Planning and Budget
samira ghanbari; Hamid Amadeh; Davood Danesh Jafari; teymoor mohammadi
Abstract
Today, financing through health insurance is known 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 most important goals of health insurance organizations, ...
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Today, financing through health insurance is known 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 most important goals of health insurance organizations, and organizations that provide access to suitable services without imposing a financial burden on their insured will be successful. For this purpose, the balance in the revenue sources and expenses of the organizations in question is very important. the purpose of this research is to examine the budget balance in five funds of Iran Health Insurance Organization during the period of 2008-2019 using monthly data and also to analyze the factors affecting the budget deficit of these funds including premiums, coinsurance, treatment and overhead costs and the number of services purchased by various funds of Iran Health Insurance Organization, from the perspective of their mediating role in reimbursement, behavior management and purchasing medical services, using by panel vector error correction model, in order to provide a solution to eliminate the budget deficit. The obtained results showed that in the long run, coinsurance paid by the insured and the premium paid to different funds of Iran Health Insurance Organization had a negative effect on the budget deficit of the mentioned funds. In contrast, the increase in treatment and overhead costs and the number of services purchased by Five funds of Iran Health Insurance Organization exacerbated the problem of budget deficit of these funds.
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.
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.
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.
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%.
Mahdi Taghavi; Abbas Shakeri; Teimour Mohammadi; Ali Akbar Sadeqi
Abstract
This paper investigates the effects of income per capita, financial development and openness on energy intensity for MENA selected countries for the period of 1980 - 2011 applying the panel smooth transition regression model. The linearity test results indicate strongly nonlinear relationship among variables ...
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This paper investigates the effects of income per capita, financial development and openness on energy intensity for MENA selected countries for the period of 1980 - 2011 applying the panel smooth transition regression model. The linearity test results indicate strongly nonlinear relationship among variables under consideration. The optimum nonlinear model includes one transition function and one threshold parameter that represents a two-regime model. The results from the PSTR model indicated that the slope parameter of the transition function is equal to 19.99 and the location of regime switching is 9254.8 dollars. Also, the estimated coefficients of the variables in both regimes indicated that per capita income leads to an increase in the energy intensity. Openness in the second regime leads to a decrease, and financial development leads to a rise in energy intensity.
