Javad Abedini; Hasan Ebrahimi; Hamed Fahimifard
Abstract
During two last decades, Iranians have faced with a wide and substantial increase in housing prices, especially in great metropolitans such as Tehran, Mashhad, Isfahan and Shiraz. This easily could be imputed to a high inflation which significantly impeded the access to housing for low and medium income ...
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During two last decades, Iranians have faced with a wide and substantial increase in housing prices, especially in great metropolitans such as Tehran, Mashhad, Isfahan and Shiraz. This easily could be imputed to a high inflation which significantly impeded the access to housing for low and medium income families. This study uses a structural model to recognize the influential factors of such a rise in housing prices and to show whether there is any price bubble in market. The model consists of both supply and demand side determinants to explain the price changes across Iranian provinces over 1375-1390(2011-1996), in a panel data context. In particular, we use a longer and larger database which also includes more number of influential factors. Some specific features of data such as non-stationarity and cointegration have been also taken into account. Our results show that, in contrast to the common thought, there is no price bubble in the Iranian housing sector. That is, the structural model could well explain the rapid increase in Iranian house prices during the last decade. In particular, we find that the expansionary monetary policies of the government, the land price for urban uses, along with the increase of the real demand for housing are the main reasons of the past inflation in the sector. On the average, one percent increase in the urban land price or liquidity, ceteris paribus, leads to, respectively, 0.375 and 0.5 percent increase in house prices.
Teimur Mohammadi
Volume 16, Issue 47 , July 2011, , Pages 163-183
Abstract
Studies in applied econometrics and related disciplines are widely using time series techniques. Sound application of these techniques requires the satisfaction of their underlying assumptions. One of these techniques is ARDL Model. There are a number of examples in the published works in ...
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Studies in applied econometrics and related disciplines are widely using time series techniques. Sound application of these techniques requires the satisfaction of their underlying assumptions. One of these techniques is ARDL Model. There are a number of examples in the published works in Iranian economic studies which suffers from misconceptions leading to biased and inconsistent estimates of parameters. For example, without assuring the exogeniety of the other RHS variables of the model, estimates are biased and inconsistent. Although fitting an ARDL model to exogenous and/or predetermined RHS I(0) and/or I(1) variables may seem appropriate ,however ,to continue the path leading to the extraction cointegration vectors, would be a misleading strategy. The aim of this paper is to highlight these misconceptions in the application of ARDL technique. To this end, after a theoretical survey of the concept, a dynamic simultaneous equation model (DSEM) of macroeconomic equations is introduced and simulated. The simulated series are used to estimate various versions of the model including VAR, ARDL, DSEM, VECM . Then the correct and incorrect application of ARDL model is specified by using two scenarios.
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.
Saeed Karimi; Saeed Rasekhi; Mojtaba Ehsani
Volume 13, Issue 39 , July 2009, , Pages 147-166
Abstract
Governments have an important role in planning and preparing the food these security through protection policies such as subsidizing the basic food in the same time pay subsidies it will increase the government expenditure,and hence, it is necessary to set specific goals carefully. In this article, the ...
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Governments have an important role in planning and preparing the food these security through protection policies such as subsidizing the basic food in the same time pay subsidies it will increase the government expenditure,and hence, it is necessary to set specific goals carefully. In this article, the demand for main or basic foods, (i.e.bread, meat, milk, edible, oil and sugar) have been estimated by using AIDS Model and taking into account household budget in urban areas and consumer price index through two stage model and cointegration for the years 1934-2005. & 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, price elasticity, income elasticity and cross price elasticity of demand have been calculated for 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 structure of subsidies with a gradual reduction in the amount of subsidies for bread, edible oil and sugar and directing the payment toward meat and milk within a specific goal is recommended.
Karim Eslamloueyan; Hashem Zare
Volume 8, Issue 29 , February 2007, , Pages 17-46
Abstract
This paper uses a quarterly data to study the effect of the main economic variables on the stock price index in Iran over the period 1993:3–2003:2. An autoregressive distributed lag (ARDL) approach to cointegration analysis is used to study both short- and long-run movements of stock prices in ...
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This paper uses a quarterly data to study the effect of the main economic variables on the stock price index in Iran over the period 1993:3–2003:2. An autoregressive distributed lag (ARDL) approach to cointegration analysis is used to study both short- and long-run movements of stock prices in Tehran stock market. The explanatory variables include money supply, production level of large manufacturing companies, and the ratio of domestic to foreign price level, exchange rate, oil price, gold coin price, and housing price index.
The results show that there is a long-run equilibrium relationship between the variables. According to our finding, the ratio of domestic to foreign price levels, the price of housing and the gold coin price index have positive impacts on the stock prices. Exchange rate and money supply have significant negative effects on the stock price index in Iran. However, we found that the production level of large manufacturing companies has not affected the stock price index. The result of our error correction model indicated that 54 percent of deviation of the stock price from its equilibrium path is corrected each period.
Reihaneh Gaskari; Ali Reza Eghbali; Hamid Reza Hallafi
Volume 7, Issue 24 , October 2005, , Pages 77-94
Abstract
Revenues obtained through gas and oil sale compose a considerable and important part of the Iranian government revenue and the GDP. In this paper, after a brief review on oil sector and income resulting from its export, the authors study the literature pertaining to export instability and its impact ...
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Revenues obtained through gas and oil sale compose a considerable and important part of the Iranian government revenue and the GDP. In this paper, after a brief review on oil sector and income resulting from its export, the authors study the literature pertaining to export instability and its impact on economic growth. Using moving average method with a five-year lag, they found a process for export divergence from which considered as a base for instability. They suggest five definitions for instability as follows: Divergence absolute value, square root of divergence, squared divergence, divergence absolute value for one unit of the estimated amount, and negative divergence. Instability is then considered as a variable in the traditional production function of Feder, which is estimated by ARDL model using five definitions of instability. The findings indicate that there is a negative relation between the first three different definitions of instability and economic growth. Regarding the fourth definition, there is no significant relation and cointegration among the variables is also doubtful. However, regarding the fifth definition, there is a positive and considerable relation between export instability and economic growth and it seems that the fifth definition is not a suitable method to define oil export instability.
Karim Eslamloueyan
Volume 6, Issue 19 , July 2004, , Pages 1-29
Abstract
Using an Autoregressive Distributed Lag approach & cointegration analysis, this paper examines the impacts of anticipated and unanticipated shocks to official exchange rate on black market exchange rate premium in Iran for the period 1980:1 – 2001:1. Following Barro (1977), Hoffman et al. (1984) ...
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Using an Autoregressive Distributed Lag approach & cointegration analysis, this paper examines the impacts of anticipated and unanticipated shocks to official exchange rate on black market exchange rate premium in Iran for the period 1980:1 – 2001:1. Following Barro (1977), Hoffman et al. (1984) and Pozo and Wheeler (1999) a two-stage model is developed to study the long-run movement of black market premium. In the first stage, we construct a forecasting equation for the official exchange rate. The predicted values of official exchange rate obtained from this equation are used to measure the anticipated shocks. The residuals of the estimated forecasting model are used as a measure of unanticipated shock to official exchange rate. In the second stage, we regress the black market premium on anticipated and unanticipated shocks derived in the previous stage. The results indicate that both anticipated and unanticipated shocks to official exchange rate have a significant negative impact on the black market premium in Iran. It is found that an unanticipated increase in the official exchange rate has a greater impact on the black market premium than the anticipated one. Using dummy variable technique to study the possibility of structural break in the premium movement, the paper finds that the policy of exchange rate unification of 1993 has changed the intercept and the slope of the premium equation. This means that this policy has caused a structural change in the premium movement. More specifically, the intercept has decreased and the slope has increased dramatically after the unification. Indeed, the anticipated devaluation of official exchange rate has had a positive impact on the black market premium between 1993 and 1995. Finally, the cointegration tests verify the existence of a long-run equilibrium relationship among variables.
Mansour Zerra Nezhad; Mehran Larki Bakhtiari Nezhad
Volume 6, Issue 19 , July 2004, , Pages 117-141
Abstract
Due to the importance of production of pipes in oil and gas industries, the estimation of oil and gas pipe production function is of great interest. To this end, Ahvaz pipe mill, the largest pipe mill in Iran, has been chosen as a case study and its production function during 1979-2003 has been estimated. ...
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Due to the importance of production of pipes in oil and gas industries, the estimation of oil and gas pipe production function is of great interest. To this end, Ahvaz pipe mill, the largest pipe mill in Iran, has been chosen as a case study and its production function during 1979-2003 has been estimated. This estimation is based on time-series techniques, using unit root tests, cointegration and error correction models. The results suggest that Cobb-Douglas production function is more compatible with theory of production function & the data than alternative specifications. The imperical findings show that the error correction term is 0.96, labour elastisity and capital elastistiy are 0.58 and 0.53, respectively. The wald test result indicate that there is increasing return to scale.
Mohammad Ali Moradi
Volume 4, Issue 12 , October 2002, , Pages 11-29
Abstract
The objective of this paper is to investigate the dynamics of adjustment to long-run purchasing power parity (PPP)in a nonlinear framework using the Iranian data over the period 1959-2000. Two PPP measures are considered and nonlinearity in the real exchange rates are investigated. First, the standard ...
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The objective of this paper is to investigate the dynamics of adjustment to long-run purchasing power parity (PPP)in a nonlinear framework using the Iranian data over the period 1959-2000. Two PPP measures are considered and nonlinearity in the real exchange rates are investigated. First, the standard and modified unit root tests are applied and then, cointegration analysis is carried out, based on the Johansen (1988) and Johansen and Juselius (1990) cointegration methodology, rather than imposing the strict cointegating vector in calculating real exchange rate measures. Furthermore, the Smooth transition autoregressive (STAR) representation for the adjustment process towards PPP, which provides a superior alternative, are specified and estimated. It was found that purchasing power parity (PPP) holds in the long-run after accounting for structural breaks. Moreover, linearity was strongly rejected and the dynamic STAR models were specified and estimated by using nonlinear least squares. The strong evidence in favour of nonlinear behaviour for PPP suggests that the linear models are misspecified.
