Gholamreza Keshavarz Haddad; Mohammadreza Esfahani
Volume 18, Issue 56 , October 2013, , Pages 1-40
Saeed Rasekhi; Mahdi Shahrazi
Volume 18, Issue 57 , February 2014, , Pages 1-26
Abstract
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 ...
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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.
Javid Bahrami; Meysam Rafei
Volume 19, Issue 58 , April 2014, , Pages 1-37
Abstract
Using a New Keynesian dynamic stochastic general equilibrium of Iran with price rigidity and imperfect markets, this paper shows how different stochastic shocks affect main macroeconomic variables in presence of variety of reaction functions. In this way, we compare the response of those variables to ...
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Using a New Keynesian dynamic stochastic general equilibrium of Iran with price rigidity and imperfect markets, this paper shows how different stochastic shocks affect main macroeconomic variables in presence of variety of reaction functions. In this way, we compare the response of those variables to the shocks in baseline scenario (which the government does not perform any reaction) with an alternative; when government reacts counter-cyclically through back ward looking fiscal rules. Our findings was in favor of active counter-cyclical fiscal policy, by showing that the deviations from target values decrease when government reacts actively.
Asadollah Farzin Vash; Mohammad Ali Ehsani; Hadi Keshavarz
Volume 19, Issue 59 , July 2014, , Pages 1-37
Abstract
The financial crisis of 2007 showed that the impact of financial markets on macroeconomic developments is deep. The labor market was affected by financial variables. In this paper, the impact of financial shocks on labor market fluctuations with financial frictions in the the Iranian economy is investigated. ...
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The financial crisis of 2007 showed that the impact of financial markets on macroeconomic developments is deep. The labor market was affected by financial variables. In this paper, the impact of financial shocks on labor market fluctuations with financial frictions in the the Iranian economy is investigated. Labor market reaches equilibrium via a search and matching process. A model of dynamic stochastic general equilibrium (DSGE) is designed for the Iranian economy and its parameters are estimated using Bayesian methods. The results show that a negative financial shock increases unemployment. In addition, financial frictions play an important role in amplifying the effects of financial shocks on unemployment.
Seyed Mehdi Barakchian; Mohammad Hossein Rezaei
Volume 19, Issue 60 , October 2014, , Pages 1-35
Abstract
According to the Basel accords, financial institutions should forecast VaR of their portfolio over multi-period time horizons in order to determine their capital adequacy. Hence, finding efficient models for forecasting multi-period VaR is crucial for Chief Risk Officers (CRO) in general and Financial ...
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According to the Basel accords, financial institutions should forecast VaR of their portfolio over multi-period time horizons in order to determine their capital adequacy. Hence, finding efficient models for forecasting multi-period VaR is crucial for Chief Risk Officers (CRO) in general and Financial Risk Mangers (FRM) in particular. This paper tries to analyze and compare the predictive power of parametric, nonparametric and semiparametric methods of forecasting multi-period VaR for portfolios invested in Tehran Stock Exchange. The results indicate that the “square-root-of-time rule” (the conventional approach) in majority of time horizons has a weak prediction ability vis-a-vis the other multi-period VaR models. Empirical results suggest, employing parametric methods results in larger losses and lower opportunity costs relative to nonparametric methods.
Amir Jafarzadeh; Abbas Shakeri; Farshad Momeni; Ghahraman Abdoli
Volume 19, Issue 61 , February 2015, , Pages 1-29
Abstract
The following paper investigates European policy about importing natural gas from Caspian Sea countries. The Nabucoo and Trans-Caspian gas project are the two potential projects. For these pipelines three countries are candidates: Iran, Turkmenistan and Azerbaijan. By using the game theory framework, ...
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The following paper investigates European policy about importing natural gas from Caspian Sea countries. The Nabucoo and Trans-Caspian gas project are the two potential projects. For these pipelines three countries are candidates: Iran, Turkmenistan and Azerbaijan. By using the game theory framework, coalition among natural gas exporters for the Nabucco Project has been considered. Iran, Turkmenistan and Azerbaijan are three potential exporter countries. In this paper we answer the question whether three countries should enter the coalition for exporting gas to Europe or not. Moreover, we accounted bargaining power of these countries. We conclude that all countries have profits to make the coalition for gas exporting in the Nabucoo project. Iran has more bargaining power than others so Iran can play an important and active role for exporting gas to Europe in the Nabucco project.
ZahraZahra Dehghan Shabani; Saeedeh Afarineshfar
Abstract
One of the factors affecting foreign direct investment is the ease of doing business. The world bank’s doing business report provides the indices of the ease of doing business. These indices measure the difficulty, costs and time it would take a standardized mid-sized company to start the business, ...
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One of the factors affecting foreign direct investment is the ease of doing business. The world bank’s doing business report provides the indices of the ease of doing business. These indices measure the difficulty, costs and time it would take a standardized mid-sized company to start the business, deal with construction permits, register property, get credit, pay taxes, import and export goods, enforce contracts and complete the bankruptcy process. It also measures the level of protection for investors. Inappropriate doing business decrease inflows of FDI because it increases production cost, increases risk of starting a new business, inappropriate size of the company, reduces the interactions between companies and reduces the financial participations. Thus, the aim of this article is to analyze the effects of doing business on foreign direct investment by using Dynamic Panel Data model for 29 countries over the period 2003-2012. The results show that improved political stability, control of corruption, economic globalization, starting a business, protecting minority investors, enforcing contracts, closing a business, paying taxes and gross domestic product increase foreign direct investment flows.
Saeed Rasekhi; Elnaz Behnia
Volume 18, Issue 55 , July 2013, , Pages 1-16
Abstract
Since the 1970s, international political economic theorists have emphasized on the role of domestic factors, such as domestic active groups, policies and macro-economic indicators, to explain the trade protection trends. Empirical studies have often verified this view. This paper examines ...
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Since the 1970s, international political economic theorists have emphasized on the role of domestic factors, such as domestic active groups, policies and macro-economic indicators, to explain the trade protection trends. Empirical studies have often verified this view. This paper examines the determinants of tariff protection in Iran’s manufacturing industries by using panel data for the period 2001-2007.This research also investigates the effects of intra industry trade on tariff protection. The results indicate that value added and the ratio of production to import affect the tariff protection in Iran’s manufacturing industries. Also, intra-industry-trades and their type, i.e. horizontal and vertical intra-industry trade, have negative effects on the protection. Based on the obtained results, we suggest that domestic industries activities in both domestic and foreign markets as well as intra-industry trade and competitiveness of trade should be increased.
Reza Najarzadeh; Bahram Sahabi; Sirous Solaymani
Volume 18, Issue 54 , April 2013, , Pages 1-25
Abstract
In this study by using Markov Regime Heteroscedasticity method (MRSH) In the form of state-space model the relationship between inflation and uncertainty of inflation in Iranian economics is examined. The period of the study is the first quarter of 1367 to the third quarter of 1389. The reaction ...
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In this study by using Markov Regime Heteroscedasticity method (MRSH) In the form of state-space model the relationship between inflation and uncertainty of inflation in Iranian economics is examined. The period of the study is the first quarter of 1367 to the third quarter of 1389. The reaction between inflation and inflation uncertainty is dependent on whether the shocks are temporary or permanent. The MRSH model decomposes inflation to temporary and permanent and this makes the analysis of the relationship between inflation and inflation uncertainty possible in the long as well as short run. The results of the study show that increase in the long run uncertainty leads to increase in long run inflation and increase in short run inflation leads to decrease in short term inflation rate. Furthermore, simultaneous effects of increase in short run and long run inflation uncertainty leads to increase in Iran's inflation trend.
Rasul Bakhshi Dastjerdi; Zohreh Ahmadi
Volume 17, Issue 53 , February 2013, , Pages 1-33
Abstract
Evaluation of several decades’ policy experience in Iranian economy indicates the existance of a gap between its current state and targeted state. The simulated steady state of Economy using a dynamic general equilibrium OLG model shows that there are differences between the steady values ...
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Evaluation of several decades’ policy experience in Iranian economy indicates the existance of a gap between its current state and targeted state. The simulated steady state of Economy using a dynamic general equilibrium OLG model shows that there are differences between the steady values and current values of all macroeconomic variables in the model, so that per capita capital stock, per capita income and consumption, employment and interest rate are all different from their current values by 0.618, 0.702, 0.201.042 and 0.03 respectively. The optimum state reaction to a proposed fiscal policy package shows that if economic policy makers cut the tax rate by 10 percent, raise the retirement age by 4 years and public pension by 10 percent and cut the time preference rate by 10 percent, in response the steady state per capita capital stock, income and consumption, employment and interest rate will change by 11.67, 4.14, 9.3, 11.25 and -0.41 percent respectively. These findings emphasise the role of revisions in economic policies in achieving targeted values in future development plans. According to the findings of this study, it is needed to focus on current state of the economy in planning for the targeted values of macroeconomic variables and their promotion to higher levels
Abdolrahim Badamchizadeh
Volume 17, Issue 52 , October 2012, , Pages 1-8
Abstract
In this paper, cost and profit analysis of a queueing system with k phases heterogeneous services and vacation is studied. The service times and vacation times have general distribution. It is assumed that the time between two successive arrivals has exponential distribution. Also we assume that service ...
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In this paper, cost and profit analysis of a queueing system with k phases heterogeneous services and vacation is studied. The service times and vacation times have general distribution. It is assumed that the time between two successive arrivals has exponential distribution. Also we assume that service times, vacation time and inter arrival time are independent. After completion of k phases of services, for same reasons, the server takes vacation with given probability and after completion of this period, the server waits idle for a client. Considering the importance of economic factors and optimization in queueing systems, in this model we define expected total cost for finding the optimum service rate. Also with expected total revenue, the total profit of system in analyzed in comparison to total cost of system. Finally in a case study, with special distributions and numerical methods the validity of system is studied with respect to its parameters.
Fathollah Tari; Abdorreza Shapouri
Volume 17, Issue 51 , July 2012, , Pages 1-19
Abstract
It is assumed that there are some changes in the payment system with application of information technology in this field, so that for many of retail payments we do not need cash. Changes in payment methods, create changes in money demand which may have significant economic effects. In this study the ...
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It is assumed that there are some changes in the payment system with application of information technology in this field, so that for many of retail payments we do not need cash. Changes in payment methods, create changes in money demand which may have significant economic effects. In this study the effect of changing in payment methods, from paper-based to electronic ones, on money demand function is estimated using a panel of time series data from 2002 to 2010. By applying econometric methods, we conclude that development of electronic payment could have negative effect on money demand.
Masoud Derakhshan
Volume 17, Issue 50 , April 2012, , Pages 1-42
Abstract
Optimality conditions for consumption behavior with liquidity constraints are obtained using the functional recurrence equation in Bellman’s dynamic programming and the generalized Hamiltonian function in Pontryagin’s maximum principle. The rejection of Hall’s random walk hypothesis ...
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Optimality conditions for consumption behavior with liquidity constraints are obtained using the functional recurrence equation in Bellman’s dynamic programming and the generalized Hamiltonian function in Pontryagin’s maximum principle. The rejection of Hall’s random walk hypothesis is then established for liquidity constrained consumers. An explicit mathematical relation is formulated which demonstrates the effects of liquidity constraints on consumption, which implies that under certain conditions the liquidity constraint may shift the optimal consumption profile forward even when the rate of time preference exceeds the interest rate. Our analysis is further developed to time-varying interest rates. Using the Kuhn-Tucker conditions, we have shown the interactions between the time-varying interest rate, the utility discount rate and the severity of liquidity constraints. It is shown, using the coefficient of absolute risk aversion, that how the time-varying interest rate may affect optimal consumption through intertemporal elasticity of substitution. Simultaneous effects of the pure preference parameters, interest rates variations and the liquidity constraints on optimal consumption path are mathematically formulated. Limitations in optimal control applications in modeling optimal consumption with liquidity constraints in a stochastic environment are briefly examined.
Yadollah Dadgar; Soheila Parvin; Hossein Abbasi Nejad; Mojtaba Bagheri
Volume 16, Issue 49 , February 2012, , Pages 1-33
Abstract
The analysis of the Shariah poverty line and its measurement is considered as ane of the basic issues relevant to Muslem societies. Also the impact dignity (“Shaan” in Islamic terminology) is another concern in this regard. This paper intends to analyze the Shariah poverty line (Kefayah in ...
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The analysis of the Shariah poverty line and its measurement is considered as ane of the basic issues relevant to Muslem societies. Also the impact dignity (“Shaan” in Islamic terminology) is another concern in this regard. This paper intends to analyze the Shariah poverty line (Kefayah in Islamic literature), and the impact of dignity (Shaan) on it. Case study region for the this paper is the Qum province. According to the findings of this paper and other things being equal; Shariah poverty line is measurable and by using SPL methods we have measured it for the Qum province. In addition to using analytical methods this paper, methodologically speaking has used questionnaire inquiry and econometric methods.
Asgar Abolhasani
Volume 16, Issue 48 , October 2011, , Pages 1-24
Abstract
One of the most important issues in financial market particularly for banks is the issue of asymmetric information. Adverse selection could be made from the lack of sufficient information about credit specification, type of preferences and in general, rate of risk taken by borrowers. In this situation ...
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One of the most important issues in financial market particularly for banks is the issue of asymmetric information. Adverse selection could be made from the lack of sufficient information about credit specification, type of preferences and in general, rate of risk taken by borrowers. In this situation average cost of loan repayment will be of interest for the banking system. It will increase interest rate in order to have a lower rate of average cost. So those who take low level of credit risk are not interested in borrowing. And as a result we have a decline in borrower's rate with lower rate of credit risk. Therefore an increase in the interest rate also increases the possibility of adverse selection. As a result they specify interest rate ceiling with lower rate of interest at equilibrium point (over demand in loan market) and because of loan over demand and market clearing, loans and credits are being rationed. In this article credit rationing and its effect on money market, bond market and commodity market will be analyzed by walras’s law. It can be shown that in credit rationing, the walras’s law does not hold in an effective market unless and until we consider monetary dimension of bond market (credit market) in the model.
Bijan Baseri; Neda Asghari; Mohammad Kia
Volume 16, Issue 47 , July 2011, , Pages 1-29
Abstract
During the past decades, it has been indicated that more knowledge leads inexorably to greater economic growth.This paper will study the role of the knowledge based economy components on economic growth in Iran and some selected countries during 1996-2007.The main hypothesis is that: ICT as a major factor ...
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During the past decades, it has been indicated that more knowledge leads inexorably to greater economic growth.This paper will study the role of the knowledge based economy components on economic growth in Iran and some selected countries during 1996-2007.The main hypothesis is that: ICT as a major factor has dominant effect in promoting economic growth. Comparison to education, the role of ICT is found to be greater than education in selected countries.Our findings based on panel data during 1996-2007 indicate that Innovation and ICT both have positive and significant affects on economic growth.
Ali Bagheri
Volume 16, Issue 46 , April 2011, , Pages 1-18
Abstract
This paper, which is developed within the framework of political economy of petroleum starts by a brief reviewing of OPEC’s policy instrument based on members’ excess production capacities and quota systems for managing the global oil market. The basic shortcoming in modeling OPEC’s ...
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This paper, which is developed within the framework of political economy of petroleum starts by a brief reviewing of OPEC’s policy instrument based on members’ excess production capacities and quota systems for managing the global oil market. The basic shortcoming in modeling OPEC’s economic behavior is then examined. The analytical framework used in this paper for speculations on the future role of OPEC in a diversified future energy market incorporates the impacts of the followings on expected OPEC’s supply: Non-OPEC production potentials of crude oil, long-term supply of unconventional sources of crude oil and long-term potentials of production from renewable sources of energies. It is concluded that there are a number of evidences to support the scenario of continuity of the significant share of OPEC’s crude oil production in the future diversified energy mix, hence enhancing OPEC’s role in the management of global energy market.
Dr. Karim Azarbaijani; Neda Samiei; Homayoun Shirazi
Volume 15, Issue 45 , February 2011, , Pages 1-23
Abstract
World trade has grown remarkably quickly in the past decades. Some researchers believe that despite growing trade, the rate of world trade is less potential amount that it can be achieved. From the perspective of these researchers, in addition to transportation costs and customary transaction costs, ...
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World trade has grown remarkably quickly in the past decades. Some researchers believe that despite growing trade, the rate of world trade is less potential amount that it can be achieved. From the perspective of these researchers, in addition to transportation costs and customary transaction costs, there are other intangible costs that reduce trade. Quality and efficiency of institutions are one of the factors that can affect the exchange costs. In this paper, we have studied the effect of institutions on trade flows of selected countries in the Middle East by using gravity model and panel data method between 2002 and 2008. The results show that compare to other factors on bilateral trade, the quality of institutions has more affect so that one unit increase in quality of institutions index in exporting and importing countries, would respectively induce 1/58 and 0/7 percent increase in trade between pairs of countries that we have studied. Therefore countries with better institutions are more willing to trade.
Reza Aghababaee; Mahmoud Motevasseli; Seyed Morteza Hoseininejad
Volume 15, Issue 44 , October 2010, , Pages 1-33
Abstract
It is argued that foreign banks entry can improve the process of development by technology transfer and access to new international funds. This paper investigates factors affecting foreign banks entry. The theoretical model is based on Markowitz portfolio model, in which a bank decides to invest ...
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It is argued that foreign banks entry can improve the process of development by technology transfer and access to new international funds. This paper investigates factors affecting foreign banks entry. The theoretical model is based on Markowitz portfolio model, in which a bank decides to invest on “portfolio of countries” according to their potential country risk and return. To test various hypotheses, we construct a panel data model for 10 year across 30 countries. The results confirm the “follow up” theory: banks follow their clients to meet their needs in another country. The policy implication for authorities is that in order to attract foreign banks, they may consider participation of foreign companies in other industries. Banks are expected to automatically follow their clients and open up new branches at that country.
Karim Eslamloueyan; Maryam Shafiee Sarvestani; Mahbobeh Jafari
Volume 14, Issue 43 , July 2010, , Pages 1-21
Abstract
Using a vector autoregressive (VAR) model and an impulse response analysis, this paper investigates the impact of trade openness on main macroeconomic variables including growth of output, inflation, and employment for the period 1961-2007 in Iran. More specifically, we intend to study how an ...
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Using a vector autoregressive (VAR) model and an impulse response analysis, this paper investigates the impact of trade openness on main macroeconomic variables including growth of output, inflation, and employment for the period 1961-2007 in Iran. More specifically, we intend to study how an increase in the degree of openness affects these main macroeconomic variables. The results of impulse response functions show that in the short run the trade openness increases the output growth but decreases the inflation rate. However, the short-run impact of openness on the growth of employment is negative. Moreover, the results show that a one unit change in the standard error of trade openness has no long-run effect on the output growth, the inflation and the growth of employment
Asghar Shahmoradi; Mohsen Mehrara; Navid Fayazi
Volume 14, Issue 42 , April 2010, , Pages 1-24
Abstract
This paper investigates the impacts of an energy price increase on price levels, income distribution, consumer’ welfare and government expenditure. In doing so, it uses a static Input-Output approach in the context of the input-output table for Islamic Republic of Iran for the year 2004. An exogenous ...
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This paper investigates the impacts of an energy price increase on price levels, income distribution, consumer’ welfare and government expenditure. In doing so, it uses a static Input-Output approach in the context of the input-output table for Islamic Republic of Iran for the year 2004. An exogenous increase in energy prices, due to reduction in energy subsidies, increases the production costs and consequently increases the general price level. Such price increases, result in a consumer’ welfare reduction and affect the government expenditures. It defines a set of indirect utility functions, which then used to measure the change in welfare of households. A set of constant coefficients used to measure the increase in households’ budget and change in government expenditures. Two distinct scenarios defined for energy prices increase, the first is a once-for-all 100% increase in those prices, and the second scenario assumes a once-for-all complete elimination of energy subsidies in Iran.
Seyed Komail Tayebi; Mohammad Omidinezhad; Abbas Motahari Nejad
Volume 13, Issue 41 , February 2010, , Pages 1-28
Abstract
The purpose of this research is to measure cost and profit efficiency for the Iran's commercial and public banks. We also determine time variant efficiency factors for period 1381-1384 (2001-2004). To measure the efficiency, we use stochastic frontier analysis (SFA) and error component model following ...
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The purpose of this research is to measure cost and profit efficiency for the Iran's commercial and public banks. We also determine time variant efficiency factors for period 1381-1384 (2001-2004). To measure the efficiency, we use stochastic frontier analysis (SFA) and error component model following Battese and Coelli (1992) using the Maximum Likelihood method and a panel data. Labor, physical capital, and financial capital are considered as inputs, and loans, bonds and other earning assets as outputs. The results show that most of the private banks are more efficient in profit efficiency than public banks, while most of the public banks are more efficient than private banks in cost efficiency. The cost efficiency has decreased but the profit efficiency has increased for the period under consideration. Profit efficiency is not positively correlated with cost efficiency, suggesting the possibility that cost and revenue inefficiencies may be negatively correlated. Cost efficiency ranges from 46.88 percent (Bank Saderat) to 91.58 percent (Bank Tejarat) with an average of 68.8 percent, and profit efficiency from 61.16 percent (Bank Melli) to 94.85 percent (Bank Sepah) with an average of 85.3 percent. Average and variance of profit efficiency is more than those of cost efficiency, implying profit efficiency is influenced by more variables.
Saeed Isa Zadeh; Akbar Ahmadzadeh
Volume 13, Issue 40 , October 2009, , Pages 1-28
Abstract
The neo-classical growth models explain the difference between economic growth of economies as a result of difference in economic factors such as capital (in the form of fiscal and human) and factor productivity، but according to new institutional economist those differences in fact originate from institutional ...
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The neo-classical growth models explain the difference between economic growth of economies as a result of difference in economic factors such as capital (in the form of fiscal and human) and factor productivity، but according to new institutional economist those differences in fact originate from institutional qualities and structures in different countries. In this regard، the main reason of having low level of per capita income in less developed countries is the lack of good quality institutions for economic activities and capital accumulation.Researches show the positive impacts of institutions on economic growth in different economies. In this study، we investigate evaluate the effects of institutional qualities and other economic factors on economic growth in 50 countries for the period of 1996 - to 2005. Institutional quality is formed by combination of six basic indices as followes: voice and accountibility، political stability، control of corruption، rule of law، regulatory of quality، and government effectiveness. The results show athe direct relationship between economic growth and institutional qualities.
Esfandiar Jahangard; Habibeh Mansoori
Volume 13, Issue 39 , July 2009, , Pages 1-28
Abstract
In this paper focusing on the Information and Communication Technology sector (ICT sector) in Iranian Input-Output table and a method of policy evaluation is designed which gives a deeper insight of interaction between policy objective (output) and policy control(final demand). The ...
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In this paper focusing on the Information and Communication Technology sector (ICT sector) in Iranian Input-Output table and a method of policy evaluation is designed which gives a deeper insight of interaction between policy objective (output) and policy control(final demand). The method used is based on a specific matrix decomposition that allows for the quantification of an aggregated scale effect, called Macro Multiplier. Therefore, this study, applying Macro Multiplier methodologies based on Iran's 1999 Input –Output table. The application results show the policy 1 is dominating policy .Using the structure 0.9v1+0.1v3 ,we can observe a high growth on output of the ICT industry in Iran.
Ghahraman Abdoli; Hassan Heydari
Volume 13, Issue 38 , April 2009, , Pages 1-29
Abstract
Social discount rate is an important variable for the Cost-Benefit analysis. Commonly used discount factor in applied works is exponential discount factor. However, exponential factor has some problems: 1- Determining factors of discount rate and their impacts are varying in time. 2- Empirical and experimental ...
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Social discount rate is an important variable for the Cost-Benefit analysis. Commonly used discount factor in applied works is exponential discount factor. However, exponential factor has some problems: 1- Determining factors of discount rate and their impacts are varying in time. 2- Empirical and experimental evidences suggest that different individuals and groups of people discount far future with rates lower than early future. 3- If the discount rate were uncertain, it can be shown that the discount rate is decreasing in time. In this paper, we show that the problems can be mitigated by relating the discount rate with hazard rate. That relation can be established using project life probability distribution or its beneficiary’s mortality rate. In this paper, the discount factors of different statistical distribution of projects life are introduced and applied to some countries and Iran. The results show the hazard rate in Iran and India are higher and mean project life are lower than other countries in the sample.
