Analysis of Non-linearities in Inflation Persistence of Oil-Exporting Countries Using Dynamic Random Effects Ordered Probit (DREOP) Model
Hossein
Amiri
Assistant Professor, Faculty of Economics, Kharazmi University, Iran, Tehran
author
Seyed Jafar
Jamali
MA in Economics, Faculty of Economics, Allameh Tabataba'i University
author
Ahmad
Molabahrami
Ph.D. in Economics, University of Urmia
author
text
article
2017
per
Concentrating on inflation persistence, this paper explores inflation dynamics in 12 oil-exporting countries with Dynamic Non-linear Panel models in 2002-2014. According to results, the level of inflation persistence in linear models is higher than the non-linear ones, so that based on OLS, fixed effects, and Arellano-Bond approaches, it is 0. 727, 0. 655, and 0. 59 respectively. With regard to the results, the estimated sign of inflation persistence is positive and statistically significant; demonstrating that current level of inflation would influence the future level of it. It can be also observed from the paper’s results that in comparison to ordered models, inflation persistence is higher in linear models. Considering heterogeneity and initial conditions, i. e. each country’s initial observed level of inflation, would make the estimations better. Empirical results demonstrate the low possibility of large jumps in inflation, and it tends to move toward higher, rather lower levels. The results reveal that the bigger the gap between existing inflation rate and target rate, the more the tendency of inflation to self-correct and move toward the desired level. Generally, the results show that inflation persistence is non-linear, and it varies depending on range of inflation rate. This means that inflation-stabilizing policies in the short-run would have long-run effects. JEL Classification:E31, C23
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
761
787
https://jte.ut.ac.ir/article_63657_ce4fe539fd417cca23ebe4215812d6bb.pdf
dx.doi.org/10.22059/jte.2017.63657
Studying the Effects of Hording on Production and Welfare Designing a Dynamic Stochastic General Equilibrium Model for Iran’s Economy
rasul
bakhshi dastjerdi
Associate Professor/ Isfahan University
author
roya
rahimi
MSc Student of Economics/ University of Isfahan, Department of Economics
author
text
article
2017
per
Hording is forbidden in Islam. But from the aspect of economics, it seems that Keynes is one of the first economists who have studied the effects of hording. However, Keynes, New Keynesians and New Classics concentrate on only monetary aspect of hording. They haven’t studied the other aspects of hording such as capital hording. Furthermore, there is no study about the effects of hording using an economic model. In this paper we try to build a theoretical model which shows the effects of money and capital hording. Money hording in this paper is due to Keynes’ viewpoint to money speculation and physical capital hording is near to stagnant and waiting lands, buildings and equipment. In this study we use Dynamic Stochastic General Equilibrium approach (DSGE) in two stages. First, we design a standard four sector model containing oil revenue for Iran’ economy and then. After all, we use the model to calibrate and simulate Iran’s economy. Results show that hording has negative effect on real variables such capital stock, consumption and output. For prompting output and social welfare it needs that monetary and fiscal authority design policies for reducing hording. According to findings, imposing tax on capital assets and reducing bank rate of interest are policy suggestions JEL Classification: E47، E37 ، E69
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
789
820
https://jte.ut.ac.ir/article_63658_662898a310476fd2ecaab64e030aa07b.pdf
dx.doi.org/10.22059/jte.2017.63658
Asymmetric Effects of Trade Balance Relative to Savings Rates and the Real Effective Exchange Rate: Markov-Switching Approach
mohammad mehdi
bargi oskooee
Associate Professor, Department of Economics, University of Tabriz
author
Alireza
Kazerooni
Professor, Department of economics, University of Tabriz
author
Behzad
Salmani
Professor, Department of economics, University of Tabriz
author
Saber
khodaverdizadeh
PhD student of International Economics, University of Tabriz
author
text
article
2017
per
This study aimed to investigate the effect of nonlinear savings rate on Iran's trade balance using the Markov-switching approach during 1393-1360. The results show that savings rates have a negative effect in the first regime and The second regime has a positive effect on trade balance. The real effective exchange rate coefficients in the first and second regimes have a negative impact on the trade balance. In other words cause deterioration of the trade balance and the results confirmed lack of j curves in the time period under study. Other results of the study showed that the asymmetric impact of trade openness and per capita GDP in the first and second regimes on the trade balance. JEL Classification: C22, F32 , O16, F31, F13
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
821
840
https://jte.ut.ac.ir/article_63659_ae38983c0ca2cd2a2791e4766bad7c57.pdf
dx.doi.org/10.22059/jte.2017.63659
Mobility of Poverty for urban Households by Non-Parametric Method: Pseudo-Panel Approach Investigation on the Mobility of Poverty using Cross-Section Data
Hossein
raghfar
Alzahra University
author
mirhossein
mousavi
Alzahra University
author
Marzieh
Ghasemi Dehaghi
Alzahra University
author
text
article
2017
per
This paper aims to investigate the mobility of poverty, and estimate the probability of movements in and out of poverty for Iranian households. For this purpose, the pseudo-panel data constructed on the basis of cross- sectional data of household budget in the beginning and the end of the development programs after the revolution, and the age groups of the household head. The influence of the social and economic characteristics of household (such as household size and sex and education of household head) has been investigated on the consumption expenditures of households. The results show that mobility in and out of poverty for the households with the younger head is more than the older one. Also, the sex and education of household head has a positive effect and the household size have a negative effect on the movement in and out of poverty. JEL Classification: I32, O15
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
859
878
https://jte.ut.ac.ir/article_63661_c651d6eebc69373385562b53599cc303.pdf
dx.doi.org/10.22059/jte.2017.63661
Determination of the Amount of Toll for Entering to the Central Area of City Based on Social Costs (Case Study of Isfahan)
Mansour
Johri Foroshani
. M. Sc. in Transportation Planning, Isfahan University of Technology, Isfahn, Iran,
author
Hossein
Haghshenas
Associate Professor in Transportation Planning, Department of Transporation, Isfahan University of Technology, Isfahan, Iran
author
Babak
Safari
Associate Professor in Economic Sciences, University of Isfahan, Isfahan, Iran
author
text
article
2017
per
The concepts of social costs and equilibrium between supply and demand curves are used to providing a new method for determining the toll in cordon pricing policy. At this point receiving toll from private cars which enter in cordon is equal to marginal cost of the car. Demand chart obtained by using information from personal interviews with car drivers willing to pay based on stated preference approach. Supply also is calculated according to social costs of traffic also, by using the results of the cars demand matrix assignment to the transportation network. By calculating the intersection point of the demand and the supply curves (marginal cost), toll level for an entering to the central area of Isfahan at peak hours is determined. At this toll level, more than 70 percent of privet car users will refuse using the private car and use other mods to travel to the city center. JEL : R41
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
841
858
https://jte.ut.ac.ir/article_63662_6253713d39dec01df23ab88287daab40.pdf
dx.doi.org/10.22059/jte.2017.63662
Grouping of Monetary Assets in Iran Based on Nonparametric Approach to the Money Demand
alireza
erfani
Associate Professor, Economics department of Semnan University
author
parviz
Davoodi
Faculty of Shahid Beheshti University
author
Farzaneh
Sadeqi
PH.D Student in Economics, Semnan University
author
text
article
2017
per
Among the most basic assumptions in microeconomics, utility maximization and separability of items in the consumer utility function is the most important, both in terms of theory and empirical application. The purpose of this study was to evaluate nonparametric test results from these assumptions on consumer behavior in monetary assets in Iran. For this purpose, we used Hal Varian approach to test compatibility with the principle of utility maximization (GARP), and also the weak separability test.By using monthly data for the period 2008:3 to 2013:2, the results indicate that monetary asset data is not generally consistent with GARP, due to the violation of two observations. Therefore, in accordance with the standard procedure, two sub-sample of time 2008:3 to 2010:2 and 2010:3 to 2013:2 has been tested and their compatibility was approved without any violation. Then we apply weak separability test of utility function to 15 sub-group of monetary assets. According to the results, necessary and sufficient condition of weak separability were satisfied in some of the sub-groups in the first and second sub-sample. Finally, we can generally conclude that there are periods of data in which in some sub-group of monetary assets, if a specific functional form of money demand is rejected in the literature of money demand, doesn’t mean the rejection of the utility-based analysis of demand for money, but it would mean the rejection of specification of the specific function or rejection of the specific group of monetary assets
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
879
904
https://jte.ut.ac.ir/article_63663_df0bd2757c111142cef7d804875ce428.pdf
dx.doi.org/10.22059/jte.2017.63663
Correlation between Stock Exchange, Dollar, and Gold Coins Returns in the Iranian Economy: A Hilbert- Huang Transform Approach
Firouz
Fallahi
Associate Professor in Economics, University of Tabriz
author
Hossein
Panahi
Associate Professor in Economics, University of Tabriz
author
Maryam
Karimi Kandoleh
MA in Economics, University of Tabriz
author
text
article
2017
per
Investors usually are challenged in an environment marked by uncertainty caused by the financial markets operation. Therefore, it is essential that information to investors in the field of financial risk and return and correlation is to take advantage of the opportunities available. The aim of this study was to investigate the correlation between the returns on financial assets pairs (gold coins, dollar, and stock) using the new approach of Hilbert - Huang transform in the period from 25/03 / 2001- 21/12/2015. The results of this study show that correlation is not constant over time. During the 25/03/2001-22/9/2013 period between two sets of coins and dollar, coin is the leading factor; between coins and stock, again the coin is the leading factor; however, between the dollar and stocks, the dollar has been the leading factor. And in the period 23/09/2013 -21/12/2015 between two sets of coins and dollar, dollar was a leader; between the coins and stocks, the leading factor was the stock; and between the dollar and stocks, the dollar has been the leading factor. JEL Classification: G11, G01, C32
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
905
934
https://jte.ut.ac.ir/article_63695_c5ac39e2e87bd358e3dc240f31b9b83d.pdf
dx.doi.org/10.22059/jte.2017.63695
The estimation of credit loss distribution of Iran’s banking industry using stress test
Saeed
Moshiri
Associate Professor, University of Allameh Tabatabai, Department of Economics, Tehran
author
fatemeh
abdolshah
allame tabatabai university
author
text
article
2017
per
In this paper, we estimate losses due to credit risk using stress test and calculate the minimum capital requirements under distressed and baseline scenarios. We use quarterly data from 2003:Q1 to 2016:Q2 (50 observations) for Iran’s banking industry and the economy. In the first step, the default probabilities are estimated using a series of macroeconomic variables. Then, the default probabilities are simulated for one year time horizon using Monte-Carlo method. And finally, by using Loss Given Default (LGD) values and Exposed at Default (EAD) amounts, portfolio loss distribution is calculated. For this purpose, a hypothetical portfolio will be build. EAD for each loans is drawn randomly and uniformly distributed and LGD is given a fixed value. To estimate default probability equation, in addition to the Wilson’s linear model, Quantile regressions are used. The results show that the loss distributions for all scenarios are skewed to the right. The amount of loss in the 50th quantile regression is closed to the Wilson model, but the loss in the 10th and 90th quantile regressions are different. In fact, the Wilson’s model overestimate the loss of 10% qunatile regression and underestimate the loss of 90% qunatile regression. JEL Classification: E17, G32, C21, E44, G21
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
935
962
https://jte.ut.ac.ir/article_63696_45d7bf46ae7516250f0f8456fb64e30e.pdf
dx.doi.org/10.22059/jte.2017.63696
The Importance of Regression Equations Specification in Measuring Uncertainty of Macroeconomic Variables
Reza
Heybati
PhD Candidate of Economics, Faculty of Administrative Sciences & Economics, University of Isfahan
author
saeid
samadi
Associate Professor of Economics, Faculty of Administrative Sciences & Economics, University of Isfahan
author
mohammad
vaez barazani
Associate Professor of Economics, Faculty of Administrative Sciences & Economics, University of Isfahan
author
text
article
2017
per
In this study measuring of uncertainty related to macroeconomic variables has been considered. Given that uncertainty is not directly observable and measurable, researchers suggest different proxies for its measuring. One of the popular approaches in the related literature is based on time series models. In this approach, the proper measurement of uncertainty requires correct specification of regression equations. Accordingly, we estimate the uncertainty estimates of the baseline model for several key series in Iran’s macro dataset and compare it to the corresponding estimates of the alternative models. Our results show that uncertainty estimates of macro variables are affected by the specification of the forecasting regression equations. The difference over time between the estimates for these variables is quite pronounced in some periods, suggesting that much of the variation in these series is predictable and should not be attributed to uncertainty. Finally, evaluation of the uncertainty forecasting accuracy of the models shows that the SV and asymmetric GARCH models have better performance for the in-sample and out-of-sample periods, respectively. JEL Classification: C5 ,C52, E17
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
963
996
https://jte.ut.ac.ir/article_63697_068d89a5c42e1a87ab60f55b4a289e49.pdf
dx.doi.org/10.22059/jte.2017.63697
Tax Incidence: A Case Study of Value-Added Tax in Iran
Mohammad
Vesal
Assistant Professor of Economics, Sharif University of Technology
author
Nima
Sabouri
M.Sc. Economics, Sharif University of Technology
author
text
article
2017
per
Tax incidence is a key question in empirical public finance and tax policy design. Using monthly price data from April 2005 to March 2014 in Iran, we classify 43 commodities to exempt and taxable groups. By comparing monthly price changes for the two categories over the periods with tax rate changes, we employ a difference-in-differences strategy to estimate VAT incidence. Consumer share of VAT is estimated to be 63 percent. However, this point estimate should be interpreted with caution because the 95 percent confidence interval is large and contains both full and less than complete pass through. No pass through is rejected at 5 percent significance level. Lack of precision in estimates could be a result of small tax increases and high inflation rates during this period. JEL Classification: H22, H31, H32
Journal of Economic Research (Tahghighat- E- Eghtesadi)
University of Tehran
0039-8969
52
v.
4
no.
2017
997
1023
https://jte.ut.ac.ir/article_63698_c8e088bd9b3fb57d3c8e08d14e196895.pdf
dx.doi.org/10.22059/jte.2017.63698