Editorial
Research Paper
Other
Mohamamd Feghhi Kashani; Ahmadreza Mohebimajd
Abstract
Although theories over portfolio speculation have made remarkable progress so far, the performance of its proposed portfolios depends largely on the degree of accuracy in predicting future stocks prices dynamics. This study focuses on improving the performance of optimal portfolios by modeling the stocks ...
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Although theories over portfolio speculation have made remarkable progress so far, the performance of its proposed portfolios depends largely on the degree of accuracy in predicting future stocks prices dynamics. This study focuses on improving the performance of optimal portfolios by modeling the stocks prices dynamics through a time-inconsistent multivariate diffusion specification with drift vector. To this end, the share prices are simulated by means of a semi-martingale process with time inconsistent (local) martingale and information drift parts over the entire optimization horizon. Then, using the results of price simulation, we have looked into its consequences for constructing the portfolio of assets in the framework of Sharpe ratio maximization method and mean-variance analysis. Findings indicate that for the stock market under study (Tehran) within the trading dates spanning the interval 24-Mar-2001 to 19-Sep-2020, return and risk (standard deviation) of the portfolios obtained from applying this simulation scheme for mean-variance analysis and maximization of Sharpe ratio are both respectively higher and lower than those realized by the conventional methods. Additionally, a comparison of the simulation approach with performance of the actual market portfolios indicates that the Sharpe ratios of the simulation method is higher than those resulting from the market portfolios.
Research Paper
Monetary economics
Ali Cheshomi; Fariba Osmani
Abstract
Despite the recession in global financial markets, the Tehran stock Exchange experienced significant growth during the COVID-19 outbreak. Therefore, this article tries to solve this puzzle by analyzes the effect of three Coronavirus waves on the total index of Tehran stock Exchange, its sub-indices, ...
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Despite the recession in global financial markets, the Tehran stock Exchange experienced significant growth during the COVID-19 outbreak. Therefore, this article tries to solve this puzzle by analyzes the effect of three Coronavirus waves on the total index of Tehran stock Exchange, its sub-indices, and the different industries with daily data of Iran and the regression method with multiple breakpoints. The results show that each wave of COVID-19 have different effects on the stock market. COVID-19 in the first wave had a negative effect on the index of industries such as refined petroleum, chemical, Metals and transportation but had a positive effect on industries such as medicine and food. But in subsequent waves, response of different industries to the new pandemic is complicated for two reasons. First, the nominal exchange rate has positive and significant effect on main industries such as motor mehicles, banks, refined petroleum, metals and chemical (which have a considerable weight in the Tehran Stock Exchange), can show the positive trend of the index, especially in the first and second waves of the COVID-19. Second, the government's manipulatian in raising the stock prices of these main industries to finance its budget deficit caused the Tehran Stock Exchange index to move in the opposite direction in some periods in response to the Corona virus.
Research Paper
Other
Ali Rezazadeh; Roghayeh Mohseninia
Abstract
This study provides a comprehensive and different sight at the theoretical literature of the relationship between financial stress index and financial markets and presents a new method in order to investigate the nonlinear relationship between the financial stress index and financial markets for Iran's ...
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This study provides a comprehensive and different sight at the theoretical literature of the relationship between financial stress index and financial markets and presents a new method in order to investigate the nonlinear relationship between the financial stress index and financial markets for Iran's financial system. To that end, the time-varying Granger-causality tests were used. After calculating the financial stress index, the causality between these variable and other variables (gold price, exchange rate, and stock price index) was evaluated. The time-varying causality tests included forward, rolling, and recursive estimators from April 2005 to December 2019. All results were recalculated regarding time series variance heterogeneity for sensitivity assessment. The estimation findings were more credible in terms of variance heterogeneity due to the monthly nature of the data employed and the high probability of variance heterogeneity. The estimation results with variance heterogeneity and time-varying Granger-causality variable test used to investigate the relationship between financial stress and the stock market also revealed no evidence of causality between financial stress and the stock price index using forward and rolling algorithms. Findings indicate that the financial stress is the source of variations in the Iranian gold market, it does not affect the currency or stock markets.
Research Paper
Other
zeinab shokoohi; Mohammad Bakhshoudeh; Mahdi Asgari
Abstract
Subsidies reform in Iran started in 2010 after the implementation of the Targeted Subsidies Plan. Increasing the efficiency and productivity of production units through price realization was a main objective of this policy. However, the resulting spike in input and output prices challenged the achievement ...
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Subsidies reform in Iran started in 2010 after the implementation of the Targeted Subsidies Plan. Increasing the efficiency and productivity of production units through price realization was a main objective of this policy. However, the resulting spike in input and output prices challenged the achievement of the policy goals. The main purpose of this article is to compare the efficiency of the dairy farms in Iran before and after the Targeted Subsidies Plan was implemented. We used a sample of longitudinal data over the years 1990, 1993, 2000, 2007, 2013, 2016, and 2019 covering 11 regions in 18 provinces and applied stochastic frontier analysis by imposing the monotonicity condition to evaluate efficiency and productivity of the farms. The estimation results show that the unrestricted production frontier is not monotonic in energy and labor. Therefore, imposing a monotonicity condition reduces estimation bias which is critical for policymaking. Unbiased estimation of productive efficiency resulting from imposing the monotonicity condition ranges from 0.72 to 0.86, depending on the region. Results also show a 17% reduction in the production efficiency of the examined dairy farms after the subsidy reform plan which is against the policy goals. The regional differences in the efficiency of intensive dairy farming indicate the need for the more regionally specific supplementary policy, in terms of support schemes and subsidy reforms.
Research Paper
Environmental Economics
Marzieh Haghshenas; Rozita Moayedfar; Alimorad Sharifi; Shekoofeh Farahmand
Abstract
The Earth's temperature has climbed by 0.7 degrees Celsius (°C) during the last 100 years, and the worldwide average temperature is expected to rise between 1.8 and 6.4 degrees °C by 2100. Climate change, particularly rising temperatures, according to IPCC , the Middle East and North Africa (MENA) ...
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The Earth's temperature has climbed by 0.7 degrees Celsius (°C) during the last 100 years, and the worldwide average temperature is expected to rise between 1.8 and 6.4 degrees °C by 2100. Climate change, particularly rising temperatures, according to IPCC , the Middle East and North Africa (MENA) area will face challenges throughout the twenty-first century. As a result, the study's aims are to evaluate the impact of policies which eliminate or targetize fossil fuel subsidies in order to reduce global warming, as well as the impact of these policies on economic variables (GDP, consumption, capital accumulation, employment, and environmental impact) in the MENA until 2100. For this purpose, a Dynamic Regional Integrated Climate-Economy Model (RICE) is utilized to do this. The findings suggest that in the long run, if no strategy to limit temperature rise is enacted and carbon subsidies persist, the average world temperature would rise by 4.74 degrees °C, while an optimal policy based on fossil fuel taxation will increase the average global temperature by 4.49 °C, and a policy reforming fossil fuel subsidies will increase the average global temperature by 4.24 °C. Generally, carbon tax measures in the MENA area will lower average world temperature increase by 0.5°C compared to other scenarios.
Research Paper
Monetary economics
Elham Kamal; Vahid Taghinejadomran
Abstract
This paper studies the main fiscal determinants of central bank credibility (CBC) from 1990 to 2014. Covering 25 inflation-targeting (IT) economies, we mainly focus on sovereign debt holders and fiscal rules since adopting the IT framework. As the CBC indicator is highly concentrated in the right tail ...
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This paper studies the main fiscal determinants of central bank credibility (CBC) from 1990 to 2014. Covering 25 inflation-targeting (IT) economies, we mainly focus on sovereign debt holders and fiscal rules since adopting the IT framework. As the CBC indicator is highly concentrated in the right tail of the distribution, the mean-based approaches are incapable of unearthing the fact that the effect of fiscal factors may be asymmetric across the distribution of the credibility index. In departing from the problem, we use a quantile regression method to estimate parameters over the entire conditional distribution of CBC. The asymmetric response using the quantile regression is state-dependent and conditional on the credibility distribution. Having provided a comprehensive survey on the fiscal factors potentially related to the credibility in the literature, we find that fiscal rules are almost prominent at the lower quantiles while debt holders' composition is strongly significant at the upper tails of CBC distribution. These findings are further supported by the slope equality tests, discussed in Koenker & Bassett (1982). These results could be attributed to the more sensitivity of the private sector expectations to the debt holders’ composition. Therefore, central bankers could reduce public expectations by taking into account the non-linear impact of fiscal factors on their credibility.
Research Paper
Macroeconomics
seyedrohollah Ahmadi Hajiabadi; Jabbar Ul-Haq; Hubert Visas
Abstract
The present paper aims to test the new structural economics hypothesis in regard to the effect of development strategy on economic growth in a country that has witnessed an eight-year war and has suffered severe sanctions i.e., Iran. According to the new structural economics, if a country adopts a comparative ...
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The present paper aims to test the new structural economics hypothesis in regard to the effect of development strategy on economic growth in a country that has witnessed an eight-year war and has suffered severe sanctions i.e., Iran. According to the new structural economics, if a country adopts a comparative advantage defying strategy, it will have poor growth performance. In contrast, to have a strong economic growth, it should employ a comparative advantage following strategy. the technology choice index (TCI) is utilized as a proxy of development strategy. Based on this indicator, increasing of TCI means that a country is conducting a comparative advantage defying strategy. The relationship is estimated by the ARDL bounds test approach. To run the model, the technology choice index (TCI), and a variety of control variables were included in the model. Hence, time-series data was collected from reliable databases for the period 1979-2018. The results in which their stability is checked, reveal a negative effect of adopting a comparative advantage defying strategy on economic growth, which supports Lin's hypothesis. In other words, it is shown that by increasing TCI, economic growth is declined significantly. So, to achieve economic growth, a kind of development strategy should be adopted that is based on pursuing comparative advantages.
Research Paper
Monetary economics
Nasrin Mansouri; Behrouz Sadeghi Amroabadi
Abstract
This study has investigated the effect of Central Banks transparency and independence on productivity growth during 1981–2018 in Iranian economy. Transparency and independence of central bank were measured by Dincer and Eichengreen index and Cukierman index respectively. The variables in this study ...
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This study has investigated the effect of Central Banks transparency and independence on productivity growth during 1981–2018 in Iranian economy. Transparency and independence of central bank were measured by Dincer and Eichengreen index and Cukierman index respectively. The variables in this study which are in annual form are central bank transparency, central bank independence, GDP growth, productivity growth, inflation rate and free trade. Auto-Regressive Distributed Lag (ARDL) method was used for model estimation. The coefficient of the error term is negative, statistically significant and equal to -0.308. It can be concluded that 30% of the short-run disequilibrium is adjusted to achieve long-run equilibrium. The results show that the transparency of the central bank has a positive effect and the coefficient is equal to 0.36 on productivity growth in the short-run, but it is effective on productivity growth in the long-run equal to 1.08. In the short-run, the independence of the central bank has a negative and significant effect on productivity growth equal to -3.09, but in the long-run the effect of this variable is positive and equal to 1.09.
Research Paper
Public Economics
Somaye Rasouli Firoozabadi; Nazar Dahmarde Ghaleno; Mohammad Nabi SHahiki Tash
Abstract
The primary objective of the present article is to study the impact of positive shocks in government expenditures during different financial periods on economic variables in Iran. To this end, first, financial condition index was created through principal components analysis. Then, using LR non-linear ...
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The primary objective of the present article is to study the impact of positive shocks in government expenditures during different financial periods on economic variables in Iran. To this end, first, financial condition index was created through principal components analysis. Then, using LR non-linear test and the data related to the period of 2005 to 2018, while studying non-linearity, the value of the variable threshold variable is estimated exogenously. Therefore, the value of the threshold of financial index is considered to be -0.36. Threshold Vector Autoregression Model (TVAR) with the assumption of the possibility of regime switching and generalized impulse-response functions are extracted to examine the impact of positive and negative shocks in government expenditures. Based on the results, the reaction of economic variables to positive shocks in government expenditures will be independent from financial periods whereas the reaction to negative shocks in government expenditures is influenced by financial periods, especially the period of recession. financial sector cannot improve real sector due to structural problems. increasing government authority, lack of competition space between public and private sector, allocating inefficient government spending have caused that financial sector cannot significant effect on economic real sector such as economic growth And in some cases we will see the negative impact of this sector.
Research Paper
International Economics
Golnaz Hadian; Sara Ghobadi; Majid Sameti
Abstract
In the last two decades, some economists have provided a model for obtaining the optimal tax rate to maximize economic growth. Aiming to contribute to these studies, this work presents a new approach for the determination of the optimal tax rate based on a stochastic metafrontier analysis. To this end, ...
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In the last two decades, some economists have provided a model for obtaining the optimal tax rate to maximize economic growth. Aiming to contribute to these studies, this work presents a new approach for the determination of the optimal tax rate based on a stochastic metafrontier analysis. To this end, the meta technical efficiency (MTE), group’s technical efficiency (TE), technology gap ratio (TGR), and optimal tax rate (OTR) were determined for the period 1996-2018 in a selection of member countries of the Organization of Islamic Cooperation (Group A), lower-middle-income (Group B) and upper-middle-income (Group C). It was found that Group A has the maximum average values of MTE, TE, and TGR, while most countries in Group B have the minimum average MTE. The results demonstrated that Russia enjoys the highest average values of MTE, TE, and TGR, and can be considered as the reference for the countries in Group C. Finally, it was concluded that with 90% statistical confidence, the average real tax rates in Iran and Kuwait are less than the balanced budget OTR during the studied period. The emphasis on increasing tax rates to maximize economic growth and the improvement in the efficiency of these governments seems necessary.
Research Paper
Public Economics
Fatemeh Etemedmoghaddam; Majid Sameti; Sara Ghobadi; Mansour Mahinizadeh
Abstract
In an effort to achieve economic growth and development, to eliminate or minimize the traditional barriers of trade, trade facilitation (TF), and increase international trade, free trade zones in Iran were founded. In this regard, part of the solution to increasing countries' international trade is provided ...
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In an effort to achieve economic growth and development, to eliminate or minimize the traditional barriers of trade, trade facilitation (TF), and increase international trade, free trade zones in Iran were founded. In this regard, part of the solution to increasing countries' international trade is provided by Public- Private Partnerships. Since trade facilitation includes a relationship between the Public and Private sectors, this type of partnership is especially important in trade facilitation. The purpose of this research is to evaluate the relationship of the factors that have the greatest impact on TF-oriented PPPs in the free zones and these factors derive from the theory of PPPs. Qualitative data was collected focusing on private, public, and academic sector professionals involved in free zones and trade by a researcher-made questionnaire. The Structural Equation Modeling (SEM) strategy was utilized to look at the model and test the research hypotheses. Of the 5-hypothesis proposed by this study, four hypotheses were confirmed and one was rejected. The results have shown that the variables of private sector abilities, the micro-environment factors, and the macro-environment factors, in that arrange, have the foremost impact on TF-oriented PPPs and TF-oriented PPPs have a strong relationship to trade facilitation. Therefore, the use of TF-oriented PPPs in free zones can have a positive effect on trade facilitation, and the development of TF dimensions will also lead to trade facilitation in Iran's free zones.
Research Paper
Other
Siavash Jani; Vahid Nikpey
Abstract
One of the most influential factors in the tourism boom is the security of tourism destinations as well as the security of the adjacent regions of the destinations. Thus in this study, the impact of security on tourism attraction among the Iranian provinces is studied due to the regional spillover effect. ...
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One of the most influential factors in the tourism boom is the security of tourism destinations as well as the security of the adjacent regions of the destinations. Thus in this study, the impact of security on tourism attraction among the Iranian provinces is studied due to the regional spillover effect. Security index derived from the combination of several variables such as data on murder, suspicious deaths, quarrels, conflicts, sedition, hooliganism, and suicides divided by provinces and based on the Principal Component Analysis (PCA). Spatial diagnosis tests are done and positive spatial dependency is confirmed among the regions and then the model is estimated in the form of dynamic spatial panel data by spatial Durbin for the period 2011-2017. The results show that an insecurity increase causes a decrease in the number of tourists in a tourist destination and the adjacent regions (spatial spillover effect). While the insecurity index spatial effect is more than its direct effect which means that insecurity variations in a province decrease the number of tourists in adjacent regions more than the number of tourists of that province. Also due to the results, not only insecurity but also the number of specialists, the number of cultural centers, and the information and communication technology index have the most effect on attracting tourists.index spatial effect is more than its direct effect which means that insecurity variations in a province decrease the number of the tourists of adjacent regions more than the number of the tourists of that province.
other
Total authors
Abstract
سرمایهگذاری مستقیم خارجی (FDI) به عنوان بخش جداییناپذیر از یک نظام اقتصادی باز و موثر بین المللی و عاملی کلیدی برای رشد و توسعه بین کشورها محسوب میشود. ایران به دلیل ...
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سرمایهگذاری مستقیم خارجی (FDI) به عنوان بخش جداییناپذیر از یک نظام اقتصادی باز و موثر بین المللی و عاملی کلیدی برای رشد و توسعه بین کشورها محسوب میشود. ایران به دلیل برخورداری از منابع عظیم نفت و گاز و همچنین بازارهای نسبتاً بزرگ، پتانسیل بالایی برای جذب سرمایه گذاری مستقیم خارجی به مراتب بیشتر از عملکرد خود دارد. این در حالی است که اعمال تحریمهای مختلف بر کشور در سالهای اخیر با ایجاد فضای روانی خصمانه و ریسک بالای فعالیتهای اقتصادی منجر به کاهش سرمایه گذاری مستقیم خارجی شده است.در این مقاله قصد داریم با استفاده از روش کنترل ترکیبی (SCM) به بررسی تاثیرات گسترده تحریمهای اقتصادی اعمال شده توسط ایالات متحده بر FDI ایران بین سالهای 1980 تا 2020 بپردازیم. ما از طریق SCM تفاوت FDI را بین کشور تحت درمان (ایران) و ترکیبی (ایران ترکیبی) تخمین میزنیم.نتایج نشان میدهد که تحریمها منجر به کاهش تقریبا 12 میلیارد دلاری سرمایه گذاری مستقیم خارجی در مقایسه با وضعیت بدون تحریم شده است. به دنبال تشدید تحریمها در دولت ترامپ و خروج ایالات متحده از برجام، اثرات منفی کاهشFDI به اوج خود یعنی 20 میلیارد دلار در سال 2020 رسیده است. علاوه بر این، آزمونهای دارونما نشان میدهند که نتایج از نظر آماری در سطح 10٪ معنادار هستند.
