Monetary economy
Mohammad Mahdi Asgari Dehabadi; Ali Nassiri Aghdam; Hossein Doroodian; Parisa Mohajeri
Abstract
Iran's economy has faced many problems in recent years. the government's indebtedness to contractors stands as one of Iran's most pressing issues which has had bad effects on the monetary and banking system of Iran. This predicament has precipitated several adverse consequences, including the cost of ...
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Iran's economy has faced many problems in recent years. the government's indebtedness to contractors stands as one of Iran's most pressing issues which has had bad effects on the monetary and banking system of Iran. This predicament has precipitated several adverse consequences, including the cost of funds for banks, elevated interest rates on loans, an unrestrained surge in the money supply, and a diminishing capacity for banks to extend loans. To tackle this challenge, some economists with emphasis on endogenous nature of money, propose a remedy grounded in credit easing. this approach entails settling the government's debt to contractors by effecting adjustments on the asset side of the Central Bank's balance sheet. However, the practical execution of this policy hinges on the utilization of Central Bank resources, raising concerns about a sudden surge in money supply and potential adverse impacts on other economic variables, notably inflation. This has cast doubt on the feasibility of implementing such a strategy. In this research, we delved into the fundamental principles and prerequisites of adopting the credit easing policy in Iran. To evaluate the potential outcomes of implementing this policy, we employ the stock flow consistent model. Our findings reveal that settling the government's debt to banks through the utilization of Central Bank resources leads to an expansion in the monetary base and money supply, an upswing in real GDP, and a decrease in both inflation and interest rates when juxtaposed with the baseline scenario.
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.
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.
Ali Asghar Banouei; parisa mohajeri; narges sadeghi; afsaneh sherkat
Abstract
In this article, we show that the application of LQ methods for estimation of RIOT in Iran requires two types of residuals. To tackle with this problem, a new mixed FLQ-RAS method is proposed. This method maintains the official data of regional accounts that has been provided by the Statistical Centre ...
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In this article, we show that the application of LQ methods for estimation of RIOT in Iran requires two types of residuals. To tackle with this problem, a new mixed FLQ-RAS method is proposed. This method maintains the official data of regional accounts that has been provided by the Statistical Centre of Iran and therefore, the sectoral export is used as a residual. Domestic National, Gilan IOTs and regional accounts for the year 2002 have been used. FLQ and FLQ-RAS methods have used to estimate the RIOTs of Gilan. For the evaluation, we have used five conventional statistical methods for error measurment. The results are twofolds.The minimum adjustment is 0.9% for agriculture and the maximum adjustment is 55% for mining. Second the degree of accuracy between the two methods reveals that the proposed method outperforms than the FLQ method. The application of the proposed method has four advantages in Iran: one- flexibility for covering more sectors, two- extension to other regions, three- its complete consistency with the basic data of the country and four- its flexibility in considering exogenous or superior data at the regional level.
Parisa Mohajeri; Zahra Zabihi; Sahar Sadeghi; Ziba Eghtesadi
Abstract
Since the introduction of supply-use input-output model by the United Nations in its 1968 SNA, there has been a controversy on choosing the most appropriate technology assumption for estimating symmetric product by product input-output table. These arguments have focused on two technology assumptions; ...
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Since the introduction of supply-use input-output model by the United Nations in its 1968 SNA, there has been a controversy on choosing the most appropriate technology assumption for estimating symmetric product by product input-output table. These arguments have focused on two technology assumptions; the product technology assumption (PTA) and the activity technology assumption (ATA). The PTA states that each product has a unique input structure that is independent of producing industry. In contrast, the ATA is defined as each activity has its own specific way of production, irrespective of its product mix. Each assumption has its own advantages and disadvantages. Because of ATA’s inconsistency with some fundamental economic theories, “Product Technology” assumption is more widely applied for calculating symmetric product-by-product input-output table. In this paper, we show that only PTA fulfills the four desirable properties (material balance, financial balance, scale invariance and price invariance) which are introduced by Jansen and ten Raa (1990) but ATA fulfils only one of them. This result can be used by compliers and users in choosing the appropriate economic assumptions for deriving symmetric input-output tables.
