Showing 4 results for Asgharpur
Dr Hossein Asgharpur, Dr Behzad Salmani, Majid Feshari, Ali Dehghani,
Volume 2, Issue 3 (3-2011)
Abstract
The investigation of determinants in Gross National Saving behavior especially effect of corruption, is one of the important issues in macroeconomics literature.
For this purpose, we use the corruption perception index in dynamic panel data approach (Arellano and Bond Method). The Empirical results indicate that the corruption perception index (reduction of corruption) has positive and significant effect on the gross national saving. The main results of model estimation for two groups of oil and non-oil countries of MENA, shows that in oil countries the elasticity of gross national saving is more than of non-oil countries and reduction of corruption can be increase the national saving in oil countries.
Moreover the results of model estimation shows that the inflation rate has negative effect and real per capita income and terms of trade variables have positive and significant effects on the gross national of saving in these countries.
Hossein Asgharpur, Firouz Fallahi, Naser Sanoubar, Ali Rezazadeh,
Volume 5, Issue 17 (10-2014)
Abstract
The main goal of this research is to calculate VaR index with parametric Markov-Switching GARCH approach for accepted companies in Tehran Stock Exchange and also selecting the optimal portfolio of their stocks. To calculate the index, data and information of weekly stock price of 10 representative firms during the period 2008-2014 has been used which account for 332 working weeks.
The results from estimation of VaR and determination of optimal stock portfolio in the non-linear programming framework showed that optimal portfolio of food-industry companies stock, in the context of VaR has higher returns and risk in the first regime (Boom period) compared to the second regime ( recession period). On the other hand, it has had lower weight in both stock portfolios that had lower average returns compared to the rest of the stocks and compared to the stocks which had lower VaR relative to other stocks that has higher weights.
The Kupiec and Lopez back testing using 10 future week data, showed that both of approaches is valid but the parametric approach has better rank. Therefore the optimal portfolios of stocks under parametric VaR will be accepted as final optimal portfolio.
Hamed Abdolmaleki, Hossein Asgharpur, Jafar Hghighat,
Volume 8, Issue 28 (7-2017)
Abstract
Money supply and velocity of money are important variables that affect inflation and product. Velocity of money is a key concept for economic policy, and it's getting more important since it is closely related to behavior of the demand for money. In this regard, Friedman believes that the volatility of money growth is the main factor of velocity of money, which in monetary economics literature is known as Friedman’s monetary volatility hypothesis. The purpose of this study is to explore and explain the fluctuations in the velocity of mony from the perspective of Monetarism. In this regard, using Iran’s economic quarterly data for the period 1988(3)-2015(1) and in the framework of causality test, the Friedman hypothesis based on the impact of volatility of money growth on velocity of money is tested for monetary aggregates (M1 and M2). The model used in this paper is extended VARMA, GARCH-M and the estimated method is quasi maximum likelihood (QML). The results support the Friedman hypothesis for the period under study; in other words, there is a causal relationship from money growth volatility to velocity of money.
Bahram Sahabi, Hossein Asgharpur, Saeed Qorbani,
Volume 8, Issue 29 (10-2017)
Abstract
In this study, using Dynamic Stochastic General Equilibrium Model (DSGE model) the hypothesis of asymmetry of monetary shocks in the Iranian business cycle during the period of 1979-2012 is tested on macroeconomic variables. The designed model broadens the analytical framework of dynamic equilibrium models with respect to the economic characteristics of an oil-exporting country. To extract business cycles, the Hodrick-Prescott filtering process has been used. The results of the research indicate that the effects of positive and negative monetary shocks during ascendancy and economic prosperity are asymmetric, so that the effect of positive shock during the recession period in the Iranian economy during the studied period was stronger than the negative shock level. On the other hand, the results show that the effect of positive shocks during the boom period in the Iranian economy on the price level changes its size in proportion to the size of the shock; however, the effect of negative shocks during the boom on the level of prices initially reduced inflation and then after a short time Inflation increases again. Therefore, it can be stated that in the economy of Iran both inflation and economic boom will increase. In the case of production and investment, this asymmetry is in a way that results in a broader expansionary policy in a recession and, in economic prosperity, the optimal political policy is contractionary.
