Journal of Economic Modeling Research

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  The power sector in Iran accounts for a share of 28.2 percent of the total CO2 emissions, so it is the biggest emitter of greenhouse gases. This study uses Logarithmic Mean Divisia Index (LMDI) technique to examine the role of five factors (economic growth, fuel intensity, electricity intensity, structure and quality of fuel) influencing CO2 emissions of the Power Plant sector in the period 1997-2008. Thermal efficiency and the fuel mix effects have been analyzed to determine the factors affecting changes in CO2 emissions index. The results show that the economic growth has the highest effect on the increase of CO2 emissions in the power sector during the whole period of study. Then, fuel quality effect, fuel intensity effect and the structure of production effect respectively, have influenced the growth of CO2 emissions. Changes in fuel mix have had the greatest effect on the increase of CO2 emission index, especially for the period 1387-83. Emission index displays that combined cycle power plant has the least emission index among all types of thermal power plants and hence it is the most suitable thermal power plant for the environment amongst thermal power plants .

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Municipalities are kind of organizations that due to their diversity in functions and obligations play important roles in urban management .Financing the administration of obligations (urban public finance) is one of the principal tools in achieving targets and urban-related plans. With a glance at the structure of current revenue sources of this administration, it can be found that there is a considerable dependence on the revenue from building permits. This has inappropriate consequences for the economy of cities. Hence, providing an appropriate model that in addition to the quality of being operational and administrative has also the suitable properties can help both the local managements and city economies. To finance municipalities, specific criteria have been offered. In this study, in addition to classifying and grading the presented criteria, the current sources (revenue items) have also been graded, using multi-criteria decision making. And also the pattern of minimum expenditures supply has been modeled. The analysis of urban public finance in Isfahan and generally in Tehran shows that despite having the proper potentials in acquiring some revenues the urban management system relies heavily on building permit. In metropolitan areas, up to 50% of expenditure is obtained from building permit. This is not an appropriate financial strategy. Finally, we suggest that municipality should finance all of its expenditures through tax on pollution and fuel, consumption tax and property tax.

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In the late 1990s and early 21 century there has been a very big rise in the price of housing in most countries including the United States and Japan. The same trend occurred in Iran in the years after the Iran-Iraq war and has continued up to the present. Housing in Iran has always had a mutual relationship with economic fluctuations including monetary policies. Thus the impact of housing on Iran’s economy is significant. In this applied- analytical research, the aim is to investigate the monetary transmission mechanism in the housing market in Iran during the years 1988-2006 by using a SVAR eight- variable model and seasonal data. The research found that the expansionary-monetary shock policy, which is the result of liquidity shock, has had a significant impact on housing prices lasting for 3 years at a time. Meanwhile, the price of housing explains about 20 per cent of the GDP changes in the study period.

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The foreign direct investment is one of the economic variables that can positively affect the economic growth, but according to some researches this does not apply to some countries. These researches implicate that this lack of positive effect is due to domestic qualification of the home country. One of the essential qualifications for positive effectiveness of foreign direct investment on the economic growth is the existence of developed financial market. Therefore, in this research we intend to examine the role of financial market in the effectiveness of foreign direct investment on the economic growth. To do this we made use of the data from 57 countries in the period 1990-2005 and the econometric technique of panel data. The results show that in developed countries because of their financial market, the effect of foreign direct investment on economic growth is positive and significant whereas in developing countries this effect is not significant.

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The main purpose of this paper is to examine the effect of merger, concentration and credit risk on the efficiency of Iranian Banking industry. To measure the efficiency of Iranian banking system, we have used the data of commercial & specialized bank's balance sheets during 2001-2007, and a parametric approach to estimate two empirical models. To estimate efficiency measures and determining main factors affecting the measures, we have used a Logarithmic - Linear form of a random Translog cost function. The results of the first estimated efficiency model show that the average efficiency measure of banking system in Iran is 54% and that the merger of the more inefficient banks within the efficient bank will cause the average efficiency measure rise to 70% The results of the second model - assessing the effecting factors on efficiency- show that the efficiency of banks has an inverse relationship with the concentration (competition in banking industry), and a direct relationship with the IT index (e-banking activity) and the facilities to assets and capital to assets ratios (as the indices of the credit risk).

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The purpose of this paper is to investigate the source of fractional reserve banking and to review the literature on bank credit. Evaluating the operational procedure of this banking model demonstrates a new concept of credit money shaping aspect and its affect on the practical economy. The difference in due dates between depositing and receiving loan that causes Ex-nihio money to exist, the effect of this money on prices along with economic instability are among the issues that have occupied the critic scholar's minds in fractional reserve banking realm. In this paper, the effects of the fractional reserve banking model on the consumption behavior are analyzed. Also, the view points of the critics of this banking model are addressed. In this regard, an inter-generational consumption behavior model based on Maurice Allais's perspectives has developed. Results show that optimizing the existing model is the true test of the consumption instability in a permanent state in the fractional reserve banking realm. Also, according to the results there exits the possibility of instable capital repletion under certain circumstances.

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Convergence hypothesis includes two types of beta and sigma. In this study, we examine convergence hypothesis among Iran’s provinces and discuss the effect of internal net migration in that context since 2000 to 2007. The results indicate that poor provinces grow faster than rich ones and there is beta convergence in Iran. About sigma convergence, we found that the dispersion of GDP per capita increase among these provinces over the years. Immigration is one of the factors that could influence economic growth of provinces and convergence among them. The results show a direct relationship between net immigration and per capita GDP growth of provinces. When the variable of net migration is included into convergence equation, it increases beta coefficient. So, net migration has a negative effect on convergence. Immigration flows more from the poor provinces to rich provinces and increases the gap among them.

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  The purpose of this paper is to analyze the effects of inflation on real investment in Iran. After briefly reviewing the investment theories and their situation in Iran, we consider the determinants of investment by using annual data (1958-2009).

  Results of the Augmented Dickey- Fuller (ADF) test indicate that all of the variables appearing in model are I(1). So, the results of the threshold regression model indicate that real GDP, the trade openness index and inflation rate can influence investment.

Results also show that the effect of inflation on investment follows an asymmetric adjustment process. The threshold level for the rate of inflation has been estimated 11.9 percent. If the annual rate of inflation exceeds this threshold level, it will have a negative impact on investment. But, if inflation remains below this level, not only the negative effect fades away but also rising prices can boost investment.

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  In this study we compare a set of Markov Regime-Switching GARCH models in terms of their ability to forecast the Tehran stock market volatility at different time intervals. SW-GARCH models have been used to avoid the excessive persistence that usually found in GARCH models. In SW-GARCH models all parameters are allowed to switch between a low or high volatility regimes. Both Gaussian and fat-tailed conditional distributions are assumed for the residuals, and the degrees of freedom can also be state-dependent to capture possible time-varying kurtosis. Using stationary bootstrap and re-sampling, the forecasting performances of the competing models are evaluated by statistical loss functions. The empirical analysis demonstrates that SW-GARCH models outperform all standard GARCH models in forecasting volatility. Also, the SW-GARCH model with the t distribution for errors has the best performance in fitting a model and estimation.

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  In this paper a new model for optimal investment in advanced manufacturing machines is proposed, using fuzzy linear programming. In the first step decision-makers determine the strategic objectives of the company and their minimum acceptable achievement levels, using fuzzy numbers. Thereafter, feasible alternatives and their degree of influence to the achievement of each objective are concluded in the form of linguistic variables. To construct the model, the degree of influence of each alternative in the achievement of the objectives are considered as technological coefficients, and the minimum level of acceptance of objectives are considered as constraints (right hand side variables). Furthermore, the mutually exclusive alternatives, the interaction between machines and the constraint of limited investment of budget are included in the model. The aim of the model is to determine the number of machines that needs to be purchased in order to maximize the present value of investment. The calculation of net present value is executed based on discount cash flow, inflation rate, interest rate, revenue and costs of each machine on a fuzzy environment. Finally by presenting an empirical illustration, the performance of this model is clarified.

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Efficiency analysis plays an important role in price regulation in the electricity distribution sector. This paper analyses efficiency and productivity of 38 electric distribution companies in Iran from year 1387 to 1389 (Iranian calendar year) by using slack based model (SBM). Super efficiency analysis is employed to rank full efficient companies. According to results, Tabriz, Ahwaz and north Khorasan companies have best performance among others. To examine importance of losses inclusion as input on super efficiency scores, statistical tests are utilized. Results indicate significant difference in super efficiency scores with and without accounting for losses. Average productivity index of total companies has declined by 4 percent under investigated period. Further, Panel data analysis applied to specify determinants of super efficiency of electricity distribution companies. According to results, Loss rate, network density and transformer load factor are the main determinants of super efficiency.

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The specification of money demand function is one of the most important and disputable subjects in economics. With regard to its importance, many of economists have represented several theorizes about money demand. The Sidrauski monetary model is an interesting theory of money demand. Sidrauski extended Ramsey model with regard real balance of money which in the Sidrauski model the utility function involves both consumption and money. Application of Sidrauski model can help to extend macroeconomics with micro foundations in Iran and prepares new scopes for researchers. The main aim of this paper is to estimate the Sidrauski monetary model for Iranian economy over the period of 1979 -2011. For this purpose, the Engle – Granger, ARDL and Johansen- Juselius approaches have been used for estimation of long run relationship of money demand. The empirical results of econometric estimation of co-integration vector indicated a long run relationship between per capita money demand, per capita consumption, and inflation rate, rate of interest, exchange rate, per capita income, and stock exchange price index. Our results showed that per capita consumption and per capita income have positive and significant effect on per capita money demand. Whereas inflation rate, rate of interest, exchange rate and stock exchange price index have negative and significant effect on per capita money demand.

  

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Changes infertility ratesasone of the factors affecting the demographic changes and its rolein the labor supply and there fore economic growth, as an important element ofsocio-economic development of every country is considered. So that the importance of demographic changes in each country in recent years has increased resulting aging population in general and specifically decreased fertility that increased concerns for the global economy and the majority of developing countries-including Iran. However, the range of empirical studies in incurred countries is very limited and in most studies, the surface shape of the subject has investigated in a simple line a reconometric model. Thus this study investigates the impact of fertility’s changes one conomic well-being in selected MENAcountries over the 1970-2010. We apply dynamic consumer optimization model that incorporates end ogenous fertility as well as end ogenous education and health investments offered by Prettner and et al. (2013). The estimation results of non-linear panel smooth transition regression model reports the negative effect of fertility and positive effect of revenue and population on effective labor force, which show that the quantity-quality trade off in population acts in favor of labor force and increases its quality and causes output growth and well-being. This issue is in ferable from positive effect of population on education and health-as delineator indices for well-being- in the countries under investigation.

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Extension informal and unorganized money and credit markets in Iran, is much broader than the official money markets. This problem causes a large difference between formal and informal money market loans interest rate in Iran. The large size of the informal market liquidity that can’t be guided by the monetary policies of central bank's and fiscal policies could help to increase the inflation rate in the country.
In this paper, we use the AHP method for to explore this topic that fits with the existing monetary and financial institutions, which sector is more appropriate for investment and targeted liquidity existing in society, in order to reduce inflation and stimulate growth in the industry. The results revealed the stock exchange is the best financial and investments institutions in order to reduce the inflation that caused by the high liquidity of the present.

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In recent decades the development of capital markets in developing countries, economic growth is desirable to have. Developed countries owe much of its development direction of financial markets, especially the stock market knows. The stock market is precisely the collection of savings and private capital to finance investment projects and on the other hand, an official and is confident that the owners of dormant savings can be relatively affordable and safe place to seek investment and their funds to invest in companies operate. The role of the stock market to boost the economy of countries like Iran and wandered from one side to the large amounts of capita and on the other hand, face a shortage of investment, is striking. Therefore, understanding the factors influencing the behavior of the stock market can be considered useful for the capital's economy. In this context, this study examines the impact of fiscal and monetary policy shocks on stock market Iran. Regression model to estimate the structural model and the data for seasonal 1991: 1-2010: 4 was used. The results of the model indicate that the short-term shock to the money supply (monetary policy instrument) and long-term government spending shocks (monetary policy instrument) Fluctuations of stock price indices explain. In other words, the impact of monetary policy on stock prices faster than the impact of fiscal policy. Because government spending through the stock market affects ,First government spending on aggregate demand and thus income consumers and the general level of prices affects subsequent stock price changes, but by changing the money supply, the faster people can spend their surplus cash available to purchase the stock of assets that form part of it. The lag effect of monetary policy is much shorter than the lag effect of monetary policy

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Regarding to studies in different countries the research and development (R&D) play a major role in economy growth. Investment in R&D increase level of knowledge, and we have increase in production efficiency by knowledge increasing, after that economic growth will improve by productivity channel. Many studies exist on the R&D but in any of them not used the same variable for this indicator. The time series of knowledge level is not visible because of complexity the calculations and measurements of this variable. In this study the level of knowledge is intended as an unobservable variable. After that using LP and OP method the time series of this variable is extracted during the period 1974-2014 for Iranian economy. Estimates this series will be an important way for future empirical studies in research and development. Algorithms and methods that used in this paper can be run for other countries. Based on LP method, results shows during the 40 years of knowledge for Iranian economy has upward trend and the averages of grow rate of knowledge level is 0.42 percent for each year.

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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.

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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.

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