Journal of Quantitative Economics
Year:2010 | Volume:6 | Issue:4 (23)|Papers Count:12

Efficient and optimal allocation of oil income for sustainable development is an important issue in oil exporting countries. In this paper we present a dynamic computable general equilibrium model of exhaustible resource extraction. It is a two sector model, in which the dynamic sector is optimized with respect to static one. The static sector is a standard CGE model developed by Dervise and et. al (1982) for developing economies. In this framework, at each period of time, state sets saving rate by a set of economic policies and also sets the extraction rate of natural resources to maximize Intertemporal social welfare function. Then it determines oil sector investment by using a geo-engineering oil model, namely Maximum Efficient Recovery. Residual investible funds are allocated between non-oil sectors based on their shares in total profitability. Model is calibrated by 1380 social accounting matrix and optimal path of hydrocarbon extraction, investment in oil and gas sector and non-oil sector derived by solving Intertemporal optimization problem.

The capital asset pricing model (CAPM) states that the expected return on an asset depends upon its level of systematic risk. The asset’s systematic risk is measured relative to that of the market portfolio. This paper attempts to estimate the CAPM at different time scales. In this study, we adopt wavelets analysis, a relatively new and innovative approach in finance proposed by Gencay et al. (2002), as the key empirical method for examining the relationship between the return of the stock and its systematic risk at different time scales. The proposed procedure is acted on a sample, composed of 15 selected stocks, listed on Tehran Stock Exchange (TSE) actively traded over 2004-2009. It has proved that the relationship between the return of a stock and its beta is more robust at medium and short scales. This evidence shows that the Tehran Stock Exchange market is more efficient in the 1 until 4 scale (2-32 days). This finding, therefore, shows that the predictions of the CAPM are more relevant at short and medium-term horizon and in a multi-scale framework as compared to the other horizons.

An increase in oil prices lead to an increase in foreign exchange reserves in oil exporting countries and so the power of prescribing these revenues to national economy is increases. The incorrect injection of these revenues leads to Dutch disease in these countries. On the other hand, adopting unreasonable monetary and fiscal policies will increase inequality in these countries. Iran is one of these oil exporting countries so Iran's economy is not exempt of this problem. This study attempts to appear the impacts of money supply on inequality variables in Iranian economy over last years. The results of this study shows that governmental consumes and incomes increases inequality. Furthermore the effects of oil revenues on income inequality are unknown and these revenues decreases income inequality but distribution system decreases this effect and clearly growth rate of money supply increases income inequality.

The kind and scale of intervention government in economy and manner of its effecting on macro economic factors, have discussed ever between economists in recent decades.Income distribution topic is one of the important economic-social topics that said effects evaluating on that, creates the general goal of this research. So difference between kinds of intervention government in economy (possessive & governing) creates different effects on society income distribution, is the main hypothesis of this research.First the subjective principles are expressed in this research, and then proximate indexes of possessive role and governing role of government in economic topics are derivated. Thenceforth by some income distribution indexes, effects kinds of these different government roles on Iran income distribution in time series 1979-2006 via ARDL model are regressed.The result of this research shows that increasing the governing role of Government and decreasing the possessive role of Government, improve the income distribution indexes.

In recent years, protection of intellectual property rights has become more significant. Intellectual property rights can be regarded as the legal rights derived from intellectual activities in industrial, scientific, literature and art fields. Today, most countries seek to find workable models to apply intellectual property for their economic growth improvement. Current study show the effects of intellectual property protection on economic growth through research and development (R&D) expenditures and the number of researchers. Panel data method is used to estimate this effect directly and indirectly for a sample of 35 countries from 1985 to 2005. Research findings showed the protection of intellectual property rights have a positive effect on economic growth directly, and R&D & researchers via intellectual property rights have a positive and significant effect on economic growth indirectly.

One of the main important issues in financial management is In this study, we investigate the impact of financial development on economic growth in developing countries using an unbalanced panel data model for the period 1960-2004. The results indicate there is a positive and significant effect of financial development on economic growth of developing countries. The results are robust and are not sensitive with respect to other determinants of economic growth, different financial development proxies, different samples and different time periods.

Volatility of terms of trade has particular features in oil exporting countries. A large part of the variability of the terms of trade is associated with extreme movements in oil prices.In this paper we study Dutch Disease in Iranian economy with emphasis on impact of terms of trade on tradeable and non-tradeable investment by cointegration technique in period (1971-2003). First, we consider Corden and Neary theory about Dutch Disease. Second, we derived the investment function according present value criteria, accelerator principle and neoclassical theory of investment. This model included of GDP, CPI, rate of interest and terms of trade. Third, we estimated this model by Johnsen-Juselius cointegration technique. We find a long run relationship among these variables. Our results verified existence of Dutch Disease in Iranian economy.