Political economy
Hossein Tavakolian; reza talebloo; Shaghayegh Abasali
Abstract
Despite, the measures for improvement of the State budget system in the current economic situation in Iran, no improvement has been taken. As, the relationship between beneficiaries of the budget included the government, parliament, regulatory bodies, and people as the final beneficiary of budget, has ...
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Despite, the measures for improvement of the State budget system in the current economic situation in Iran, no improvement has been taken. As, the relationship between beneficiaries of the budget included the government, parliament, regulatory bodies, and people as the final beneficiary of budget, has not regulated properly, therefore, transparency and accountability of the various officials of the government has been decreased. In this paper, we study budgetary and off-budgetary operation of the government and its impact on inflation with emphasis on fiscal dominance via banking system, using Generalized Methods of the Moments (GMM) trough 1372-1397. The results indicate that increasing the fiscal dominance via the debt channel of banking system has positive effect on inflation thus, fiscal dominance via banking system has been proved. Also, the results confirm the negative relationship between political stability and control of corruption on inflation. This variable has been in a low level during the sample period which requires the attention of government in all areas and political factions of country.
reza talebloo; Abas Shakeri; milad rahmaniani
Abstract
Easley and O'Hara (1992) introduce Probability of Informed Trading (PIN) concept to measure the degree of asymmetric information in market. Since then there has been a lot of debate on the accuracy of the calculations for PIN. Lin and Ke (2011) by using Factorization method and Yan and Zhang (2012) using ...
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Easley and O'Hara (1992) introduce Probability of Informed Trading (PIN) concept to measure the degree of asymmetric information in market. Since then there has been a lot of debate on the accuracy of the calculations for PIN. Lin and Ke (2011) by using Factorization method and Yan and Zhang (2012) using Grid-Search based methods introduced other ways to improve the accuracy of the measurement. In this paper, we compare four different methods of PIN calculation for 206 selected companies for listed companies in Tehran Stock Exchange (TSE). We used maximum likelihood method to estimate parameters. The results show that the average of PIN for LK methodology is 0.242 and for EHO is 0.281 in our sample. Moreover, clustering Approach is faster which make it more suitable for practical applications in the real market. Comparison of standard deviation of different methods shows that Grid Search approach is more stable with lower variations in the results.
Reza Talebloo; Teimour Mohammadi; Hamid Rezapour
Volume 20, Issue 65 , February 2016, , Pages 93-128
Abstract
The association between money and prices has long been debated in various economic schools. Although there are different views, most economists agree that in the long run, inflation is a monetary phenomenon and its main cause is liquidity growth. Several models have been designed in order to clarify ...
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The association between money and prices has long been debated in various economic schools. Although there are different views, most economists agree that in the long run, inflation is a monetary phenomenon and its main cause is liquidity growth. Several models have been designed in order to clarify the monetary aspect of inflation, how to forecast it and the awareness of how it moves in the economy. One of the models that have been considered recently is the P-Star model which draws on the quantity theory of money. The framework of P-Star model is based on the fact that inflation in long run is a monetary phenomenon and the price level moves proportional to the money supply in the economy. In this research by using seasonal data of Iran, two different alternatives of P-Star model have been tested by considering liquidity gap, velocity gap and output gap. In order to estimate the liquidity gap, ARDL Approach has been used to estimate the demand for liquidity. For velocity of money gap, Hodrick-Prescott filter was Applied and by using state-space models and the Kalman filter, output gap was estimated. The results indicate that the P-Star model with liquidity gap and velocity and output gap have satisfactory explanatory power of inflation. According to the outcomes of static and dynamic forecasts, the P-Star model with liquidity gap has higher predictive power of inflation.
Reza Talebloo; Moloud Rahmaniani
Abstract
In a risky situation probabilities of states are available.Until recently, normal distribution has been used widely in financial applications for a risky situation. Recent studies have shown that normal distribution is not appropriate for financial data and that simple variance of data as an index of ...
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In a risky situation probabilities of states are available.Until recently, normal distribution has been used widely in financial applications for a risky situation. Recent studies have shown that normal distribution is not appropriate for financial data and that simple variance of data as an index of riskiness is a misleading indicator of riskiness. Aumann-Serrano (2008) introduce a new economic index of riskiness to overcome these problems. In this research we use Aumann-Serrano Index to build an optimal portfolio for 23 major stocks in Tehran Stock Exchange. We compare our results with equally weighted portfolio and sharpe-ratio based portfolio and find that economic index of riskiness outperforms others with a 50.6 percent return.
