Ebrahim Hadian; Hojat Parsa
Volume 12, Issue 36 , October 2008, , Pages 1-16
Abstract
The distributed lag effect of a unit change in one of the explanatory variables on the dependent variable is one of the major shortcomings of the standard linear egression model. The long run or error correction equation, with specifies a casual relationship between the inflation and its determinants, ...
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The distributed lag effect of a unit change in one of the explanatory variables on the dependent variable is one of the major shortcomings of the standard linear egression model. The long run or error correction equation, with specifies a casual relationship between the inflation and its determinants, states that a unit change in one of the explanatory variables can result in a change in the rate of inflation only during the period specified by the model. But in practice, changes in, for example, the country's money supply may affect inflation rate over a long period
This paper aims to estimate the adjustment path of the rate of inflation following exogenous monetary shocks. To do so, we use an ARDL model and time series data for the period 1961-2005 in the Iranian economy. The results indicate that one percent, once-and-for-all, increase in money supply positively affects the rate of inflation during three years. One percent increase in money supply at time t results in 0.42 percent in current period, 0.19 percent at time t+1 and 0.27 percent at time t+2 increase in the rate of inflation.
Ebrahim Hadian; Morteza Khorsandi
Volume 11, Issue 35 , July 2008, , Pages 31-50
Abstract
The main purpose of this paper is to investigate the sources of real exchange rate fluctuations in Iran by decomposing real exchange rate fluctuations into those attributable to real and nominal shocks. Using a structural VAR model along with Impulse-Response Function and Variance Decomposition Method, ...
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The main purpose of this paper is to investigate the sources of real exchange rate fluctuations in Iran by decomposing real exchange rate fluctuations into those attributable to real and nominal shocks. Using a structural VAR model along with Impulse-Response Function and Variance Decomposition Method, we find that real demand shocks play a significant role in explaining real exchange fluctuations in the context of the Iranian economy. About 85 percent of these fluctuations come from real demand shocks. Real supply shocks account for about 12 percent of the real exchange rate fluctuations in Iran. The overall result shows that real shocks dominate nominal shocks in real exchange rate fluctuations in Iran at all horizons.
Ebrahim Hadian; Anita Azimi Hosseiny
Volume 6, Issue 20 , October 2004, , Pages 1-25
Abstract
The aim of this paper is to measure the technical, allocative and economic efficiency of the Iranian banking system using Data Envelopment Analysis (DEA) approach. In this survey, the performance of ten Iranian banks are studied during the period 1997-1999. From the view point of technical, ...
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The aim of this paper is to measure the technical, allocative and economic efficiency of the Iranian banking system using Data Envelopment Analysis (DEA) approach. In this survey, the performance of ten Iranian banks are studied during the period 1997-1999. From the view point of technical, allocative and economic efficiencies, three banks, Melli, Keshavarzi and Industry and Mine are efficient. From the view point of technical efficiency, Export Development bank is efficient. The average of technical, allocative and economic efficiency during the period of study is 84.2%, 86.4% and 74.3%, respectively. The overall results indicate that the technical, allocative and economic efficiency of specialized banks are higher than that of the commercial banks.
Ebrahim Hadian; Mohammadreza Hashempour
Volume 5, Issue 15 , July 2003, , Pages 93-120
Abstract
This paper has decomposed, statistically, the real GDP of Iran into three components, long run trend, business cycles and short-run shocks. This is devoted to the empirical measurement, identification and causes of the business cycles. It also estimates GDP growth on the basis of estimated trend, business ...
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This paper has decomposed, statistically, the real GDP of Iran into three components, long run trend, business cycles and short-run shocks. This is devoted to the empirical measurement, identification and causes of the business cycles. It also estimates GDP growth on the basis of estimated trend, business cycle and irregular component.The methodology consists of three steps: The first, to dissect the real GDP to get its components, the second, empirical investigation of the business cycles which involve identification and causes, and the third, to predict the components into future. First is assumed that annual series of real GDP is an aggregate of three components including trend, cyclical movements and irregular movements. The HP filter is used in two stages to separate these components; a) to extract the long run trend from the original series and b) to filter out cycles from the rest. Second, the main macro variables are tested in terms of co movement volatility. And finally, the trend and cycles into future over a five-year period are estimated using ARIMA.It is found that the trend growth of real GDP is negative, during the periods of 1356-61 and 1364-67 Iranian years. The results also show that the economy of Iran has undergone seven complete business cycles, and it is now facing the recessionary phase of an eight business cycle, which has begun in the early 1380. It is projected that the current recession will continue until 1383 (2004), and then recovery will take place.It is also found that the Iranian economy is cyclical in a BC sense.Statistically, the results show that the GDP cycles last, on average, 6 years.We also showed the existence of co movement between GDP and the most relevant macro variables. In other words, the main aggregates are also cyclical and their peaks and troughs occur at more or less the same quarters as the GDP.Finally, the results indicate that investment and exports have an active role in generating cycles. Most major finding is that the Iran BCs are caused by shifts in oil revenues. The evidence shows that this variable composes all the characteristics of the typical causes and leads the GDP movements.
