1 تکانه احساسی و حباب های قیمت سهام در چارچوب الگوی تعادل عمومی پویای تصادفی: مطالعه موردی ایران Sentiment Shock and Stock Price Bubbles in a Dynamic Stochastic General Equilibrium Model Framework: The Case of Iran https://ijes.shirazu.ac.ir/article_5022.html 10.22099/ijes.2018.30437.1475 1 In this study, a model of Bayesian Dynamic Stochastic General Equilibrium (DSGE) from Real Business Cycles (RBC) approach with the aim of identifying the factors shaping price bubbles of Tehran Stock Exchange (TSE) was specified. The above-mentioned model was conducted in two scenarios. In the first scenario, the baseline model with sentiment shock was examined. In this model, stock price bubbles appear endogenously in a positive feedback mechanism that is supported by people optimism. In the second scenario, only sentiment shock is absent from the model. According to the results obtained from the estimation of marginal likelihood model based on Laplace approximation, the baseline model is more in accord with Iran’s economic structure and real data. Consequently, the sentiment shock had a dominant role in creating stock price fluctuations and macroeconomic variables. Based on the results of variance decomposition model, sentiment shock was also recognized as the most important source of fluctuations in bubbles and subsequent fluctuations in stock prices. This shock reflected households’ beliefs about the approximate size of previous bubbles over the recent ones and was passed to the macroeconomic by credit constraints. In this way, this shock also described a major part of the fluctuation of consumption and output. Sentiment shock explained about 86% of stock price fluctuations, 47% of consumption fluctuations, and 39% of output fluctuations. 0 در این مقاله یک الگوی DSGE بیزین از سیکل‌های تجاری حقیقی با هدف شناسایی عوامل شکل دهنده حباب قیمتی بازار سهام تهران تصریح شده است. الگوی مذکور در 2 سناریو انجام شده است: در سناریو اول مدل پایه‌ای تحقیق با وجود شوک احساسی بررسی می‌شود. در سناریو دوم تنها شوک احساسی در مدل حضور ندارد. بر اساس نتایج حاصل شده از براورد درستنمایی نهایی مدل بر اساس تقریب لاپلاس، مدل پایه‌ای با داده‌های واقعی و ساختار اقتصاد ایران سازگارتر است، لذا شوک احساسی در ایجاد نوسان در قیمت سهام و متغیرهای اقتصاد کلان ایران نقش مهمی داشته است. بر اساس نتایج تجزیه واریانس مدل نیز شوک احساسی به عنوان مهمترین منبع نوسانات حباب و به دنبال آن نوسانات قیمت سهام معرفی شده است. این شوک انعکاس دهنده باورهای خانوارها در مورد اندازه نسبی حباب قدیمی نسبت به حباب جدید می‌باشد و از طریق محدودیت-های اعتباری به اقتصاد واقعی انتقال می‌یابد. به این ترتیب این شوک بخش عمده‌ای از نوسانات مصرف و محصول را نیز بیان می‌کند. شوک احساسی حدود 86 درصد از نوسانات قیمت سهام، 47 درصد از نوسانات مصرف و 39 درصد از نوسانات محصول را توضیح می‌دهد. 115 150 احسان اسدی Ehsan Asadi Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran. Iran easadi_63@yahoo.com هاشم زارع Hashem Zare Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran Iran hashem.zare@gmail.com مهرزاد ابراهیمی Mehrzad Ebrahimi Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran Iran mhrzad@yahoo.com خسرو پیرایی Khosrow Piraiee Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran. Iran kh.piraee@gmail.com The Stock Price Bubble DSGE Modeling Sentiment Shock Real Business Cycles Iran References## Abbasian, E., Farzanegan, E., & Nasiroleslami, E. (2016). Price bubble anomalies in Tehran stock exchange: Limits to arbitrage approach. Quarterly Journal of Economic Research and Policies, 23(76), 75-92.##Abbasian, E., Mahmoudi, V., & Farzanegan, E. (2010). Bubble identification in Tehran's stock exchange: Evidence based on time-varying present value model. Journal of Accounting and Auditing Review, 17(2), 75-92.##Amini, A. R., & Haji Mohammad, N. (2005). Estimation of time series of the capital stock in Iran’s economy during 1967-2002. The Journal of Planning and Budgeting, 10(1), 53-86.##Asadi, G. H., Hamidi Zadeh, M. R., & Soltani, A. (2006). A survey of stock price bubbles in Tehran stock exchange on the basis of size and type of industries. Empirical Studies in Financial Accounting Quarterly, 4(14), 39-71.##Balcilar, M., Gupta, R., Jooste, C., & Wohar, M. (2016). Periodically collapsing bubbles in the South African stock market. Research in International Business and Finance, 38, 191-201.##Bashiri, S., Pahlavani, M., & Boostani, R. (2016). Stock market fluctuations and monetary policy in Iran. Journal of Economic Modeling Research, 6(23), 103-157.##Bayat, M., Afshari, Z., & Tavakolian, H. (2016). Monetary policy and stock price index in DSGE models framework. Quarterly Journal of Economic Research and Policies, 24(78), 171-206.##Beaudry, P., & Portier, F. (2006). Stock price, news, and economic fluctuations. American Economic Review, 96(4), 1293-1307.##Beltratti, A., & Morana, C. (2006). Breaks and persistency: Macroeconomic causes of stock market volatility. Journal of Econometrics, 131(1-2), 151-177.##Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). Financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, 1, 1341-1393.##Blanchard, O., & Watson, M. (1982). Bubbles, rational expectations and financial markets. Harvard Institute of Economic Research, Working Paper No 945.##Boone, L., Giorno, C., & Richardson, P.(1998). Stock market fluctuations and consumption behavior. OECD Economics Department Working Papers.##Carlstrom, C. T., & Fuerst, T. S. (1997). Agency costs, net worth, and business fluctuations: A computable general equilibrium analysis. American Economic Review, 87, 893-910.##Central bank of the Islamic Republic of Iran (www.cbi.ir).##Chaney, T., Sraer, D., & Thesmar, D. (2012). The collateral channel: How real estate shocks affect corporate investment. American Economic Review, 102(6), 2381-2409.##Einian, M., & Barakchian, S. M. (2014). Measuring and dating business cycles in the Iranian economy. Journal of Monetary and Banking Researches, 7(20), 161-194.##Fallah Shams, M. F., & Zare, A. (2013). The effective factors in the price bubble in Tehran stock market. Quarterly Journal of Securities Exchange, 6(21), 73-91.##Gertler, M., & Kiyotaki, N. (2010). Financial intermediation and credit policy in business cycle analysis, Working Paper, NYU.##Gilchrist, S., Himmelberg, C., & Haberman, G. (2005). Do stock price bubbles influence corporate investment? Journal of Monetary Economics, 54(2), 805-827.##Goyal, V. K., & Yamada, T. (2004). Asset price shocks, financial constraints, and investment: Evidence from Japan. Journal of Business, 77(1), 175-199.##Greenwood, J., Hercowitz, Z., & Krusell, P. (1997). Long-run implications of investment-specific technological change. American Economic Review, 87, 342-362.##Gurkaynak, R. S. (2008). Econometric test of asset price bubbles: Taking stock. Journal of Economic Surveys, 22(1), 166-186.##Hayashi, F. (1982). Tobin's marginal q and average q: A neoclassical interpretation. Econometrica, 50, 213-224.##Hou, H., & Cheng, S. Y. (2017). The dynamic effects of banking, life insurance, and stock markets on economic growth.Japan and the World Economy,41, 87–98.##Hui, C. S. (2010). Investor mood and financial markets. Journal of Economic Behavior and Organization, 76(2), 267-282.##Ikeda, D. (2013). Monetary policy and inflation dynamics in asset price bubbles. Bank of Japan Working Paper Series, No.13-E-4.##Jermann, U., & Quadrini, V. (2012). Macroeconomic effects of financial shocks. American Economic Review, 102(1), 238-271.##Kahenman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-291.##Kiyotaki, N., & Moore, J. (1997). Credit cycles. Journal of Political Economy, 105(2), 211-248.##Lamont, O. (1998). Earning and expected returns. Journal of Finance, 53(2), 1563-1587.##Lee, I. (1993). On the convergence of informational cascades. Journal of Economic Theory, 61(2), 396-411.##Liu, Z., Wang, P., & Zha, T. (2011). Land price dynamics and macroeconomic fluctuations. NBER Working Papers, No. w17045.##Manzoor, D., & Taghipour, A. (2016). A dynamic stochastic general equilibrium model for an oil exporting and small open economy: The case of Iran. Quarterly Journal of Economic Research and Policies, 23(75), 7-44.##Martin, A., & Ventura, J. (2012). Economic growth with bubbles. American Economic Review, 102(6), 3033-3058.##Miao, J. (2014). Introduction to economic theory of bubbles. Journal of Mathematical Economics, 53, 130-136.##Miao, J., & Wang, P. (2011). Bubbles and credit constraints. Working Paper, Boston University and HKUST.##Miao, J., Wang, P., & Xu, Z. (2012). A Bayesian DSGE model of stock market bubbles and business cycles. Working Paper, Boston University.##Miao, J., Wang, P., & Xu, Z. (2015). A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles. Quantitative Economics, 6(3), 559-635.##Modigliani, F. (1986). Life cycle, individual thrift, and the wealth of nations. Science, 234(4777), 704-712.##Musai, M., Mehregan, N., & Amiri, H. (2010). Stock market and macroeconomic variables: A case study for Iran. QuarterlyJournal of Economic Research and Policies, 18(54), 73-94.##Nazes, D., & Silva, D. (2007). Rational bubbles in emerging stock markets. MPRA Paper, 4641, 1-10.##Paetz, M., & Gupta, R. (2016). Stock price dynamics and the business cycle in an estimated DSGE model for South Africa. Journal of International Financial Markets, Institutions and Money, 44, 166-182.##Payandeh Najafabadi, A. T., Qazvini, M., & Ofoghi, R. (2012). The impact of oil and gold prices’ shock on Tehran stock exchange: A copula approach. Iranian Journal of Economic Studies, 1(2), 23-47.##Salehabadi, A., & Dalirian, H. (2010). Testing the existence of price bubble in Tehran stock market. Quarterly Journal of Securities Exchange, 3(9), 61-75.##Salmani Bishak, M. R., Barghi Oskooee, M. M., & Lak, S. (2016). The effects of monetary and fiscal policy shocks on stock market of Iran. Journal of Economic Modeling Research, 6(22), 93-131.##Samadi, S., Vaez Barzani, M., & Ghasemi, M. R. (2010). The behavioral analysis of the formation price bubbles in capital market (case study: Tehran stock market 1997-2009). Economics Research, 10(3), 273-297.##Senhadji, A. S., & Collyns, C. (2002). Lending booms, real estate bubbles, and the Asian crisis (No. 02/20). International Monetary Fund.##Seven, U., & Yetkiner, H. (2016). Financial intermediation and economic growth: Does income matter? Economic Systems, 40(1), 39–58.##Shahmoradi, A. (2008). The effects of energy price changes on the price level, production, and welfare in Iran’s economy. The Ministry of Economic Affairs and Finance.##Shahmoradi, A., & Ebrahimi, E. (2010). The impact of monetary policies in Iran: A DSGE approach. Journal of Monetary and Banking Researches, 2(3), 31-56.##Shiller, R.J. (1981). Does stock price move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421-436.##Smets, F., & Wouters, R. (2003). An estimated stochastic dynamic general equilibrium model of the Euro area. Journal of the European Economic Association, 1(5), 1123–1175.##Smets, F., & Wouters, R. (2007). Shocks and frictions in US business cycles: A Bayesian DSGE approach. American Economic Review, 97(3), 586-606.##Tirole, J. (1982). On the possibility of speculation under rational expectations. Econometrica, 50, 1163-1181.##Uhlig, H. (1999). A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily in Computational Methods for The Study of Dynamic Economies. Oxford University Press.##Vaez, M., & Torki, L. (2008). Price bubbles and capital market in Iran. Quarterly Research Bulletin of Isfahan University (Humanities), 31(3), 195-207.##Zagaglia, P. (2009). Forecasting with a DSGE model of the term structure of interest rates: The role of the feedback. Central Bank of Sweden##References##Abbasian, E., Farzanegan, E., & Nasiroleslami, E. (2016). Price bubble anomalies in Tehran stock exchange: Limits to arbitrage approach. Quarterly Journal of Economic Research and Policies, 23(76), 75-92.##Abbasian, E., Mahmoudi, V., & Farzanegan, E. (2010). Bubble identification in Tehran's stock exchange: Evidence based on time-varying present value model. Journal of Accounting and Auditing Review, 17(2), 75-92.##Amini, A. R., & Haji Mohammad, N. (2005). Estimation of time series of the capital stock in Iran’s economy during 1967-2002. The Journal of Planning and Budgeting, 10(1), 53-86.##Asadi, G. H., Hamidi Zadeh, M. R., & Soltani, A. (2006). A survey of stock price bubbles in Tehran stock exchange on the basis of size and type of industries. Empirical Studies in Financial Accounting Quarterly, 4(14), 39-71.##Balcilar, M., Gupta, R., Jooste, C., & Wohar, M. (2016). Periodically collapsing bubbles in the South African stock market. Research in International Business and Finance, 38, 191-201.##Bashiri, S., Pahlavani, M., & Boostani, R. (2016). Stock market fluctuations and monetary policy in Iran. Journal of Economic Modeling Research, 6(23), 103-157.##Bayat, M., Afshari, Z., & Tavakolian, H. (2016). Monetary policy and stock price index in DSGE models framework. Quarterly Journal of Economic Research and Policies, 24(78), 171-206.##Beaudry, P., & Portier, F. (2006). Stock price, news, and economic fluctuations. American Economic Review, 96(4), 1293-1307.##Beltratti, A., & Morana, C. (2006). Breaks and persistency: Macroeconomic causes of stock market volatility. Journal of Econometrics, 131(1-2), 151-177.##Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). Financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, 1, 1341-1393.##Blanchard, O., & Watson, M. (1982). Bubbles, rational expectations and financial markets. Harvard Institute of Economic Research, Working Paper No 945.##Boone, L., Giorno, C., & Richardson, P.(1998). Stock market fluctuations and consumption behavior. OECD Economics Department Working Papers.##Carlstrom, C. T., & Fuerst, T. S. (1997). Agency costs, net worth, and business fluctuations: A computable general equilibrium analysis. American Economic Review, 87, 893-910.##Central bank of the Islamic Republic of Iran (www.cbi.ir).##Chaney, T., Sraer, D., & Thesmar, D. (2012). The collateral channel: How real estate shocks affect corporate investment. American Economic Review, 102(6), 2381-2409.##Einian, M., & Barakchian, S. M. (2014). Measuring and dating business cycles in the Iranian economy. Journal of Monetary and Banking Researches, 7(20), 161-194.##Fallah Shams, M. F., & Zare, A. (2013). The effective factors in the price bubble in Tehran stock market. Quarterly Journal of Securities Exchange, 6(21), 73-91.##Gertler, M., & Kiyotaki, N. (2010). Financial intermediation and credit policy in business cycle analysis, Working Paper, NYU.##Gilchrist, S., Himmelberg, C., & Haberman, G. (2005). Do stock price bubbles influence corporate investment? Journal of Monetary Economics, 54(2), 805-827.##Goyal, V. K., & Yamada, T. (2004). Asset price shocks, financial constraints, and investment: Evidence from Japan. Journal of Business, 77(1), 175-199.##Greenwood, J., Hercowitz, Z., & Krusell, P. (1997). Long-run implications of investment-specific technological change. American Economic Review, 87, 342-362.##Gurkaynak, R. S. (2008). Econometric test of asset price bubbles: Taking stock. Journal of Economic Surveys, 22(1), 166-186.##Hayashi, F. (1982). Tobin's marginal q and average q: A neoclassical interpretation. Econometrica, 50, 213-224.##Hou, H., & Cheng, S. Y. (2017). The dynamic effects of banking, life insurance, and stock markets on economic growth.Japan and the World Economy,41, 87–98.##Hui, C. S. (2010). Investor mood and financial markets. Journal of Economic Behavior and Organization, 76(2), 267-282.##Ikeda, D. (2013). Monetary policy and inflation dynamics in asset price bubbles. Bank of Japan Working Paper Series, No.13-E-4.##Jermann, U., & Quadrini, V. (2012). Macroeconomic effects of financial shocks. American Economic Review, 102(1), 238-271.##Kahenman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-291.##Kiyotaki, N., & Moore, J. (1997). Credit cycles. Journal of Political Economy, 105(2), 211-248.##Lamont, O. (1998). Earning and expected returns. Journal of Finance, 53(2), 1563-1587.##Lee, I. (1993). On the convergence of informational cascades. Journal of Economic Theory, 61(2), 396-411.##Liu, Z., Wang, P., & Zha, T. (2011). Land price dynamics and macroeconomic fluctuations. NBER Working Papers, No. w17045.##Manzoor, D., & Taghipour, A. (2016). A dynamic stochastic general equilibrium model for an oil exporting and small open economy: The case of Iran. Quarterly Journal of Economic Research and Policies, 23(75), 7-44.##Martin, A., & Ventura, J. (2012). Economic growth with bubbles. American Economic Review, 102(6), 3033-3058.##Miao, J. (2014). Introduction to economic theory of bubbles. Journal of Mathematical Economics, 53, 130-136.##Miao, J., & Wang, P. (2011). Bubbles and credit constraints. Working Paper, Boston University and HKUST.##Miao, J., Wang, P., & Xu, Z. (2012). A Bayesian DSGE model of stock market bubbles and business cycles. Working Paper, Boston University.##Miao, J., Wang, P., & Xu, Z. (2015). A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles. Quantitative Economics, 6(3), 559-635.##Modigliani, F. (1986). Life cycle, individual thrift, and the wealth of nations. Science, 234(4777), 704-712.##Musai, M., Mehregan, N., & Amiri, H. (2010). Stock market and macroeconomic variables: A case study for Iran. QuarterlyJournal of Economic Research and Policies, 18(54), 73-94.##Nazes, D., & Silva, D. (2007). Rational bubbles in emerging stock markets. MPRA Paper, 4641, 1-10.##Paetz, M., & Gupta, R. (2016). Stock price dynamics and the business cycle in an estimated DSGE model for South Africa. Journal of International Financial Markets, Institutions and Money, 44, 166-182.##Payandeh Najafabadi, A. T., Qazvini, M., & Ofoghi, R. (2012). The impact of oil and gold prices’ shock on Tehran stock exchange: A copula approach. Iranian Journal of Economic Studies, 1(2), 23-47.##Salehabadi, A., & Dalirian, H. (2010). Testing the existence of price bubble in Tehran stock market. Quarterly Journal of Securities Exchange, 3(9), 61-75.##Salmani Bishak, M. R., Barghi Oskooee, M. M., & Lak, S. (2016). The effects of monetary and fiscal policy shocks on stock market of Iran. Journal of Economic Modeling Research, 6(22), 93-131.##Samadi, S., Vaez Barzani, M., & Ghasemi, M. R. (2010). The behavioral analysis of the formation price bubbles in capital market (case study: Tehran stock market 1997-2009). Economics Research, 10(3), 273-297.##Senhadji, A. S., & Collyns, C. (2002). Lending booms, real estate bubbles, and the Asian crisis (No. 02/20). International Monetary Fund.##Seven, U., & Yetkiner, H. (2016). Financial intermediation and economic growth: Does income matter? Economic Systems, 40(1), 39–58.##Shahmoradi, A. (2008). The effects of energy price changes on the price level, production, and welfare in Iran’s economy. The Ministry of Economic Affairs and Finance.##Shahmoradi, A., & Ebrahimi, E. (2010). The impact of monetary policies in Iran: A DSGE approach. Journal of Monetary and Banking Researches, 2(3), 31-56.##Shiller, R.J. (1981). Does stock price move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421-436.##Smets, F., & Wouters, R. (2003). An estimated stochastic dynamic general equilibrium model of the Euro area. Journal of the European Economic Association, 1(5), 1123–1175.##Smets, F., & Wouters, R. (2007). Shocks and frictions in US business cycles: A Bayesian DSGE approach. American Economic Review, 97(3), 586-606.##Tirole, J. (1982). On the possibility of speculation under rational expectations. Econometrica, 50, 1163-1181.##Uhlig, H. (1999). A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily in Computational Methods for The Study of Dynamic Economies. Oxford University Press.##Vaez, M., & Torki, L. (2008). Price bubbles and capital market in Iran. Quarterly Research Bulletin of Isfahan University (Humanities), 31(3), 195-207.##Zagaglia, P. (2009). Forecasting with a DSGE model of the term structure of interest rates: The role of the feedback. Central Bank of Sweden##

1 بررسی تاثیر کیفیت نهادی بر رابطه بین ثبات بانکی و بازاری‌کردن: مطالعه موردی ایران The Effect of Institutional Quality on the Relationship between Banking Stability and Marketization: The Case of Iran https://ijes.shirazu.ac.ir/article_4969.html 10.22099/ijes.2018.29589.1459 1 Banking system is considered as one of the most important economic sectors of every country. Because of the dependency between the performances of different sectors in economy, instability in banking sector will lead to disorder in all the other economic sectors. Marketization can influence banking stability. The primary objective of the present study is to investigate the relationship between marketization and banking stability in Iran. This study investigates the effect of institutional quality on the relationship between marketization and banking stability. Accordingly, the Generalized Method of Moments (GMM) and Panel Threshold Regression (PTR) techniques were used to estimate the models. The results of GMM indicated a decrease in banking stability after marketization. An improvement in institutional quality, however, could improve the relationship between marketization and banking stability. The results obtained by the PTR analysis revealed that institutional quality had a threshold value which could affect the relationship between marketization and banking stability and led to different relationships between marketization and banking stability under different regimes 0 بخش بانکی از جمله مهم‌ترین بخش‌ها در اقتصاد هر کشور به حساب می‌آید، بنابراین بی‌ثباتی در این بخش سبب اختلال در سایر بخش‌های اقتصاد می‌شود. یکی از عواملی که می‌تواند بر ثبات بانکی تاثیر بگذارد فرآیند بازاری‌کردن در نظام بانکی است. هدف اصلی این مقاله بررسی رابطه میان بازاری‌کردن و ثبات نظام بانکی در ایران و همچنین بررسی میزان اثر بخشی کیفیت نهادی بر رابطه بین این دو است. در برآوردها الگو از روش گشتاورهای تعمیم یافته (GMM) و رگرسیون آستانه‌ای در داده‌های پانلی (PTR) استفاده می‌شود. نتایج حاصل از روش گشتاورهای تعمیم یافته نشان می‌دهد که با بازاری‌کردن نظام بانکی، ثبات بانکی کاهش می‌یابد و افزایش کیفیت نهادی می‌تواند این رابطه را بهبود ببخشد. همچنین نتایج روش رگرسیونی آستانه‌ای در داده‌های پانلی نشان می‌دهد که کیفیت نهادی دارای یک مقدار آستانه‌ای برای تاثیر بر رابطه بازاری‌کردن و ثبات بانکی است که سبب می‌شود رابطه بازاری‌کردن و ثبات بانکی در دو رژیم مختلف، متفاوت باشد. 151 167 پرویز رستم زاده Parviz Rostamzadeh Department of Economics, Shiraz University, Shiraz, Iran. Iran parvizrostamzadeh@shirazu.ac.ir علی حسین صمدی Ali Hussein Samadi Department of Economics, Shiraz University, Shiraz, Iran. Iran asamadi@rose.shirazu.ac.ir زینب یادگار Zeinab Yadegar Department of Economics, Shiraz University, Shiraz, Iran. Iran gh.yadegar@hotmail.com Banking Stability Institutional Quality Marketization Panel Threshold Regression Generalized Method of Moment Iran References##Alawode, A., & Al-Sadek, M. (2008). What is financial stability? Financial Stability Paper Series, Central Bank of Bahrain. 1- 26.##Allen, F., & Gul, X. (2011). Corporate governance and intra-group transactions in European bank holding companies during the crisis, Vol. 14. Global Banking, Financial Markets and Crises.##Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance, 23(4), 189–209.##Anginer, D., Demirguc-Kunt, A., & Zhu, M. (2011). How does bank competition affect systemic stability? 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1 عوامل موثر بر توسعه گردشگری پزشکی در ایران : رهیافت الگوسازی معادلات ساختاری Determinants of Medical Tourism Expansion in Iran: Structural Equation Modeling Approach https://ijes.shirazu.ac.ir/article_5041.html 10.22099/ijes.2018.30739.1485 1 Health tourism is a profitable and competitive industry, which includes both medical and wellness tourism. This research intends to identify and analyze the determinants of medical tourism expansion in Iran. To this end, first, 384 questionnaires were distributed among medical tourists visiting selected private hospitals in Tehran, and medical tourism experts in both private and public sectors in 2017. The data obtained from the questionnaires were analyzed using Structural Equation Modeling (SEM). The price level had the greatest impact on attracting the medical tourists in 2017. The service and therapeutic capacities, and the characteristics of the destination ranked second and third, respectively. Marketing and public sector policy-making had positive but relatively small effects on attracting medical tourists to Iran. To compete with rival countries in attracting medical tourists, surgical operations should be presented efficiently. Private hospitals have to maintain their equipment and technology at the same level as those in the advanced countries. Furthermore, public and private sectors should spend more on advertising and marketing. Finally, in attracting more medical tourists, the role of public policy should be considered seriously. 0 - 169 189 میر حجت نجفی نصاب Mirhojjat NajafiNasab Department of Economic Development and Planning, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran Iran najafi1387@gmail.com لطفعلی عاقلی Lotfali Agheli Economic Research Institute, Tarbiat Modares University, Tehran, Iran Iran aghelik@modares.ac.ir مونیکا ویه گاس آندراده Mônica Viegas Andrade Faculdade de Ciências Econômicas, Federal University of Minas Gerais Brazil mviegas@cedeplar.ufmg.br حسین صادقی HOSSEIN SADEGHI Department of Economic Development and Planning, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran Iran sadeghih@modares.ac.ir سجاد فرجی دیزجی Sajjad Faraji Dizaji Department of Economic Development and Planning, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran Iran s_dizaji@modares.ac.ir Health Tourism Medical Tourism Structural Equations Modeling Partial Least Squares Iran References## Akhondzadeh, S., Ebadifar, A., Eftekhari, M. B., & Falahat, K. (2017). Medical science and research in Iran. Archives of Iranian Medicine, 20(11), 665-672.##Alizadehsani, M., Mohsen, Farahani, B., & Ahmadikhatir, T. (2015). Wellness tourism motivational factors in hot springs of Mazandaran province: The case of Ramsar and Lavij hot springs. Journal of Tourism planning and Development, 3(11), 33-52 [in Persian].##Ayoubian, A., Tourani, S., & Hashemi, Z. (2013). Medical tourism attraction of Tehran hospitals. International Journal of Travel Medicine and Global Health, 1(2), 95-98.##Beladi, H., Chao, Ch., Ee., M, & Hollas, D. (2017). Does medical tourism promote economic growth? A cross-country analysis. Journal of Travel Research, 1-15.##Carrera, P. M., & Bridges, F. P. (2006). Globalization and healthcare: Understanding healthcare and medical tourism. Expert Review of Pharmacoeconomics and Outcomes Research, 6, 447-454.##Chomvilailuk, R., & Srisomyong, N. (2015). 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Tourism: A Modern Synthesis. London: Thomson,2nd edition,##Ruggeri, K., Záliš, L., Meurice, C. R., Hilton, I., Ly, T. L., Zupan, Z., & Hinrichs, S. (2015). Evidence on global medical travel. Bulletin of the World Health Organization, 93, 785-789.##Smith, P. C., & Forgione, D. A. (2007). Global outsourcing of healthcare: A medical tourism decision model. Journal of Information Technology Case and Application Research, 9(3), 19-30.##Sultana, S., Haque, A., Momen, A., & Yasmin, F. (2014). Factors affecting the attractiveness of medical tourism destination: An empirical study on India. Iranian Journal of Public Health, 43(7), 867-876.##Swarbrooke, J., & Horner, S. (2007). Consumer Behavior in Tourism, 2nd edition, London: Elsevier Butterworth-Heinemann.##United Nations. (2007). 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1 تحلیلی از آثار اطلاعات نامتقارن در بازار پول بر سرمایه‌گذاری، اشتغال و تولید در اقتصاد ایران The Effect of Asymmetric Information in the Money Market on Investment, Employment, and Production in Iran https://ijes.shirazu.ac.ir/article_5020.html 10.22099/ijes.2018.30128.1467 1 Nowadays, banks are considered as one of the major components of the financial system of a country and any deficits and malfunction in the banking system will negatively affect the performance of the real sector. Therefore, there is a need for more investigation on the behavior of banks and factors affecting those behaviors in a country. One of the issues that affect the behavior of banks is symmetric information. Thus, the main aim of the present study was to investigate the impact of asymmetric information in the money markets on investment, production, and employment. Hence, based on the New-Keynesian framework, a Dynamic Stochastic General Equilibrium (DSGE) model was adopted in accordance with the structure of the economy of Iran. The designed model entailed nine sectors including households, firms, banks, the Central Bank, oil, the government, exports, imports, and other countries of the world. Moreover, the rigidities of the prices and wages, and the rigidities of the imported and exported goods were taken into account in the model. By using the Bayesian method and data gathered from Iran during 1974-2017, the parameters of equations were estimated and the impact of symmetric information was investigated. The results indicated that increasing the asymmetric information and reducing the honesty in the society through decreasing the resources available to the banks and increasing the cost of banks will lead to an increase in the profit of the facilities. Also, increasing the profit of banks concessional loans decreases investment, production, and employment. 0 امروزه بانک‌ها بعنوان یکی از اجزای اصلی نظام مالی یک کشور محسوب می‌شوند و مکمل فعالیت در بخش حقیقی می‌باشند و نارسایی در فعالیت بخش بانکی بر عملکرد بخش حقیقی تأثیر منفی خواهد گذاشت. بنابراین بررسی رفتار بانک‌ها و عوامل مؤثر بر رفتار آنها اهمیت بالایی پیدا کرده است. یکی از مسائلی که رفتار بانک‌ها را متأثر می‌کند تقارن اطلاعات می‌باشد. بنابراین هدف اصلی این تحقیق، بررسی تأثیر اطلاعات نامتقارن در بازارهای پول بر سرمایه‌گذاری، تولید و اشتغال است. از این روی، یک مدل تعادل عمومی پویای تصادفی (DSGE) متناسب با ساختار اقتصاد ایران تصریح شد. مدل مورد نظر دارای هشت بخش خانوارها، بنگاه‌ها، بانک‌ها، بانک مرکزی ، نفت، دولت، صادرات و واردات و سایر کشورهای دنیا می‌باشد و چسبندگی قیمت‌ها، دستمزده‌ها و چسبندگی قیمت‌های کالاهای وارداتی و صادراتی درآن دیده شده است و با استفاده از روش بیزین و داده‌های ایران (1395-1353)پارامترهای مجموعه معادلات برآورد و اثر افزایش تقارن اطلاعات بررسی شد. نتایج تحقیق نشان می‌دهد که افزایش عدم تقارن اطلاعات و کاهش صداقت در جامعه، از کانال کاهش منابع در اختیار بانک و همچنین افزایش هزینه بانک‌ها؛ باعث افزایش سود تسهیلات می‌شود. افزایش سود تسهیلات بانکی باعث کاهش سرمایه‌گذاری، تولید و اشتغال می‌شود. 191 217 منصور مهینی زاده Mansour Mahinizadeh Faculty of Economics, Management and Accounting, Yazd University, Yazd, Iran Iran mahinizadeh@yazd.ac.ir کاظم یاوری Kazem Yavari Faculty of Economics and Management, Tarbiat Modares University, Tehran, Iran Iran kyavari@yazd.ac.ir حسن ولی بیگی Hassan Valibeigi Institute of Business Studies and Research, Tehran, Iran Iran hassan.valibeigi@gmail.com علی شفیعی Ali Shafiei Faculty of Economics, Management and Accounting, Yazd University, Yazd, Iran Iran a.shafiei555@gmail.com Asymmetric Information Production Investment Employment Money Market Banks Dynamic Stochastic General Equilibrium References## Adolfson, M., Laséen, S., Lindé, J., & Villani, M. 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1 آثار بازتخصیص درآمد فروش نفت و گاز ایران به توسعه امور بالادستی آن The Effects of Iran's Reallocating its Oil and Gas Sales Revenues to Developing its Upstream Affairs https://ijes.shirazu.ac.ir/article_4984.html 10.22099/ijes.2018.28032.1460 1 Oil and Gas sector, with notable participation in national product and funding public expenditures, plays a seminal role in Iran's economy. Although there is a relative lag in providing proportionate supply, Iran stands at the highest rank of owning world's related proven reserves. Using a Computable General Equilibrium (CGE) model, this study was aimed to investigate the effects of the increase in the acquisition rate of Iran's oil and gas upstream affairs from oil revenues on GNP and public budget, which are supposed to help the government keep its main obligations often funded from oil revenues. By applying the 18% gain, instead of the current 14.5%, to the oil and gas upstream affairs, short-run recession against long-run booming effects would emerge. Accordingly, maintaining the initial level of either the Public Goods and Services (PGS) output or Government Financial Supports on PGS, GNP could boost up to 5% with over 15% of required contraction in the public budget. On the contrary, maintaining the initial level of either the Transfer Payments or Transfer Payments and Financial Supports on PGS (simultaneously), GNP would rise only 1%, due to the negligible required contraction in the public budget. Therefore, allocating more oil revenues to developing upstream affairs (even under the presence of the contemporary main obligations) is recommended due to its potential to spur notable growth in GNP. 0 بخش نفت و گاز با سهم قابل توجه در تولید ملی و تامین هزینه‏های عمومی نقش مهمی را در اقتصاد ایران ایفا می‏کند. علیرغم، عقب ماندگی در تأمین سهم متناسب از عرضه جهانی، ایران در بالاترین رتبه از حیث ذخایر اثبات شده جهانی مرتبط قرار دارد. این تحقیق با استفاده از یک مدل CGE، به بررسی اثرات افزایش سهم امور بالادستی نفت و گاز از درآمدهای نفتی، بر تولید ناخالص ملی و بودجه عمومی مشروط به حفظ تعهدات اصلی دولت که اغلب از درآمدهای نفتی تامین می‏شود، می پردازد.با افزایش سهم 18 درصد از درآمد نفت و گاز به جای 14.5% کنونی، در کوتاه مدت رکود و درمقابل در بلند مدت رونق رخ خواهد داد. بر این اساس، با حفظ سطح اولیه؛ 1- ستانده کالاها و خدمات عمومی، یا 2- میزان حمایت مالی دولتی در تأمین کالاها و خدمات عمومی، GNP همگام با انقباض 15٪ در بودجه عمومی می‏تواند تا 5٪ افزایش یابد. در مقابل، با حفظ سطح اولیه؛ 3- پرداخت‏های انتقالی یا 4- حفظ همزمان پرداختهای انتقالی و حمایت مالی از تأمین کالاهای عمومی، ضمن الزام به انقباض بسیار ناچیز بودجه عمومی برای دولت GNP تنها 1٪ افزایش می‏یابد. بنابراین، با توجه به پتانسیل رشد چشمگیر GNP، پیشنهاد می‏شود که بازتخصیص سهم بیشتری از درآمد نفتی برای توسعه امور بالادستی آن (حتی بشرط حفظ تعهدات کنونی دولت) اجرایی شود. 219 237 فردین فرحناک Fardin Farahnak Department of Economics, , University of Semnan, Semnan, Iran. 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1 چه زمانی بیمه درمان در کاهش هزینه کمرشکن سلامت موثر است؟ The Place of Health Insurance in Reducing Catastrophic Health Expenditure https://ijes.shirazu.ac.ir/article_5094.html 10.22099/ijes.2019.31010.1490 1 This paper was aimed to investigate the mixed empirical results on the effect of health insurance in reducing the risk of catastrophic health expenditure (CHE). We investigated a wide range of factors affecting the risk of CHE among patients admitted to hospitals in Tehran. We categorized hospitals into five groups from private hospitals to charity ones. The data used herein was extracted from the second round of Urban Health Equity Assessment and Response Tool. Determinants of CHE were identified using logistic regression. We found that the significant effect of insurance on aggregate data was solely determined by its effect on reducing the risk of CHE in social security organization hospitals. Insured people by this organization allocate a higher proportion of their salaries to the health insurance and are admitted to the organizational hospitals free of charge. This finding shows the bias inherited in the aggregation and provides support for full pre-payments mechanisms. Our findings suggest that individuals relate CHE to the chosen hospitals, which, in turn, needs to be based on individuals’ health insurance and socio-economic conditions. 0 هدف این مقاله بررسی نتایج تجربی متناقض در رابطه با اثر بیمه درمانی در کاهش خطر ابتلا به هزینه کمرشکن سلامت است. طیف گسترده ای از عوامل موثر بر ریسک ابتلا به هزینه کمرشکن سلامت در بیماران بستری شده در بیمارستان های تهران بررسی شده است. ما بیمارستان ها را به پنج گروه از بیمارستان‌های خصوصی تا بیمارستان‌های خیریه تقسیم کردیم. داده های استفاده شده در این مقاله ازمرحله دوم طرح سنجش عدالت در سلامت شهر تهران استخراج شده است. عوامل تعیین کننده هزینه کمرشکن سلامت با استفاده از رگرسیون لجیت مشخص شدند. نتایج ما نشان می دهد که تأثیر قابل توجه بیمه سلامت در داده های جمع آوری شده منحصر به تأثیر آن در کاهش هزینه کمرشکن سلامت در بیمارستان‌های سازمان تأمین اجتماعی است. بیمه شدگان این سازمان، نسبت بیشتری از حقوق و دستمزد خود را برای بیمه درمان می‌پردازند و در بیمارستانهای سازمانی به صورت رایگان پذیرش می‌شوند. این نتیجه، سوگیری ذاتی در جمع پذیری را نشان می دهد و از ساز و کارهای پیش پرداخت حمایت می‌کند. یافته های ما نشان می‌دهد که هزینه کمرشکن سلامت به بیمارستان های انتخاب شده توسط افراد بستگی دارد و این بیمارستانها باید متناسب با پوشش بیمه های درمانی افراد و شرایط اجتماعی-اقتصادی آنها انتخاب شوند. 239 254 ستار مهربان Sattar Mehraban Independent Researcher Iran drsattarm@yahoo.com نرگس حاجی ملا درویش narges Hajimoladarvish Faculty of Social Sciences &amp; Economics, Alzahra University, Tehran, Iran. 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