari
Abstract
The main goal of this article is an applied investigation of one of the types of biases caused by overconfidence, under the heading of bias in expected relative wage (or individual overplacement) and its relationship with time preferences (in the form of a proxy of people's patience) based on the Friehe ...
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The main goal of this article is an applied investigation of one of the types of biases caused by overconfidence, under the heading of bias in expected relative wage (or individual overplacement) and its relationship with time preferences (in the form of a proxy of people's patience) based on the Friehe & Pannenberg (2020) method. The data gathering tool of this investigation has been a two-stage questionnaire. 204 staff and faculty members of Ilam university completed the questions related to the questionnaire in two stages. Based on the ordinary least squares and semi-parametric model, the relationship between bias in wage and time preferences was examined in four stages. The results of research models in four stages showed that there is a negative and significant correlation between bias in expected relative wage (or bias in the distribution of the relative wage of people of the same age-peers) and time preferences. This means that people who are more patient, will have less bias (overplacement) on average. Examining the impact of current relative wage on bias showed that there is a positive and significant correlation between bias and current relative wage; This means that the current relative wage of individuals is not effective in reducing bias, and the higher the individual's current relative wage, the individual's bias will be greater. Also, the results showed that there is a positive and significant correlation between bias and extraversion, a negative and significant correlation between bias and neuroticism and a negative and significant correlation between bias and agreeableness.
Seyed Ali Rohani; Dariush Aboohamzeh
Abstract
Efficient government cash management (collection of revenues, receipts and allocation of expenditures), is one of the most important treasury functions and a critical prerequisite for fiscal discipline of the government. The present study investigates the main processes and procedures of the Treasury ...
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Efficient government cash management (collection of revenues, receipts and allocation of expenditures), is one of the most important treasury functions and a critical prerequisite for fiscal discipline of the government. The present study investigates the main processes and procedures of the Treasury cash management in Iran, according to related laws, by-laws and regulations. For this purpose, processes related to inflow and outflow of funds to/from the treasury, is reviewed, classified by type of funds (Public Funds, Private Funds, Funds of State-Owned Companies, oil revenues, and Deposit Trust Funds). Graphs extracted from this study, provide the preliminaries to evaluate the efficacy of Treasury cash management processes. Based on our findings, the main criticisms of the current cash management processes in Iran are: 1- Slow and lagging flow of revenues and expenditures of the public sector, 2- Rent-seeking behavior in banks and government agencies, 3- Inefficient cash payment procedures (based on allocation). According to other countries' experiences and also the IMF policy recommendations, the first step for the modification of the existing processes of the Treasury liquidity management, is the establishment of Treasury Single Account (TSA) and concentrating all government accounts at the Central Bank, which will increase transparency, effective monitoring and efficiency of government cash resources.
Welfare, poverty and income distribution
Hamed Ahmadi; Mohammad Reza Behboudi
Abstract
The Targeted Subsidies Policy (TSP) was implemented as one of the biggest economic reforms in Iran in 2009. However, after more than a decade, it did not achieve all its predetermined goals. Regardless of its positive effects, this research aims to identify and determine the adverse effects of this plan ...
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The Targeted Subsidies Policy (TSP) was implemented as one of the biggest economic reforms in Iran in 2009. However, after more than a decade, it did not achieve all its predetermined goals. Regardless of its positive effects, this research aims to identify and determine the adverse effects of this plan after its implementation, which led to the inefficiency of TSP. This research is based on Sandelowski & Barroso Meta-Synthesis method in which, by searching keywords related to the topic in scientific databases, the relevant researches were found and systematically reviewed. The search results were filtered by reviewing titles, abstracts, and content, and screened articles were evaluated using the CASP tool. Finally, 86 sources were selected and analyzed. By coding and categorizing the articles, nine main categories were identified as disadvantages and negative effects of TSP: negative effects on macroeconomics, negative effects on the production sector, unfair distribution, decreased welfare, failure to save or reduce energy consumption, energy smuggling and corruption, adverse effects on medicine and health, adverse effects on transportation, and adverse environmental effects. The findings can help to structurally reform the current method and prevent the repetition of past mistakes. Introduction The government pursues three main goals in paying subsidies, which include the optimal allocation of resources, economic stability, and fair income distribution. The inefficiency and unfairness of subsidy payment in Iran for many years have caused the government to implement the Targeted Subsidies Policy (TSP) in 2009. Several goals and justifications were proposed, including: 1) making the distribution system fair, 2) increasing economic efficiency, 3) creating more welfare effects of cash subsidy, 4) reducing the smuggling, 5) reducing government expenses, 6) ensuring transparency of cash subsidy, 7) protecting environmental.In the implementation process of TSP, policymakers followed two basic axes by making the energy prices real (market price). First, limited monthly quotas were allocated to each car with subsidized petrol pricing. Second, cash subsidy payments were made to households to improve income distribution. However, in practice, the intended goals failed to materialize and led to inefficient allocation of resources and market deviation.Previous research has focused on the implementation of TSP and has only studied specific aspects. Therefore, this research aims to identify the adverse effects of the implementation of TSP in various fields through conducting a systematic review with a meta-synthesis approach. It will clarify all negative effects and causes of its inefficiency. Methods and MaterialThis qualitative research, which utilized content analysis, is based on Sandelowski & Barroso's Meta-Synthesis method. The figure below briefly depicts its steps: First, sources were reviewed with the following criteria: geographical scope (Iran), language (English and Farsi), period (2010 to 2022), study method (qualitative, quantitative, mixed), analysis unit/society (all available resources regarding the implementation of the TSP), conditions of the study (evaluation of the effects of the implementation of the TSP), and type of resources (articles published in journals and conferences, news and interviews, and official analytical reports).Next, resources were systematically searched based on related keywords in different sources. Finally, 486 articles (403 Persian articles and 83 English articles) were found. After a detailed review of titles, abstracts, content, and research method in line with the research question and purpose, 112 articles were selected. By using the Critical Appraisal Skills Program (CASP) tool to evaluate the quality, 86 sources were used as the basis for this research.In the process of data analysis, 538 codes were identified and categorized into 46 sub-categories. By using the concepts of these codes, the adverse effects of the implementation of the TSP were identified in nine categories. The Kappa index was used to control the quality of the study, which was accepted due to the coefficient (0.733). Finding and Discussion Based on the frequency of findings (codes) in the analyzed sources, the identified categories are as follows: (1) negative effects on macroeconomics, (2) negative effects on the production sector, (3) unfair distribution, (4) decreased welfare, (5) failure to reduce energy consumption, even increase it (6) energy smuggling and corruption, (7) adverse effects on medicine and health, (8) adverse effects on transportation, and (9) adverse environmental effects (see Figure 1). The main reasons for the occurrence of these adverse effects, which led to inefficiency and failure to achieve the predetermined goal of TSP are as follows:The government's inability to accurately identify the target groups for the subsidy caused a waste of resources and even a deficit in the government's budget.Failure to increase the price of energy carriers in line with inflation has caused destructive effects.Allocation of petrol subsidy to cars, while low-income people mostly do not have any car.Payment of cash subsidy to all people, without having a significant effect on welfare, causes an increase in liquidity and waste of resources, and serious damage to the country's economic system.5.Failure to pay the share of the sectors mentioned in the law, such as production, health, and modernization of the transportation fleet, due to budget deficits.Due to political priorities, governments do not want to change the method of implementing this policy. Conclusion To provide an integrated and comprehensive view of the adverse effects of implementing the TSP after 12 years, this study analyzed all research conducted in this respect. The results of this meta-synthesis research showed nine main adverse effects of the implementation of the TSP. Based on the findings of the study and the suggestions made in the reviewed research, some practical solutions are suggested.The government's inability to accurately identify target groups is a structural weakness, and it is necessary to assume the impossibility of categorizing people's income levels. Therefore, to present an executive solution currently, it is necessary to allocate subsidies to people instead of cars so that people without vehicles can also benefit. In addition, the price of energy carriers should float and close to its global price.The government must stop the cash subsidy payment and replace it with other supporting methods. By setting energy pieces at the global leverl, government support payments to the public service sectors (mentioned in the law) can be guaranteed. Furthermore, reforming the country's economic structure in the long term should be prioritized instead of considering short-term political goals that are often propaganda.In conclusion, this study reveals that the implementation of TSP has resulted in numerous adverse effects on various sectors of Iran's economy and society. The identified reasons for these negative impacts can help policymakers to reform the current subsidy distribution system and prevent the repetition of past mistakes.
Hamid Nazeman
Volume 16, Issue 46 , April 2011, , Pages 115-143
Abstract
This paper intends to address the problem of inflation in less developed, and transitional economies, where the institutions of market is not fully developed. It is argued that the conventional Neo-Classical policies based on rigid Monetarist views fail to properly address the problem in less developed ...
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This paper intends to address the problem of inflation in less developed, and transitional economies, where the institutions of market is not fully developed. It is argued that the conventional Neo-Classical policies based on rigid Monetarist views fail to properly address the problem in less developed economies, and as a result its policy prescriptions are bound to fail. In These economies the issue of persisting inflation and unemployment, presents a serious challenge, which requires a more realistic approach in studying the problem. Considering the case of Iran, following a brief review of the background of a dualistic structure in the economy, the nature of recent price changes and distribution patterns is analyzed for various income groups. Then it is argued that while the current price and subsidy reform could lead to higher economic efficiency, a significant success in this program requires however, supplementary macroeconomic reforms in several areas, towards the goal of greater economic growth and a more competitive position in global markets.
Mohammadali Falahi; Vahideh Ahmadi
Volume 8, Issue 28 , October 2006, , Pages 123-137
Abstract
Using Battese and Coelli (1992) Error Component Frontier Model, the cost function of four electricity distribution companies in KhorasanProvince is estimated by maximum likelihood method for the period 1372-1381. The results indicate that load factor and customer density are negatively whereas ...
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Using Battese and Coelli (1992) Error Component Frontier Model, the cost function of four electricity distribution companies in KhorasanProvince is estimated by maximum likelihood method for the period 1372-1381. The results indicate that load factor and customer density are negatively whereas number of distributed electricity is positively correlated with costs of the companies. In addition, based on estimated coefficients of cost model, there is diseconomies of scale in the electricity distribution companies. Estimated average efficiency cost is 3.98 which denotes high inefficiency in cost allocation of the companies.
Mohsen Renani; Morteza Sameti; Hasan Farazmand
Volume 8, Issue 26 , April 2006, , Pages 125-151
Abdollah Taheri
Volume 5, Issue 17 , February 2004, , Pages 125-146
Abstract
The existence of relationship between wages and labour productivity has been studied at the microeconomic level, in the process industrial development, and different wage systems based on labour productivity has emerged in the process of industrial growth. In these systems, called “payment by results”, ...
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The existence of relationship between wages and labour productivity has been studied at the microeconomic level, in the process industrial development, and different wage systems based on labour productivity has emerged in the process of industrial growth. In these systems, called “payment by results”, aggregate or partial wages are related to individual or group efficiency. In almost all collective labour agreements “payment by results” is the main issue to be negotiated. The relationship between wages and productivity at the macroeconomic level is usually examined from economic stabilization and inflation control standpoint, as well as on the basis of the benefit gained by the labour force from productivity achievements. This paper measures labour productivity for the period of 1994- 2000 in industrial activities for the first time in Iran by estimation of “Generalized Average Labour Productivity”, and analyses its relationship with wages, and also discusses its theoretical implications. The findings of the research show that for the period examined, there was a direct relationship between wages and productivity in industrial avtivities and the structure of such relationship in various industrial activites was essentially the same.
Mohammad Ali Feizpour; Haniye Poushdouzbashi
Volume 12, Issue 37 , February 2009, , Pages 127-153
Reza Mohseni
Volume 7, Issue 25 , February 2006, , Pages 127-152
Abstract
This paper analyses the impact of reduction of tariff and non-tariff barriers on the imports of selected developing countries, utilizing dynamic panel data technique. The results indicate that Income and price elasticities are strongly statistically significant and reduction of import duties and ...
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This paper analyses the impact of reduction of tariff and non-tariff barriers on the imports of selected developing countries, utilizing dynamic panel data technique. The results indicate that Income and price elasticities are strongly statistically significant and reduction of import duties and increase of trade liberalization degree have a positive and significant effect on import growth. This effect increases import growth between 100 to 300 percent in all countries. Also, we test if the income elasticity of import demand changes with trade liberalization, and also if the price elasticity changes as the ability to substitute domestic production for imports becomes easier. The assumption is that trade liberalization has a significant impact not only on the growth of imports, but also on their sensitivity to income and price variations.
