Journal of Economic Modeling Research

In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are considered as inputs in the utility function. After estimating the systems of Euler equations using generalized moments method, MSE, MAE, and HJ criteria were used to select the most suitable model for estimating the share of variable of real money balance. The above criteria show that the model with the input of liquidity (M2) and preferences with constant relative risk aversion is the most appropriate model. The results indicate that the share of real money balance in the utility function of Iranian households is statistically significant and is about 34%. Therefore, considering the contribution of the monetary variable to the utility function which is relatively significant, it is emphasized on its entry into the utility functions used in asset pricing models.

The pension coverage of the Iranian Social Security Organization for self-employed workers is offered at three contribution rates of 12, 14 and 18 percent, but looking at the statistics shows that the demand for these types of insurances is low. This research investigates the characteristics of these insured groups by using data mining and applying two machine learning algorithms, decision tree and random forest, and predicts their behavior by providing a classification model. This will help the Social Security Organization to improve customer relationship management. For this purpose, the information of 1286174 insured persons of self-employed in 2020 was used, which includes the characteristics of age, gender, average monthly income, the years of service, and the type of self-employed pension scheme. The obtained results show that women mainly apply for the scheme with 12 percent contribution, while men tend to be covered by schemes with contribution rates of 14 and 18 percent due to the burden of supporting the family. Also, for men, the demand for schemes of 14 and 18 percent increases with the increase of age, income and years of service, but there are no such trends for women. According to the obtained results, years of service and then gender are decisive in choosing the type of pension scheme in such a way that according to the prediction of the model, people with less than 4.5 years of service are known as definite applicants for 12 percent self-employed pension scheme.