Mahnoush Abdollah Milani; Javid Bahrami; Hossein Tavakolian; Narges Akbarpur
Abstract
The aim of this study is to estimate the amount of underground economy as well as to determine the effect of tax policy on it in Iran. For this purpose, a Dynamic Stochastic General Equilibrium (DSGE) model is developed incorporating the underground economy. Quarterly data for 1360-1393 in Iran are used ...
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The aim of this study is to estimate the amount of underground economy as well as to determine the effect of tax policy on it in Iran. For this purpose, a Dynamic Stochastic General Equilibrium (DSGE) model is developed incorporating the underground economy. Quarterly data for 1360-1393 in Iran are used for estimation. The results show that on the average 23 percent of household consumption during the examined period is from underground goods, and about 17 percent of these goods are imported into the country through underground import or smuggling. Real average amount of smuggling and underground production in Iran during the considered period is estimated as 29023 and 141702.5 billion Rials, respectively. In addition, the results show that the average share of underground employment in total employment over the period is about 18 percent. The average tax evasion of consumption tax, import tax and wage tax is estimated about 17.8 percent of average government tax revenue during this period. Comparing the effects of four different tax shocks on underground economy also shows that the profit tax shock has the largest effect on underground economy, and after that is import tax shock. The effects of tax shocks show that the severity and duration of the impact of tax shocks on underground production is more than that of the formal economy.
Sajad Ebrahimi; Seyed Ali Madanizadeh; Amineh Mahmoudzadeh
Abstract
By regulations, the Iranian banks have limitations in setting their interest rates, yet the evidence shows that the loan rates vary across borrowers. This paper analyzes these differences in the rates and what affect them. In addition to the factors influencing the borrower’s risks directly, we ...
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By regulations, the Iranian banks have limitations in setting their interest rates, yet the evidence shows that the loan rates vary across borrowers. This paper analyzes these differences in the rates and what affect them. In addition to the factors influencing the borrower’s risks directly, we investigate the effects of other various factors such as the properties of the lending banks as emphasized in the literature. In this regards, using the listed companies in Tehran Stock Exchange database, we construct a firm-bank panel dataset that contains the outstanding loans of a firm from each bank for the period of 2007-2014. Using panel data estimation, we show that changes in Non-Performing Loan (NPL) ratios of the lending bank has significant effect on the borrowers’ financial costs. In addition, an increase in the share of the loan from private banks, the number of firm-bank relationships and leverage ratio of the firm increase the firms’ financial costs. Finally, we show that working capital ratio, collateral ratio and degree of dependence on imported inputs have significant effects on firm’s financial costs.
zahra Karimi Moughari; Mehrdad Maghsoodloo; Zahra(Mila) Elmi
Abstract
One of the most effective ways of realizing social equity is to provide equal opportunities for individuals to access education and to achieve educational equity. An important aspect of educational equity appears in the labor market and by the end of the education. The processes of finding a job ...
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One of the most effective ways of realizing social equity is to provide equal opportunities for individuals to access education and to achieve educational equity. An important aspect of educational equity appears in the labor market and by the end of the education. The processes of finding a job in the labor market and wage determination guide the efforts of individuals for gaining effective education. If the labor market does not send appropriate signals to the education system, the allocation of resources in the education system would not be correct. In this paper, the relationship between educational inequality and employment rates in Iranian provinces is examined by using Generalized Momentum Method (GMM) for a panel data of 28 provinces during 1380 - 1392. The employment rates and Gini coefficients of education are calculated from the income-expenditure data, published by the Statistical Centre of Iran. The results of this study show that average educational Gini coefficient, educational inequality, in deprived provinces is higher than rich provinces; and there is a negative and significant relationship between employment rate and educational inequality. In all provinces the employment rates has increased while the Gini coefficients has decreased.
Ali Raoofi; Teimour Mohammadi
Abstract
In this paper, a framework for time series prediction is presented which makes it possible to predict the future values of a time series more accurately using soft computing approach. In this method, input data of adaptive neural fuzzy inference systems are reduced using wavelet decomposition of random ...
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In this paper, a framework for time series prediction is presented which makes it possible to predict the future values of a time series more accurately using soft computing approach. In this method, input data of adaptive neural fuzzy inference systems are reduced using wavelet decomposition of random noises; therefore, it reduces errors and improves the desired chaotic time series prediction. The above method was evaluated using Tehran Stock Exchange return series for the period of 23/10/2009 to 23/3/2013, and the results indicate the superiority of the proposed method compared to other ones.
Seyed Nezamuddin Makiyan; Mojtaba Rostami; Davood Farhadi; Mohammad Amin Zabol
Abstract
Many empirical studies have analyzed the relationship between economic and social behavior. Unemployment is considered as a phenomenon which is not desirable. The effect of unemployment on crime, may have heterogeneous impact on distinct regions (province or country). The technical approach in econometric ...
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Many empirical studies have analyzed the relationship between economic and social behavior. Unemployment is considered as a phenomenon which is not desirable. The effect of unemployment on crime, may have heterogeneous impact on distinct regions (province or country). The technical approach in econometric literature indicates that, due to high integration of economic and social activities, the independency assumption-in this study, provinces- in the sample cannot be accepted, especially if the sample is small. In order to show the difference of crime effect on unemployment rate in various provinces, the random coefficients Panel Bayesian Conjugate Poisson model (Hierarchical) is used. To do this, the data of five provinces of Iran are used during the period of 2009-2014 to demonstrate such heterogeneous effects. Results show that for an increase in unemployment, there is a positive and varying effects on crime in the provinces for which the data were collected. In other words, in this study, for a %1 increase in unemployment, the greatest impact is in Tehran and the lowest is in Semnan province.
Amir Azamtarrahian; Saeed Asadi
Abstract
This paper studies credit risk management in banking industry and proposes a generic model for corporate loan portfolio loss distribution in economic downturns. Basel assumes a one-factor Gaussian copula for default correlations and introduces the regulatory capital on the ground of Vasicek process that ...
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This paper studies credit risk management in banking industry and proposes a generic model for corporate loan portfolio loss distribution in economic downturns. Basel assumes a one-factor Gaussian copula for default correlations and introduces the regulatory capital on the ground of Vasicek process that works acceptably well in normal economic situations but not in recessions. In this paper, one-factor t-student copula is used for dependence structure of probability of Defaults (PDs), and Basel has been extended by introducing correlated PDs and Recovery Rates (RRs) through Clayton copula and the required economic capital is calculated accordingly. Finally, our findings suggest that Expected Shortfall (ES) safeguards banks against losses beyond the VaR level and it is a better risk metric in economic downturns comparing to VaR.
Habibollah Salami; Ebrahim Ensan
Abstract
Non-Performing Loans (NPL) including overdue, deferred, and doubtful debts, are serious challenges facing banking systems in Iran. These three categories are not the same in risk ordering. The presence of doubtful debts creates the highest risk for the banks. Thus, specifying factors that can reduce ...
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Non-Performing Loans (NPL) including overdue, deferred, and doubtful debts, are serious challenges facing banking systems in Iran. These three categories are not the same in risk ordering. The presence of doubtful debts creates the highest risk for the banks. Thus, specifying factors that can reduce the share of this category in total NPL is very crucial. The main objective of present study is to differentiate factors affecting different classes of NPL based on their differences in reducing each of the debt categories. To this end, data on debtors of the Iranian Agricultural Bank (Bank Keshavarzi) over 2009-2013 period in two provinces of Tehran and Kermanshah were analyzed. Since the dependent variable in this study is an ordered one, the Partial Proportional Odds model, a special form of the Generalized Ordered Logit model, is utilized to specify factors affecting NPL and to distinguish their impacts on different debt categories. Results indicate that the loan receivers with dishonored cheques in their profile, most likely would not be able to repay their loan and will fall to the doubtful debts group. On the other hand, loan paid to the services and agricultural production activities compared with loan allocated to the non-agricultural activities, loans paid for investment comparing to loans paid for current operational expenses, and payments financed from bank’s own resources comparing with payments accommodated from legally designated resources are important factors that can decrease the probability of turning loans to the doubtful debts. Consequently, to reduce the share of the doubtful debts in total non-performing loans, banks need to focus on managing and controlling the above mentioned influencing factors.
