Journal of Economic Modeling Research

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This article seeks to modeling social welfare functions, for assessment of how distribution of transfer payment among socio-economic levels. We consider providing social welfare functions two scenarios, first the each socio-economic levels receives amount of transfer payment equal to others, and second the each socio-economic levels receives that with weighted preferences. The four basic functions determine optimal value of how distribution, and then calculate actual value of that by transforming COICOP to ISIC . Finally the difference between optimal and actual values is determined for rural and urban society and for first and second scenario. At the first scenario the difference between optimal and actual value is smaller than second and this difference at rural society is greater than urban society. The other hand the welfare distribution at the former is worse than later.

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With regard to importance of investment as an engine of economic growth many economists such as Wicksel, Keynse and Harrod believe that investment is the main source of business cycles. Hence this study specifies investment function according to a basic macroeconomic model such as Ramsey model. Application of Ramsey model can help to extend macroeconomics with micro foundations in economy of Iran and prepares new scopes for researchers. The main idea of this study is specification of investment function according to Ramsey model and its estimation by cointegration technique for period (1990:Q1-2007:Q4). The result of econometric estimation indicated a long run relationship between investment, capital stock, and shadow price of capital, installation cost of capital, capital price and terms of trade. Results showed that capital stock, shadow price of capital and terms of trade have direct effects and, installation cost of capital and capital price have inverse effect on investment.

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  Environmental Kuznets Curve ( EKC) theory has evolved over several decades from its initial intuitive conception to the complex theoretical models of today. Through successive steps of empirical and theoretical debate, a quadratic relationship between income and environmental degradation has been proposed, criticized, defended, and criticized again.

  Along the way, each finding have new look at the subject. Critic that is provided by Mazzanti et al. (2007) and Stern (1998) is that instead of attempting to gain insight into the underlying mechanics of an EKC theoretical foundation, there are undue focus on exploring empirical regularities among a large set of variables. These critics from opponent and supporter cause researcher to review their approach and take more concerns on details and methodology of EKC theory that make the way of theoretical works.

In this paper, a microeconomics model is provided in which household confront with decision about consumption of dirty and clean goods. It is showed that household make decision in the way that, as income increases, environment pollution rise at first and then fall when household substitute dirty goods by clean goods.

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  Public-Private Partnerships (PPP) models using the capacities of private sector have provided a background to supply public services and infrastructures in different ways. Transportation sector as a fundamental sector of economic development in Iran needs public-private participation models. For this purpose a theoretical literature of public-private partnerships has been reviewed and then the barriers to the development of such partnerships in transportation sector of Iran economic, infrastructure, legal and social areas were investigated. Finally with AHP, TOPSIS and SAW methods of Multi Criteria Decision Making (MCDM)the barriers were prioritized and their relative importance was analyzed. The results of three methods indicate that factor of financial markets limitations and availability of financing is the main barrier to the development of public-private partnerships. Although there is a little different among the results of TOPSIS in rating some final factors compared to other two methods, by calculating rank correlation coefficient (Spearman) the null hypothesis(the lack of correlation between the results) was rejected and with 99.75 percent probability all of the result are similar. Ranking results of barriers to the development of public-private partner ships in this study can be taken into consideration in policymaking and determining the requirement to use these models in the fields of transportation and other infrastructural areas.

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    This paper examines the effects of different variables on inflation in the monetary economics using endogenous growth models. So, different aspects of inflation formation were analyzed based on micro-foundations. We investigated the role of imported inflation, fiat money, expectations, monetary base and capital accumulation on inflation using an endogenous growth model. An ARDL approach was utilized to estimate the model for Iranian economy during 1979 -2008. The estimation results show that imported inflation affects the inflation through the exchange rate channel. Also, expectations, capital return and monetary base play an outstanding role in Iranian economy.

 

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  D’Alessandro’s (2010) model investigates the impact of total government spending on private consumption but according to Barro’s (1981) suggestion, the impact of two groups of government spending on private consumption can be studied separately. The fist group produces utility affecting services for household and the second group is as an input in the private production process. So in the present article, we use d’Alessandro’s (2010) framework -after some changes in household utility function and the production function- for estimating the separate effects of two groups of government spending on private consumption.

  In the next step, the data for Iran (1959-2007) is considered and the estimation results show that the first group of government spending for household consumption in short run is Edgeworth complement and in long run is Edgeworth independent. While government spending in case of the second group has a positive relationship with household consumption both in long run and short run. Thus, this paper proposes particular attention to changes in the composition of government spending in favor of government consumption spending as an input (second group) rather than expenses affecting the utility of households.

 

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  The ultimate goals of the monetary policy are price stability and the output growth. Monetary policy instruments are interest rate and the growth rate of monetary base. One of the well-known rules in conducting monetary policy is Taylor rule, through which, central banks change the interest rate while taking into account the output and inflation distortions. There are two problems with applying Taylor rule in Iran: First, the weak micro-foundation of the rule and second, according to this rule specially in the short run, instead of interest rate the policy variable is the growth rate of the monetary base. This research extends Taylor rule by explaining micro-foundation of the rule. So, using Generalized Method of Moments (GMM), we investigated the consistency of the Iranian central bank’s reaction function with extended Taylor rule in the period 1979- 2008. The empirical results show that although monetary authorities react appropriately with respect to output distortion, but their reaction is not appropriate with respect to inflation distortion.

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This paper presents an AHP and FLP model for the allocation of energy subsidies to different economic sectors. To do so, we defined a group of socio-economic criteria that may affected by the allocation of energy subsidies. These criteria are: economic growth, energy intensity, labor intensity, inflation, social cost of air pollutions and distribution of energy subsidy among socio-economic levels. According to calculated weights, we determined the priority of the above mentioned criteria. Also, according to the optimum overall rank of economic sectors, the commercial sector has the highest rank followed by industrial, agricultural and household and transportation sectors. After determining the final coefficients of AHP approach, we determined the allocation of energy subsidies using linier programming approach. We also considerd the change in technology and consumption patterns of household and transportation sectors. Results show that the share of energy subsidies allocated to commercial and transportation sectors should increase to 30.4 and 28.6 percent respectively.

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The concept of “Innovation” has changed considerably in recent years. According to new theories, the innovation emerges in a system of interrelated elements and determinants during which the idea changes to a commercialized output or process. The literature on the innovation has concentrated mainly on various aspects of innovation chain separately. In this paper we tried to investigate the general effects of the whole elements of the innovation chain simultaneously. These elements are: R&D expenditures, physical capital formation, human capital and patent filling (residence and non-residence). We utilized multivariable time-series methods including cointegration and vector error correction model (VECM) to assess the long-run effects of innovation elements on total factor productivity in Iran. Results show that excluding the human capital variable, other elements of innovation chain have positive effects on TFP among them, residence and non-residence patent filling having the normalized long-run coefficients of 0.58 and 0.48 respectively, are the most important factors affecting TFP in Iran.

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Simple sum monetary aggregation approach that based upon perfect substitution of monetary components assumption is inconsistent with microeconomics theories. In this research, using quarterly data of Iran over period 1370:1–1388:1, we first calculate monetary aggregation based on divisia index for both measures of money (M1, M2) and then estimate the demand functions for money for divisia and simple sum monetary aggregations separately. The results show that the adjustment speed of divisia aggregations is more than that of simple sum aggregations and the demand functions for money that construct by divisia aggregations, are more stable.

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Unobservable productivity shocks cause selection and simultaneity problems in firm’s decisions and these problems cause estimators such as ordinary least squares, have biased estimation for coefficients of production function inputs. In this study, data of five automaker companies in the period of 1383-1387 have been used and production function of car industry have been estimated by ordinary least squares, fixed effects, random effects, Olly and Pakes (1996) and Levinsohn and Petrin (2003a) approaches. The results show that fixed effects and Levinsohn and Petrin (2003a) approaches can’t be appropriate for the production function estimation of car industry. In other words, reaction of automaker companies to productivity shocks will not be done through adjustment in labor, capital and energy demands and there is no significant correlation between inputs adjustment and productivity shocks in car industry. But estimated coefficients of energy and capital in semiparametric, random effects and ordinary least squares approaches show that estimated coefficients of energy and capital in random effects and ordinary least squares approaches are upwardly and downwardly biased, respectively. These results are perfectly consistent with the viewpoint of Olly and Pakes (1996) about bias of traditional estimators and show that automaker companies, in response to the productivity shock, adjust their investment level. In addition based on estimation of semiparametric approach, output elasticity of capital and energy will be respectively 0.82 and 0.64.

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Money is a facilitator of economic activities, thus, formatting of economic activity is dependent on the institutionalizing of monetary system. In common monetary system, the weakness of common perception about money, publishing and distributing mechanism led to inefficiencies in optimal allocation of resources and welfare cost of inflation tax. Partial equilibrium model in compare with general equilibrium model, underestimate welfare cost of inflation tax. Therefore, in dynamic optimization model, the equation of welfare cost of inflation tax, in addition to general equilibrium model of Lucas, derived from theoretical correction of demands for real money balances. Then welfare cost compared theoretically and experimentally in partial and general equilibrium model. Theoretical and experimental results indicate that the welfare costs of inflation tax in general equilibrium models, is an upper bound of partial equilibrium models. Also, given that the elasticity of demand for money in regard to the nominal interest rate, the welfare cost of inflation tax increases with nominal interest rate and inflation.

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Transportation has been one of the human primary needs and it has been found a wider range with the economic and social development, today it’s considered as a symbol of civilization. It is one of the infrastructure sections in every society that, it not only influences on the development process but also will be changed during development. So, this study investigated the effect of transportation infrastructure on economic growth in some of Iran's provinces by using of panel data model and data from 2000 to 2011. The results indicate that transportation infrastructure as a variable had a positive effect on economic growth. Moreover, provinces that had more populations could help the promotion of the economic growth by changing the underlying structures such as the transportation capacity and the quality of the transportation systems.

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"Market efficiency" is the basic axiom of Financial Economics and fondamental base for ability of optimal allocation (of financial resources) in a capital market. Vast and extensive studies around Market efficiency in recent decades, has induced strong evolutions in economist’s perception from a Market efficiency, methods of assessing and their implications in real world. This essay attempts to procure a concise leterature review of these evolutions. Results show that applied methods in Iran are incomplete in regard with new addvancements in foreign studies. So, weak form efficiency of Tehran Stock Exchange is reevaluated using new method of H statistic of Hinich. Results of empirical study shows that weak form efficiency is rejected for all the sample as a whole. But, market efficiency would be in evolvotion in studied periods based on used H statistic in this article. Also, market efficiency experienced an stationary improvement  from 2005.

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The main objective of this study is to identify factors affecting labor force participation rate of economic and spatial relationships of provinces in Iran. For this purpose, Moran statisticsas univariate and spatial regression (spatial lag model) were used based ondata from the 2011. The results of Moran statisticsas univariate and spatial regression showed that Iran states are cluster status about labor economic participation. Also, the results of spatial lag regression showed that variables such as spatial lag of participation rate, industry's share of total employment, Gini coefficient, dependency ratio and the share of private sector employmentin the states have positive and significant effect on economic participation rate. With respect results, we proposed increasing financial in centives in the labor market, delegating tasksto the private sector and industrial development to create value-added.

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In many Developing Countries liberalization of international trade has been accompanied by demand for skilled labour and inequalityof wages.Thisphenomenon seems to be inconsistant with the Stopler- Samuelson Theorem.Studies in this respect show that imported high –tech capital andintermediate goods are skill-based, thus increasing the relative demand for skilled labour.
In such circumstances, identifying the impact of such goods upon the demand for skilled labour in Iran is of great importance.
In this paper, by using Translog cost function and the Method of Seemingly Unrelated Regression, short and long run demand function for the period of 1977- 2014 in Iran has been estimated. Althoug the short and long –run results arecompatible with the theortical expections, the investment on domestic research and development regarding the employment of skilled labour has been effective only in the long-run and not the short –run.

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In this paper we analyzed the strategic interaction between government and central bank in Iranian economy. Using dynamic differential games and Nash equilibrium within cooperative and non-cooperative setting, we try to find the optimal values of debt, deficit and monetary base. The results of simulation show that in cooperative case the level of equilibrium debt is lower than the non-cooperative case and converge speed is higher in cooperative setting than non-cooperation setting. Also in cooperative case than non-cooperative case, less creation of money and less government deficit are needed for debt stabilization in long run. The results also show that in both cooperative and non-cooperative cases under uncertainty, more active policies are used to track debt to its equilibrium level. These active policies lead debt goes to smaller level.

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The subject of this article is determining the oil optimal production path in one of the Iranian oil and gas brown field in Persian gulf, while the development of the field performed under the buyback contractual framework. In this research we have optimized a dynamic equation using numerically Bellman equation in Matlab program .We have considered different and possible oil price projections and discount rate scenarios. We have compared the differences between optimal production path and actual (and contractual) profiles. The results show that optimal production path is different from operator actual profile in both high and low discount rate (respectively 20% and 1%). Although contractual production profile and optimal production path for alternative discount rate is harmonization, However, Production profile bids by contractor matching with the calculated optimum production model  in option of a high discount rate, in the early period, is Verified  the expected behavior of international oil companies. But its incompatibility with actual performance the field indicates a incompatibility between the production plan bids by the contractor with the field real possibilities.

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Efficient portfolio management, has been attractive for financial researchers and was wished for investors from past to now. In this research, a multiperiod portfolio optimization problem for asset liability management of an investor who intends to control the probability of bankrupt is investigated. The proposed portfolio is consisting of number of risky assets, risk free asset and a type of debt. A mean variance model, with constraint of bankrupt controlling in different time horizons is proposed. Lagrangian Multiplier Method with dynamic programming is used for solving proposed model and regarding to its complexity degree, Genetic algorithm was the best selection for reaching numerical results. The proposed model is ran with real data consisting of 10 accepted company in Tehran stock exchange, bonds and bank loan as an investor debt.

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Forecasting tax revenues is vitally important issue for optimal allocation of taxable resources, planning and budgeting in national and regional levels and knowing the potential national participation in public expenditures.  The classical optimization based on mathematical methods may not be reliable in real world and mostly inefficient and inapplicable in complicated world due to their restricted assumptions. The smart optimization may help us to find the solution. This essay based on modified  PSO  methodology .The initial trial based on the data during 1971- 2007 in case of various direct and indirect taxes , and  using updated data  during 2008- 2012 for final forecasting , to estimate tax revenues for upcoming next three years (2013 up to 2016) by MATLAB software.