Forecasting the GDP in Iran Based on GMDH Neural Network
Hamid
Abrishami
دانشگاه تهران
author
mohsen
mehrara
دانشگاه تهران
author
Mehdi
Ahrari
author
Soude
Mirghasemi
author
text
article
2010
per
This study employs a GMDH neural network model, which has high capability in recognition of complicated non-linear trends especially with small samples, for modeling and predicting Iranian GDP growth.
First a fundamental model containing 7 independent variables together with dependent variable is designed and then by using deductive process and omission of one variable at a time, a total of 18 models are estimated. The results shows that omission of total export growth, oil export growth and trading volume growth variables from the fundamental model have the most impact in terms of reducing prediction errors. Moreover, the effect of government expenditure growth on the objective variables confirms recent researches in oil rich countries.
In the end, it is shown that the GMDH neural network has better predictive power than ARIMA method in prediction GDP growth based on error criteria.
JEL Classification: C22, C45, C53, O41
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20036_e06fff0040c35b5b7ca175b8959a30a9.pdf
Forecasting of Crude Oil Prices Using Neural Networks and OECD Inventories
Mohammad Hossein
Pourkazemi
دانشگاه شهید بهشتی
author
Mohammad Bagher
Asadi
author
text
article
2010
per
On one hand, oil is the greatest energy resource in the world and, on the other hand, because of the role of oil revenue in the economic of oil producer countries, such as Iran,it is vital for these countries. So it is necessary to recognize different affective parameters on oil market for these countries. In this research, we try to forecast oil price as an important variable in world wide oil market by using neural networks and ARIMA model. The results of dynamic forecasts have shown that in all cases neural network has better results than ARIMA model. In addition, the results of this research have shown that by use of OECD inventories as an added input in model and doing a bivariate forecasting (for the first time in Iran) the error of oil prices forecasts will reduce.
JEL Classification: C02, Q40, Q41, C22, C45
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20037_1291e55cf9dd7b3d36dfb455749c7eeb.pdf
Structural Breaks and Test of MRE Proposition in Iran :(1367- 1386)
Ahmad
Jafari Samimi
دانشگاه مازندران
author
Gheydar
Ghanbarzadeh Niar
author
text
article
2010
per
There is no agreement among different economic schools about role of monetary policy in stabilization policy. New classic by means of rational expectations show that only unanticipated monetary policy influences upon real variables. How ever New keynsian by means of rational expectations shows that anticipated monetary policy influences real ariables too. The present article investigates above subject by using Mishkin method.
We have used seasonally data on M2 as a monetary aggregate and real GDP excluding oil revenue variables for the period (1367:1- 1386:4). Further more effect of structural breaks and length of lag have been taken under consideration. Findings show that structural break and length of lag will influence on the results of test. With structural breaks, macro rational Expectations (MRE) in three lag is rejected and in eleven and sixteen lag are confirmed, and also unanticipated money in three lag doesn’t influence on the differences of real GDP excluding oil revenue and in seven, eleven and sixteen lag it was effective. While ignoring structural breaks, results are completely reversed.
JEL Classification: E52, E12, E31, B2
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20038_a98b231a0291172776457b108f2b95bb.pdf
Optimal Monetary Policy for the Iranian Economy: an Application of Optimal Control theory
mansour
khalili Araghi
دانشگاه تهران
author
Hamed
Shakouri
دانشگاه تهران
author
Mohammad
Zanganeh
author
text
article
2010
per
In this paper we have utilized optimum control procedures to derive an optimum monetary rule for Iran’s economy ; assuming the policy makers are using the interest rate as a policy variable. In doing so a dynamic stochastic model with rational expectation was setup. The model is calibrated with the use of previous findings in the literature. The results show that the optimum reacrion of the policy makers should be to raise the interest rate in the event of increase in inflation and output and to lower in response to technological shock. The policy makers should also aggressively increase interest rate to an increase in money supply. The interesting point is that the optimum policy requires reaction of the interest rate to the asset prices under different senarious.
JEL Classification: E61, E52, E58
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20039_529c245675ff9722f02164bf08754e2b.pdf
Investigation of Economic Uncertainty Effect on Money Demand: Case Study of IRAN
Nazar
Dahmardeh
دانشگاه سیستان و بلوچستان
author
Reza
Roshan
author
text
article
2010
per
In this paper we investigated effect of economic uncertainty on money demand function of IRAN during(1352-1386).
At first by using a general equilibrium theory it is shown that in spite of the existence of economic uncertainties, most of agents who are risk-averse consider these uncertainties when constitute their port folio. They consider money demand is a function of income, interest rate and an Econome Uncertainty Index (EUI).
In this study, we constituted an EUI by using of ARCH/GARCH models and this index is consist of volatilities of some variables that affect on money demand of IRAN. These variables are: exchange rate, interest rates, inflation, stock market and GDP. After constituting an EUI and entering it in money demand function, we estimated money demand function by ARDL approach. Resultes show that increasing economic uncertainty leades to decreasing money demand in Iran.
JEL classification: E50, E41
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20040_f317d3b718078010fabdbbb313f46412.pdf
Social Capital and Financial Development: The Case of IRAN (1971-2006)
ali hossein
samadi
دانشگاه شیراز
author
text
article
2010
per
In this paper, I investigated the determinants of financial development with emphasis on social capital. First, I explain the relationship between financial development and its determinants, then estimate the model with Gregory–Hansen (1996) and Johansen-Juselious cointegration techniques in I.R. of IRAN (1971-2006). The results showed that, inflation and decline in social capital and weak property rights have the negative and significant effects on financial development.
JEL Classification: G21, K42, O17, Z13
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20041_73f1ef1797246d17d41f0aaee2a972c1.pdf
Investigating the Relationship of Compensating Production Behavior and Interdependence between Firms in the World Oil Market
Ghahreman
Abdoli
دانشگاه تهران
author
Loqman
Lohrasebi Peydeh
author
text
article
2010
per
In this paper, monopolistic behavior of OPEC, as the largest and most stable international organization between Jan. 1973 to Sep. 2008, is studied. For this purpose, fundamentals of game theory is used as a basis to come-up with a criterion to make a distinction between two market structures based on mutual dependency of institutions. Then using such criterion, a regressive model based on explanatory behavioral variables is formed with which competitive theory versus compatible cartel is examined. The said regressive model is estimated using logit method. Estimated results obtained show that despite expectation of experts, not only OPEC is not an ideal cartel, but also, compared to competitive producers, it has a weaker operation. In other words, OPEC follows a bureaucratic structure, which is in conflict with compatible cartel behavior.
JEL Classification: C7, C12, D21, L13
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20042_2c2a079a1bea0d3f679ac3b03e93909f.pdf
The Effect of Budget Deficit on Current Account Deficit and Economic Growth
Neda
Farahbakhsh
author
asad
farzinvash
دانشگاه تهران
author
text
article
2010
per
The twin deficits (budget deficit and current account deficit) have been argued in the economic literature since 1980s. This is a period in which the studies about budget deficit and the current account deficit were significantly increased in the United States. In the economic literature, there are two hypothesis: Keynesian hypothesis and Ricardian equivalence. The Keynesian proposition confirms the existence of a positive relationship between the two deficits, whereas the Ricardian equivalence argues that the budget and current account deficits are not correlated.
This study analyses the twin deficit for 70 countries during 1985-2006 using the panel data. The reviewed countries, based on their incomes are classified into three groups: high incomes, middle incomes and low income countries. Effect of the budget deficit on the private consumption, current account deficit and eventually the effect of budget deficit on the economic growth have been studied. The results show that there is not a significant relationship between the two deficits and private consumption and economic growth in high income countries. But the results from the middle and low income countries confirm the significant relationship.
JEL classification: F12
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20043_24a91dd4afd13f9ea5a87464c4a2e068.pdf
Rhetoric of Economics in the View of McCloskey: Anarchistic or Pluralistic Methodology?
mahmod
motavaselim
دانشگاه تهران
author
Ali
Rostamiyan
author
text
article
2010
per
Through the advent of heterodox approaches in modern economic methodology, McCloskey's contribution on introducing rhetoric in methodology has been nominated as one of the most controversial propositions ever alleged in the literature. Concerning new predominant perspectives in philosophy of language, this paper seeks to analyze the theoretical status of rhetoric in the methodology of economic in a new way. In this case, regarding the importance of considering applied linguistics through, we try to appraise the idea of application of rhetoric inspired by McCloskey, and review this radical approach as a fruitful contribution, in which some fundamental - but overlooked consideration in orthodox methodology - has been marked and awakened. While discussing about the importance of methodological relativism collaborated with rhetoric, we argue against this idea that defines such iconoclastic approach as some sort of methodological anarchism and rejects it as just a turbulent view.
JEL classification: B41, B59
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20044_977a2e973d6ee237c796171adf138bc3.pdf
Stochastic Life Insurance Demand: An Application to the Economics of Uncertainty
Ghadir
Mahdavi
دانشگاه علامه طباطبائی
author
text
article
2010
per
The main logic behind the demand for life insurance is to hedge against the labor income uncertainty due to premature death of a wage earner. In other words, life insurance is the device by which this labor income uncertainty is handled. For insurers, the uncertainty arises from the lack of knowledge about the age of death of the wage earner.
This paper attempts to derive life insurance demand curve theoretically. To derive the optimal path of demand for life insurance, the expected joint utility functions for consumption and legacy subject to the wealth accumulation process in deterministic and stochastic cases are maximized. To find the explicit optimal life insurance demand, the specific utility and bequest functions, which exhibit constant relative risk aversion, are examined.
Examining a class of CRRA utility function, the effect of explanatory factors on the life insurance demand is discussed. The paper shows that the effect of loading factor, survival rate, and wealth are negative. The effect of degree of risk aversion and, probability of death are positive on the demand for life insurance.
JEL Classification: C61, D91, G11, G22
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
44
v.
3
no.
2010
https://jte.ut.ac.ir/article_20045_c5add3de2fc5c636f30ee564e65303b6.pdf