Iranian Journal of Economic Research

Abstract Demand for money is an important part of the macroeconomic models and the monetary policy. In this paper, we estimate the Iranian demand for money for the period 1958-2003 using the Autoregressive Distributed Lag (ARDL) method.    The results show that the real money balance, gross domestic product, inflation, foreign exchange rate, and government budget deficit have been co-integrated with each other.  We also use the error correction model for short-run dynamic analysis. The result shows the speed of adjustment toward the long-run balance is slow. 

Abstract This paper uses a quarterly data to study the effect of the main economic variables on the stock price index in Iran over the period 1993:3–2003:2. An autoregressive distributed lag (ARDL) approach to cointegration analysis is used to study both short- and long-run movements of stock prices in Tehran stock market. The explanatory variables include money supply, production level of large manufacturing companies, and the ratio of domestic to foreign price level, exchange rate, oil price, gold coin price, and housing price index.    The results show that there is a long-run equilibrium relationship between the variables. According to our finding, the ratio of domestic to foreign price levels, the price of housing and the gold coin price index have positive impacts on the stock prices. Exchange rate and money supply have significant negative effects on the stock price index in Iran. However, we found that the production level of large manufacturing companies has not affected the stock price index. The result of our error correction model indicated that 54 percent of deviation of the stock price from its equilibrium path is corrected each period.

Abstract Demand for money and its stability are important in an economy especially in the design of monetary policy. Money consists of different components and its definition would depend on types of components included. It has been argued that the simple sum indices as the definition of money are inconsistent with microeconomic theory. By using the simple sum method for aggregation, it is implicitly assumed that there is a perfect substitution among the various money components. An alternative definition of money uses the index number theory to construct indices which allow different substitution rates among the components of money. In this paper, we estimate the Iranian demand for money for the period 1367:1 to 1383:1 (1988-2004) using Divisia index for definition of money.    The results show that the estimated demand for money in Iran is stable. However, the adjustment rate in the models using Divisia index is higher than that when the simple sum index is used. Our results are consistent with the other studies that indicate a rapid adjustment in the Iranian money market. 

Abstract The main objective of this paper is to determine the optimum portfolio of the Tehran Stock Exchange with respect to the Value at Risk (VaR) index. Daily data are on the shares of 30 active companies traded in the Tehran Stock Exchange with daily expected return above 0.4 percent in 2004. Optimum portfolio is selected subject to the investors' budget, risk and VaR confidence levels. Results reveal that the higher confidence level of VaR requires more diversified portfolio. Therefore, beginner investors and those with higher degree of risk aversion should diversify their budget among shares of various companies. Also, the level of investment affects the combination of the selected portfolio. Results also show that the Risk-Return trade off are in favor of risk averse investors and the change in time length period can also change the optimal portfolio.

Abstract Our objective in this paper is to estimate the labour supply function in Iran based on gender and area.  We  use the Iranian Statistical Centre micro data containing Socio-economic characteristics of households for the period 1992-1995. The estimation results indicate that labor income is the key variable affecting the allocation of time between work and leisure for both male and female. However, the elasticity of wage for female is higher than male.    The Important difference between the female and the male behavior in the labour market is related to their level of education, which has negative effect on the male’s labour supply and positive effect on the female’s labour supply.  Given the fact that the level of education among females in Iran is rapidly rising, females are expected to play a key role in the future labour market in Iran. 

Abstract Economic growth and poverty alleviation have been among the most important government policies in Iran for the past three decades. This paper examines the effect of economic growth on the poverty reduction in Iran using various methodologies and approaches for the period 1995-2003 Main findings of the paper show that poverty incidence in urban and rural areas of Iran has declined, however, the intensity of poverty has declined in urban, but increased in rural areas. Furthermore, measurements of indices such as the poverty incidence,, poverty-growth curves, and the poverty equivalent growth indicate that economic growth in most years has been weakly pro-poor in both urban and rural areas, confirming the trickle down effect of growth. 

Abstract The issue of the Spatial Economic Dimensions (SED) in generating regional Input-Output Coefficients (RIOC) has been well documented and recognized in the regional analysis since the 1950s. However, this issue has been overlooked in Iran.    In this article, we focus on two main aspects: First, we highlight the factors of SED in generating RIOCs, and the second we quantitatively analyze the relationship between them. To this end, we use seven non-survey location quotient methods in generating RIOCs for 28 provinces. The results portray that if the specialized (or local) sector is considered as an additional factor, the relation between SED and RIOC can be meaningful. 

Abstract This study examines the impact of economic liberalization on employment in the industrial sector in Iran. In our model, the labour demand function in industrial sector is considered to be a function of real value added, real wage rate, real user cost of capital, and globalization indices. The ratio of exports to real value added, the ratio of imports to real value added, and the ratio of the sum of exports and imports to real value added are used as globalization or economic openness indices.     The Ordinary Least Squares (OLS) method is used to estimate the labour demand function for the period 1971-2003. The results indicate that except for the real wage rate, other variables have a positive and significant relationship with employment in industrial sector for the period under the study in Iran.