Research Paper
Financial Economics
Teimur Mohammadi; Mohammad Reza Feghhi Kashani; Mahdi Samei
Abstract
The negative correlation between an asset’s volatility and its return is known as the “leverage effect”. This relation is explained by the effect of the return of a firm’s equity on the degree of leverage in its capital structure. If this relation holds, the increased volatility ...
Read More
The negative correlation between an asset’s volatility and its return is known as the “leverage effect”. This relation is explained by the effect of the return of a firm’s equity on the degree of leverage in its capital structure. If this relation holds, the increased volatility resulting from a fall in stock price should be comparable with the decreased volatility resulting from a price rise with the same magnitude and also, this effect should be persistent. Most of the researches in the “leverage effect” examine the relation between volatility and stock return. To examine the effects of both returns and financial leverage on volatility data from the 22 biggest companies from March 2009 to March 2019 in Tehran Stock Exchange are collected. To find the leverage the value of debt in the capital structure of selected companies is calculated using Geske compound option pricing model. The data show the leverage effect only in negative returns and may have a negligible direct connection to the firm leverage.
Research Paper
Welfare, poverty and income distribution
Hamidreza Navvabpour
Abstract
Most countries of the world define poverty as a lack of money. Yet poor people themselves consider their experience of poverty much more broadly. A person who is poor can suffer from multiple disadvantages at the same time. Therefore, focusing on one factor alone, such as income, is not enough to capture ...
Read More
Most countries of the world define poverty as a lack of money. Yet poor people themselves consider their experience of poverty much more broadly. A person who is poor can suffer from multiple disadvantages at the same time. Therefore, focusing on one factor alone, such as income, is not enough to capture the true reality of poverty. In Iran several studies have been done to calculate multidimensional poverty index, but most of them have been used household income and expenditure survey data that have limitation to calculate related indicators. The purpose of the study is to calculate and measure multidimensional poverty and the contribution of each dimension to overall poverty at the provincial levels of Iran using the Alkier-Foster method to assist policymakers in poverty alleviation. In this study, the data of the Multiple Indicator Demographic and Health Survey (MIDHS) of 2015, which includes 33013 households and more data to offer, has been used. The results show that, in addition to Khuzestan and Qom provinces, Multidimensional Poverty Index (MPI) was particularly high in provinces on the eastern borders, while the provinces located on the northern, southern, and part of the western borders of the country, experienced less poverty. The contribution of each dimension to overall poverty also showed that the type of deprivation experienced by households in the provinces of Iran in 2015 was different.
Research Paper
Behavioral economics
Morteza Khorsandi; Mahnoush abdollahmilani; Teymur Mohamadi; pardis hejazi
Abstract
The effect of income on subjective-wellbeing (as one of the criteria for measuring mental well-being) has been considered in many studies but various dimensions of this effect have not yet been studied. The study aims to investigate the nonlinear effect of income on the subjective-wellbeing of 58 selected ...
Read More
The effect of income on subjective-wellbeing (as one of the criteria for measuring mental well-being) has been considered in many studies but various dimensions of this effect have not yet been studied. The study aims to investigate the nonlinear effect of income on the subjective-wellbeing of 58 selected countries during 2005 to 2020, which has been studied in two scenarios. For this purpose, a PSTR model developed from regime change models has been used. In the present study, the effects of income, unemployment, inflation, life expectancy, and income inequality on subjective-wellbeing have also been investigated. According to the obtained results, in a nonlinear relationship, the effect of GDP on subjective well-being at a certain threshold value of income inequality is decreasing. Therefore, if increasing national income and reducing income inequality as a factor affecting welfare is considered by politicians, it is also important to note that reducing inequality from a certain threshold onwards reduces the impact of income on welfare. This means that from a certain threshold on income inequality, the focus of governments on reducing income inequality should be reduced so that resources are spent on essentials.
Research Paper
Political economy
Farshad Moameni; hojjatollah mirzaei; ali jafari shahrestani
Abstract
Before 1990th, in political economy theories, the security of property rights was to be presumed. The importance of property rights as the underlying factor of economic growth and economic development was first noticed by new institutional economists and then expanded. This paper studied the Marxist ...
Read More
Before 1990th, in political economy theories, the security of property rights was to be presumed. The importance of property rights as the underlying factor of economic growth and economic development was first noticed by new institutional economists and then expanded. This paper studied the Marxist and methodological individualism political economy approaches that have been used by researchers to describe the main reasons for the underdevelopment of Iran with a focus on property rights.The weakness of them all is inadvertence to Iranian historical features and failure to present an independent theory regarding the inefficiency of property rights in the history of Iran. Therefore, using the new institutional approach, which is based on historical studies and society institutions and using them in the analysis of the role of property rights on underdevelopment and not just studying the series of historical developments and geographical features, could be a facilitator. In this way, this paper suggests focusing on these features of Iran:1) Specific climatic conditions of Iran with the lack of water, which is the main reason for tension;2) The effect of climate conditions on political and economical systems (the government theory) and forming nomadism and tribal life and tribal governments;3) The effect of forming those political and economical system on property rights underdevelopment (the property rights theory).
Research Paper
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, ...
Read More
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.
Research Paper
Banking
Meysam Amiri; samira farahani
Abstract
In recent decades, the functioning of financial markets and banks have undergone significant changes, and many institutions similar to the functioning of traditional banks have grown outside the regulatory structure of the central bank, which is referred to as shadow banking. Instead of focusing on the ...
Read More
In recent decades, the functioning of financial markets and banks have undergone significant changes, and many institutions similar to the functioning of traditional banks have grown outside the regulatory structure of the central bank, which is referred to as shadow banking. Instead of focusing on the traditional activities of traditional banks, shadow banking uses a more diverse set of resources and tools and it has been able to create changes in economic risks and also be effective in the changes and economic policies of countries. In this study, in order to estimate shadow banking and its relationship with traditional banking, between 2011 and 2021, the modeling of the money demand function in the framework of a system of simultaneous equations was used along with the MeinflexLarent function, which has flexibility. Also, according to the discussion of variance of heterogeneity, BEKK GARCH model was used to estimate the model to help solve the existing heteroscedasticity. The investigations and results of this research show that during the last decade, shadow banking has grown at an increasing rate, and in the last decade, conventional banking and shadow banking replaced each other based on Morishima's substitutability elasticity index. Also, the results show that the spillover effect of short-term deposit shocks and fixed income funds on Islamic bonds is positive, incremental and significant.On the other hand, the effect of the series of shocks of fixed income funds on cash and short-term deposits has been meaningless.
Research Paper
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 ...
Read More
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.
Research Paper
Financial Economics
Reza Taleblou; mohammad mehdi bagheri todeshki
Abstract
This paper investigates the impact of sentiment as a critical risk factor in the capital market, leading to behavioral deviations in the pricing of financial assets. We propose an estimation of the asset pricing model based on the Stochastic discount factor (SDF) framework, incorporating both traditional ...
Read More
This paper investigates the impact of sentiment as a critical risk factor in the capital market, leading to behavioral deviations in the pricing of financial assets. We propose an estimation of the asset pricing model based on the Stochastic discount factor (SDF) framework, incorporating both traditional and behavioral approaches. By extending the consumption-based asset pricing model (CCAPM) and introducing sentiment into the utility function through the Euler equations and the generalized method of moments (GMM), we analyze the Tehran Stock Exchange.To quantify sentiment, we utilize the market turnover sentiment index as a reliable indicator. Our study covers the period from 1390 to 1399 and encompasses 18 stock exchange groups, consisting of 63 listed companies on the Tehran Stock Exchange.The results indicate that the behavioral SDF model offers higher consistency and efficiency compared to the traditional model, aligning closely with the dynamics observed in the Tehran Stock Exchange. Moreover, the coefficient of sentiment proves to be statistically significant. In terms of risk, the behavioral model demonstrates higher coefficients than the traditional model. Interestingly, both models suggest that market participants exhibit a high time preference factor and demonstrate patience in their investment behavior.
Research Paper
Financial Economics
Mohammad Feghhi Kashani; Teymor Mohammadi; hadi pirdaye
Abstract
Corporates adjust their information voluntary disclosure according to the volatilities they experience in their cash flows. The purpose of this study is to investigate the effects of news concerning risk, ambiguity level, and investors' ambiguity aversion on the policy adopted by firms as to the voluntary ...
Read More
Corporates adjust their information voluntary disclosure according to the volatilities they experience in their cash flows. The purpose of this study is to investigate the effects of news concerning risk, ambiguity level, and investors' ambiguity aversion on the policy adopted by firms as to the voluntary disclosure (conservative or non-conservative) of soft and hard information in the digital industry subset of Tehran Stock Exchange within the period of 2012-2022. Further, we have used the corporate voluntary disclosure lag to capture the disclosure dynamics along with the control variables including the cost of capital, financial leverage and stock liquidity by dynamic panel models to explain the voluntary disclosure behavior of soft and hard information of the corporates. The results indicate that managers of companies active in the digital industry, depending on the type of information available to them for voluntary disclosure conservatively or non-conservatively, respond differently to the news related to risk, ambiguity and ambiguity aversion of investors. That could be due to the nature of the disclosed information (credibility of information for investors). Likewise, the findings confirm the increasing effects of voluntary disclosure of previous periods on the disclosure of subsequent periods, which somehow confirms the existence of inertia in voluntary disclosure policies in the studied industry.
Research Paper
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 ...
Read More
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.
Research Paper
Economic Development
mohaddaseh soleimani; Aliasghar Banouei; Esfandiar Jahangard; teymor mohamadi
Abstract
Innovation and technological changes spans various geographical locations over the time.The inability of Input-Output models in measuring the effects of technology changes, caused by new innovations, is known as a weakness of these models. In this article, we show how this weakness can be addressed by ...
Read More
Innovation and technological changes spans various geographical locations over the time.The inability of Input-Output models in measuring the effects of technology changes, caused by new innovations, is known as a weakness of these models. In this article, we show how this weakness can be addressed by employing the fields of influence method. Technology changes are modeled as changes of one or more elements in the direct coefficients matrix and the impact of such changes in the Leontief matrix is measured. Here is the main question: Does the technology changes only impact a limited sector or the entire economical system? In other words, how would technology changes in one sector impact other sectors of economic system? The main goal in this paper is proposing a method which can measure how different sectors get impacted by changes at different levels such as one element, all elements, one row or one column and then evaluates the importance of different sectors. To this aim, Iran’s Input-Output tables over the period of 1365-1395 with the fixed price of Iran’s statistics center in 1390 is used. The impact of technology changes on each sector is measured using Leontief’s inverse matrix and the column field of influence approach (CFOI) approach. Our findings indicate that over this period of time, technological changes in the industry and then construction sectors have the most influence and the mining sector has the least influence on other sectors of Iran’s economy.
Research Paper
Economic Development
mahya allahgholi; Farshad Moameni
Abstract
Considering the economic complexity index as a development index due to its greater estimation power in predicting economic growth and income inequality compared to similar indices, along with shortcomings such as the inability to express the difference in the complexity levels of economies, it makes ...
Read More
Considering the economic complexity index as a development index due to its greater estimation power in predicting economic growth and income inequality compared to similar indices, along with shortcomings such as the inability to express the difference in the complexity levels of economies, it makes the theoretical model to explain this index inevitable. In the social orders approach, the type of social order is mentioned as the difference between developed and developing economies, and in this article an attempt has been made to identified determinants of this index. In this study by descriptive analytical method the state of property rights, the business environment and the type of people`s access to organizations are known as three variables affecting this index. analyzing Iran`s economic complexity index during 10-period (2010-2020) and three indexes, international property rights, ease of doing business and economic freedom, respectively as an estimation of those variables, shows that the international property rights index has a stronger positive relationship with the economic complexity index than the other two indices.
Research Paper
Behavioral economics
Habib Morovat; Ali Asghar Salem; shayan mohammadsharifi
Abstract
Several factors are effective in the growth and development of the stock market. One of these factors is the behavior and performance of individual investors in these markets. Individual investors are interested in investing in the stock market for various reasons, such as long-term capital growth, dividends, ...
Read More
Several factors are effective in the growth and development of the stock market. One of these factors is the behavior and performance of individual investors in these markets. Individual investors are interested in investing in the stock market for various reasons, such as long-term capital growth, dividends, and hedging against the decline in purchasing power caused by inflation. But their performance in this market, in addition to the general economic and stock market conditions, depends on the individual characteristics of the investor. Therefore, in this study, an attempt has been made to determine the significance of demographic characteristics such as age and gender, risk-taking and degree of patience, behavioral biases such as overconfidence and loss aversion, and investment characteristics such as experience and investing skill, and frequency of portfolio restructuring on the individual investor performance in the Tehran stock market. For this purpose, using systematic sampling, the required information was collected from 240 questionnaires from the population of individual investors in the Tehran stock market. Data analysis using the ordinal logit model showed that the variables of age, gender, and degree of risk taking do not have a significant effect on the performance of real investors. The degree of patience of people has a positive and significant effect on the performance of investors, and more patient people get more returns. Overconfidence and loss aversion have a negative and significant effect on investors' performance, and finally, investment experience and skill have a positive and significant effect on investors' performance.
Research Paper
Political economy
Alireza Raanaei; rouhollah shahnazi; Seyyed Aqil Hoseiny
Abstract
The history of modern Iran is full of movements and revolutions. The primary goal of these events has been to achieve a proper balance between the government and society. Although the efforts of Iranians in their modern history have not been fruitless, they have yet to reach the ideal balance between ...
Read More
The history of modern Iran is full of movements and revolutions. The primary goal of these events has been to achieve a proper balance between the government and society. Although the efforts of Iranians in their modern history have not been fruitless, they have yet to reach the ideal balance between the government and society. The present research, through a brief narration of modern history, examines the pathways of progress for the Iranian government and society. To this end, an institutional analysis framework is expanded, and by employing the idea of institutional congruity, a new analytical framework is constructed to analyze the interaction between society and government in Iran. Subsequently, using game theory within this framework, various scenarios of this interaction are examined. The research findings indicate that depreciation, economies of scale, and the instability of preferences are important factors in the dynamics related to the interaction between government and society. Nevertheless, the rate of time preference is the more determining factor, to an extent that determines three possible equilibriums: democracy, despotic Leviathan, and absent Leviathan.
Research Paper
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 ...
Read More
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.
Research Paper
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 ...
Read More
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.
