Showing 298 results for Type of Study: Applicable
Sadeq Rezaei, Professor Mohsen Mehara, Ali Souri,
Volume 11, Issue 40 (6-2020)
Abstract
In financial markets, the symmetry of information and the homogeneous interpretation of information among traders is one of the main conditions for market efficiency, but these conditions are in fact violated. In this paper first; we accurately estimated the dynamic measures of trades stemming from information asymmetry and diverse opinions among investors indices by a hidden Markov model. Thereafter, we consider an event window of 21 days to investigate impact of information disclosure on that indices. For this purpose, we estimated the daily measures of probability of informed trading (PIN) and symmetric-order flow shock (PSOS) 32 Tehran Stock Exchange (TSE) stocks belonging to 11 industries of TSE during the period from 2015 to 2018. PIN is an indicator of asymmetric information risk and PSOS indicating diverse opinions among investors whose variations and intensity play an important role in price formation and stock liquidity. These results show that in most stocks that have higher market value experience less risks of asymmetric information and diverse opinions shocks than other stocks. Entirely, it appears that the average and the maximum of information risk and diverse opinions shocks at TSE are higher than in developed markets. Also, information disclosure decreases PIN for three days and increases PSOS for 10 days, significantly, but its impact on PIN is weaker than PSOS. Actually, in TSE, information advantage of some informed traders are independent of announcements as well as announcements causes opinion diversities to rise and stand up.
Matin Saneifar, Parviz Saeedi,
Volume 11, Issue 40 (6-2020)
Abstract
The corona virus has turned a health crisis into an economic crisis and its spread has led to strong negative reactions from stock markets in various countries and price fluctuations in many macroeconomic variables. On the other hand, the spread of the virus provides a basis for examining the effects of its prevalence on stock markets, economic variables and the power of influence and the speed of information dissemination in times of crisis in these markets. The aim of the present study was to investigate the effect of corona virus on the stock markets of 75 countries and the variables of oil, gold, silver and copper by comparing complex networks before and after the outbreak of the virus. Also, for the calculation section, matlab statistical software has been used and for drawing the networks, the maximum filtered flat graph method has been used with the help of daily data in the period from June 2019 to March 2020. the results show that before the outbreak of coronavirus, stock markets tended to move in small continental groups, but the outbreak of the virus led to negative group movements with high correlation for these markets, positive or negative information spreads 32% faster than before on the stock market network, also stock markets are twice as influential as they were before the outbreak. The corona virus has directly led to a 40% drop in stock markets. on the other hand, the virus has caused fluctuations in the global variables of oil, gold, silver and copper, which each respectively affected 55%, 32%, 28% and 35% of stock markets, the impact of these variables before the outbreak of the virus was 31%, 20%, 16% and 18% of stock markets, respectively. it is important to note that in crises due to the collective movements of stock markets, price stability in central stock markets and macroeconomic variables are very important to control and reduce the negative effects of the crisis on stock markets.
Majid Maddah, Mahla Sinaeyan,
Volume 11, Issue 40 (6-2020)
Abstract
Money Laundering (ML) reduces the confidence of investors to the financial market, worsen political instability and deviates resources allocation to unproductive sectors by weakening of financial institutions credit. In the ML, illegal resources are entered into the legal economy secretly and outside formal control whereby it has hidden nature. The aim of this paper is to study the different sizes ML and its changes in Iranian economy in the context of latent variables literature using Partial Least Squares Structural Equation Modeling (PLS-SEM) over the period 1360 to 1396. According to the results from paper firstly, drug trafficking and theft crimes have a positive and significant effect on ML trend. Besides that, economic conditions influence an individual’s motivation to enter illegal activities. Secondly, ML growth is associated with decreasing economic growth and increasing the volume of cash that waste economic stability. Thirdly, ML has an upward trend which based on it can be anticipated that in spite of crimes growth, especially drug trafficking, the increasing trend of ML will continue.
Mohsen Mehrara, Gholamreza Yavari, Haasan Yaseri,
Volume 11, Issue 41 (10-2020)
Abstract
Rice is the second strategic product after wheat and one of the most widely consumed food products in the country. Population growth, consumption and growing demand, price fluctuations and welfare effects due to changes in the amount and price of rice require the attention and planning and foresight of policymakers and the country's planning system. In this study, in the framework of inverse demand system, rice types (foreign rice 1 and 2 as well as four types of domestic rice) using cross-sectional data related to consumption and expenditure of urban households during the years 96-1392 were estimated by seemingly unrelated regression estimation (SURE) method. And from 4 systems of reverse demand IADIS, IROT, INBR and ICBS Only the inverse demand system IADIS It is compatible with the data of the research method and according to the results of the statistics, the correlation ratio is superior to the other three models In order to study the welfare effects, four scenarios were defined and by compensating the compensatory and equilibrium effects and combined changes were determined. Due to the share of more than 60% of first grade foreign rice and second grade foreign rice in the expenditure share of urban households, a change in the amount of consumption of this type of rice compared to domestic rice can have a more significant impact on household welfare. The results of changing the values of different types of rice on their prices in the form of different scenarios showed that if the consumption values of imported rice decrease, the price of this rice will increase. However, the rate of price change for different types of rice is not the same, and its intensity depends on the amount of traction and the scale of each. On the other hand, the demand for different types of rice will increase in the future for various reasons, including population growth, which if this increase in demand is not accompanied by an increase in market value, will increase the price of various types of rice.
Mojtaba Rostami, Seyed Nezamuddin Makiyan,
Volume 11, Issue 41 (10-2020)
Abstract
Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial economics for modeling and calculating volatility. In the first approach, conditional variance is modeled as a function of the square of the past shocks of return on assets. Models of the GARCH type fall into this category. In the alternative approach, volatility is assumed to be a random variable, which evolves using nonlinear patterns of Gaussian state space. This type of model is known as Stochastic Volatility (SV). Because, SV models include two kinds of noise processes, one for observations and another for hidden, volatility, thus, they are more realistic and more flexible in calculating volatility than GARCH type. This study attempts to analyze the volatility in stock returns of 50 companies, which are active in Tehran Stock Market using symmetric and asymmetric methods of Stochastic Volatility, which is different in the presence of leverage effect. The empirical comparison of these two models by calculating the posterior probability of accuracy of each model using the MCMC Bayesian method represents a significant advantage of the ASV model. The results in both symmetric and asymmetric methods represent the very high stability of the volatility generated by the shocks on stock returns; therefore, the Tehran Stock market changes in returns due to this high sustainability will be predictable.
Naser Yarmohamadian, Bahar Salarvand,
Volume 11, Issue 41 (10-2020)
Abstract
Some unique characteristics of housing goods such as spatial dependency, heterogeneity and durability make housing market analysis different from ordinary goods. However principles in ordinary goods market such as profit maximization are used by developer in housing market. one of the housing market characteristic is that land as a most important input for housing services production has low demand elasticity because of its scarcity. This always makes housing services developer in housing market to substitute capital (construction materials) instead of land. In economics, for demonstrating this kind of substitution, elasticity of substitution is used. Since land has a local market and the intensity of scarcity in cities is different so there are different numbers for elasticity of substitution in different cities and regions. This paper is trying for estimating elasticity of substitution n a median city by gathering data survey. The results show elasticity of substitution between land and capital in housing services production in city of Dorud is 1/04 percent in 2018.
Seyed Reza Mirnezami, Sajad Rajabi, Fazel Moridi Farimani,
Volume 11, Issue 41 (10-2020)
Abstract
Reducing or eliminating subsidies for the electricity sector in the economy is a good way to control the daily consumption of electricity and balance the cost of supply and demand players. By increasing or decreasing electricity subsidies, indirect taxes are reduced or increased. Under these conditions, assuming the stability of primary inputs and the stability of power generation technology and based on input-output modeling, the effects of rising electricity prices on the prices of manufactured goods in the 75 economic sectors were measured. The results of this simulation, which was performed under three models of electricity price increase of 7%, 16%, and 23%, show that the "communications", "manufacturing of food products" and "manufacturing of non-classified non-metallic mineral products" sectors are the highest. Taking into account the total benefits of increasing the price and its socio-economic costs for residential subscribers, the scenario of "increasing the tariff price of residential subscribers by 7%", "increasing the tariff price of public consumption by 16%", "increasing the tariff price of Water and Agriculture Production subscribers by 16%", "Increasing the tariff price of Industrial and Mining Production Subscribers by 23%" and finally "Increasing the tariff price of Other Uses Subscribers by 23%" can be a proposed tariff in increasing the price of electricity.
Seyed Ali Naseri, Farkhondeh Jabal Ameli, Sajad Barkhordary Dorbash,
Volume 11, Issue 41 (10-2020)
Abstract
Systemic risk arises from simultaneous movement or correlations between market segments; Thus, systemic risk occurs when there is a high correlation between the risks and crises of different market segments or institutions operating in the economy, or when the risks of different segments in a market segment or a country are related to other segments and other countries. This paper presents a measure of systemic risk calculation to effectively describe the systemic importance of each financial institution in a system. The DCC-GARCH methodology with normal and t-student distributions has been used to examine the correlation of time-varying banks. The results of this section show that the application of DCC-GARCH-student-t model is preferable to DCC-GARCH-normal model. In order to investigate the presence of leverage effect, GJR-GARCH model was used and the results of estimation showed the presence of asymmetry and the absence of leverage effect in the data. In the study of dynamic conditional correlation between selected banks, it is also observed that α_C ,β_C are not significant for both estimation cases. Therefore, in both cases, it is estimated based on the normal distribution and t-student α_C=β_C=0 and the conditional correlation becomes constant. Based on the results of shapley value and in order to allocate the total risk between the banks in the sample, Parsian, Mellat, EN, Tejarat and Saderat banks have the most systemic importance for the period of June 17, 2009 to May 7, 2019.
Samaneh Mohamadkhani, Mohammad Hassan Fotros, Mohamad Mowlaei,
Volume 11, Issue 41 (10-2020)
Abstract
The importance of non-oil exports and their role in the economic growth and development of countries has always been discuss as an important issue in the economy. Meanwhile, the role of high-tech exports in the growth of developed countries has been significant and developing countries, in order to succeed in the growth of production and export of their industrial goods under the constraint of globalization, have no choice but to increase production and export of high-tech products, use more advanced production techniques and save on production costs. This is especially true in the case of Iran, which has always faced the problem of macroeconomic indicators due to its dependence on oil revenues and the destructive impact of oil revenues on political and economic issues, especially the issue of oil sanctions. In this regard, the aim of the present study was to investigate the factors affecting the export of high-tech products based on the four-digit ISIC codes in Iran in the period 1397-1375 using the ARDL Panel method.
The results of the study show that the costs of domestic research and development, foreign accumulation of research and development and commercialization in the short and long term, and the degree of openness of the economy and human capital in the long run have a positive and significant effect on high-tech exports in Iran. Also, the exchange rate in the short term has no meaningless effect and in the long run has no negative and significant effect, and inventions in the short and long term have no significant effect on the export of these products.
Yahya Soleimanimagham, Younes Nademi, Mehdi Chegeni,
Volume 11, Issue 42 (12-2020)
Abstract
Crime is a phenomenon that exists in all societies and affects the useful functioning of different parts of a country. Also, Iranian society is not safe from the harms of this phenomenon. Given the destructive effects of crime in society, recognizing the factors affecting it makes it possible to fight it more effectively. For this purpose, this study has investigated the effect of misery index on the rate of theft in 30 provinces of the country during the years 2008-2018. In order to achieve this goal, the Panel generalized method of moment (GMM) has been used. The findings of this study have shown that the misery index has an increasing effect on the crime of theft. In other words, the misery index through the two channels of inflation and unemployment has destructive effects on people's living standards and puts them on the path of committing crimes such as theft.
. Mohammad Rezvani, Yadollah Bostan, . Milad Etghaei, Dr. Ahmad Fatahi Ardakani,
Volume 11, Issue 42 (12-2020)
Abstract
Investigating consumer behavior and rationalizing it in selecting different goods and services is important because it measures individuals 'preferences over domestic or foreign goods and demonstrates the impact of impulses and policies as a structural failure or a change in individuals' preferences. In other words, the validity of the assumption of rational consumer behavior is examined. The test of revealed preferences is a powerful way of examining changes in family preferences. Therefore, the purpose of the present study is to investigate the stability and structural failure of urban consumer preferences for bread basket in the period 1996-1999 using strong and weak nonparametric test of revealed preferences in Iran. Initially, the weak preferences matrix revealed using average price data and the amount of bread types derived from household expenditure and income plan in urban areas and comparing consumer choices over different time periods. The results of the WARP matrix analysis show that there are no inconsistencies in the bread basket consumers' preferences. Due to the absence of violations in WARP, further changes in preferences using SARP were investigated. The results showed that rational behavior of bread consumers in urban households of Iran is rejected. Also, the results of K-W statistics indicate that there is a structural change in 2014 and indicate that there is no effect of transient shocks and structural failure in urban consumer preferences for bread. Given the years of failure of the utility function and the rationalization of consumer behavior and rational behavior, it is suggested to consider this in estimating the bread demand function of households.
Mohammad Tohidi,
Volume 11, Issue 42 (12-2020)
Abstract
Noise traders make decisions based on market sentiment and buy and sell assets based on unrelated information. These traders generally have poor timing, follow trends, and overreact to good or bad news. The experience of financial markets shows that noise traders cause excess volatility and deviation of the stock value from its intrinsic value. This study seeks to evaluate the role of noise traders on the occurrence of bubbles in the Tehran Stock Exchange in the period 2011 to 2017 .Therefore, the research hypothesis is: "The effect of noise trading on the occurrence of bubbles in the Tehran Stock Exchange is positive and significant." In this study, PCA method is used to extract a composite sentiment index, The GSADF method also is employed to determine the bubble periods of the Tehran Stock Exchange price index. Finally, the logit method is applied to measure the effect of noise trading on the bubble in the stock market price index. The results show that the effect of noise trading on the occurrence of bubbles is positive and significant. Also, the estimation of the final marginal effect indicates that the increase of one unit of optimistic sentiment and optimistic sentiment with a lag in the stock market increases the probability of bubbles by 24 and 28%, respectively.
Shahryar Zaroki, Mastaneh Yadolahi Otaghsara, Arman Yousefi Barfurushi,
Volume 11, Issue 42 (12-2020)
Abstract
The lack of social security supports and labor market laws in informal employment has strengthened the expectation that poverty in a family in which the head of the household chooses informal employment is greater than in a family in which the head of the household works in the formal sector. Hence, this study attempts to investigate the effect of informal employment with other factors affecting household’s poverty. To this aim, by using the microdata plan of costs and incomes of urban and rural households in 2018, first, the poverty line was calculated based on 66% of the average annual household expenditures by provincial division for urban and rural areas; and poor households were identified as well. Then, according to the presented index in this study, heads of households' employment types were formally and informally determined. In the primary data processing, a comparison between households with employed heads showed that the highest poverty rates were for households whose heads work in informal employment. Next, the estimation of the research model with the dependent variable limited to the basis of pseudo-panel data and random effects in logistic regression was performed in a separate format for 13248 urban households and 13115 rural households in 31 provinces. The results showed that the informal employment of the head of the households has a direct effect on the possibility of household poverty and the rate of influence in urban areas is higher than in rural areas. Furthermore, the head of the household's education, age, and gender have an indirect effect; and the square number of age and size of the household variables have a direct effect on the probability of household poverty. In such a way that the desired effect of education and age, and the undesired effect of the household dimension on the probability of household poverty in urban areas is greater than in rural areas.
Mohammad Noferesty, Mehdi Yazdany, Fahimeh Mohebbinia,
Volume 11, Issue 42 (12-2020)
Abstract
Over the past decade, Iran's economy has undergone a major and rapid experience of currency changes. One of the most important questions during the currency changes of the last decade is to answer the important question of how much the devaluation of the Rial has led to an increase in domestic prices and the extent to which these effects affect various dimensions of the domestic economy. Measuring the range of price changes in response to currency changes can be found in the phenomenon of currency transitions. The aim of this study is to analyze the inflationary effects of foreign exchange passage on the levels of imported and producer prices at different stages of production and separately in the productive sectors of the economy and also to determine the effective factors in foreign exchange passage by resorting to supply side variables in Iran's economy. The present study presents a new approach for measuring exchange rate crossings on production chains by combining econometric tools and Input-Output table in embedding and separating the estimation of exchange rate pass coefficients in two stages on import and producer prices. Industry by using the tools of Input-Output table segmentation and considering variables based on information specific to each economic sector, such as; The import sector, the export sector, the production of each sector, provide sector linkages in estimating the exchange rate passage in the Iranian economy. These measures are based on three types of time series analysis, Input-Output analysis and Panel data analysis from 1986 to 2017. Findings of the research in stage 1 indicate the high dependence of many industrial and economic sectors of Iran on imports and low elasticity of imports to the exchange rate and no substitution by domestic products. In the second stage, the coefficients of exchange rate passage on the producer are positive and significant in almost all economic sectors, and this fact confirms the effectiveness of the producer price index in the Iranian economy from changes in the exchange rate (through imports). also; The passage of the exchange rate on producer prices varies between different years in different sectors, and in some economic sectors these changes have increased over time, which indicates the increasing dependence and increasing impact of import prices on producer prices over time. It is in the policies adopted. Also, the results in stage 3 indicate a negative and significant effect of export share coefficients and the natural logarithm of domestic production and have a positive and significant effect of share coefficients of intermediate import inputs and inter-sectoral linkages, but the share of intermediate imports among other variables. It has the highest impact on the exchange rate of economic sectors
Abed Abbasidarkhaneh, Farid Askari, Abdolrahim Hashemi Dizaj,
Volume 11, Issue 42 (12-2020)
Abstract
In this study, using linear and nonlinear Granger causality methods and regression switching, the relationships between the returns of important industry indices in the period 2008 to 2019 in order to invest in economic growth and development were examined. Based on the results obtained in the two periods of 2008 to 2013 and 2018 to 2019: 6, the relationship between the returns of the studied industry index has reached the highest value. In the linear Granger causality approach based on centrality criteria, the returns of metals index, machinery and investment are the most important and the returns of communication and banking index are the least important. It can also be said that the degree of effectiveness and efficiency of industry index returns is well affected by the amount of stock market fluctuations and this importance is asymmetric. In the nonlinear Granger causality approach based on the centrality criterion, the communication sector is the least important and the basic metals, chemical and machinery industries are the most important. In the period 2018 to 2019, the banking sector, automotive and communications industries are the most important and oil and metal products are the least important for investment.
Hossein Tavakolian,
Volume 12, Issue 43 (3-2021)
Abstract
After the imposed war, Iran's economy has seen two relatively successful experiences in controlling inflation. These two periods include the final years of the Third Development Program and the Joint Comprehensive Plan of Action (JCPOA) term. This is while we are seeing a relatively high inflation rate in other periods. In this paper, based on literature on monetary rules and using a Time-Varying Parameter Bayesian Structural Vector Auo Regressive (TVP-BSVAR) Model with stochastic volatilities, we study a rule-based monetary policy or a systematic monetary policy and a non-systematic monetary policy (based on the stochastic volatilities of monetary shocks). The results indicate that in addition to the systematic monetary policy obtained from the model, the success of monetary policymakers in controlling inflation is not only due to inflation control per se (thst is systematictic) but also for non-systematic reasons such as fiscal policy through fiscal discipline and oil revenue management by both monetary and fiscal policymakers that does not fit into the framework of systematic monetary policy.
Dr Mohammad Noferesti, Dr Mehdi Yazdani, Nasim Babaei, Hasanali Ghanbarimaman,
Volume 12, Issue 43 (3-2021)
Abstract
Banking system is one the important sectors of economy and as vital institution of money market, plays a very significant role. Also, due to the nature of the banking system performance, the activities of banks have a close relationship with the exchange rate changes. This paper tries to assess the effects of exchange rate variations on macroeconomic variables via the banking system using a macro-econometric model and approach of bounding ARDL during 1973-2017. The results indicated that an increase in the exchange rate through non-performance loans and long-term deposits will led to decreased credit providing by the banking system. On the other hand, an increase in the exchange rate through the net open position and banks’ capital account had a positive impact on banks’ credit provision. However, the negative impact of a change in the non-performance loans and long-term deposits is stronger than the positive impact of the net open position. In addition, the decreasing trend of providing credit by banking system had a negative effect on investment. Finally, an increase in the exchange rate causes a decrease in the long-term deposits and the money multiplier which has a negative effect on liquidity and price level. An increase in the exchange rate through the capacity utilitization rate had a negative impact on GDP. Also an increase in the exchange rate led to increased liquidity and price level.
Davood Manzoor, Sajad Rajabi, Reza Ranjbaran,
Volume 12, Issue 43 (3-2021)
Abstract
With the outbreak of the coronavirus in countries around the world and its rapid spread, governments have decided to impose restrictions and social distancing. Restrictions and closures of businesses and economic activities, and changes in supply and demand patterns during this period, have exacerbated concerns among economists. This article deals with the issue of changing primary energy consumption in 18 countries in the MENA region. To this end, 10 different scenarios of the future state of the disease and its limitations have been considered. The results show that according to the best scenario (rapid and complete improvement of the epidemic), Libya with 4.38% and Iraq with 3.39% will have the largest decrease, and according to the worst-case scenario (explosive disease exacerbation and complete quarantine), Libya with 12.6% and Syria with 12.3% will have the greatest reduction in primary energy consumption. The three countries, Syria, Lebanon, and Iran, also had the most differences in the pessimistic and optimistic scenario. Also, taking into account the total changes in the primary energy consumption of these 18 countries, according to the most optimistic scenario, the primary energy consumption will be reduced by 1.5% and according to the worst-case scenario, it will be reduced by 8.8%.
Dr Hassan Daliri,
Volume 12, Issue 43 (3-2021)
Abstract
Identifying the behavior of business cycles and factors affecting business cycles has always been one of the most important issues in macroeconomics. Importance of business cycles and the unique economic structure of OPEC member countries, so, this article identifies the behavior of business cycles in these countries. This study uses Quantile Panel Regressions Model to examine the impact of variables such as government expenditure, trade openness, liquidity growth, oil prices and two dummy variables of the global recession and the Joint Comprehensive Plan of Action (JCPOA) agreement on the formation of business cycles in OPEC countries in the period 2000-2019. The results show that the values of the coefficients of each variable in different quantiles were significantly different from each other. Government expenditure and trade openness in the initial quantile has been in the agreed direction to the cycles and the End quantile opposite direction. The results of the effect of liquidity growth show that in the initial and end quantile has been agreed with direction to the cycles and in the middle quantile opposite direction to the cycles. Oil prices have also been agreed with the direction of the business cycles. The Joint Comprehensive Plan of Action (JCPOA) agreement variable in the first quantile has a significant impact on business cycles and the global financial recession has also acted against cycles.
Adel Hanifi, Farhad Khodadadkashi, Yeganeh Mousavi Jahromi,
Volume 12, Issue 43 (3-2021)
Abstract
The main purpose of this paper is to measure the multidimensional inequality index. To achieve this goal and answer of what trend inequality has gone through during the study period, using the data of the household expenditure income plan of the statistical center of Iran and also using the Bourguignon index, inequality was measured in several dimensions for the period 1984-2018. In addition, it should be noted that in this study, household expenditures were initially adjusted based on age composition and number of household members by calculating the equivalence scale. This adjustment was made possible by estimating the share of expenditures of different commodity groups by considering its functional form in the the quadratic almost ideal demand system (QUAIDS). Then, using data mining techniques and Principal Component Analysis(PCA), the weight of the studied dimensions in the analysis (income, education and health) was calculated and when measuring inequality, the degree of social aversion of inequality was considered in the form of two scenarios, zero and one. the results of this study indicate that the magnitude of multidimensional inequality per zero value for both the degree of social aversion of inequality parameter and the degree of substitution parameter based on the Bourguignon, index is between 0.28 and 0.41 in urban areas and between 0.26 and 0.41 in rural areas. fluctuations in the Bourguignon index and the Gini index of income have not necessarily been similar. The findings of this study also showed that the size of multidimensional inequality in rural areas is lower than urban areas in most of the years studied. There is an approximate similarity between its trend in urban and rural areas. Inequality in the 1980s was higher than in other periods (despite higher oil revenues than in the previous and subsequent periods and more government shares transferred than in previous periods), in the early 1390s, declined, and then increased again. Finally, the research findings indicate the failure of the egalitarian goals of development programs and thus emphasize the need for a fundamental review of the forthcoming programs with more attention to distribution by the market institution rather than the government.
