Modified R/S and DFA Analyses of Foreign Exchange Market Efficiency under Two Exchange Rate Regimes: A Case Study of Iran
Saeed
Rasekhi
استاد گروه اقتصاد، دانشگاه مازندران
author
Mahdi
Shahrazi
دانشجوی دکتری اقتصاد، گروه اقتصاد، دانشگاه مازندران
author
text
article
2014
per
Based on efficient market hypothesis, financial markets are impossible to forecast. The purpose of this paper is to examine the weak-form efficiency of the Iranian foreign exchange rate (defined by the Rial/Dollar) during time period 1999:25:01 to 2010:17:06 from long memory viewpoint. For this, we have employed three methods of scaling analysis including classical rescaled range (R/S) analysis, modified rescaled range (M-R/S) analysis and detrended fluctuation analysis (DFA). We have divided the time period into two sub-periods, 1999:25:01-2002:21:03 and 2002:21:03-2010:17:06. In the former time period, Iran had a fixed exchange rate regime and in the latter period, the country followed a managed floating exchange rate regime. The obtained results from these methods are not the same. To achieve more explicit conclusions, we’ve used two more widely applied econometric tests namely augmented Dickey-Fuller (ADF) test and Phillips-Perron (PP) test to determine whether or not the time series under consideration behave as random walk consistent with the weak-form efficiency. The findings indicate that the result of DFA is in line with the econometric approach. We conclude that the Iranian foreign currency market at the first sub-period is less efficient relative to the second sub-period. Another important result is that relying on only one method to make a conclusion about market efficiency may be very misleading. Therefore, one should first carefully select more reliable methods and then compare their results to achieve a reliable conclusion.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
18
v.
57
no.
2014
1
26
http://ijer.atu.ac.ir/article_638_121c254cb37c6b8691dad40fe771f057.pdf
Energy Consumption and Economic Growth in the Middle East and North Africa: A Multivariate Causality Test
Karim
Eslamloueyan
دانشیار دانشکده اقتصاد دانشگاه شیراز
author
Zahra
Jokar
دانشکده اقتصاد دانشگاه شیراز
author
text
article
2014
per
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
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
18
v.
57
no.
2014
27
46
http://ijer.atu.ac.ir/article_639_29974f587063e43b43c631e3633ee3ba.pdf
The Political Economy of Capital Taxation: How Constraining Are Interest Rates?
Arian
Daneshmand
دکترای اقتصاد سیاسی، دانشگاه اسکس انگلستان
author
text
article
2014
per
Previous empirical studies have shown that left-wing governments are commonly expected to be associated with lower interest rates and higher tax rates on capital than their rightist counterparts. The importance of interest rates in shaping the variation in tax policies of OECD countries, where they have been dominated by leftist governments, offers an interesting topic for research. Using data for up to 20 OECD countries in the period of 1966-2000, this paper tries to investigate a hypothesis that challenges the partisan theories of economic growth. We argue that the strategic nature of tax competition is not the sole factor in determining a country’s choice of taxation policy, and that other factors, notably interest rates, play an important role as well. We find that left-wing governments tend to lower capital taxes as a consequence of increased interest rates, which is consistent with the predictions of international tax competition theories, but in contrast to the partisan theories of economic growth presented in this paper.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
18
v.
57
no.
2014
47
68
http://ijer.atu.ac.ir/article_640_65666c83b356ac41038d10f2bc40ea0b.pdf
Measurement of Statistical Errors, Iteration Algorithms and Convergence Speed in Updating Coefficient and Transaction Matrices
Sonia
Sabzalizad Honarvar
دانشجوی دکتری دانشکده اقتصاد و علوم اجتماعی، دانشگاه الزهراء
author
Mohammad
Jelodari Mamaghani
استاد دانشکده علوم ریاضی و رایانه، دانشگاه علامه طباطبایی
author
Aliasghar
Banouei
استاد دانشکده اقتصاد، دانشگاه علامه طباطبایی
author
Afsaneh
Sherkat
دانش آموخته رشته اقتصاد توسعه و برنامه ریزی، دانشگاه علامه طباطبایی
author
Ashkan
Mokhtary Asl Shouti
دانشجوی کارشناسی ارشد اقتصاد توسعه و برنامه ریزی، دانشگاه علامه طباطبایی
author
text
article
2014
per
During thepast six decades, the analysts of the input – output economics(IOE) have used two approaches of input – output coefficient matrix(IOCM) and intermediate transactions matrix(ITM), both of which are based on iteration algorithms, in updating input – output tables(IOTs). The former is theoretically based on the production function and is more popular as compared with the latter which is only in terms of accounting. The challenging issue for the analysts of IOE is similar or different results of the two approaches. A group insists on different results, whereas, the observations of another group suggest that the results are equivalent. Neither of the mentioned groups consider factors such as aggregation and convergence speed with respect to the number of iterations in algorithms of the two approaches. The main focus of this article is to investigate the theoretical and empirical aspects of factors, using two survey-based symmetric IOTs of Iran for the years 1996 and 2001. With respect to the above factors, the 3 sectors, 7 sectors, 15 sectors and 21 sectors are considered. This article concludes two overall findings: a 1-statistical error in the two approaches exits but insignificant. 2-The convergence speed with lower number of iterations in the IOCM approach is higher than that of the second approach.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
18
v.
57
no.
2014
69
84
http://ijer.atu.ac.ir/article_641_e6050dc54f2aafa5bcb9bd5fbe5202b8.pdf
Productivity Evaluation of Iranian Insurance Industry: A Non-Parametric Malmquist Approach
Ahmad
Sadraei Javaheri
استادیار بخش اقتصاد دانشگاه شیراز
author
text
article
2014
per
The paper studies the changes of total factor productivity forall Iranian Insurance companies for the period 2003-2009. In order to measure the changes in productivity, data envelopment analysis (DEA) method is applied. DEA method is used to estimate output oriented Malmquist productivity index. To determine effective factors on the total factor productivity growth of insurance companies tobit regression is used. The results of the study confirm the positive effect of liberalization policy adopted by government on productivity growth. The results also indicate that dimension and the field of activity have significant positive effect on productivity growth.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
18
v.
57
no.
2014
85
95
http://ijer.atu.ac.ir/article_642_bd346bdf20d1d7a908bce46d3389216f.pdf
Females’ intra-household Bargaining Power and Fertility in Iran
Gholam Reza
K. Haddad
دانشیاردانشکده اقتصاد دانشگاه صنعتی شریف
author
Mahboobeh
Kabiri-Renani
دانشجوی دکتری دانشکده اقتصاد دانشگاه تهران
author
text
article
2014
per
This research investigates demand for child among Iranian urban households in an intra-household bargaining decision process. Using Household’s Expenditures Survey of Iran(2008), a count regression technique which takes into account the over-dispersion and under-dispersion characteristic of Poisson regression is specified as a function of intra-household bargaining factors, extra-household environmental factors, and family’s characteristics. Findings confirm the significance of extra-household environmental factorsand household’s characteristics in demand for child. Mothers with higher opportunity cost of child caring, more particularly college educated women, tend to have less children and they substitute quality of children for their quantity. As the Mothers’ bargaining power goes up, their propensity to bring more children decreases, however fathers with higher non-labor earning prefer to have more children. Diagnostic checking confirms accuracy and appropriateness of the Generalized Poisson against its alternatives. To examine the exogeneity of the explanatory variables we re-estimated the proposed specification with Generalized Method of Moments (GMM), where the hypothesis of exogeneity is confirmed. Further robustness checking by Negative Binomial distribution of dependent variable and specifying the models by mothers’ age disaggregation show that the sign and significance of estimated coefficients are similar to those of the Generalized Poisson and GMM; however modest changes have been experienced in the magnitude of estimated coefficients.
Iranian Journal of Economic research
Allameh Tabataba’i University
1726-0728
18
v.
57
no.
2014
97
124
http://ijer.atu.ac.ir/article_643_9fdf0b7909e23eaf4b9db934abc84a52.pdf