Research Paper
Macroeconomics
Hassan Daliri
Abstract
This study examines the impact of the COVID-19 pandemic on economic catch-up dynamics across 194 countries, segmented by income groups, using an economic catch-up index relative to the United States (USA) and G7 benchmarks. To examine the change in the path of economic catch-up, a test is performed to ...
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This study examines the impact of the COVID-19 pandemic on economic catch-up dynamics across 194 countries, segmented by income groups, using an economic catch-up index relative to the United States (USA) and G7 benchmarks. To examine the change in the path of economic catch-up, a test is performed to compare the difference between the mean catch-up index after COVID-19 and the mean catch-up index before COVID-19 for each country. By comparing pre-pandemic periods (2001–2019, 2010–2019, 2014–2019) with the post-pandemic phase (2020–2023), the analysis reveals heterogeneous trajectories shaped by income levels, structural resilience, and benchmark selection. A clustering approach identified six distinct clusters, highlighting divergent recovery patterns. Low-income countries experienced significant divergence from the USA post-pandemic but displayed minor divergence with the G7. Lower-middle-income countries showed mixed outcomes, with notable progress in countries like Vietnam and Bangladesh but persistent divergence in structurally weaker economies such as Angola and Haiti. Upper-middle-income countries exhibited relative stability, while high-income countries diverged sharply from the USA but converged with the G7. These findings highlight the asymmetric effects of global shocks on economic trajectories and underscore the importance of institutional quality, policy responses, and structural diversification in shaping recovery outcomes. Correlation analysis shows that, Governance factors like Control of Corruption and Regulatory Quality are vital for economic catch-up in low- and upper middle-income countries, while COVID-19 mortality rates significantly hinder lower middle-income nations. High-income countries face post-pandemic challenges despite strong institutions, with innovation playing a critical role in sustaining their alignment with advanced economies.
Research Paper
Econophysics
Mahdi Shahrazi; Milad Shahrazi; Zeinab Yazdani Charati
Abstract
This study examines the dynamic relationship between market efficiency and liquidity in Tehran Stock Exchange (TSE) from March 2010 to March 2024. To achieve this, we employ the Detrended Cross-Correlation Analysis (DCCA) method using a one-year rolling window. Initially, we calculate the market efficiency ...
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This study examines the dynamic relationship between market efficiency and liquidity in Tehran Stock Exchange (TSE) from March 2010 to March 2024. To achieve this, we employ the Detrended Cross-Correlation Analysis (DCCA) method using a one-year rolling window. Initially, we calculate the market efficiency index (EI) through the Detrended Fluctuation Analysis (DFA) applied to the time series of daily closing prices. Simultaneously, the moving average of daily trading volume over a one-year period is used as a proxy for market liquidity. The results indicate that the correlation between efficiency and liquidity fluctuates over time, exhibiting both positive and negative values in different periods. However, these variations remain weak, with correlation coefficients being close to zero for most time frames. This suggests that there is no clear or stable relationship between the two variables. Unlike previous studies that have suggested a significant role of liquidity in enhancing market efficiency, our findings do not support a strong link between trading volume and efficiency in the TSE. These results imply that market liquidity, as measured by trading volume, does not exhibit a strong or consistent relationship with market efficiency and vice versa. Accordingly, increasing trading volume and market liquidity does not necessarily translate into greater efficiency, and other influential factors must be considered to enhance market efficiency.
Research Paper
Macroeconomics
Mohammad Taher Ahmadi Shadmehri; Fariba Osmani; Narges Salehnia; Ali Cheshomi; Mahdi Cheshomi
Abstract
In recent years, severe international sanctions have been imposed on Iran's economy, which has caused instability and increased inflation. Therefore, this study analyzes the time-varying effect of inflation on Iran's future per capita consumption with the WLS-RW approach using monthly data from April ...
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In recent years, severe international sanctions have been imposed on Iran's economy, which has caused instability and increased inflation. Therefore, this study analyzes the time-varying effect of inflation on Iran's future per capita consumption with the WLS-RW approach using monthly data from April 2010 to March 2022 in the period of instability caused by sanctions. The regression results show that the effect of inflation on consumption varies over time, and in some periods the coefficient of inflation on consumption is positive and in other periods it is negative. In addition, in the period of instability caused by the sanctions, this effect reaches about -0.5. Examining the time-varying effect of inflation on consumption reports accurate results. In this study, the variables of GDP per capita, unofficial exchange rate, real interest rate, housing price, and liquidity are also considered control variables. GDP per capita has a positive but fluctuating effect on consumption over time. Although the increase in housing prices helps to increase consumption, the increase in housing prices during the period of instability caused by sanctions causes a sharp decrease in consumption. Exchange rate and liquidity also have a positive effect on consumption at some times and a negative effect at other times. The rolling-window approach provides useful results with a detailed and fact-based examination of the consumption function, considering internal and external fluctuations, especially inflation. Accurate forecasting of per capita consumption is very necessary and important for government officials and policymakers.
Research Paper
Monetary economics
Mahboobeh Khadem Nematollahy; Mojtaba Bahmani; Teymour Mohammadi
Abstract
Identifying monetary policy shocks is a crucial determinant influencing stock price index in esteemed global stock exchanges. Given that the implications of this policy might impact individual’s wellbeing, unemployment, and economic growth, it is essential to analyze and quantify these effects. ...
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Identifying monetary policy shocks is a crucial determinant influencing stock price index in esteemed global stock exchanges. Given that the implications of this policy might impact individual’s wellbeing, unemployment, and economic growth, it is essential to analyze and quantify these effects. This study aims to analyze the dynamic responses of macroeconomic variables in fuel-exporting countries, including Colombia, Indonesia, Iran, Russia, and Saudi Arabia, to unconventional monetary policy within the SVARIH framework, utilizing stock price fluctuations from the years 2000 to 2023. The variables studied in the study include inflation, unemployment, stock prices, interest rates, and gross domestic product. The results indicate that the slope policies enacted by governments like Colombia, Iran, and Russia can facilitate economic recovery by decreasing unemployment and credit expenses. Furthermore, stock prices are demonstrated to be effective in identifying slope policy shocks. The Iranian government can implement unconventional monetary policies to enhance credit availability, hence boosting production and decreasing unemployment. The findings can be concisely presented as follows:1) This study aims to develop a novel approach for identifying unconventional monetary policy shocks using a heteroskedasticity-based identification method in fuel-exporting countries.2) Stock price fluctuations are employed as a means of identifying the shocks.3)Policymakers can significantly influence the implementation of unconventional monetary policies to reduce stock market volatility through enhanced liquidity provision and increased equity returns.
