Iranian Journal of Economic Research

Abstract According to the Basel accords, financial institutions should forecast VaR of their portfolio over multi-period time horizons in order to determine their capital adequacy. Hence, finding efficient models for forecasting multi-period VaR is crucial for Chief Risk Officers (CRO) in general and Financial Risk Mangers (FRM) in particular. This paper tries to analyze and compare the predictive power of parametric, nonparametric and semiparametric methods of forecasting multi-period VaR for portfolios invested in Tehran Stock Exchange. The results indicate that the “square-root-of-time rule” (the conventional approach) in majority of time horizons has a weak prediction ability vis-a-vis the other multi-period VaR models. Empirical results suggest, employing parametric methods results in larger losses and lower opportunity costs relative to nonparametric methods.  

Abstract Tracing the impact of exchange rate movements on prices is one the most important issues in monetary policy making. In this paper by applying a SVAR model to a quarterly data set spanning from 1990q1 to 2013q4, we assess the effect of exchange rate variations on domestic prices in Iran. In addition to exchange rate growth and output gap, the growth of liquidity, consumer, producer, and import prices are also included in the model. Our findings suggest that: i) There is an asymmetry in exchange rate pass-through in Iran. ii) Although small appreciations have no effect on prices, depreciations, especially large ones, are significantly effective. iii) The effect of exchange rate on consumer price growth, lasts for relatively longer periods of time.

Abstract This article intends to examine the time allocation of children among Iranian households. It is well established that parents have different attitudes towards male and female children’s wellbeing. By making use of mother’s bargaining power and households’ expenditures and income survey (1390), we develop a bivariate probit procedure to model the children’s time allocation between work and going to school. Our finding confirm that mother’s bargaining power has positive and significant impact on the schooling decision for both male and female children, however magnitude of its marginal effect is larger for female than male children.

Abstract This study investigates the effect of rule of law on inflation rate for the 16 selected MENA countries over the period of 1996-2012. The relationship between variables has been estimated by applying Panel Smooth Transition Regression (PSTR) model and using Non-linear Least Squares (NLS) method of estimation. Our results reject the linearity hypothesis, and indicate existence of one continuous transition function with two regimes that gives a threshold at rule of law index of -0.525. Moreover, the results show that the rule of law index, openness index and GDP per capita have negative impact on inflation rate in two regimes that the intensity of the negative impact of these variables increases in the second regime. On the other hand, government consumption expenditure and liquidity have a positive impact on inflation rate in two regimes; the intensity of their positive impact reduces in the second regime. Therefore, the actions such as creating innovative mechanisms for dispute resolution, stabilization in government's plans and objectives and no chain changes in policies enhance the rule of law levels and decrease the inflation rate in this group of countries.  

Abstract This paper investigates the factors affecting Iran’s non-oil export using the Bayesian model framework approach. With the estimation of over 9,600,000 regressions and using Bayesian model averaging in the framework of uncertainty model, six variables of exchange rate, gross domestic product, inflation, private sector investment, banking facilities to the industry and mining sector and instability of exchange rate were identified (i.e., they maintained their effects in presence of other variables and were significant). This indicates that we should pay more attention to these variables than others in estimation of a non oil export model

Abstract Industries are  one of the most important economic sectors and their growth causes industrial and economical development.There are some important and effective factors which imporve the industrial production growth and the value added of enterprises, such as: Skilful and experienced labor, modern machineries and advanced technology. The important aim of this research is the study of the physical capital, skilful and unskilful labor impact on industrial growth, using Solw's augmented growth for the period of 1996-2011.The results show the effects of simple and skilful labors and physical capital on value added of Iran's industries are positive and significant. Of course, the effect of skilful resources (human capital) are more than the  unskilful labors. Thus, the value added of industries of Iran can be increased by the improvement of technical knowledge of human resources.