The Effect of the Composition of Human Capital on Regional Economic Growth in Iran: Spatial Dynamic Panel Data Approach
Zahra
Dehghan Shabani
استادیار، بخش اقتصاد، دانشگاه شیراز
author
Ebrahim
Hadian
دانشیار، بخش اقتصاد، دانشگاه شیراز
author
Faezeh
Nasirzadeh
کارشناس ارشد علوم اقتصادی، دانشگاه شیراز
author
text
article
2016
per
Economic theory has emphasized the important role of human capital on national and regional economic growth. The present study aimed to analyze the effect of the composition of human capital on economic growth in Iranian provinces. We estimated a Spatial Dynamic Panel Data model by using Generalized Method of Moments technique for 28 Iranian provinces over the period 2001-2011.
The results indicated that tertiary and primary and secondary education had positive and significant effects on economic growth. Also, the human capital structure had an inverse-U-shape effect on economic growth. In other words, growth is increasing in the human capital structure at low levels of the human capital structure, but the relation turns negative once the human capital structure exceeds a critical value.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
21
v.
66
no.
2016
1
30
http://ijer.atu.ac.ir/article_7041_43c27da2e84e978cf64f675b4fa00626.pdf
dx.doi.org/10.22054/ijer.2016.7041
Market Valuation and Risk Assessment (Z score) of Selected Iranian Private Banks: Merton-Black-Scholes Approach
Teimour
Mohammadi
دانشیار، دکترای تخصصی، گروه اقتصاد نظری، دانشگاه علامه طباطبائی
author
Mohammad Hossein
Pourkazemi
دانشیار، دکترای تخصصی، گروه اقتصاد نظری، دانشگاه شهید بهشتی
author
Abbass
Shakeri
استاد، دکترای تخصصی، گروه اقتصاد نظری، دانشگاه علامه طباطبائی
author
Ali
Safdari
استادیار، دکترای تخصصی، گروه ریاضیات مالی، دانشگاه علامه طباطبائی
author
Behnam
Aminrostamkolaee
دانشجوی دکترای اقتصاد ریاضی و اقتصاد بینالملل، دانشگاه علامه طباطبائی
author
text
article
2016
per
The present paper provides option pricing by using Merton-Black-Scholes approach in order to calculate the market value of banks’ assets, assets volatility, and distance to default for a selected sample of Iranian private banks in the period of 2010-1013. Therefore, the approach is able to solve some problems of banks valuation. At first for the period of 4 years, market value of assets, assets volatility and the distance to default were calculated and compared. Then, weighted average of market value, volatility, and Z-score for the banks in the period were also computed and compared. The results showed that Mellat bank had the highest, and Sina bank had the lowest value during the period. The results of assets risk and distance to default (Z score) have been different for each year. Also, weighted average of market value and assets risk (volatility) of these banks showed a rising trend during these 4 years. Considering the increased average capital adequacy ratio during these 4 years for 8 banks, the average Z (distance to default) has been decreased. This means that during the period of 4 years, by increasing the rate of capital adequacy, banks have been closer to default. Probably, the negative effects of economic and non-economic factors exceed positive impact of capital adequacy rate.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
21
v.
66
no.
2016
31
58
http://ijer.atu.ac.ir/article_7044_a02799bca0c734c0d39396f17fb9b329.pdf
dx.doi.org/10.22054/ijer.2016.7044
The Risk-Return Relationship Dynamics of Iran’s Stock Market: New Evidence Using GARCH-JUMP Model
Saeed
Rasekhi
استاد دانشکده اقتصاد، دانشگاه مازندران، گروه اقتصاد بازرگانی
author
Seyed Peyman
Asadi
دانشجوی دکترای اقتصاد پولی دانشگاه مازندران، بابلسر
author
Zahra
Sheidaei
دانشجوی دکترای اقتصاد بینالملل دانشگاه مازندران، بابلسر
author
text
article
2016
per
The conventional literature suggests a positive relationship between the expected return and the conditional volatility, but according to the empirical evidence there is not a specific and constant relationship between them. In this regard, the study investigates the role of significant characteristics of financial asset prices including time-varying conditional volatility and jump in the relationship between risk and return in Tehran stock market. For this purpose the ARJI-GARCH model which includes both features is applied and the results are compared with two more simple models i.e. GARCH-M and GARCH-JUMP. The former consists of the conditional variance and the latter has both features but with the constant probability of the jump. The empirical findings using daily data from September 9th 1997 to March 15th 2015 imply that the jump component has a significant impact, and the risk of Iran’s stock returns includes both smoothly changing variance and jump events. Therefore, the traditional GARCH-M model cannot explain correctly the relationship between risk and return in Iran’s stock market. Also, the analysis of the time-varying risk premium shows that in the short-run only the risk arising from jump is significant.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
21
v.
66
no.
2016
59
83
http://ijer.atu.ac.ir/article_7046_11db13d02721cf6f3b5bc530c6c4e040.pdf
dx.doi.org/10.22054/ijer.2016.7046
Bayesian Estimation of Parameters Correlation of Bivariate Poisson Distribution
Farzad
Eskandari
دانشیار گروه آمار دانشگاه علامه طباطبائی
author
text
article
2016
per
In this study, based on Bayesian Generalized Linear Models, correlation between the parameters of two Poisson distributions was computed. Due to lack of the closed form for posterior distribution, hierarchical Bayesian statistics using the Metropolis-Hastings algorithm to calculate the correlation of two Poisson distributions is presented. In this regard, the highest posterior density for coefficient of variation in the model are calculated. Using Bayesian Deviance Information Criterion (DIC) has been shown that a Poisson-lognormal model can assess the correlation between the parameters better than the Poisson-gamma model. Finally, the proposed method is used to simulated data of BANK TEJARAT .
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
21
v.
66
no.
2016
85
101
http://ijer.atu.ac.ir/article_7047_96921e9827f2040715a4b96f0583b0bc.pdf
dx.doi.org/10.22054/ijer.2016.7047
A Probability Model for Iranian Female Participation: Nonparametric Logit Modeling
Behrooz
Keshtegar
دکترای عمران، دانشکده مهندسی، دانشگاه زابل
author
Zeinab
Sarani
دکترای اقتصاد دانشگاه تربیت مدرس
author
text
article
2016
per
In this paper, a nonparametric logit modelling was introduced to estimate the probability of participation of Iranian female labour using household income-expended in 2008. The logistic function for women’s participation was regressed based on the maximum likelihood estimator that the geographical location (urban/rural), husband’s income, education, female age, non-labour income, number of children above and under six years were implemented for input variables. The accuracies of the logit models based on the parametric and nonparametric modeling approaches were evaluated using White statistic, confidence index, and root mean square error. Finally, the marginal effects of input variables on women’s probability of participation were estimated based the results of calibrated unknown coefficients of parametric and nonparametric models. The results demonstrated that nonparametric logit model is more accurate than parametric logit model. Education and number of child under six years have effective positive and negative effects compared to another input variables, respectively.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
21
v.
66
no.
2016
103
122
http://ijer.atu.ac.ir/article_7048_8a0c95b143e6d909c66a288c14f8e5a5.pdf
dx.doi.org/10.22054/ijer.2016.7048
Volatility Transmission of the Rate of Returns in Iranian Stock, Gold and Foreign Currency Markets
Niloufar Sadat
Hosseinioun
دانشجوی کارشناسی ارشد علوم اقتصادی دانشگاه فردوسی مشهد
author
Mehdi
Behname
استادیار گروه اقتصاد دانشگاه فردوسی مشهد
author
Taghi
Ebrahimi Salari
استادیار گروه اقتصاد دانشگاه فردوسی مشهد
author
text
article
2016
per
The aim of this paper is to study volatility spillovers among stock, gold and exchange rate markets. A “VAR–MGARCH” model was applied for Iranian financial markets for the period of March 21, 2011 to September 22, 2014. The data used are daily price of Bahar Azadi Coin, Tehran price stock index and nominal exchange rate (Dollar in terms of Rials).The results indicate that there are bidirectional shock transitions between gold and exchange markets and between gold and stock markets and there is a unidirectional shock transition from stock market to exchange market. Also, the results show that there are bidirectional volatility transitions between exchange and gold markets and gold and stock markets.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
21
v.
66
no.
2016
123
150
http://ijer.atu.ac.ir/article_7049_3d591041ba05b0e5e8693cd29f219c97.pdf
dx.doi.org/10.22054/ijer.2016.7049
The Reaction of Petrochemical and Petroleum Products Markets to the Imposed Price Ceilings and Their Removal
Ahmad
Mohammadi
استادیار گروه علوم اقتصادی دانشگاه کردستان
author
text
article
2016
per
This paper aims to evaluate the reaction of petrochemical and petroleum products markets (traded on the Iran Mercantile Exchange) to the removal of price ceilings imposed on it. After the implementation of targeted subsidies project and respective currency fluctuations in Iran, government imposed price controls on petrochemical market to prevent inflationary pressures of those events. Analysis of available data shows that after the price adjustment and the removal of price ceilings, the quantity of products supplied has increased and the quantity of products demanded has decreased. In particular, the demand for polymer and chemical products has decreased sharply by an amount of 80 and 57 percent respectively. Moreover, the share of speculative trading has decreased while the share of competitive trading has increased. Comparing the prices discovered in Iran Mercantile Exchange and the black market prices shows that a fraction of consumers have purchased the required raw materials from black market. The results of panel data model show that the removal of the price ceilings has had a significant negative effect on the excess demand in the petrochemical and petroleum markets: the excess demand (more than 3 thousand tones) has turned into an excess supply (156 tones). Removing the price limits has had the greatest impact on polymer products market where an excess demand of 4.76 thousand tones has turned into an excess supply of 29 tones. On the whole, the results of this paper show that the price ceiling policy had significant effects and it has had considerable distortionary effects on the market.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
21
v.
66
no.
2016
151
183
http://ijer.atu.ac.ir/article_7050_f85217b6fd8fc4290e4f6f05cb1615db.pdf
dx.doi.org/10.22054/ijer.2016.7050