Financial Economics
Mohammad Feghhi Kashani; Teymor Mohammadi; hadi pirdaye
Abstract
Corporates adjust their information voluntary disclosure according to the volatilities they experience in their cash flows. The purpose of this study is to investigate the effects of news concerning risk, ambiguity level, and investors' ambiguity aversion on the policy adopted by firms as to the voluntary ...
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Corporates adjust their information voluntary disclosure according to the volatilities they experience in their cash flows. The purpose of this study is to investigate the effects of news concerning risk, ambiguity level, and investors' ambiguity aversion on the policy adopted by firms as to the voluntary disclosure (conservative or non-conservative) of soft and hard information in the digital industry subset of Tehran Stock Exchange within the period of 2012-2022. Further, we have used the corporate voluntary disclosure lag to capture the disclosure dynamics along with the control variables including the cost of capital, financial leverage and stock liquidity by dynamic panel models to explain the voluntary disclosure behavior of soft and hard information of the corporates. The results indicate that managers of companies active in the digital industry, depending on the type of information available to them for voluntary disclosure conservatively or non-conservatively, respond differently to the news related to risk, ambiguity and ambiguity aversion of investors. That could be due to the nature of the disclosed information (credibility of information for investors). Likewise, the findings confirm the increasing effects of voluntary disclosure of previous periods on the disclosure of subsequent periods, which somehow confirms the existence of inertia in voluntary disclosure policies in the studied industry.
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.
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.
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
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.
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.
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; 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.
Teimour Mohammadi; Mohammad Hossein Pourkazemi; Abbass Shakeri; Ali Safdari; Behnam Aminrostamkolaee
Abstract
The present paper provides option pricing by using Merton-Black-Scholes approach in order to calculate the market value of banks’ assets, assets volatility, and distance to default for a selected sample of Iranian private banks in the period of 2010-1013. Therefore, the approach is able to solve ...
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The present paper provides option pricing by using Merton-Black-Scholes approach in order to calculate the market value of banks’ assets, assets volatility, and distance to default for a selected sample of Iranian private banks in the period of 2010-1013. Therefore, the approach is able to solve some problems of banks valuation. At first for the period of 4 years, market value of assets, assets volatility and the distance to default were calculated and compared. Then, weighted average of market value, volatility, and Z-score for the banks in the period were also computed and compared. The results showed that Mellat bank had the highest, and Sina bank had the lowest value during the period. The results of assets risk and distance to default (Z score) have been different for each year. Also, weighted average of market value and assets risk (volatility) of these banks showed a rising trend during these 4 years. Considering the increased average capital adequacy ratio during these 4 years for 8 banks, the average Z (distance to default) has been decreased. This means that during the period of 4 years, by increasing the rate of capital adequacy, banks have been closer to default. Probably, the negative effects of economic and non-economic factors exceed positive impact of capital adequacy rate.
Teymur Mohamadi
Volume 17, Issue 50 , April 2012, , Pages 83-98
Abstract
This paper presents an assessment of the small-sample performance of the three well-known estimators of components variance in random effects model for panel data. The estimators considered are Swamy-Arora, Wansbeek-Kaptayn and Wallace-Hussain. To this end, by simulating a one-way error component model ...
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This paper presents an assessment of the small-sample performance of the three well-known estimators of components variance in random effects model for panel data. The estimators considered are Swamy-Arora, Wansbeek-Kaptayn and Wallace-Hussain. To this end, by simulating a one-way error component model in the form of random effects, small sample performance of three variance estimators is studied. The implications of these results for indentifying the model and its estimation are specified. In these simulations, conditions under which Swamy-Arora estimator is inferior to alternatives are expressed. It is shown that in small samples the estimator thus obtained can give highly wrong guidance. In one-way error component model this small sample size refers to the number of cross-sections.
