Saeed Rasekhi; Mahdi Shahrazi
Volume 18, Issue 57 , February 2014, , Pages 1-26
Abstract
Based on efficient market hypothesis, financial markets are impossible to forecast. The purpose of this paper is to examine the weak-form efficiency of the Iranian foreign exchange rate (defined by the Rial/Dollar) during time period 1999:25:01 to 2010:17:06 from long memory viewpoint. For this, we have ...
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Based on efficient market hypothesis, financial markets are impossible to forecast. The purpose of this paper is to examine the weak-form efficiency of the Iranian foreign exchange rate (defined by the Rial/Dollar) during time period 1999:25:01 to 2010:17:06 from long memory viewpoint. For this, we have employed three methods of scaling analysis including classical rescaled range (R/S) analysis, modified rescaled range (M-R/S) analysis and detrended fluctuation analysis (DFA). We have divided the time period into two sub-periods, 1999:25:01-2002:21:03 and 2002:21:03-2010:17:06. In the former time period, Iran had a fixed exchange rate regime and in the latter period, the country followed a managed floating exchange rate regime. The obtained results from these methods are not the same. To achieve more explicit conclusions, we’ve used two more widely applied econometric tests namely augmented Dickey-Fuller (ADF) test and Phillips-Perron (PP) test to determine whether or not the time series under consideration behave as random walk consistent with the weak-form efficiency. The findings indicate that the result of DFA is in line with the econometric approach. We conclude that the Iranian foreign currency market at the first sub-period is less efficient relative to the second sub-period. Another important result is that relying on only one method to make a conclusion about market efficiency may be very misleading. Therefore, one should first carefully select more reliable methods and then compare their results to achieve a reliable conclusion.
Saeed Karimi; Saeed Rasekhi; Mojtaba Ehsani
Volume 13, Issue 39 , July 2009, , Pages 147-166
Abstract
Governments have an important role in planning and preparing the food these security through protection policies such as subsidizing the basic food in the same time pay subsidies it will increase the government expenditure,and hence, it is necessary to set specific goals carefully. In this article, the ...
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Governments have an important role in planning and preparing the food these security through protection policies such as subsidizing the basic food in the same time pay subsidies it will increase the government expenditure,and hence, it is necessary to set specific goals carefully. In this article, the demand for main or basic foods, (i.e.bread, meat, milk, edible, oil and sugar) have been estimated by using AIDS Model and taking into account household budget in urban areas and consumer price index through two stage model and cointegration for the years 1934-2005. & estimation was done for both the short-run and the long-run and the homogenous constraint and symmetric have been examined by Wald test. As an instrument of analysis, price elasticity, income elasticity and cross price elasticity of demand have been calculated for the short-run and the long-run. The results show that reducing subsidies on these goods would put a pressure on consumer expenditure through the rise in the prices. However, changes in the structure of subsidies with a gradual reduction in the amount of subsidies for bread, edible oil and sugar and directing the payment toward meat and milk within a specific goal is recommended.
