Javid Bahrami; Samira Nasiri
Volume 16, Issue 48 , October 2011, , Pages 25-54
Abstract
Applying the SVAR method of 'Kilian' to the monthly data over the period of 1973-2007, in this paper, we decompose oil price shocks into five structural shocks, namely, Iran political supply shocks, OPEC political supply shocks, non- OPEC supply shocks, world demand shocks, and oil specific demand shocks. ...
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Applying the SVAR method of 'Kilian' to the monthly data over the period of 1973-2007, in this paper, we decompose oil price shocks into five structural shocks, namely, Iran political supply shocks, OPEC political supply shocks, non- OPEC supply shocks, world demand shocks, and oil specific demand shocks. Then, estimating separate OLS regressions, based on annual data of Iranian Economy, the impact of these structural shocks on main macroeconomic variables, and outbreak of Dutch disease is studied. This paper finds that the symptoms of Dutch disease have not been observed, following different structural shocks, except for Iran political supply shocks. Owing to dominant role of government in production, and export of oil in Iran, it is evident that the effect of oil price shocks, to a large extent depends on the government conduct, and the Dutch disease is not an inevitable reality for the Iranian economy.
Mohammad Rasti
Volume 15, Issue 45 , February 2011, , Pages 25-47
Abstract
The main objective of this paper is to determine the causal relationship between trade openness and financial development in non oil and oil exporting developing countries using a VAR model. The results indicate that there is a variety of causal directions in these countries. Therefore, we cannot conclude ...
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The main objective of this paper is to determine the causal relationship between trade openness and financial development in non oil and oil exporting developing countries using a VAR model. The results indicate that there is a variety of causal directions in these countries. Therefore, we cannot conclude on one causal direction for all countries or a group of countries (such as developing countries, non oil and oil exporting countries).
Gholamreza Keshavarz Haddad; Hamed Mortezazadeh
Volume 14, Issue 42 , April 2010, , Pages 25-53
Abstract
Decreasing trend of gasoline real price accompanied with economic growth and increasing number of automobiles have resulted in high consumption of gasoline in Iran. The average growth rate of hidden subsidies in the recent years is amounted 8.5 percent, and the size of gasoline subsidies ...
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Decreasing trend of gasoline real price accompanied with economic growth and increasing number of automobiles have resulted in high consumption of gasoline in Iran. The average growth rate of hidden subsidies in the recent years is amounted 8.5 percent, and the size of gasoline subsidies has been more than government tax revenues for many years. The average growth rate of gasoline consumption has also been 10 percent in recent years. ,. The huge financial burden of imported gasoline and the amount of required subsidies have made it indispensable to make a serious change in the pricing policy of oil products. The main purpose of this paper is to evaluate the distortionary effects of gasoline price control on output, employment, prices, wages and income distribution, using a CGE model. Our findings show that, a 100% increase in the gasoline price will result in the increase of consumer’s and product’s prices and wage in short run, but it will decrease households’ income and the price of capital in the long run.
Teymur Rahmani; Sara Hayati
Volume 9, Issue 33 , February 2008, , Pages 25-51
Mohsen Mehrara; Ghahreman Abdoli
Volume 8, Issue 26 , April 2006, , Pages 25-40
Abstract
This paper uses daily data from the Tehran Stock Market (TSM) to illustrate the nature of stock market volatility in an undeveloped stock market. Although most studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude there is no evidence ...
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This paper uses daily data from the Tehran Stock Market (TSM) to illustrate the nature of stock market volatility in an undeveloped stock market. Although most studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude there is no evidence of symmetric effect in TSM. The EGARCH model passes all the tests and appears to be the most adequate characterization of the underlying data generating process.
Yadollah Dadgar; Rouhollah Nazari; Fatemeh Fahimifar
Abstract
Investigating the behavior of religious households is among the important subjects in Islamic countries. As there are religious expenditures in consumption basket, recognizing factors affecting these expenditure is significantly important. By using income-expenditure data, and probit method, this paper ...
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Investigating the behavior of religious households is among the important subjects in Islamic countries. As there are religious expenditures in consumption basket, recognizing factors affecting these expenditure is significantly important. By using income-expenditure data, and probit method, this paper is analyzing the case of Iran, in urban and rural regions during 2014. The variables include payment to charity funds, age, literacy level, household dimensions, employment, marriage situation, and home ownership. The results show that there is a positive and significant relationship between the above variables and the religious payments. The household dimension, however, does indicate a negative impact on religious payments. The literacy in rural areas and employment in urban areas do have much more impact relatively. Finally, this research is an implicit testing of Barro’s hypothesis (negative relationship between religious behavior at one hand and prosperity and literacy on the other).
Karim Eslamloueyan; Zahra Jokar
Volume 18, Issue 57 , February 2014, , Pages 27-46
Abstract
Using a panel data Vector Error Correction model (VECM), this paper investigates the relationship between output and its main determinants including energy consumption in the Middle East and North Africa (MENA) over the period 1987-2008 within a multivariate framework. More specifically, the model allows ...
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Using a panel data Vector Error Correction model (VECM), this paper investigates the relationship between output and its main determinants including energy consumption in the Middle East and North Africa (MENA) over the period 1987-2008 within a multivariate framework. More specifically, the model allows us to examine the short- and long-run causal relationship between energy consumption and output growth when we control for the presence of capital and labor inputs. The result confirms the existence of a long-run equilibrium relationship among real GDP, energy consumption, fixed capital formation, and employment. The panel Granger causality tests reveal that there is bidirectional causal relationship between real GDP and energy consumption. Our finding hence supports the feedback hypothesis. The result suggests that an energy-conservation policy might adversely affect output growth in MENA. This finding may have important policy implications for policymakers and international organizations. Furthermore, the Generalized Method of Moments (GMM) is used to estimate the long-run elasticities. The estimation results show that the elasticity of real GDP with respect to energy consumption is 0.38. Moreover, a 1% increase in real GDP raises energy consumption by 0.60% in this region. We might conclude that an energy policy that results in the improvements of energy efficiency not only helps to conserve energy consumption but also boosts the economic output in these countries
Behzad Alipour; Mehdi Pedram; Iman Charghanian
Volume 18, Issue 54 , April 2013, , Pages 27-53
Abstract
We analyse short-run and long-run effects of government size on the economic growth of Iran ,using 1353-90 time series .the results of estimation , by using of ARDL and boundaries testing approach, indicate convergence of the dynamic model to the long-run trend. The error correction model also ...
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We analyse short-run and long-run effects of government size on the economic growth of Iran ,using 1353-90 time series .the results of estimation , by using of ARDL and boundaries testing approach, indicate convergence of the dynamic model to the long-run trend. The error correction model also show that 59 present of departure from the long-run trend will be corrected in every period. The long-run estimation shows a positive relation between oil price, oil revenues and ratio of investment to the real GDP as independent variables and economic growth as dependent variable, and a negative relation between government size and a dummy variable for war and revolution as independent variables and economic growth.
Fatemeh Bazzazan; Ali Asghar Banouei; Mehdi Karami
Volume 9, Issue 31 , July 2007, , Pages 27-53
Abstract
Modern location quotient method (MLQM) is used to generate regional input-output coefficients (RIOCs). It has a number of functions which one should take into account in generating RIOCs and for statistical testing. The prerequisite for such statistical testing is the availability of survey- based RIOCs. ...
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Modern location quotient method (MLQM) is used to generate regional input-output coefficients (RIOCs). It has a number of functions which one should take into account in generating RIOCs and for statistical testing. The prerequisite for such statistical testing is the availability of survey- based RIOCs. This then raises the following important question: In the absence of survey based RIOCs, is it possible to apply MLQM for generating RIOCs for country like Iran? If yes, how to test the derived coefficients statistically? To answer that, we propose a new method for statistical testing through minimizing total errors using Ghosh supply side model.
Farshad Moameni
Volume 1, Issue 1 , April 1995, , Pages 27-55
Manuchehr Asgari; Teymur Mohamadi
Volume 1, Issue 3 , February 1998, , Pages 27-57
Ali Asghar Banouei; Mohammad Jelowdari Mamaghani; Yaghoob Andayesh; Hassan Alizadeh Asl; Mina Mahmoodi
Volume 6, Issue 20 , October 2004, , Pages 27-53
Abstract
In this paper we analyze quantitatively the interrelationship between three major sectors of the Iranian economy, viz. agriculture, industry and services. We apply two approaches of Social Accounting Matrix (SAM), Namely; conventional multiplier and decomposed multiplier based on structural path ...
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In this paper we analyze quantitatively the interrelationship between three major sectors of the Iranian economy, viz. agriculture, industry and services. We apply two approaches of Social Accounting Matrix (SAM), Namely; conventional multiplier and decomposed multiplier based on structural path analysis. The former illustrates the global effect of one account on the other without revealing the complexities of the socio-economic production processes. The latter depicts different paths as well as loops, circuits and network that have been generated in each path, thereby providing a wide scope to socio–economic analysis. In our study, we have used the Iran's 1996 SAM. The overall results suggest that in order to increase production, mere economic policies are not sufficient and therefore, supplementary socio –economic policies are required.
Masoud Nili
Volume 5, Issue 14 , April 2003, , Pages 27-38
Abstract
In this paper, based on the annual househald budget survey and by using the input-output table, the main characteristics of the demand side of the domestic product market are analyzed. This has been exercised for different income groups. We have then, estimated the price and income elasticities for different ...
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In this paper, based on the annual househald budget survey and by using the input-output table, the main characteristics of the demand side of the domestic product market are analyzed. This has been exercised for different income groups. We have then, estimated the price and income elasticities for different product groups, with the use af an Almost Ideal Demand System model.
Farzad Eskandari; Ghazaleh Baghbani
Abstract
Banks, on the one hand are involved with the challenge of inadequate cash to meet the customers’ needs and on the other hand, are reluctant to increase the costs resulting from the cash excess transfer. As a result, estimating the cash requirements of the bank's branches, according to their daily ...
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Banks, on the one hand are involved with the challenge of inadequate cash to meet the customers’ needs and on the other hand, are reluctant to increase the costs resulting from the cash excess transfer. As a result, estimating the cash requirements of the bank's branches, according to their daily operations, which is considered as a multivariable system, is one of the most important issues in banking. In this regard, employing data mining, especially clustering methods and neural networks can help to increase the accuracy of estimating the cash required in branches. In this regard, Neural networks are considered significant in terms of flexibility, nonlinearity, greater tolerance to noise and independence from the basic assumptions about the input data.
In the present paper, 20 branches of Tejarat bank have been categorized in similar clusters, during the period 21/04/2014 and 22/09/2014, according to factors such as branch grade, the type of branches in terms of deposit or facility, the number of ATMs, stand-by branches. Then, considering the clustering results and the variables related to the cash of branches such as week days, payment/ deposit subsidy/ deposit interest days, holidays and official events, as well as the amount of cash used in ATMs, the suitable structure for the neural network has been identified to estimate the required cash via the error criteria and the required cash is accordingly estimated for different clusters. The results show that the neural network, considering the clustering results, can estimate the required cash of branches in different clusters with good performance with a mean absolute error of 5%.
Zahra Nasrollahi; Mehran Zarei
Abstract
Water plays a significant role in sustainable development process of every region both as a natural resource and as a production input. Therefore, ignoring water resources limitation in investment priorities in dry regions as Yazd province may lead to non-optimal decisions, which are not in line with ...
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Water plays a significant role in sustainable development process of every region both as a natural resource and as a production input. Therefore, ignoring water resources limitation in investment priorities in dry regions as Yazd province may lead to non-optimal decisions, which are not in line with sustainable development goals. Hence, the aim of this paper is to prioritize the industrial activities in Yazd province with an approach to sustainable development and with an emphasis on importance of water resources. As a result, the current study has tried to cover various aspects of sustainable development. For this purpose, firstly input-output table for Yazd province was estimated using AFLQ method. Then, industrial sectors of Yazd province were prioritized by integration of input-output model and analytic hierarchy process (AHP), considering five criteria including water use, employment, inter-sectoral linkages, emission and value added. The results show that sector of "electrical equipment and office machinery" has a higher priority for investment than other sectors. Findings also show the importance of water use, so that ignorance of this criterion leads to significantly different prioritization results.
Abdolrasool Ghasemi
Volume 13, Issue 41 , February 2010, , Pages 29-51
Abstract
DEA models that calculate the efficiency index with respect to inputs and outputs are commonly used in recent years. Although flexibility is one of the key characteristics of DEA models, specially where data is abundant, they overestimate the efficiency in small samples. Furthermore, they do not take ...
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DEA models that calculate the efficiency index with respect to inputs and outputs are commonly used in recent years. Although flexibility is one of the key characteristics of DEA models, specially where data is abundant, they overestimate the efficiency in small samples. Furthermore, they do not take into account managers' relative preferences about inputs or outputs. In this study, the managers' preferences are derived from a survey completed by bank experts. Then analytical Hierarchy process (AHP) is used to the weight the outputs and inconsistency of expert views. Finally, the expert matrix is derived from consistent expert views by the weighted geometrical average. Results show that 85 percent of branches have the efficiency lower than 50 percent with 41 percent of branches having the efficiency lower than 25 percent.
Saeed Rasekhy; Amir Khanalipour
Volume 13, Issue 40 , October 2009, , Pages 29-57
Abstract
Stock markets are strong means of attracting savings and directing them to investors، but their rate of returns are subject to fluctuations much higher than other economic variables. This paper is to examine of the volatility in the Tehran stock marketusing the conditional heteroscedasticity technique ...
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Stock markets are strong means of attracting savings and directing them to investors، but their rate of returns are subject to fluctuations much higher than other economic variables. This paper is to examine of the volatility in the Tehran stock marketusing the conditional heteroscedasticity technique for the period 1370:0-1386:06. Based on the results obtained، (1) distribution of the return has positive skewness indicating that market players consider occurrence of negative returns more likely. (2) Return series is not normaly distributed and has more height than normal curve. (3) Calendar has no significant effect on return with the exception of second، fifth and ninth months of the year. (4) Weak Information efficiency is rejected. Thus، not all market factors transact professionally and، the information and the news affect stock price with a time delay. (5) Inflation has positive effect on returns fluctuations، but is not significant . (6) Exchange rate (Rials/$) has positive and significant but samll effect on return fluctuations. The small effect is probably due to the fact that there is only a little share of Dollar in shareholders portfolio. Finally، (7) Assumption of normal distribution for residuals is not suitable. In contrast، t and general error distributions if surplus kurtosis is considered are proper assumptionsGovernments can play have an important role in affecting the demand for planning and preparing the food these security through their protection policies such as providing subsidies. subsidizing the main or basic categories of food in the same time subsidies will increase the government expenditure،therefore، it is necessary to set goals carefully. However، as subsidies will increase government expenditure and will cost the economy، they should be targeted to people who need them the most. In this article، we estimate the demand for main or basic foods، (i.e.bread، meat، milk، oil and sugar) have been estimated by using AIDS Model and taking into account household budget survey data in urban areas and consumer price index through two stage model and cointegration for the periodyears 1363-1384. At every stage، estimation was done for both the short-run and the long-run and the homogenous constraint and symmetric have been examined by Wald test. As an instrument of analysis، We obtain price elasticity، income elasticity and cross price elasticity of demand have been calculated forin the short-run and the long-run. The results show that reducing subsidies on these goods would put a pressure on consumer expenditure through the rise in the prices. However، changes in the structurel of subsidies with a gradual reduction in the amount of subsidies for bread، oil and sugar and directing them payment toward meat and milk within a structured goal is recommended.will be more beneficial.
Fatemeh Bazzazan; Ali Asghar Banooi; Mahdi Karami
Volume 13, Issue 39 , July 2009, , Pages 29-52
Abstract
The importance of spatial economy has been considered recently in Iran and has been investigated in the form of single regional input-output model in a series of articles which is a mutation in the regional studies in Iran. In these studies regional coefficients were calculated and tested statistically. ...
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The importance of spatial economy has been considered recently in Iran and has been investigated in the form of single regional input-output model in a series of articles which is a mutation in the regional studies in Iran. In these studies regional coefficients were calculated and tested statistically. As applications of single regional coefficients have some limitations, overcoming to limitations, inter-regional input-output model has been developed. The main aim of this paper is to introduce a non-survey technique to estimate interregional input-output coefficients for two regions: Tehran and the Rest of Iran which is the first experience in Iran. These coefficients will enable policy makers to capture feedback and spillover effects that are primarily attribute to inter-regional trading model. In this study, regional coefficients are estimated for 10 sectors in 2001. Results show 58% of Tehran import is from the rest of Economy whereas 41% of the Rest of Economy is from Tehran. Other results also show spillover effects in Tehran province are greater than the Rest of Economy. While, small feedback effects are observed in both regions. Moreover, we found the errors of using single input-output coefficients and neglecting the spillover and feedback effects are 20% and 12% for the Rest of Economy and Tehran province respectively, both are considerable and reveals the importance of using two-region input-output model.
Saeed Moshiri
Volume 4, Issue 12 , October 2002, , Pages 29-68
Abstract
Chaos theory is rather new in science, but, it is, in fact, rooted in ancients' perception of the world. The main idea is that although a complex system, such as world, seems to be generated by a random, and therefore, unpredictable process, it may run by a nonlinear deterministic process. Chaos theory ...
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Chaos theory is rather new in science, but, it is, in fact, rooted in ancients' perception of the world. The main idea is that although a complex system, such as world, seems to be generated by a random, and therefore, unpredictable process, it may run by a nonlinear deterministic process. Chaos theory has been applied to some Economic time series to see if they have an order, and, therefore, predictable. Some Economic time series, such as stock prices, look random, but, according to the chaos theory, they may come from a nonlinear deterministic process. If the data generating process is nonlinear, using traditional linear methods in estimation and forecasting can be misleading. Chaos theory is also applied to macroeconomic models. Some macroeconomic concepts, such as endogenous business cycles, can now be explained by the theory. In this paper, I try to review the chaos theory and its mathematical root for economists. Then, I will survey the Economic applications of the theory, and finally, will analyze different methods introduced for testing for chaos.
Hassan Dargahi; Mohammadreza Mazloumpour
Volume 19, Issue 61 , February 2015, , Pages 31-62
Abstract
The Impact of micro-credits on household’s poverty gap is considered as one of the most important social and economic issues. In this research, the socio- economic characteristics of the borrowing households are identified by using a Logit model, based on the urban and rural household budget survey ...
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The Impact of micro-credits on household’s poverty gap is considered as one of the most important social and economic issues. In this research, the socio- economic characteristics of the borrowing households are identified by using a Logit model, based on the urban and rural household budget survey data for 2011. Then, the impact of micro-credits on poverty gap of poor households is examined by estimating regression models. The result of the Probit analysis indicates that the coefficients of the age of household head, employment of the household head, household size, and urbanization are significantly positively related to households’ access to credit. However, the coefficient of household expenditure is negatively related to households’ access to credit. This implies that the low-income household is more likely to have not access to micro-credits. Also, the regression analysis shows that the access to micro-credits is not a significant explanatory variable for poverty gap of the poor households. This indicates the micro-credits has no impact on the poverty reduction of the poor households.
Keyvan Shahab Lavasani; Vida Varahrami
Abstract
In this paper, we survey some effective factors affecting house prices in the uptown of Tehran city with using Bayesian econometric method. In this method, we use expert ideas as prior information which causes to effective and better estimations. In this paper, we use sell prices of 546 apartments in ...
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In this paper, we survey some effective factors affecting house prices in the uptown of Tehran city with using Bayesian econometric method. In this method, we use expert ideas as prior information which causes to effective and better estimations. In this paper, we use sell prices of 546 apartments in the uptown of Tehran in 2014, these data are collected from real estates. We assume sale price of house to be dependent on the size of apartment, age of apartment, having pool, sauna and sport salon in the form of dummy variables. Results of this paper reveal that by using informative prior, an increase in the square meter of apartment causes 14 million and 500 thousands tomans increase in the house price. In our sample, an increase in house's age will cause a decline of almost 75 million tomans in the house price. In our sample, an increase in the age of house in the uptown of Tehran decline of almost 350000 tomans in price of one square meter of house. Our estimation results reveal that having pool, sauna and sport salon in the apartment will cause an increase of 420 million tomans in the house price.
Atefeh Taklif
Volume 16, Issue 47 , July 2011, , Pages 31-52
Abstract
This paper examines the relationship between the volatility of WTI prices and the open interest volumes (OIV) in NYMEX using a VAR model for the period 1986-2010. The results from the estimated model imply the existence of a causal relationship from OIV to the price volatility of WTI. Based ...
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This paper examines the relationship between the volatility of WTI prices and the open interest volumes (OIV) in NYMEX using a VAR model for the period 1986-2010. The results from the estimated model imply the existence of a causal relationship from OIV to the price volatility of WTI. Based on the results obtained from VECM, the existence of a causal relationship between the level of WTI prices and OIV is not confirmed. This can be justified on the basis that traders’ expectations would primarily affect variations in the futures prices. Since the increase in crude oil price volatilities usually indicates an upward shift in the uncertainties of price forecasts, our results show that the volume of open interest can be regarded as a key factor in the analysis of price behavior in the global oil market.
Mohammad Noferesti; Fardin Mohammadi
Volume 13, Issue 38 , April 2009, , Pages 31-52
Abstract
This paper analyzes a macro-micro linkage using a vector autoregressive model (VAR) for Iran comprising following variables: Gross Domestic Product(GDP), Inflation, Exchange Rate, Oil Revenue, Government Expenditure, Money Supply, and a Micro-simulation model of household budget. The procedure is a top-down, ...
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This paper analyzes a macro-micro linkage using a vector autoregressive model (VAR) for Iran comprising following variables: Gross Domestic Product(GDP), Inflation, Exchange Rate, Oil Revenue, Government Expenditure, Money Supply, and a Micro-simulation model of household budget. The procedure is a top-down, macro to micro simulation, aiming at evaluating the impact of macroeconomic shocks on the Iranian rural and urban household’s distribution of income. A representative of the Iranian rural and urban households, which involves social characteristics, is linked with household budget equations. Income is a function of social characteristic and macro economic variables in the household budget model. The research work is done through three steps:
First in the macro-model, variables and shocks are simulated during ten years (2006-2016). Second, in the micro-model, the incomes of the entire households are simulated after and before the shocks. Finally, the Gini coefficient index, as an inequality indicator, is calculated using the results of the second step. We have achieved the following results: GDP, inflation, weighted exchange rate and oil shocks increased inequality, while money supply and government expenditures decreased inequality for urban households. For rural households, GDP, inflation, government expenditure and oil shocks decreased inequality, while weighted exchange rate and money supply did not have any effect on inequality.
Ebrahim Hadian; Morteza Khorsandi
Volume 11, Issue 35 , July 2008, , Pages 31-50
Abstract
The main purpose of this paper is to investigate the sources of real exchange rate fluctuations in Iran by decomposing real exchange rate fluctuations into those attributable to real and nominal shocks. Using a structural VAR model along with Impulse-Response Function and Variance Decomposition Method, ...
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The main purpose of this paper is to investigate the sources of real exchange rate fluctuations in Iran by decomposing real exchange rate fluctuations into those attributable to real and nominal shocks. Using a structural VAR model along with Impulse-Response Function and Variance Decomposition Method, we find that real demand shocks play a significant role in explaining real exchange fluctuations in the context of the Iranian economy. About 85 percent of these fluctuations come from real demand shocks. Real supply shocks account for about 12 percent of the real exchange rate fluctuations in Iran. The overall result shows that real shocks dominate nominal shocks in real exchange rate fluctuations in Iran at all horizons.
Saeed Rasekhi
Volume 10, Issue 34 , April 2008, , Pages 31-55
Abstract
The purpose of this paper is to estimate and study industry specific determinants of Iran’s intra industry trade (IIT) types. To this end, we use the data on foreign trade and industry specific for 16305 Iranian manufacturing firms in 2002 at the 4-digit aggregation level of ISIC classification. ...
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The purpose of this paper is to estimate and study industry specific determinants of Iran’s intra industry trade (IIT) types. To this end, we use the data on foreign trade and industry specific for 16305 Iranian manufacturing firms in 2002 at the 4-digit aggregation level of ISIC classification. Results imply that dominant market structure in intra industry trade types of Iranian manufacturing industry is an imperfect competition. Specifically, economies of scale, low concentration and product differentiation are important determinants of Iran’s manufacturing industry IIT types. Furthermore, the research and development expenditures and foreign direct investment have significant and positive effects on Iran’s IIT. Industry specific characteristics such as economies of scale and product differentiation, R&D and FDI are important factors in promoting IIT in Iran.
