Economic Development
mohaddaseh soleimani; Aliasghar Banouei; Esfandiar Jahangard; teymor mohamadi
Abstract
Innovation and technological changes spans various geographical locations over the time.The inability of Input-Output models in measuring the effects of technology changes, caused by new innovations, is known as a weakness of these models. In this article, we show how this weakness can be addressed by ...
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Innovation and technological changes spans various geographical locations over the time.The inability of Input-Output models in measuring the effects of technology changes, caused by new innovations, is known as a weakness of these models. In this article, we show how this weakness can be addressed by employing the fields of influence method. Technology changes are modeled as changes of one or more elements in the direct coefficients matrix and the impact of such changes in the Leontief matrix is measured. Here is the main question: Does the technology changes only impact a limited sector or the entire economical system? In other words, how would technology changes in one sector impact other sectors of economic system? The main goal in this paper is proposing a method which can measure how different sectors get impacted by changes at different levels such as one element, all elements, one row or one column and then evaluates the importance of different sectors. To this aim, Iran’s Input-Output tables over the period of 1365-1395 with the fixed price of Iran’s statistics center in 1390 is used. The impact of technology changes on each sector is measured using Leontief’s inverse matrix and the column field of influence approach (CFOI) approach. Our findings indicate that over this period of time, technological changes in the industry and then construction sectors have the most influence and the mining sector has the least influence on other sectors of Iran’s economy.
Monetary economy
Hossein Esfandiar; teymoor mohammadi
Abstract
Thanks to Blockchain technology the future of banking can take place without intermediaries (especially banks), and in this regard, Central Bank Digital Currency (CBDCs) and stablecoins of BigTechs are mentioned as the main competitors of the new monetary era. Based on this fact and in parallel with ...
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Thanks to Blockchain technology the future of banking can take place without intermediaries (especially banks), and in this regard, Central Bank Digital Currency (CBDCs) and stablecoins of BigTechs are mentioned as the main competitors of the new monetary era. Based on this fact and in parallel with the efforts of most countries on the (theoretical and experimental) investigation of CBDC’s aspects, this article, using a dynamic stochastic general equilibrium (DSGE) model, in the period Q1 1388 to Q4 1400, economic effects of issuance of RamzRial (Iranian CBDC) was modeled and analyzed. In our model, RamzRial is an account-based, widely available to the general public, interest-bearing and cash complementary money, and the results of the implementation of quantitative and price rule policies were examined in the presence of RamzRial. The results of the model based on the data and calibration indicate that the issuance of RamzRial, while diversifying central bank tools, will improve the effectiveness of monetary policies in the event of (supply and demand) external shocks. One of the significant results, especially for the stagflation condition of Iran’s economy, says that through issuing (an appropriate amount of) RamzRial the central bank can implement disinflation programs while reducing its unwanted negative effects on production. Also, in addition to influencing the level of production, consumption, investment and employment, the results of our model prove that with the introduction of the RamzRial in parallel with cash balances, the most important factor affecting the transmission mechanisms is the dynamics of transaction cost deviations.
Financial Economics
Reza Taleblou; Parisa Mohajeri; Abbas Shakeri; teymoor mohammadi; zahra zabihi
Abstract
Achieving the correct insight into the structure of connectedness and the spillover of volatilities between different stock exchange industries plays an important role in risk management and forming an optimal stock portfolio. Also, the analysis of inter-sectoral connectedness helps policy makers in ...
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Achieving the correct insight into the structure of connectedness and the spillover of volatilities between different stock exchange industries plays an important role in risk management and forming an optimal stock portfolio. Also, the analysis of inter-sectoral connectedness helps policy makers in designing policies that stimulate economic growth and implementing preventive measures to curb the propagation of systemic risk. In this regard, this article tries to use the data of 3370 trading days during the period of 1388/07/01 to 1402/06/31, encompassing 20 stock market industries (which constitute more than 80% of the Iranian stock market) and applying the connectedness approach based on the vector autoregression model with time-varying parameters (TVP-VAR), to estimate the systemic risk and volatility connectedness of the stock market network. In addition, we implement the minimum connectedness approach in the optimal stock portfolio and compared its performance with two other conventional approaches. The findings reveal that, first; the systemic risk in Iranian stock market is significant and has reached unprecedented figures of 80% in the last three years. Second, the four major export industries (petrochemicals, metals, mining and refining) experience the strongest pairwise connectedness, and among them, base metals appear as one of the most important transmitters of volatilities to the entire stock network. Thirdly, the stock portfolio based on the minimum connectedness method, compared to the minimum variance and minimum correlation methods, shows a better performance based on the criteria of cumulative return and hedge ratio efficiency.
Econometrics
Mohammad Feghhi Kashani; Teymor Mohammadi; zahra Aghighi
Abstract
One of the key challenges in empirical studies relates to the identification of the dynamics of bubbles that periodically run up and collapse. This study is an attempt in this field, which initially examines some limitations of one of the relatively new methods in the economic literature as to the identification ...
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One of the key challenges in empirical studies relates to the identification of the dynamics of bubbles that periodically run up and collapse. This study is an attempt in this field, which initially examines some limitations of one of the relatively new methods in the economic literature as to the identification of rational bubbles in the Tehran Stock Exchange for the period of 2009-2020. Then, by assuming the Markov switching regime approach in this area, we have extended the conventional method by taking into account the dynamic interaction of asset prices in the market with the latent factor in the process of bubbles expansion and collapse. It is shown how this framework, while improving the efficiency of detecting financial bubbles through mitigating the specification error of dynamic models compared to existing alternative methods, is capable of incorporating the feature of traders' interactions in the market with no specific assumptions on how they interact, especially with regard to the coordination of their expectations and pursuant trading behavior. The findings resulting from this method indicate the existence of a bubble in asset prices only for the period 2018-2020, as opposed to the use of the conventional method, which implies either no bubble or the existence of two bubbly periods 2012-2014 and 2018-2020. in the Tehran Stock Exchange.
Monetary economy
zahra bigdeli shamloo; Abbas Shakeri; Teymur Mohamadi; Syrous Omidvar
Abstract
The main purpose of this study is to analyze the nature of the money creation process by examining the approaches related to this process in Iran. The two main views regarding the money creation process are the endogenous and exogenous money approaches. The endogeneity of money means that the money supply ...
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The main purpose of this study is to analyze the nature of the money creation process by examining the approaches related to this process in Iran. The two main views regarding the money creation process are the endogenous and exogenous money approaches. The endogeneity of money means that the money supply is directly influenced by the economic activities and conditions in the economy, and it is not determined by central bank exclusively. The endogeneity of money can also be a very important factor in the efficiency and effectiveness of monetary policies on macroeconomic indicators. Therefore, in order to test the endogeneity based on post-Keynesian approaches, the two-stage method of the state-space approach was applied to determine a time-variable model of money supply using the annual data from 1357 to 1400 in Iran. The results indicate: firstly, money is endogenous. Secondly,the effect of explanatory variables on it is not constant over time, and therefore, it is necessary to change monetary policies from targeting on money aggregates according to the conditions of endogenous money.
Financial Economics
Mohamad Feghhi Kashani; Teimur Mohamadi; Hadi Pirdaye
Abstract
Companies adjust their voluntary information disclosure based on the volatilities they experience in their cash flows. Focusing on the digital industry segment of the Tehran Stock Exchange during the period 2012–2022, the current study aimed to investigate the effects of news related to risk, ambiguity, ...
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Companies adjust their voluntary information disclosure based on the volatilities they experience in their cash flows. Focusing on the digital industry segment of the Tehran Stock Exchange during the period 2012–2022, the current study aimed to investigate the effects of news related to risk, ambiguity, and ambiguity aversion on the policies adopted by firms regarding voluntary disclosure of soft and hard information. The analysis employed dynamic panel models to explain the voluntary disclosure behavior by the selected companies. The corporate voluntary disclosure lag was also used to capture disclosure dynamics, along with control variables including cost of capital, financial leverage, and stock liquidity. According to the results, managers of digital industry companies respond differently to news concerning risk, ambiguity, and ambiguity aversion depending on the type of information available for voluntary disclosure—whether disclosed conservatively or non-conservatively. This variation may be attributed to the nature of the disclosed information and its perceived credibility by investors. Furthermore, the findings confirmed that voluntary disclosures in previous periods positively influenced disclosures in subsequent periods, suggesting the presence of inertia in voluntary disclosure policies in the digital industry.
Introduction
The type of information disclosed by a company can be interpreted differently by participants in the stock market. According to the cheap talk literature, soft information is somewhat informative and can serve as an imperfect substitute for hard information (Kirk & Vincent, 2014). In contrast, hard information is quantitative and more reliable (Stein, 2002). Moreover, the market often interprets the disclosure of hard information as favorable news, whereas soft information is frequently perceived as unfavorable (Bertomeu & Marinovic, 2016). It is thus expected that firm managers employ different response tools—specifically, the disclosure of hard and soft information—when faced with news that affects firm value. Additionally, corporate disclosure environments are characterized by multi-period, multi-dimensional flows of information from the firm to the market (Guttman et al., 2014). Accordingly, it is hypothesized that the disclosure of hard and soft information in one period will encourage increased disclosure in subsequent periods, reflecting the presence of inertia in disclosure policies.
According to decision-making theories, investors’ reactions to a company’s information disclosure differ in the presence of ambiguity and risk. As the level of ambiguity increases—assuming investors are ambiguity-averse and risk-averse—stock price volatility rises because ambiguity leads investors to place greater weight on the possibility of an unfavorable future state (Brenner & Izhakian, 2018a; Epstein & Schneider, 2007a). Therefore, the effectiveness of an information disclosure policy under ambiguity may differ from its effectiveness under risk (Billings et al., 2015; Rava, 2022). In this respect, the present study aimed to model the transition of the information environment from risk to ambiguity. Furthermore, theoretical literature emphasizes that both the level of ambiguity and the degree of investors’ aversion or preference toward ambiguity independently influence how firm value is evaluated. Ignoring these independent effects in empirical model specifications can introduce specification errors, as these factors affect managers’ assessment of a firm’s financing costs and, consequently, their decisions regarding the amount of voluntary information disclosure needed to achieve their disclosure objectives. Accordingly, this study also examined the independent effects of changes in the level of ambiguity and investors’ ambiguity aversion on the level of voluntary information disclosure.
Materials and Methods
The sample consisted of eight companies operating in the digital industry segment of the Tehran Stock Exchange during the period 2012–2022. The detrended state of variables was used to extract news related to ambiguity, ambiguity aversion, and risk. Moreover, the generalized method of moments (GMM) was employed to address potential endogeneity among the research variables and improve the accuracy of coefficient estimates. The empirical model of the study is specified as follows:
In the model above, respectively, the variable ( ) represents the level of voluntary information disclosure by company i at time t in two different categories, that is, hard information and soft information. ( ) captures dynamics of voluntary disclosure for both types of information. ( ) denotes news related to investors’ ambiguity aversion, and ( ) represents news concerning the level of investors’ ambiguity. Moreover, ( ) corresponds to news about the firm’s risk. Control variables include ( ) as the weighted average cost of capital, ( ) as the firm’s financial leverage, and ( ) as the stock liquidity of the firm. The model also incorporates ( ) to account for cross-sectional effects, ( ) for time effects, and ( ) as the error term.
Results and Discussion
At the 95% confidence level, voluntary disclosure of both soft and hard information exhibited persistence over time (Tables 1 and 2). Moreover, when soft information was viewed as a managerial response tool to news affecting firm value, news related to investors’ ambiguity aversion ( variable) had a negative and statistically significant effect on the level of voluntary disclosure of soft information. Specifically, when this news is unfavorable—represented by a positive deviation from the expected trend—and given the negative regression coefficient, managers are expected to reduce the level of soft information disclosure in response to an unexpected increase in investors’ ambiguity aversion, thereby adopting a non-conservative reporting approach.
Similarly, news related to the level of investors’ ambiguity ( ) had a negative effect on soft information disclosure. When this news is favorable—indicated by a negative deviation from the expected trend—and given the negative coefficient, managers tend to pursue a non-conservative disclosure policy for soft information in an effort to reduce investors’ ambiguity, and vice versa. In contrast, news concerning the firm’s risk ( ) had a negative but statistically insignificant effect on the voluntary disclosure of soft information. This result may be attributed to the unverifiable nature of soft information for investors and managers’ limited ability to influence investors’ worst-case beliefs under conditions of ambiguity, particularly given the characteristics of the digital industry.
As shown in Table 2, when the firm manager’s response tool is hard information (the dependent variable) and news related to firm risk is unfavorable—indicated by a positive deviation from the expected trend—the negative regression coefficient suggests that managers respond strategically through voluntary disclosure. Specifically, managers adjust their disclosure of hard information in reaction to unfavorable risk-related news, a finding that is consistent with the results of Bertomeu et al. (2011).
Table 1. Regression Model Related to Voluntary Disclosure of Soft Information
(3)
(2)
(1)
GMM
estimation
Fixed effect
estimation
Pooled
estimation
Dependent variable: Soft information
0.64
(0.00)
0.52
(0.00)
0.78
(0.00)
Lag Soft Information
-8.7
(0.00)
-0.5
(0.26)
-0.26
(0.54)
AAN
-0.54
(0.01)
-0.019
(0.75)
0.035
(0.55)
DAN
-0.54
(0.44)
0.14
(0.89)
0.038
(0.95)
RiskN
0.34
(0.00)
0.005
(0.89)
0.03
(0.34)
WACC
4.76
(0.00)
0.86
(0.00)
0.45
(0.02)
Leverage
0.33
(0.00)
-0.041
(0.45)
-0.006
(0.9)
Stock Turnover
-0.61
(0.01)
0.11
(0.33)
0.07
(0.26)
_Cons
-
0.80
0.61
R-squared
-
3.31
(0.00)
-
F-Leamer
-2.91
(0.00)
-
-
Arellano-Bond test for AR (1)
0.97
(0.33)
-
-
Arellano-Bond test for AR (2)
8.00
(0.71)
-
-
Sargan-Hansen Test
The numbers in parentheses show the probability level of each coefficient statistic.
Source: Research findings
According to the results in Table 2, due to the verifiable nature of hard information for investors, managers can influence investors’ worst-case beliefs by disclosing hard information. In response to unexpected changes in investors’ ambiguity aversion and the level of ambiguity, managers expand the extent of voluntary disclosure. Moreover, given managers’ disclosure behavior in reaction to bad news concerning the level of ambiguity and investors’ ambiguity aversion, it seems that they adopt a conservative reporting approach in their voluntary disclosure policy.
Conclusion
Using the disclosure tools available to them, managers of digital industry companies listed on the Tehran Stock Exchange adjust the degree of conservatism in their voluntary information disclosure in response to news related to ambiguity, risk, and investors’ ambiguity aversion. This behavior critically depends on the nature of the information disclosed by the companies.
Table 2. Regression Model Related to Voluntary Disclosure of Hard Information
(3)
(2)
(1)
GMM
estimation
Fixed effect
estimation
Pooled
estimation
Dependent variable: Hard information
0.56
(0.03)
0.33
(0.00)
0.7
(0.00)
Lag Hard Information
17.12
(0.05)
0.5
(0.13)
0.16
(0.6)
AAN
4.02
(0.04)
0.01
(0.75)
0.005
(0.89)
DAN
-14.1
(0.05)
-0.38
(0.61)
-0.61
(0.18)
RiskN
0.51
(0.11)
0.02
(0.36)
0.03
(0.19)
WACC
-0.59
(0.77)
-0.06
(0.77)
0.12
(0.36)
Leverage
0.32
(0.02)
-0.005
(0.89)
0.03
(0.36)
Stock Turnover
-0.48
(0.27)
0.26
(0.00)
0.13
(0.00)
_Cons
-
0.65
0.66
R-squared
-
2.34
(0.03)
-
F-Leamer
-7.29
(0.00)
-
-
Arellano-Bond test for AR (1)
0.88
(0.37)
-
-
Arellano-Bond test for AR (2)
8.00
(0.88)
-
-
Sargan-Hansen Test
The numbers in parentheses show the probability level of each coefficient statistic.
Source: Research findings
Planning and Budget
Samira Ghanbari; Hamid Amadeh; Davood Danesh Jafari; Teymour Mohammadi
Abstract
Today, health insurance is recognized as one of the most important sources of financing in the health sector. In this regard, improving the level of satisfaction of the insured and increasing their access to medical services are among the primary goals of health insurance organizations. Organizations ...
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Today, health insurance is recognized as one of the most important sources of financing in the health sector. In this regard, improving the level of satisfaction of the insured and increasing their access to medical services are among the primary goals of health insurance organizations. Organizations that can provide adequate services without imposing a financial burden on the insured are considered successful. To achieve this, it is crucial to maintain a balance between revenue sources and expenditure in health insurance organizations. The current study examined the budget balance across five funds of the Iran Health Insurance Organization over the period 2008–2019. It also analyzed the factors influencing the budget deficit in these funds, including premiums, coinsurance, treatment, and overhead costs, as well as the number of services purchased. Using a panel vector error correction model, the analysis evaluated these factors in terms of the funds’ mediating role in reimbursement, behavior management, and the purchasing of medical services. The goal was to propose solutions for eliminating the budget deficit. The results showed that, in the long run, coinsurance paid by the insured and the premiums received by the various funds of the Iran Health Insurance Organization had a negative effect on the budget deficit. In contrast, increases in treatment and overhead costs, as well as the number of services purchased by the five funds, worsened the budget deficit.IntroductionHealth systems around the world are under increasing financial pressure due to rising healthcare costs and limited resources. As a result, financing has become a critical function of any health system. One widely adopted strategy is funding through health insurance programs, which promote risk sharing, enhance financial protection, and improve access to services—particularly for the poor and other vulnerable populations. To fulfill their obligations and remain sustainable, insurance organizations must control costs, secure adequate funding, and maintain budgetary balance. Achieving this requires structural reforms in both expenditure and revenue streams to improve service delivery and quality. Insurance organizations play a central role in healthcare financing, and their budget deficits can have significant impact on the broader health system. On this account, the present study aimed to examine the factors contributing to budget deficits in these organizations, with a focus on their intermediary role in service reimbursement and cost management. In this context, the first key factor is the adequacy of financial resources. Health insurance organizations pool funds from various sources, including employee and employer premiums, contributions from the self-employed, government subsidies, and donations. These financial resources are used to reimburse insured individuals for eligible medical services (Hsiao & Shaw, 2007). The second factor is rising expenditures, particularly in treatment and overhead costs. These are influenced by both patient and provider behaviors, including moral hazard, adverse selection, and provider-induced demand (Ekman et al., 2008). The third contributing factor is the number of services purchased by insurance organizations. Expanding benefits packages increases costs and creates a trade-off between the range of covered services and the size of the covered population. It is thus essential to define the benefits package and manage service utilization in order to avoid budget deficits. Furthermore, the insured’s share of treatment costs (coinsurance) can influence patient behavior and overall spending, thereby impacting the organization’s budget balance. Materials and MethodsMany econometric challenges (e.g., analyzing the effects of economic shocks) arise from the difficulty, or even impossibility, of obtaining the long-term data required for traditional time series models. Furthermore, in some cases, the impact of economic variables spills over into other sectors, creating interdependencies across sections. These complexities can be more effectively addressed using panel vector autoregression (PVAR) models, which incorporate both cross-sectional and time-series dimensions. The PVAR model shares the same structure as a standard VAR model, but by incorporating a cross-sectional dimension, it becomes a significantly more powerful tool for analyzing key economic issues. To illustrate the mathematical form of the PVAR model, let represent a (K×1) vector of endogenous variables for unit i, where i=1,…,N. Also, is the (N.K×1) vector of the stacked . Therefore, the equation of the PVAR model can be expressed as follows: (1)where is a (K×1) vector of intercepts, for j=1,…,p and i=1,…,N is a (K×N.K) matrix of slope coefficients. Morover, is a (K×1) vector of possibly contemporaneously correlated reduced-form disturbances (Dees & Guntner, 2014).Results and DiscussionThis section presents the estimation results of the panel vector error correction model (PVECM), highlighting the short-term effects of selected variables on the budget deficit across the five funds of the Iranian Health Insurance Organization.The dependent variable (BD) represented the budget deficit, calculated as the difference between revenues and expenditures. The independent variables were as follows: PR (premiums paid by the insured), CO (coinsurance contributions), TE (treatment costs), OE (overhead costs), and SE (number of services purchased by the five funds of the Iranian Health Insurance Organization). The estimation results indicated a negative relationship between the budget deficit and both premium collections (PR) and coinsurance payments (CO), suggesting that increases in these revenue sources help reduce the budget deficit. In contrast, treatment costs (TE) and the number of services (SE) exhibited a positive relationship with the budget deficit, suggesting that higher spending on healthcare services and treatment places greater financial strain on the organization’s funds. Interestingly, overhead costs (OE) had a negative effect on the budget deficit. This may imply that an increase in overhead costs is associated with improved efficiency or more effective cost management practices, ultimately contributing to a reduction in the deficit. These findings underscore the importance of enhancing revenue streams while managing service-related expenditure to improve the financial sustainability of health insurance funds.Table 1. Panel vector error correction modelDependent variable: D(BD)Independent variableCoefficientt-statisticProbability -0/002352-2/3019490/0216 1/7813952/098410.0000 -0/880473-26/051420.0000 -0/419725-1/3043600/1925 0/3637381/1243620/2612 -0/021947-0/9656720/3345 -0/033938-1/4809050/1391 0/1272261/7081520/0881 -0/098218-1/2830120/1999 -0/069282-1/2401300/2153 -0/064522-1/1628250/2453 41337/741/2786670/2014 -33641/15-1/0389650/2992C7/77e+082/1179710/0345R-squared: 0/99F-statistic: 6729/078Prob(F-statistic): 0/0000Durbin-Watson stat: 2/19 Source: Research findingsConclusionAccording to the findings, in the short term, the Health Insurance Organization can effectively control and reduce its budget deficit by adopting strategies such as increasing premiums, coinsurance contributions, and overhead expenditures, while simultaneously reducing treatment costs and the number of services purchased.
Behavioral economics
Morteza Khorsandi; Mahnoush Abdollah Milani; Teimour Mohammadi; Pardis Hejazi
Abstract
The effect of income on subjective well-being, often used as a key measure of well-being, has been widely studied. However, various dimensions of this relationship remain unexplored. The current study aimed to examine the nonlinear effect of income on the subjective well-being of 58 countries over during ...
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The effect of income on subjective well-being, often used as a key measure of well-being, has been widely studied. However, various dimensions of this relationship remain unexplored. The current study aimed to examine the nonlinear effect of income on the subjective well-being of 58 countries over during 2005–2020. The analysis relied on two distinct scenarios. The Panel Smooth Threshold Regression (PSTR) model, derived from regime-switching models, was employed for the analysis. Additionally, the study investigated the effects of income, unemployment, inflation, life expectancy, and income inequality on subjective well-being. The findings revealed that in a nonlinear relationship, the effect of GDP on subjective well-being diminishes at a certain threshold value of income inequality. Consequently, while policymakers aim to increase national income and reduce income inequality to enhance well-being, it is crucial to recognize that further reductions in inequality beyond a certain threshold may reduce the effect of income on well-being. This suggests that after a certain threshold, governments should prioritize reallocating resources toward other essential needs rather than solely focusing on reducing income inequality.1.IntroductionWell-being is one of the primary indicators of development and a crucial element in social progress, making it a growing focus for policymakers. In a seminal 1974 article, Easterlin found that wealthy individuals are generally happier than their poorer countrymen. However, at a cross-national level, the average happiness in wealthier nations does not exceed that of poorer nations. Furthermore, despite significant economic growth in the United States between 1944 and 1970, no corresponding increase in average happiness was observed. These findings became known as the Easterlin Paradox. Easterlin contends that while economic growth may boost happiness in the short term, it has no lasting impact (over 10 years or more) on a nation’s happiness. Policymakers, seeking to address the question of what constitutes a fair level of income inequality, have thought of various policies. For some, the relationship between income inequality and economic growth is the primary focus of policymaking. Easterlin contends that while economic growth may boost happiness in the short term, it has no lasting impact (over 10 years or more) on a nation’s happiness. Policymakers, seeking to address the question of what constitutes a fair level of income inequality, have thought of various policies. For some, the relationship between income inequality and economic growth is the primary focus of policymaking. Research in the field of happiness economics has sought to explain the Easterlin Paradox and adjust macroeconomic policies accordingly. To date, the threshold factor (in the case of the effect of income on subjective well-being) has often been determined exogenously, visually, or based on the assumption of a linear relationship. The present study sought to answer the following question: Does income affect subjective well-being, taking into account the threshold factor of income and income inequality?2.Materials and MethodsThe present study used the Panel Smooth Threshold Regression (PSTR), which is a generalized version of the Panel Threshold Regression (PTR) model introduced by Gonzales et al. (2005). This nonlinear model extends regime-switching models, where regimes are determined by a threshold variable. The explanatory variables included inflation, unemployment, life expectancy, and gross domestic product (GDP) adjusted for purchasing power parity (PPP). The data for these variables was sourced from the World Bank, while the inequality dispersion ratio was obtained from the World Inequality Database. Numerous studies have investigated the effect of macroeconomic variables on subjective well-being indices. Such studies tend to examine inflation and unemployment together, with their potential interdependence typically overlooked. The dependent variable was subjective well-being, assessed using various components and scales. The data on subjective well-being was obtained from the World Happiness Report database. The report employs the life ladder scale, in which individuals rate their subjective well-being on a 1–10 scale.3.Results and DiscussionVarious factors influence the subjective well-being of countries, with income emerging as a key determinant that has been extensively studied. However, certain aspects of this relationship remain underexplored. Using income inequality as a threshold factor, the present study examined the nonlinear effect of income on subjective well-being across a sample of 58 countries. Two scenarios were analyzed to address the main research question. The first scenario examined the linear relationship between income and subjective well-being. The findings revealed that income has a positive and significant impact on subjective well-being, whereas income inequality exerts a significantly negative effect.The second scenario examined the nonlinear relationship using the PSTR model, which extends regime-switching models. The results indicated that while income continues to positively influence subjective well-being, the magnitude of this effect diminishes as income inequality increases.Drawing on the theory of relative deprivation, the study demonstrated that income inequality significantly affects subjective well-being. Moreover, in line with the tunnel effect theory, it was shown that changes in living conditions (e.g., increasing income inequality) can weaken the positive effect of income on subjective well-being.At an income inequality threshold of 2.16, the coefficient representing the effect of income on subjective well-being decreases from 0.1 to 0.09. Additionally, the findings from the first scenario confirmed that income inequality has a significantly negative effect on subjective well-being, with a coefficient of -0.058.4.ConclusionThe study of subjective well-being, alongside economic well-being, has garnered significant attention among economists. In economics, well-being is traditionally assessed through an individual’s capacity to purchase goods and services. However, subjective well-being encompasses a broader range of factors beyond income, focusing on overall quality of life. As a result, governments should consider subjective well-being as a critical aspect of policymaking, given its broader scope and its measurability through subjective and composite indicators. Equally important is addressing the social cost of inadequate subjective well-being. Mental illnesses are a leading cause of pain and suffering, significantly reducing productivity. Strengthening social connections can foster positive psychological effects, which, in turn, improve physical health. Thus, prioritizing subjective well-being could encourage governments to a shift in the reallocation of resources from solely physical health to mental health. In addition, enhancing subjective well-being can help reduce both psychological and physical costs in society. Rising income inequality has been shown to diminish the impact of income on subjective well-being. Consequently, if policymakers aim to promote well-being by fostering national income growth and reducing income inequality, it is essential to recognize that reducing inequality beyond a certain threshold may weaken the positive effect of income on subjective well-being. This suggests that after a certain threshold, governments should prioritize reallocating resources toward other essential needs rather than solely focusing on reducing income inequality.
Financial Economics
Teimur Mohammadi; Mohammad Reza Feghhi Kashani; Mahdi Samei
Abstract
The negative correlation between an asset’s volatility and its return is known as leverage effect. This relationship is explained by the effect of a firm’s equity return on the degree of leverage in its capital structure. If this relationship holds, the increased volatility resulting from ...
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The negative correlation between an asset’s volatility and its return is known as leverage effect. This relationship is explained by the effect of a firm’s equity return on the degree of leverage in its capital structure. If this relationship holds, the increased volatility resulting from a fall in stock price should be comparable with the decreased volatility resulting from a price rise with the same magnitude, and this effect should also be persistent. Most research on the leverage effect has examined the relationship between the behavior of returns and return volatility. The present study aimed to examine the relationship between return volatility, returns, and the debt ratio. The data were collected from 22 biggest companies listed on the Tehran Stock Exchange for the period from March 2009 to March 2019. The value of debt in the capital structure of the selected companies was calculated using the Geske compound option pricing model. According to the results, the existence of an asymmetric effect on returns only during bearish market conditions, alongside the instability of this effect, indicates that the debt ratio cannot explain the behavior of returns and return volatility.1.IntroductionExtensive research on return volatility and its modeling reflects the considerable attention and importance this topic holds within various financial domains. The sheer number of scientific inquiries into volatility modeling and prediction underscores its significance in financial discourse, playing a pivotal role in both theoretical and empirical realms (Kambouroudis et al., 2021). Uncovering the influential factors affecting return volatility and gaining insights into their impact can contribute to a deeper understanding of return volatility. The leverage effect, which denotes the negative relationship between an asset’s return and its return volatility, suggests that as an asset’s return increases, its volatility decreases and vice versa. A common explanation attributes the divergent behavior of stock returns and return volatility to the debt ratio in a company’s capital structure (Aït-Sahalia et al., 2013). When a company’s value increases, assuming the debt value remains stable, the relative return on equity will rise more than the overall company return because the total stock value is less than the total company value. Therefore, equity in a company with a higher debt ratio will exhibit greater volatility compared to the overall company, with this difference depending on the equity ratio in the company’s capital structure. This relationship with the debt ratio also leads to a systemic and inverse change in equity return volatility relative to its own return. When negative stock returns lead to a decrease in equity value relative to the fixed amount of debt, the debt ratio increases, resulting in an anticipated increase in stock volatility in the future. Conversely, positive stock returns are expected to have the opposite effect. The market value of a company’s equity affects the value of its debt. This research aimed to examine the ability of debt ration to explain the observed leverage effect. Therefore, accurately estimating the debt ratio and the value of the debt is crucial. In this line, the present inquiry investigated the relationship between stock return volatility and the debt ratio in the case of companies listed on the Tehran Stock Exchange.2.Materials and MethodsThis study used the model proposed by Figlewski and Wang (2000) in order to investigate the leverage effect. A distinctive aspect of the current research lies in the calculation of the debt value and the debt ratio using the Geske compound options pricing model (Geske, 1979).The sample of the study consisted of 22 non-banking companies selected from the top 30 listed on the Tehran Stock Exchange. Seven banking symbols and one symbol with insufficient information were excluded from the analysis. Banking symbols were excluded due to the unique nature of the banking business, which significantly influences debt performance (Damodaran, 2013). Data on prices, number of shares, and debt structure for these companies were systematically collected from 2009 to 2019. The study relied on quantile regression as the analytical approach. Quantile regression is particularly robust in scenarios where errors deviate from a normal distribution or outliers are present in the data. This method allows for model estimation without being constrained by assumptions typical in ordinary regression, such as homoscedasticity and the influence of outliers on coefficient estimation.3.Results and DiscussionIf the leverage effect, characterized by the negative relationship between return volatility and stock returns, were solely due to returns influencing the debt ratio, one would expect this effect to be consistent across positive and negative returns. Additionally, assuming the effect of returns on the debt ratio remains stable over time, one would anticipate a stable effect on return volatility as well. The findings indicated asymmetric effects of returns on return volatility, with a notable difference between positive and negative returns. Moreover, over time, both the magnitude and significance of this effect diminish. Another objective was to explore the direct effect of the debt ratio on return volatility. Similar to the previous case, the data suggested differing effects of the debt ratio during upward and downward trends. When the debt ratio increases due to declining returns, there is a consistent relationship observed between return volatility and the debt ratio. Conversely, during upward trends, the relationship between the debt ratio and return volatility is inverse. Furthermore, in assessing the stability of the effect of debt ratio on return volatility, the coefficients of lagged debt ratios were not significant, with only the coefficient of the current period’s debt ratio showing meaningful impact over the study duration.4.ConclusionAccording to the results, if a leverage effect exists, it manifests primarily in bearish market conditions (associated with an increasing debt ratio), and this effect is not stable over time. Consequently, the debt ratio alone cannot fully explain the relationship between return behavior and return volatility.
international trading
Seyedeh Marveh Nasersadrabadi; Farhad Ghaffari; Teymour Mohammadi; Abbas Memarnejad
Abstract
The negative consequences of financial crises require the attention of economic policymakers and decision making centers.Therefore, considering the importance of the subject, the present study has investigated the effects of global financial crises on the trade patterns of Iran and its partners during ...
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The negative consequences of financial crises require the attention of economic policymakers and decision making centers.Therefore, considering the importance of the subject, the present study has investigated the effects of global financial crises on the trade patterns of Iran and its partners during the years 1995-2018.The variables have been estimated in the framework of the gravity model using the pseudo poisson maximum likelihood method.The findings show that the Asian financial crisis (1997) has an effective role in reducing the volume of trade but this result is the opposite in relation to the American financial crisis (2007); Because instead of a threat, it has become an opportunity for the movement of business flows. In this situation, it seems that the difference in the intensity and type of impact of financial crises on trade patterns can be affected by the nature of the crisis or the region where the crisis started.1.IntroductionCountries consistently grapple with economic and financial turmoil, which at specific junctures, can escalate into full-fledged financial crises (Moshiri & Nadali, 2013). These crises manifest as conditions where a significant number of financial institutions suddenly experience a substantial decline in the nominal value of their financial assets (Bonis et al., 1998). Given the historical recurrence of financial crises worldwide, it becomes imperative for economic policymakers and decision making centers to address and mitigate their adverse effects. This necessity stems from the detrimental impact that financial crises have on the real sector of economy (Kord-Zangeneh et al., 2019). Compounding the issue is the transnational nature of these crises, as they may transfer from one country to another. The transmission of financial crises occurs through various channels, including trade flows, foreign direct investment, commercial loans and financial aid (Massa & Velde, 2008). Among these channels, trade relations emerge as crucial communication pathways on a global scale, playing a pivotal role in influencing the performance of diverse economic sectors affected by financial crises.Hence, understanding international trade patterns holds greater significance than any other phenomenon in the economy, particularly in times of crisis. Furthermore, drawing insights from the experiences of other nations aids in understanding how trade flows unfold in countries that have recently weathered financial crises (Santana-Gallego & Perez-Rodriguez, 2018). Financial crises impact on the trade in two ways. First, they exert a negative influence on trade by disrupting the trade balance. Then crises transfer from one affected country to another through interconnected trade links. Consequently, the extent to which different countries engage with the global economy dictates the degree to which they are affected by the repercussions of a financial crisis.As countries are interlinked through trade flows, in the event of a shock impacting one economy, it has the potential to extend to the entire network, indirectly influencing trade relations between countries. This connection is particularly crucial because a financial crisis can transfer to other economic sectors through fluctuations in exchange rate variables, exports, imports and changes in international commodity prices (Brave & Butters, 2011).2.Materials and MethodsThe gravity model, proposed by Tinbergen (1966) to explain bilateral trade flows, is distinctive for its emphasis on reflecting international relations. In the field of international trade studies, traditional challenges arise in estimating the gravity model. Specifically, when employing the ordinary least squares method for estimating the gravity model, there is a tendency to exclude zero statistical observations. This limitation stems from the conventional method’s inability to compute a logarithm for the trade variable when trade between countries is not realized in certain years. Consequently, the omission of statistical observations in such instances renders it impossible to generate a zero logarithm. Moreover, when the model is estimated using the non-linear least squares method, there is a potential issue with the heterogeneity of variance, which can compromise the accuracy of interpretations based on the coefficients. Recognizing this challenge, Santos-Silva and Tenreyro (2006) introduced the Poisson pseudo maximum likelihood method to address the estimation of such models. A noteworthy aspect of this method is the non-elimination of zero statistical observations, ensuring unbiased and reliable estimation of variable coefficients. This is achieved by assigning equal weight to all statistical observations. Therefore, the method not only increases the number of statistical observations but also enhances the efficiency of the estimator.The main estimation approach revolves around the Poisson pseudo maximum likelihood method, as explained by theoretical foundations and existing literature that detail the connection between financial crises and international trade. This approach draws inspiration from the works of Santos-Silva and Tenreyro (2006) as well as of Santana-Gallego and Perez-Rodriguez (2018). In this respect, the research model was delineated following the model proposed by Glick and Rose (2016), as shown in Equation (1). (1) The present study aimed to investigate trade patterns by examining the volume of bilateral trade (total export and import) between Iran and its twenty trading partners. The analysis used annual data spanning from 1995 to 2018. The study developed the proposed model, leveraging the flexibility inherent in the gravity model as well as incorporating variables such as the logarithm of the Linder economic similarity index, the logarithm of Iran’s and its trading partners’ populations, the logarithm of the nominal exchange rate, the logarithm of geographical distance and financial crises. This comprehensive formulation is defined as the generalized gravity model expressed in Equation (2). (2) 3.Results and DiscussionDiagnostic tests are imperative before model estimation. Initially, the Chow test was employed to determine the suitable regression method. Subsequently, the Hausman test was used to decide between the methods of fixed effects or random effects.Table 1. Diagnostic testsResultProbabilityStatisticsTestNull Hypothesis Rejected0.00023.04ChowNull Hypothesis Rejected0.000437.51HausmanSource: Research findings The results outlined in Table 1 demonstrate the rejection of the null hypothesis in both the Chow and Hausman tests. To control the multilateral resistance to trade, the study estimated the coefficients of the variables by considering the country’s annual fixed effects. The process was conducted within the framework of the gravity model, employing the Poisson pseudo maximum likelihood method (see below).Table 2. Model estimation resultsProbabilityStandard deviationCoefficientsVariables***0.0000.000-0.179CRIijt 1997***0.0000.0000.135CRIijt 2007***0.0000.184-32.358LnLINijt***0.0005.9153.005LnPOPit***0.0000.1000.111LnPOPjt***0.0000.0000.017LnERijt***0.0000.000-0.400LnDISijt***0.0000.113-52.430CNumber of obs = 240R-Squared = 0.81Pseudo Log Likelihood = -171.405*** Indicates the significance of the coefficients at the level of 1 percent.Source: Research findingsThe results provided in Table 2 reveal that global financial crises exerted a significant impact on the trade volume, yet the nature of their influence on trade patterns varies. Specifically, the findings indicated that the Asian financial crisis of 1997 played a substantial role in reducing the trade volume, while the outcome was opposite in the case of the American financial crisis of 2007.The negative coefficient in the logarithm of the Linder economic similarity index indicates that the volume of trade increases as the per capita income difference decreases. Consequently, the countries with similar tastes or demand structures become the optimal markets for a country’s export goods.Conversely, the positive coefficient in the logarithm of the population of Iran and its trading partners signifies that an increase in population correlated with a rise in the trade volume. This association can be attributed to the utilization of a larger labor force, inherent in higher population figures, which positively affects the production of goods. The outcome is manifested in an increase in the trade volume.The positive coefficient in the logarithm of the nominal exchange rate indicates an increase in trade volume corresponding to an increase in this variable. This pattern emerges because foreign goods become more expensive compared to domestic ones. Consequently, both domestic and foreign consumers are inclined to substitute Iranian goods with foreign alternatives. Conversely, the negative coefficient in the logarithm of geographical distance reveals that this variable exerted a negative impact on the trade volume. In other words, the greater the distance between countries, the higher the transportation costs. As a result, distant markets become less attractive for establishing trade relations.4.ConclusionThe present study examined the effects of global financial crises on the trade patterns of Iran in relation its key trading partners. In this respect, the research used annual data from the studied countries during 1995–2018, then the coefficients of the variables were estimated within the framework of the gravity model as well as the Poisson pseudo maximum likelihood method.According to the findings, the examined countries experience the repercussions of financial crises, yet the magnitude and nature of their impact differ based on the specific characteristics of each crisis. In this context, the Asian financial crisis of 1997 played a significant role in reducing the trade volume in the countries under consideration, while the outcome was opposite in the case of the American financial crisis of 2007. Moreover, the positive coefficients of the variables specifically the logarithm of the Linder economic similarity index, the logarithm of the nominal exchange rate and the logarithm of the population of Iran and its trading partners underscore their favorable impact on the trade volume aligned with the increased trade flows in the countries. Given the negative coefficient in the logarithm of geographical distance, it is anticipated that trade with countries farther away from Iran will be comparatively lower. In fact, the majority of Iran’s trade relations are established with neighboring countries. In light of these findings, it is recommended to implement trade policies that support export-oriented domestic production in the country. This approach, in addition to generating foreign currency income, can serve as a mitigating factor against the adverse effects of financial crises.
Information and communication technology economy
Esfandiar Jahangard; Teymour Mohammadi; Ali Asghar Salem; Forough Esmaeily Sadrabadi
Abstract
The question that is considered by researchers in the field of knowledge-based economy is that among the factors affecting intangible investment, does information and communication technology have a heavier weight than the rest of the factors? In this study, using the Corrado,Hulten and Sichel (CHS) ...
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The question that is considered by researchers in the field of knowledge-based economy is that among the factors affecting intangible investment, does information and communication technology have a heavier weight than the rest of the factors? In this study, using the Corrado,Hulten and Sichel (CHS) approach, the measurement of intangible investment is calculated. In their research, intangible investment has been divided into three major parts: computer information, innovative assets, and economic competencies. Then these three components are divided into nine parts. In this article, we select the component of information and communication technology, which is the first component of intangible transitory capital, and its effect on Total Factor Productivity(TFP) has been investigated. The field of study is manufacturing industries with a four-digit economic activity classification code for employees of ten and above during the years 1996 to 2018. Using panel data and GMM, the productivity function was estimated for manufacturing industries. The results of this research show that ICT has a significant role on the productivity of all production factors, and its coefficient is higher than other intangible investment components.
Financial Economics
Hossein Talakesh Naeini; Reza Taleblou; Teymor Mohammadi; Parisa Mohajeri
Abstract
Extensive applications of asset pricing in the fields of finance and economics lead to an increasing importance of this issue, which has attracted more attentions of researchers in theoretical and empirical aspects. Due to this issue, the main purpose of this paper is to compare two asset pricing methods ...
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Extensive applications of asset pricing in the fields of finance and economics lead to an increasing importance of this issue, which has attracted more attentions of researchers in theoretical and empirical aspects. Due to this issue, the main purpose of this paper is to compare two asset pricing methods i.e. “Beta” and “stochastic discount factor” in Iran Stock Exchange market. Using the monthly data of Tehran Stock Exchange index return and return of shares of the companies listed in the stock exchange market of Iran during 1379(1) to 1398(6), we have formed 5*5 baskets-called 25 portfolios of Fama and French- to evaluate the efficiency and stability of one factor model (capital asset pricing model) and multi-factors model (Fama and French’s 3 factors model) using Generalized Method of Moments (GMM) estimation method. The results show that the aforementioned methods are not completely superior to each other. In fact, for CAPM model, stochastic discount factor method is more efficient and less stable than Beta method and vice versa for Fama and French’s 3 factors model.
Econometrics
Morteza Khorsandi; Teymor Mohammadi; Hamidreza Arbab; Emadodin Sakhaei
Abstract
Macroeconomic policy analysis and risk management require taking account of the increasing interdependencies across markets and economies. National economic issues need to be considered from global as well as domestic perspectives. This invariably means that many different channels of transmission must ...
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Macroeconomic policy analysis and risk management require taking account of the increasing interdependencies across markets and economies. National economic issues need to be considered from global as well as domestic perspectives. This invariably means that many different channels of transmission must be taken into account. This paper investigates the effect of global economic shocks on Iran’s economy. The Global Vector Autoregressive (GVAR) model for the first quarter of 1990 to the fourth quarter of 2019 is used for 34 countries, which cover about 90% of world gross domestic products. According to previous studies and the results of this study, it is found that only the shocks of the United States, China and the global shock affect the macroeconomic variables of other countries and oil prices, and as a result, the effect of these three shocks on the Iranian economy is investigated. Ceteris paribus, the results show that China's shock affects the variables of GDP and Iran's inflation: with a 1 percent increase in China's GDP, Iran's GDP increases by 0.08 percent and inflation by 1.2 percent and has no effect on interest rates. The US shock has an indirect effect on oil prices. Due to the isolation of the economy, foreign variables do not have significant effects on the Iranian macroeconomic variables. In general, Iran's economy, due to the size of the economy and the volume of trade shocks of other trading partners through the foreign trade channel do not affect the Iranian economy.
Econometrics
Abbas Shakeri; Teymor Mohammadi; Zinat Zakeri
Abstract
The expansion of the globalization process has increased the relationships among financial markets in different countries, which itself has motivated investors to move among them to make more profit. Given the situation in Iran after sanctions, the possibility of investing in well-known financial markets ...
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The expansion of the globalization process has increased the relationships among financial markets in different countries, which itself has motivated investors to move among them to make more profit. Given the situation in Iran after sanctions, the possibility of investing in well-known financial markets is facing with the risk of sanctions. The present study aims to evaluate the existence of volatility spillover among the financial markets of Iran and Islamic oil exporters countries. To this aim, a multivariate factor stochastic volatility (SV) model and stock price index data were used with daily frequency for the period 12/05/2008-02/19/2020. Based on the results, the main hypothesis that the volatility spillover among the financial markets of OPEC oil-exporting Islamic countries follows a common and uniform random trend is accepted for the United Arab Emirates, Saudi Arabia, and Qatar, but not for Iran and Nigeria. Therefore, diversifying the portfolio for Iranian investors in the financial markets of OPEC Islamic oil exporters can reduce the investment risk in the long run which make such economies an appropriate investment destination for Iranians due to the conditions of sanctions.
Information and communication technology economy
Reza Taleblou; Teymor Mohammadi; Hossein Aghaei
Abstract
This article examines the theory of network-based economics (two-sided markets) and considers payment cards in Iran as a case study. Based on the monthly data of the Central Bank of Iran and the payment cards of electronic networks in Iran (SHAPARAK) from Dec. 2014 to March 2019, demand elasticity and ...
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This article examines the theory of network-based economics (two-sided markets) and considers payment cards in Iran as a case study. Based on the monthly data of the Central Bank of Iran and the payment cards of electronic networks in Iran (SHAPARAK) from Dec. 2014 to March 2019, demand elasticity and monopoly power have been estimated. The results show that the elasticity of the cardholder and the card acquirer with respect to the interchange fee rate is 0.55 and nearly 1 (1.04), respectively. These results show that the cardholders have smaller elasticity to interchange fee compared to acquirer of payment cards. The estimated market power indicates that the payment card network in Iran is highly monopolistic. The payment card platform in Iran (SHAPARAK) does not impose its market power on the buyer side (card holders) and subsidizes them in order to create balance in transactions, but this platform impose exclusive power on merchant side (card acquirer) of payment cards. With this policy, card holders are attracted to the market which increase trading on the platform and platform profits. In general, on the buyer side of Iran payment card we have P = MC but on the merchant side P> MC. Therefore, the regulatory authorities in Iran must regulate SHAPARAK market power.
Ali Arabmazar Yazdi; Teimour Mohammadi; Atefeh Taklif; Reza Jalalpanahi
Abstract
In the Balance of Payments Constrained Growth (BPCG) model, demand variables such as export and import determine the limit of economic growth in the long run. In this study, we compare the results of both basic and extensive forms of the Thirlwall model for developing oil producing countries considering ...
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In the Balance of Payments Constrained Growth (BPCG) model, demand variables such as export and import determine the limit of economic growth in the long run. In this study, we compare the results of both basic and extensive forms of the Thirlwall model for developing oil producing countries considering the key role of oil exports and foreign-exchange reserves. To do so, two groups of oil developing countries are categorized based on the average daily oil production. The first category includes Iran, Saudi Arabia, Venezuela, and Mexico, and the second one is Egypt, Algeria, Nigeria, and Indonesia. Additionally, the price and income elasticities of demand for imports and exports as well as the co-integration are investigated by using an ARDL (Autoregressive Distributed Lag) model and Pesaran and Shin’s bound test. The price and income elasticities are also calculated with Kalman filter method. Then, we calculate the constrained growth in various forms for ten-year overlapping periods from 1960 to 2016 and finally test the validity of the Thirlwall law. The results indicate that Thirlwall law is not confirmed for several developing oil producing countries. The lower rate of real growth compared to constrained growth of payments in some economies including Iran can be attributed to factors such as the lower rate of capital inflow growth than the growth rate of export volumes as well as the positive effect of foreign income on the constrained growth of payments. The results show that the balance of payments is not a limiting factor for Iran's economic growth which confirms the fact that improving economic growth, in the long run, depends on the improving of the supply side.
Vahid Dehbashi; Teymour Mohammadi; Abbas Shakeri; Javid Bahrami
Abstract
The aim of this paper is to investigate the responses of stock, gold and foreign exchange markets in Iran, with an emphasis on the spillover volatility effects. For this purpose, the rate of return of variables is calculated by using the daily data of Tehran Stock Exchange price index, exchange rate ...
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The aim of this paper is to investigate the responses of stock, gold and foreign exchange markets in Iran, with an emphasis on the spillover volatility effects. For this purpose, the rate of return of variables is calculated by using the daily data of Tehran Stock Exchange price index, exchange rate and gold price during the period of 25 March 2009 to 18 July 2018. The estimated model investigates volatility spillovers in the markets using the VAR-BEKK-GARCH approach. The impulse-response functions are estimated by including the possibility of the asymmetry of the coefficients of the cross terms of the errors in MGARCH-type equations. The results show two-way volatility spillover between foreign exchange and stock markets, one-way volatility spillover from the foreign exchange to gold markets and one-way volatility spillover from the gold to stock markets. Moreover, the findings obtained from the impulse-response functions confirm the spread of uncertainty among the financial markets in Iran.
Teimour Mohamadi; fatemeh azizkhani; hasan taee; Javid Bahrami
Abstract
The results of many studies show that rigid regulations on product and labor markets are considered as a key factor in weakening the employment conditions and have led to high unemployment rates. Given the complicated regulations in the countries of the Middle East and North Africa (MENA), studying the ...
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The results of many studies show that rigid regulations on product and labor markets are considered as a key factor in weakening the employment conditions and have led to high unemployment rates. Given the complicated regulations in the countries of the Middle East and North Africa (MENA), studying the great dynamics of deregulation can give useful guidelines for lawmakers and policy makers. The aim of this paper is to study the effect of deregulations of commodity and labor markets on the growth and the unemployment rate in 20 MENA countries using GMM method and Panel VAR approach during the period 2005 – 2017. The results of this study show that deregulation in product and labor markets in the short run will reduce economic growth, increase unemployment and lead to recession. But in the long run, it will increase economic growth and reduce unemployment. The labor market reforms, as opposed to product market reforms, do not lead to major dynamics in economic growth. For policy-making in MENA countries, deregulation in the product market has priority over the labor market, since it has a stronger impact on the wavelength and durability of the effects.
freidoon salimi; Teimour Mohammadi; JAMSHID PZHOYAN; farhad ghaffari
Abstract
The aim of this paper is to study the technical, scale and technological efficiencies and also the changes in Partial and total factor productivities of provincial centers of Islamic Azad University. The methods used are DEA, Malmquist Index and a new approached known as truncated bootstrapped regression. ...
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The aim of this paper is to study the technical, scale and technological efficiencies and also the changes in Partial and total factor productivities of provincial centers of Islamic Azad University. The methods used are DEA, Malmquist Index and a new approached known as truncated bootstrapped regression. The results indicate that out of 30 units of centers in the study, only 3 units are Fully efficient: Kermanshah, central Tehran and Yazd. For the periods under study (2010 and 2016), the productivity growths for all units have been positive and 18 units had TFP changes greater than one. The study revealed that environmental factors have effects on efficiency and productivity. Specifically, one percent increase in the ratio of the number ofthe professors and associate professors to total members will increase the efficiency by a factor of 0.89 percent. An increase in the age of unit and being in the metropolitan area increase the efficiency by the amount of 0.04 and 0.01 percent respectively.
zahra sadat raeisi gavgani; Teimour Mohammadi; farhad qhaffari; Abas Memar Nejhad
Abstract
The purpose of this paper is to investigate the existence of nonlinear effects of the fiscal policy. Specifically, the asymmetric effects of equal fiscal shocks (of government spending) on macroeconomic production variables are studied. In this regard, a Dynamic Stochastic General Equilibrium (DSGE) ...
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The purpose of this paper is to investigate the existence of nonlinear effects of the fiscal policy. Specifically, the asymmetric effects of equal fiscal shocks (of government spending) on macroeconomic production variables are studied. In this regard, a Dynamic Stochastic General Equilibrium (DSGE) model consistent with the conditions of the Iranian economy during the period 1369 – 1393 is used. We present theoretical foundations of the asymmetric effects of fiscal shocks on macroeconomic variables, then we refer to two strands of studies; the first one emphasizes nonlinearity in the effect of fiscal policy, and argues that nonlinear effects are associated with large and persistent fiscal impetus for industrial and developing countries. The second strand of studies emphasizes expectations about fiscal adjustment for debt sustainability during large fiscal adjustments rather than in normal times. The results show that the positive and negative impacts of government expenditures have asymmetric effects on macroeconomic variables. The effect of negative shock of government spending on consumption, investment and production of the private sector as well as total production is stronger, more stable, and larger. On the other hand the effect of positive government spending shock on these variables is smaller having more temporary impact.
Ali Raoofi; Teimour Mohammadi
Abstract
In this paper, a framework for time series prediction is presented which makes it possible to predict the future values of a time series more accurately using soft computing approach. In this method, input data of adaptive neural fuzzy inference systems are reduced using wavelet decomposition of random ...
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In this paper, a framework for time series prediction is presented which makes it possible to predict the future values of a time series more accurately using soft computing approach. In this method, input data of adaptive neural fuzzy inference systems are reduced using wavelet decomposition of random noises; therefore, it reduces errors and improves the desired chaotic time series prediction. The above method was evaluated using Tehran Stock Exchange return series for the period of 23/10/2009 to 23/3/2013, and the results indicate the superiority of the proposed method compared to other ones.
Teimour Mohammadi; Abdolsadeh Neisi; Mahnoush Abdollahmilani; Sahar Havaj
Abstract
In this paper, the stochastic behavior of Tehran stock exchange return index (TEDPIX) is examined by using unobserved component Markov switching model (UC-MS) during the period 3/27/2010 - 8/3/2015. In this model, stock returns are decomposed into two components; permanent and transitory components. ...
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In this paper, the stochastic behavior of Tehran stock exchange return index (TEDPIX) is examined by using unobserved component Markov switching model (UC-MS) during the period 3/27/2010 - 8/3/2015. In this model, stock returns are decomposed into two components; permanent and transitory components. The transitory component has three-state Markov switching heteroskedasticity (low, medium, and high). Results show that UC-MS model is appropriate for this data. Low value of RCM criteria implies that model can successfully distinguish between regimes from behavior of data. The sum of the autoregressive coefficients in temporary component indicates that 40 percent of current value of temporary component is explained by its 2-period lagged values. The duration of high-variance regimes for transitory component are short-lived and revert to normal levels quickly. The presidential election has significant effect on being in the third regime.
Teimour Mohammadi; Ali Asghar Salem; Fatemeh Mir Mohammad Ali Tajrishi
Abstract
Equivalence scale is an important concept in household welfare debates wich plays an important role in the measurement of poverty and inequality. Equivalence scale is an index that converts household's expenditures into comparable values. In this research, equivalence scale in terms of the relative cost ...
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Equivalence scale is an important concept in household welfare debates wich plays an important role in the measurement of poverty and inequality. Equivalence scale is an index that converts household's expenditures into comparable values. In this research, equivalence scale in terms of the relative cost of a child was estimated using Price scaling with a Quadratic Almost Ideal Demand System. The estimation method is nonlinear seemingly unrelated regressions and the estimation period is 2008-2012. Results indicate that one child costs about 15 percent of an adult in rural households and the quadratic expenditure effects is highly significant. It is concluded that the general equivalence scale, varies with price. Household's equivalence scales with different demographic characteristics is used to calculate equivalent income in this period in order to compare welfare, poverty and income inequality across rural households.
Teimour Mohammadi; Atefeh Taklif; Sahel Zamani
Abstract
In this article, we introduce a model for forecasting the daily gas prices by the use of wavelet transform and neural networks. In this hybrid model, the discrete Daubechies wavelet transform is applied to decompose the gas prices series into approximation series and details series (DS). The new series ...
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In this article, we introduce a model for forecasting the daily gas prices by the use of wavelet transform and neural networks. In this hybrid model, the discrete Daubechies wavelet transform is applied to decompose the gas prices series into approximation series and details series (DS). The new series are used as inputs to the ANN model to forecast Henry Hub natural gas prices. The relative performance of the hybrid model and neural network model shows that WANN model provides more accurate naturel gas price forecast compared to the individual ANN model. Diebold-Mariano test confirms this result.
mohammad omidinezhad; Teimour Mohammadi; Mahmood Khataei
Abstract
Based on Basel II Accord, loans paid to individuals and SMEs are included in retail portfolio and banks are permitted to choose standardized approach or internal rating based approach for calculating their credit risk capital requirements. In the case of IRB Implementation, banks should group their retail ...
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Based on Basel II Accord, loans paid to individuals and SMEs are included in retail portfolio and banks are permitted to choose standardized approach or internal rating based approach for calculating their credit risk capital requirements. In the case of IRB Implementation, banks should group their retail loans into homogenous risk pools. Particularly, IRB capital requirement function is related to probability of default (PD) and Loss given default (LGD) for each borrower. Mathematically, capital requirement function is concave in PD for a given LGD and for a widespread interval. As a result of capital requirement function concavity, banks could lower their overall capital requirement through classification of their loans into more homogenous risk pools. In this study, loans paid to individual retail customers of 1343 for one of the private banks during 1391-1392 have been classified into homogenous risk pools by the Classification and Regression Trees (CART) algorithm. As we go from level 0 to level 5 in customers' segmentation scheme, capital required for bank experiences a decline of 0.44%.
