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Showing 45 results for Var
Farzaneh Taheri, Hamid Mohammadi, Seyed Nematollah Mousavi, Volume 16, Issue 47 (10-2008)
Abstract
This study is an attempt to apply a static Computable General Equilibrium model based on Iranian Social Accounting Matrix of 1380 in order to investigate the impact of 20 percent increase in Government expenditures under floating and fixed exchange rate regimes, on macro variables in the agricultural sector and Iranian economy as a whole. The parameters of the model are obtained using Calibration method. The model contained two sectors including the agriculture and non-agriculture. The results show that the increased Government expenditures would influence variables of agricultural sector and the macro Iranian economy undesirably, and this would be more serious under the fixed exchange rate regime as compared to the floating regime. It was also revealed that the increment in Government expenditures affects agricultural and rural sectors more in an unpleasant manner than the non-agricultural and urban sectors.
, , Volume 17, Issue 52 (1-2010)
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, , , Volume 17, Issue 52 (1-2010)
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, , Volume 18, Issue 53 (4-2010)
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Maysam Musai, Nader Mehregan, Hossein Amiri, Volume 18, Issue 54 (7-2010)
Abstract
This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test based on cointegration analysis. We test the causal relationships between the TEPIX Index and the four macroeconomic variables: money supply, GDP and exchange rate using quarterly data for the period 1370:1 to 1385:4. The results show unidirectional long run causality from macroeconomic variables to stock market. Accordingly, the stock prices are not a leading indicator for economic variables, which is inconsistent with the previous findings that the stock market rationally signals changes in real activities. Contrarily, the macro variables seem to lead stock prices. So, Tehran Stock Exchange (TSE) is not informationally efficient.
Saeed Isazade, Bahare Oryani, Volume 18, Issue 55 (10-2010)
Abstract
Regarding the nature of its activities, accompany with higher profitability, banks encounter large amount of risk. Among the variety of risk, credit risk is very important so it is inevitable that bank activities will accompany with risks. As an enterprise, having accurate information about ability of borrowers in paying back of their loans is the most important function and vital task in a bank. In this regard this research calculates the efficiency of 75 companies which have borrowed from BANK- E- Keshavarzi in 1380 by using Data Envelopment Analysis and it ranks them based on this procedure. It concludes, 15 companies stand on the border of efficiency. Being average technical efficiency about 78%, it shows that the mentioned companies have used the inputs of production about 22% beyond their needs, so their activities have low profitability. According to this result, BANK- E- Keshavarzi could rank his companies in regard to different levels of risk.
Ahmad Tashkini , Hossein Afzali , Volume 19, Issue 59 (10-2011)
Abstract
This study tries to measure core inflation in Iran's economy, using SVAR method, during the period (1973-2007). Importance of understanding core inflation lies on the fact that the core inflation reveals the likely noises (shocks). By using core inflation criterion in policy making, monetary policies become more effective, as policymakers just react to the fluctuations in measured inflation, ignoring temporary noises. In an attempt to measure core inflation in Iran, three variables , namely oil price, gross national product, and consumer price index are deployed in a Structural Vector Auto Regressive (SVAR) model, with imposing some restrictions to make the model consistent with the structure of Iran's economy. The results show that in most cases, headline inflationary pressures have been more than measured inflation, owning to the deflationary pressures of oil export revenues in the economy.
Timor Rahmani, Hossein Amiri , Volume 19, Issue 59 (10-2011)
Abstract
In this article, using New- Keynesian approach for inflation and unemployment which focuses on the menu costs and rigidity of prices and wages, first a bi-variate system including inflation and unemployment and a tri-variate system with inflation, unemployment and mark-up of the costs of labor force have been estimated. Then the long-term relationship between these variables has been estimated by using co-integration and VAR models. The estimation of these two systems gives a positive and long-term relationship between inflation and unemployment. Also the relationship between inflation and mark-up of the cost of labor force has been estimated which is negative and therefore, there is a positive relation between inflation and unemployment. Such Positive relationship indicates chronic stagnation phenomena in the Iranian Economy.
Kiumars Shahbazi, Zahra Kalantari, Volume 20, Issue 61 (4-2012)
Abstract
In this research, we use three eight-variable structural VAR models and seasonal data over 1991-2008 to investigate the effects of fiscal and monetary policies shocks on housing market variables in Iran. In order to achieve the goals such as price stability in this market, monetary and fiscal-policy makers should be aware about the effects of these policies. Thus, the main question is that how the implementation of fiscal and monetary policies impact the housing market variables in Iran? The results confirm that the fiscal and monetary policies are not appropriate instruments to control housing price in the short-run, but these policies could have an important role in determining housing price in the long- run: via money supply and government expenditures. On the other hand, the fiscal policy is not an appropriate instrument to control residential investment and housing starts, but the monetary policy could be an appropriate and effective instrument for the control of these variables.
Farhad Khodadad Kashi, Mehdi Tavasoli, Volume 20, Issue 61 (4-2012)
Abstract
This research aims to estimate technical efficiency of agriculture bank and to identify the main determinants of efficiency at this bank. For this purpose, Stochastic Frontier Production Function was used. In this study, both Error Component model of 1992 and technical efficiency effect model (1995) were used. To estimate the models, we used variables such as granted loans and credits, cheap and expensive deposits, labor (number of employees), fixed assets (ac a proxy for capital), and the time to show the technological changes at the level of 36 decision making units (DMU). The results indicate that Technical Efficiency of agriculture Bank (the units) corresponding to Model I and II are 79.57% and 74.97% respectively. In Addition, the results show the existence of positive correlation between the efficiency of DMU and the size of the ir branch network, the share of deposit out of total deposits of the provincial state banks, the granted loans to Agriculture Sector. Finally, a negative relationship has been also witnessed with instability in management, higher share of deposit in total, bad debts and the time.
Bahrami Javid, Akbar Mirzapoor Babajan, Volume 20, Issue 64 (1-2013)
Abstract
The paper estimates and compares the minimum variance optimal hedge ratios (OHR) for gold coin futures contracts traded in Iran Mercantile Exchange (IME), applying various econometric methods. Results of the paper indicate that considering different maturities for futures prices, brings considerable changes to the outcome, in a way that if the first maturity date is regarded as the price for the futures contract, hedge ratios shall exceed that of the second maturity date. The findings also reveal that optimal hedge ratios computed through alternative econometric methods outperform simple hedge strategy (optimal hedge ratio equal one). The final conclusion is that, time-variant optimal hedge ratios derived from GARCH models are not necessarily better capable of reducing the risk, comparing time-invariant optimal hedge ratios.
Mohammad Nabi Shahiki Tash, Saber Molai, Elham Shivai, Volume 21, Issue 65 (4-2013)
Abstract
This paper examines the level of cardinal welfare influential factors on the welfare changes in Iran. The Sen's index, both in Pareto and non-Pareto states, is used to evaluate the level of cardinal welfare and in order to evaluate the macroeconomic variables effect on the welfare changes a fuzzy least-squares regression model (FLSR) is used. The findings indicate that the welfare level index increased about 4.8, 3.1 and 2.7 percent during 2002-2007, 1997-2001 and 1992-1996 respectively. According to the findings, the highest level of social welfare improvement in Iran has occurred during 1997-2007. The results of the fuzzy regression show that the unemployment rate, inflation rate and Gini coefficient have an inverse relation with the cardinal welfare in both Pareto and non-Pareto cases while the literacy rate and government expenditures have a positive relation with the welfare. The findings also imply that there is a positive relationship between economic growth and welfare level in Iran
Mostafa Gorgani Firouzjah, Ali Peyravi, Volume 21, Issue 65 (4-2013)
Abstract
One of the most effective tools for risk coverage in catastrophic events which widely used in the world is Catastrophe bonds. The purpose of this paper is to determine the optimal expected rate of return for investors of these securities, so that they become attractive for them. This paper uses fire insurance data during 1949-2009, and then applies the Peaks over Threshold (POT) method for measuring the catastrophe bonds value at risk. The u threshold has been selected with using normal power approximation, and the difference between it and the VAR higher than this threshold has been considered as catastrophe bonds risk. Then, considering the alternative investment opportunities such as the Tehran stock exchange and gold and real estate market, using the Sharpe ratio we determine the these securities optimal expected rate of return. Each of these investment opportunities risk is calculated based on the multivariate GARCH model. The results show that the expected rate of return on these bonds must be at least 29.32%.
Mr Yazdan Gudarzi Farahani, Farkhonde Jabal Ameli, Volume 21, Issue 68 (1-2014)
Abstract
In this article we survey money neutrality in long-run according to king - Watson’s method (1997). For this purpose SVAR model with Money stock, Liquidity and GDP data during 1972- 2010 have been used. The results show that the money neutrality and money definition doesn’t have relationship. Changes in the stock of money and liquidity does not affect the production and because the rate of money growth and Liquidity growth rate are zero-order integrated, discussion about long-term relationship would not be reasonable. So in order to increase the production in the economy, we must turn to supply side policies that increases labor productivity and efficiency and increases the production. Results also indicate that at 1% level of confidence, neutrality of long-run money could not be rejected. Under the constraints of short-run money neutrality, similarly the result doesn’t lead us to reject neutrality of long-run money. According to Lucas monetary misinterpretations theory (1972) it should be noted that production response to changes in money stock could be negative. This means that negative monetary shocks could cause that the Lucas long-run aggregate supply curve lose its verticality so negative monetary shocks have real effects in the short run.
Mehrzad Ebrahimi, Farhad Khodadad Kashi, Majid Ahmadian, Volume 22, Issue 69 (4-2014)
Abstract
In this article, using Iran's Manufacturing Data during (1979-2007), we try to measure the degree of monopoly power and agreement (Collusion) in Automotive and Textile Industries. The strategic nature is the main reason to study these two industries. The study employs Conjectural Variation and Agreement Approach to evaluate monopoly power. Using SUR approach, we estimate cost function and input demands simultaneously. The results of this study indicate mutual interdependence between firms and also high degree of Agreement and high monopoly power in automotive Industry, while the degree of Agreement in Textile Industry is low
Ali Khorsandian, Abbas Moradpoor, Marjan Shabani, Volume 22, Issue 71 (10-2014)
Abstract
Since the Ethical Banking has great importance and have been propagated in recent years, defining a model to rank indexes in these kinds of banks is necessary. The main goal of this paper is to rank basic indexes of the Ethical Banking and another purpose is to analyze different viewpoints of state and private banks’ managers in Iran. So a questionnaire with 30 questions filled out by bank’s managers. Then analysis of variance method has been used to evaluate significance of differences between means. Results show that respecting employees and shareholders and customers and observing ethical behavior are the most important indexes. Also results show that there is no difference between the viewpoints of state and private managers in ranking the indexes.
Manoucher Dehghani, Naser Khiabani, Volume 22, Issue 72 (1-2015)
Abstract
The purpose of this study is to evaluate and compare volatility and spillover effect among oil, Gold and exchange rate (US Dollars-Euro) markets in last decade and the decade before 2003. Using weekly data from 1993 to 2012, this paper employs econometric methods like M.GARCH-ASY-M (Multivariate GARCH Asymmetry Mean) and BEEK model to estimate the volatility magnitude and spillover effects in markets mentioned, Results show the relationship between markets and their power for risk transferring is significantly affected by the news and volatility persistency in a market. The persistent increase in oil prices after 2003 causes a significant relationship between returns and augmentation of spillover transferring among oil, gold an exchange rate markets. So, this finding show how the news and information among markets can augment the relationship between returns and risk spillover magnitude. Finally, the strength of effects depends on the persistency of news flows from one market to another.
Abolfazl Shahabadi, Abdolah Pourjavan, Hossin Amiri, Volume 23, Issue 0 (4-2015)
Abstract
Identification of the impact mechanisms of institutional factors to explain income differences among countries indicates the importance of institutional economics. Following the methodology proposed by Coe et al (2009), and using Panel data Two-Stage Least Square (Panel TSLS), this study tries to interpret the interaction between institutional factors and indices (such as governance and indicators for doing business) and standard economic variables and its impact on the growth of per capita income across 12 countries in Asia and Middle East during the period spanning from 1996-2012. The dependent variable in this model is the logarithm of real income per capita, which is modeled as a function of the various interactions among institutional indices, R&D expenditures, net FDI flow, the degree of openness of the economy, and some other standard variables such as human capital and investment in physical and natural resources. Econometric findings indicate that the general quality of institutions will affect the income per capita growth through indirect channels which are R&D, FDI and Openness. Therefore, institutionalization of market mechanism, trade liberalization, and reduction in uncertainty and political risk will all have statistically significant effect on the growth of income in those countries.
Seyed Mohammadreza Seyed Nourani, Teymour Mohammadi, Samaneh Amirshahi, Volume 23, Issue 0 (4-2015)
Abstract
Tax on value added is a kind of indirect tax which yields high income for governments. Thus, governments intend to increase it. However, raising tax rate uniformly across all goods consumed by different income groups have been criticized for being regressive and unjust. In this paper, we have used two different tax rates to distinguish luxury goods from other essential goods. Taking Justice and equity into account while levying taxes, this study shows that optimum tax rates on essential goods such as food and non-essential luxury goods are estimated to be 8 percent and 26 percent respectively. This finding, however, does not mean that tax authority should change the tax structure immediately disregarding its impacts, and tension it may create, but rather it proposes a gradual and planned system of taxes, taking precautionary measures.
Nader Mehregan, Mohamad Ali Ahmadi Ghomi, Volume 23, Issue 75 (1-2016)
Abstract
Since the development of the capital asset pricing models, identifying the determinants of asset returns and risks have been considered by researchers. Exchange rate is one of the most important variables, which has close relationship with financial markets. Exchange rate movements affect stock prices through changing the value of firm’s assets. Increasing exchange rate due to the recent economic sanctions of the central bank of Iran by SWIFT highlights the exchange rate role in financial markets. In this study, daily data from January 1st, 2009 to July 31st, 2013 was used within a framework of Panel Vector Autoregression (Panel VAR) model to analyze the effects of exchange rate shocks on financial markets. Main results are: 1) according to the flow-oriented models, in this study exchange rate leads the stock price and the response of the stock index would be positive to exchange rate shock, 2) in the situation of economic sanction, foreign currency acts as real asset, and 3) in the situation of economic sanction, the effect of exchange rate shock on stock index would be negative in long-term, which would be a cause of dependency of domestic products to imported machinery and materials.
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