Journal of Economic Modeling Research

Identifying Unconventional Monetary Policy Shock Using Narrative Sign Restrictions Approach

mahboobeh khadem nematollahi

The aim of this paper was to estimate the effects of unconventional monetary policy shocks using Narrative sign restrictions method as a novel method, imposing sign restriction on the impulse responses of real interest rate, GDP, GDP price deflator, nonborrowed reserves as well as Total Reserves in response to monetary policy shocks in Iran. Using Narrative sign restrictions model for the period 1983-2020 enables considering the effects of aforementioned five variables as well as identifying the effect of monetary policy shocks on these variables. Narrative sign restrictions constrain signs based on narrative information. According to the liquidity effect, results of the impulse responses function highlights decreasing real interest rate causes increasing in aggregate demand and GDP. With Narrative sign restrictions, real interest rate shocks also have significant impact on GDP through increasing it. To this aim, according to results and also with regard to the importance of unconventional monetary policy in response to crisis, this policy can be applied for resolving stagflation and this supplement policy can be applied besides other policies of Central Bank.

Investigating the Impact of Foreign Direct Investment on the Economy and Environment in Iran: Application of the Computable General Equilibrium (CGE) Model

Zeinolabedin Sadeghi

One of the most important goals of policymakers is to increase the rate of economic growth while keeping the environment clean, which is possible through the use of modern technologies and the influx of capital into the country. Foreign direct investment (FDI) is an important source for promoting energy-efficient technologies around the world. One of the most important issues in today's world, especially in developing countries, including Iran, is securing the necessary capital to advance economic and environmental goals. For this reason, the present study examines the effects of foreign direct investment on macroeconomic and environmental variables using a computable general equilibrium static model. Two scenarios have been analyzed and examined as the effects of a doubling of FDI, one on the electricity sector and the other on the entire economy. The results showed that in both scenarios, economic growth increased and the general level of prices decreased, but the effect was greater in the second scenario. Electricity production also increased in both scenarios. But household welfare has decreased with increasing foreign direct investment. In the carbon emission variable, the pollution halo hypothesis is confirmed in the first scenario, and the pollution haven hypothesis is confirmed in the second scenario. It is suggested that the government, in addition to providing domestic platforms for the entry of foreign capital, also pay due attention to domestic capital owners.

the Effect of Institutional Factors and Economic Growth on Poverty: Spatial Econometric Approach in Selected Asian Countries

ali fegheh majidid

Introduction
Poverty has become one of the major global challenges faced by most Asian countries. Although they have been able to achieve technology and increase productivity in the fields of production in recent decades, a high percentage of their society still lives in poverty. The current concern about the increase in chronic poverty in many countries of the developing world requires a deeper understanding not only of the number of poor people, but also of the nature of poverty. This issue has a widespread and devastating impact on the lives of millions of people around the world and is important because its effects go beyond the economic sphere and extend to the social, political and cultural spheres. Poverty reduction is one of the fundamental economic and social challenges in global societies. Therefore, it is very important to examine the factors affecting poverty reduction One of the ways to reduce poverty is the existence of institutional foundations and institutions. Since the second half of the twentieth century, numerous studies have been conducted on the role of institutional and political approaches in poverty reduction. According to these studies, the existence of strong institutions and institutions attracts investment, improves technology and employment, and consequently increases production and economic growth. Therefore, the existence of institutions is the main factor in the growth and development of countries. The existence of institutions and institutions can explain the differences in welfare, growth and development and economic well-being between countries. By creating a stable structure in the economy and society, institutions reduce risk and uncertainty, and thus reduce transaction costs. In short, understanding the interaction between institutional factors, spatial dynamics and poverty reduction is essential for designing effective policies and interventions. The aim of this study is to answer the question of how institutional factors and economic growth can reduce poverty in selected Asian countries?

Method
In this research, the research method is of the spatial analytical and econometric type. The data of this study were collected from the World Bank and the Macro Trends website. In estimating the spatial panel data model, it is necessary to mention a few points. First, the spatial effects in the calculations are factors that are related to the location of the variables. The first factor is the spatial dependence or autocorrelation between the observations of the sample data at different points and the second factor is the spatial structure or heterogeneity created by the model relations for moving on the plane. The coordinates change with the sample data. To detect the spatiality of the data, it is necessary to perform spatial detection tests. In this research, a weight matrix was formed for countries that have geographical connections. The weight matrix is of the adjacency type. The adjacency or neighborhood matrix was formed for the 15 countries studied. In this way, the value of one is considered for neighboring or neighboring countries and the value of zero for non-adjacent countries. Therefore, the adjacency matrix is a symmetric 15x15 matrix with a main diameter of zero and elements outside the main diameter of zero and one. Stata software is used to estimate the model. In panel data with spatial characteristics, fixed and random effects can be considered for the model and the best model was selected from SAR, SDM, SAC, SEM and GSPRE models using the spatial Hausman test, of which the spatial autocorrelation (SAC) model was selected.
Conclusion
Based on the spatial effect of the disturbance components or dependent variables, the results of the spatial autocorrelation model (SAC) show that economic growth and the quality of institutional factors have a positive effect on poverty reduction. Also, increasing domestic investment also helps to reduce poverty. The spatial effects of poverty show that increasing poverty in a country can also cause poverty in neighboring countries. In general, economic growth can increase welfare and create new opportunities. Policies that support economic growth, such as financial development and economic stability, provide a favorable environment for poor households to increase their production and income. The research results show that institutional development and better quality of institutions (such as corruption control, government stability and democracy) have a positive effect on poverty reduction. Better institutional quality improves resource distribution and poverty reduction in the long run. Strong and reliable institutions can increase investment attraction and facilitate international trade. It also confirms the positive effect of domestic investment on poverty reduction. Increased investment increases production, income and welfare and reduces unemployment. Spillover effects of domestic investment can facilitate the transfer of knowledge and technology.

Investigating the impact of oil revenues on the economic growth of the marginal countries of Persian Gulf with an emphasis on the financial development channel: a threshold panel model approach

reza roshan

The economic growth rate indicates changes in the level of economic activity and a country's ability to produce goods and services, which can be used as a measure to evaluate a country's economic performance and compare it with other countries. In the case of financial development, the ratio of financial assets to non-financial assets increases, which can have an impact on increasing economic growth.The purpose of this research is to investigate the impact of oil revenues on the economic growth of Persian Gulf countries with an emphasis on the financial development channel. The countries under study include: Iran, Qatar, Kuwait, Saudi Arabia, Iraq, Bahrain, and the United Arab Emirates, and the research period was from 2003 to 2023. For this purpose, a two-regime threshold panel regression model was used. The findings show that the effect of oil revenues on economic growth through the financial development where the level of financial deepening is less than the threshold level channel is positive and significant for the first regime, So that before reaching the threshold, one percent in oil revenues increases economic growth by 9.87 percent. For the second regime, that the dependence financial development channel on oil revenues is higher than the threshold level. It is not meaningful. Also, the control variables of trade openness, gross investment, inflation, government consumption expenditure have had a positive and significant impact on the economic growth of the mentioned countries.

The impact of energy security on food security: A spatial econometric approach

parvaneh salatin

Food security, as an indicator of macroeconomic stability, is the fundamental foundation of countries' economic security and one of the most important prerequisites for sustainable development.
On the other hand, food production and distribution are energy-intensive, and energy is essential for achieving food security.
In this regard, the main objective of this study is to examine the impact of energy security on food security in a selected group of Middle Eastern countries. The results using spatial econometrics in the period 2000-2023 showed that access to electricity as an indicator of energy security has a positive and significant impact on food security in the selected group of Middle Eastern countries. With a one percent increase in access to electricity, on average, assuming other conditions are constant, food security increased by 0.1384 units in the selected group of Middle Eastern countries. The direct and indirect effects of energy are also positive, meaning that increased access to electricity has not only improved food security in the selected group of Middle Eastern countries, but its spillover effects have also moderately improved food security in neighboring countries.

Combined Analysis of Dynamic and Nonlinear Dependence between Housing Market Volatility and Construction Firms

SAEED KIANPOOR

Objective: The aim of this research is to investigate the dynamic and nonlinear dependence between housing market fluctuations and the returns of construction companies on the Tehran Stock Exchange.

Materials and Methods: The data used include construction service returns, land price returns, inflation, exchange rate returns, stock index returns, industrial production returns, and rental returns in the period 1991 to 2023 using T-GARCH, Copula-GARCH, and DCC-GARCH.

Results: The results indicate the existence of strong and nonlinear dependencies between the returns of construction services and housing market variables, especially the returns of land prices and rents. The T-GARCH model showed a high fit (R-squared=0.969) and confirmed that past shocks have a significant impact on current fluctuations. The Copula-GARCH model confirmed the nonlinear dependencies with an average correlation coefficient of 0.31, while the rolling correlation analysis in the DCC-GARCH model indicated dynamic changes in dependencies in different economic periods. The Kendall-Tao correlations in boom (0.928) and recession (0.923) periods also showed a small but significant difference in the intensity of dependencies. The sensitivity analysis showed that changes in industrial production have a significant impact on the returns of construction services.
Conclusion: These findings are useful for investors and policymakers in risk management and setting economic policies in the Iranian housing market.