Teimour Mohammadi; Abdolsadeh Neisi; Mahnoush Abdollahmilani; Sahar Havaj
Abstract
In this paper, the stochastic behavior of Tehran stock exchange return index (TEDPIX) is examined by using unobserved component Markov switching model (UC-MS) during the period 3/27/2010 - 8/3/2015. In this model, stock returns are decomposed into two components; permanent and transitory components. ...
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In this paper, the stochastic behavior of Tehran stock exchange return index (TEDPIX) is examined by using unobserved component Markov switching model (UC-MS) during the period 3/27/2010 - 8/3/2015. In this model, stock returns are decomposed into two components; permanent and transitory components. The transitory component has three-state Markov switching heteroskedasticity (low, medium, and high). Results show that UC-MS model is appropriate for this data. Low value of RCM criteria implies that model can successfully distinguish between regimes from behavior of data. The sum of the autoregressive coefficients in temporary component indicates that 40 percent of current value of temporary component is explained by its 2-period lagged values. The duration of high-variance regimes for transitory component are short-lived and revert to normal levels quickly. The presidential election has significant effect on being in the third regime.
Hassan Heidari; Arash Refah-Kahriz
Abstract
Attitude towards the role of government and reasons for the existence of government have experienced several changes and revisions during the last century. Attitude changes alter the duties and responsibilities assigned to the government and thus change the size and composition of public expenditure. ...
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Attitude towards the role of government and reasons for the existence of government have experienced several changes and revisions during the last century. Attitude changes alter the duties and responsibilities assigned to the government and thus change the size and composition of public expenditure. In the context of these attitudes, there are factors that could explain the changes in the size and the growth of government and consequently the government intervention in the economy over time and among different countries. This study investigates the relationship between government size and macroeconomic variables including economic growth, growth of oil revenues, growth of tax revenues, inflation in Iran using seasonal data during the period of 1990:1 – 2014:4 by applying Markov Regime Switching model. The results show that in the selected model consisting of two regimes with different government sizes, economic growth has a significant negative impact on government size in both regimes of zero and one. But inflation has different effects on government size: it has a negative effect in the regime zero (smaller government) and a positive effect in the regime one (bigger government). Moreover, the growth of oil revenues has a positive effect in both regimes, but the growth of tax revenues has a positive effect only in the regime one. Also, the results indicate that the government size in Iran has often been in the regime one with bigger government size and it is predicted that bigger government will be more sustainable than smaller government.
Ali Asghar Salem
Abstract
In this study, in order to estimate the Engel curve and income elasticity of Information and communications technology (ICT) for residential urban households in Iran, the Working-Leser equations system functional form has been used considering economic and social characteristics of the households. This ...
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In this study, in order to estimate the Engel curve and income elasticity of Information and communications technology (ICT) for residential urban households in Iran, the Working-Leser equations system functional form has been used considering economic and social characteristics of the households. This model is estimated using Seemingly Unrelated Regressions (SUR) analysis and cross section data on nearly 19 thousands urban households for the year 2015. The results show that income elasticity of ICT for low, middle, and high-income households is 1.22, 1.12 and 0.8 respectively. These results show that ICT is a luxury good for the whole society. However, this commodity group is considered as a necessary good for the wealthy households. Also increasing the level of education leads to an increase in using of information and communication technology products. One percent increase in the years of education, leads to 0.06 percent increase in demand of information and communication technology products.
Narges Akbarpour Roshan; Milad Shahrazi
Abstract
The Laffer curve represents a parabola relationship between tax revenues and tax rates, and identifies the tax rate that maximizes tax revenues for the government. The aim of this paper is to test whether there is such a relationship between contribution revenues and contribution rate in Iranian Social ...
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The Laffer curve represents a parabola relationship between tax revenues and tax rates, and identifies the tax rate that maximizes tax revenues for the government. The aim of this paper is to test whether there is such a relationship between contribution revenues and contribution rate in Iranian Social Security Organization. Moreover, if the answer is yes, what is the contribution rate that maximizes revenues for the Organization? In this regard, we have used an Autoregressive Distributed Lag (ARDL) model. The results for the period of 1979-2016 show that the impact of effective contribution rate on the Organization’s revenues has the shape of an inverted U. Therefore, the results confirm the Laffer effects of this rate on the Organization’s contribution revenues. Additionally, a contribution rate of 20.34 percent will maximize the Organization's revenues.
mahshid shahchera; Mandana Taheri
Abstract
Banks have an important role in providing and allocating resources, identifying investment opportunities, and diversifying risk. According to the Bank International Settlement (BIS), one of the main factors of weakness in the banking system is lack of financial resources for lending of banks to various ...
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Banks have an important role in providing and allocating resources, identifying investment opportunities, and diversifying risk. According to the Bank International Settlement (BIS), one of the main factors of weakness in the banking system is lack of financial resources for lending of banks to various sectors of the economy. The weaknesses and inefficiencies in financing indicate a lack of optimal capital structure in the banking system and stable funding with aim of provides secure facilities in banking. In this paper, we survey the effect of stable funding strategies from the perspective of the net stable funding ratio (NSFR) and its effect on the bank profit margin with aim of compensating the financing risk in the Iranian banking system for the period from 2006-2016.The Stable financing strategies are divided into two parts of the stables allocation and funding strategies. Funding strategies in turn are divided into three sections and allocations strategies are divided into four sections. According to the results, the sustainability of the banks' resources in the balance sheet requires the allocation of funds in the form of facilities and loans on the other side of the balance sheet i.e. assets. The proper functioning of banks has an impact on improving the business environment of the banks.
Elham Farzanegan
Abstract
In this paper, we employ a new generation of multivariate volatility models, i.e. ADCC, GO-GARCH and Copula-GARCH to estimate and investigate the hedging performance for Bahar-Azadi Gold Coins spot markets (GC) and Futures market (GCF), during 27/10/2010 to 21/7/2016. The empirical results show that ...
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In this paper, we employ a new generation of multivariate volatility models, i.e. ADCC, GO-GARCH and Copula-GARCH to estimate and investigate the hedging performance for Bahar-Azadi Gold Coins spot markets (GC) and Futures market (GCF), during 27/10/2010 to 21/7/2016. The empirical results show that the hedge ratios estimated from the GO-GARCH model are preferred (most effective) for hedging GC prices with GCF. The results also show that the spot and futures prices tend to co-move in times of market stress. Indeed, those investors who hold diversified portfolios of gold coin and gold coin futures may face significant losses in a bear market. Here a short position on the gold coin futures may be beneficial to gold coin investors because it helps reduce the portfolio’s extreme losses.
Siab Mamipour; Soghra Jafari; Ziba Sasanian Asl
Abstract
The main purpose of this paper is to investigate the effects of monetary and fiscal policies on the business cycles in the Iranian economy during the period 2004-2016. Markov Switching model has been used with time varying transitional probabilities for the recognition of the business cycle and identifying ...
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The main purpose of this paper is to investigate the effects of monetary and fiscal policies on the business cycles in the Iranian economy during the period 2004-2016. Markov Switching model has been used with time varying transitional probabilities for the recognition of the business cycle and identifying the influencing factors on the probability of staying in a period of recession and boom or the transition from one situation to another. The results of the MSIH(2)-AR(2)[1] model show that both expansionary monetary and fiscal policies increase expansion period, but expansionary monetary policy is more effective in expansionary fiscal policy. During the recession regime, fiscal policy has a greater impact than a monetary policy in the transition from the recession regime. Also, findings show that business cycles in Iranian economy have comovements with changes of oil revenues, but the effect of changes in oil revenues has a different effect on the staying or transition of business cycles. Thus, the increase of oil revenues reduces the probability of staying economic boom regime, but it will increase the transition probability of recession to boom regime. In fact, these results indicate that oil revenues are not managed well during the boom period but there is the relatively good management in the recession regime. [1]- Markov Switching Intercept and Heteroskedasticity terms (2 regimes)-AutoRegressive (2 Lags)
