Journal of Economic Modeling Research

Adjusted Consumption Capital Asset Pricing Model, According to the Marshall Preferences (Case Study: Iran)

Azam Mohammadzadeh

One of the capital asset pricing models is CCAPM model that first time were presented by Breeden (1979). In the standard and the basic CCAPM establishes a linear relationship between consumption’s beta and excess return on assets but unfortunately, linear CCAPM made The Equity Premium Puzzle. After presenting puzzles like equity premium puzzle, adjustments were made in the CCAPM. For this purpose in this paper, adjustments have been made in the preferences as explores the implications of a novel class of preferences for the behavior of asset prices. This class of preferences was suggested first time by Marshall (1920), that according to it, people derive utility not only from consumption, but also from the very act of saving.
In this paper, we derive the Euler equations after modeling preferences based on the savings and consumption estimate them with GMM. In order to estimate the models, is examined quarterly data of 1977 to 2010. The models are significant in the other words it can be concluded that consumption and saving are successful in explaining stocks returns. Based on the estimated parameters in the models we can conclude that β is greater than 0.8 and savings is significant in preferences function but don’t have high value. In addition, these results indicate that economic agents are risk averse.

The Effect of Economic and Social Factors on the Success of Sport in the Olympic Games (2012-1996)

Farhad Khodadad Kashi

Sporting success in international competitions is influenced by various factors. Exercise can identify the success factors in the development of sports programs for the development of human resources with a view to effective economic and social factors. This study investigates the impact of socioeconomic factors on the countries sports success at the Olympic Games.In this regard ,Using performance data of all the countries participating in the Olympic Games gold medal, silver and bronze medals during the years 1996-2012 in the form of a descriptive one tries to approach the factors affecting the success of the country in the Olympic Games of logit econometric model to be evaluated through.The results indicate that the net effect of human development indicator variables, number of participants, the trade balance, GDP, Sports performance period to increase the likelihood of successful sport in the Olympics. The population insignificantly negative impact on the sports chances of success, The results of this study showed that the most effective human development index of the sport in the Olympics has been an increase in the probability of success.

Permanent and Temporary Components of Stock Returns: an Application of State-Space Models with Markov Switching Heteroskedasticity

Sirous Soleyman

In this study by using Markov Regime Switching Heteroscedasticity Models (MRSH) in the form of state-space model the behavior of stock returns is examined. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the permanent and transitory component of stock returns. The period of the study is the fourth month of 2000 to the seventh month of 2013. The durations of the high-variance regimes for permanent components short-lived and revert to normal levels quickly and low variance regime for this components is more lasting, but durations of high-variance regime for transitory component is reverse. Also, in during periods of study low variance regime is dominant by a permanent component of stock returns but for the transitory component the high variance state is true captured.

Assets and Liabilities Management Modeling, with Liquidity Risk Management Approach In the Banking System Using Fuzzy Goal Programming

Zahra Naji Azimi

A wide range of banking activities And its close relationship with the economy is an important reason for the importance of the reliability of banking system and its influencing factors. Accordingly to play the optimal role, banks face several challenges. Optimal management of assets, liabilities And Evaluateing the risks associated with them Such as credit risk and liquidity risk is considered as one these challenges this article attempts to define goals and optimally manage assets and liabilities with a focus on determining the optimal amount of cash and liquidity risks. According to multilateral objectives, Constraints in the banking system And the experiences of the past years, the model used in this article is Fuzzy goal programming with fuzzy constraints. The proposed model has the ability to provide optimal amounts of each of the items of the balance sheet for the coming years in accordance with previous years. To reach the final answer nine Goals and more than thirty fuzzy limits used in the model. Goals presented in the paper Are: Maximizing profits, Observing the limits of the deposit facility, Improving the share of bank deposits of the banking system, Increasing the amount of balance sheet items, Increasing the amount of some items assets to total assets, Observing the Capital adequacy limits, Reducing the volume of investment in tangible fixed assets, more Receivables than debts from central, more Receivables than debts from institutions Also in order to achieve the importance of each of these goals an Analytic Hierarchy Process is used. Finally, the results in crisp and fuzzy model are compared and improvement of results in fuzzy model is observed.

Assessment of International Sanctions on Iranian Macroeconomic Variables

Alireza Garshasbi

Legal and economic dimensions of sanctions, and also its diversity make it difficult to evaluate the contribution of the sanctions on macroeconomic variables; besides quantification of sanction by itself is a major problem. As the first step in this study, we try to offer a new index for representing the sanction in economic modeling. For this purpose by applying the exploratory factor analysis approach, we try to measure the mentioned index and produce the time series for the period of 1978-2010; here twelve variables which are mainly affected by the sanctions included in related process. Then, applying three-stage least squares (3SLS) method for a small macroeconomic model, the contribution of the sanctions on major economic variables such as economic growth, trade, investment and employment are evaluated. According to the findings of this study, the direct effects of sanctions are only significant in growth and term of trade equations. It seems also that there is a direct relationship between severity of the sanctions and its impact on major economic variables.

Simultaneous Estimation of Markup and Return to Scale in Manufacturing Industries of Iran

Somayeh Azami

The current study is an attempt to estimate markup and return to scale of 19 two-digit ISIC manufacturing industries of Iran, simultaneously, in accordance to Solow Residual and Structural approach, during the period 1995-2007. Based on Solow Residual approach, the neoclassical assumption of constant return to scale is approved within 95% of manufacturing industries; however in 84% of industries the price was higher than marginal cost significantly. Based on structural approach, 53% of manufacturing industries of Iran are experiencing increasing return to scale significantly; however, in 79% of industries, the price is higher than marginal cost. According to the criteria share of the cost of inputs in income as a theoretic criteria for return to scale-markup ratio, in 53% of cases, structural approach estimates this ratio closer to the reality.

The Investigation of Effect of Trade on Energy Consumption in D8 Countries

Mohammad Mahdi Barghi Oskooee

Energy as one of the most important factors of production, as well as one of the most important marginal products, has effential role in trade and economic development.The importance of energy has increased after the two oil crises in 1970’s. The relationship between energy and trade is an important topic to study for several reasons. If energy consumption is found to Granger cause exports or imports, then any reductions in energy consumption, coming from say energy conservation polices, will reduce exports or imports and lessen the benefits of trade. Energy conservation policies which reduce energy consumption will offset trade liberalization policies designed to promote economic growth. This places energy conservation policies at odds with trade liberalization policies.In this regard, the impact of trade on energy consumption through energy applications in the production process of import and export goods and their transportation is included. This study uses panel data to investigat effect of trade on energy consumption in D8 countries (Bangladesh, Egypt, Indonesia, Iran, Malaysia, Nigeria, Pakistan and Turkey) during the years 1990 to 2014. The results indicat that foreign trade has a significant and positive impact on energy consumption. The findings show a significant and negative impact of energy prices on energy use.