Journal of Economic Research
Year:2010 | Volume:44 | Issue:89|Papers Count:10

The capital asset pricing model (CAPM) is an equilibrium model for explaining the relationship between risk and returns of individual assets. In other words, the CAPM shows that how assets are priced according to their risk. CAPM is based on the assumption that investors are finding the efficient portfolio act in such a way that the efficient portfolio theory explains and their choices of the portfolio are based on their degree of risk aversion. Up to now, most studies based on CAPM theory in Iran and other countries are in individual asset levels, or at most, in a basket of several company stocks that are a subset of the market indices. There are not enough researches based on CAPM in aggregate level assets. In this paper, we have tried to assess the systematic risk of four aggregate assets in Iranian economy and its relationship with their expected returns. The assets are housing and real estate, gold, stock, and foreign exchange.

Throughout his long life, man has always imagined creating a creature with the same capabilities of his own or much higher than that; a creature in his service. At the end of the 20th century, gaining the logical and mathematical model for man’s actions and reactions has caused man to be the creator of a virtual intelligence himself; the intelligence by which a machine can think like a man, have a conceptions of the world around, learn what he needs, use the past experiences, & above all can look ahead to future. In this article through using the neural artificial network, some of the indices of globalization of the main parts of the country (agriculture, industry & mining, services & construction) during 1959-2001 have been studied and predicted (2002 -2009). The predictions show that although the rate of level of international trade index in industry is much higher than the rest of the indices, the process is decreasing and shows its weakening during the years in the international trade area. On the other hand, the other parts indicate the increase of globalization index during the 4th development program.

Weak economic performance that has been observed in countries with rich natural resources is called resource curse. There have been many studies on resource curse, especially the adverse effects of this phenomenon on economic growth. Income inequality or unfair distribution of income is one of the main characteristics of resource rich countries. But, there has not been much research on the effect of resource curse on income inequality. The focus of this study is on the countries that are rich in oil and empirical study has been done for 16 countries. The purpose of this research is an analysis of the effect of oil incomes on income inequality for these countries. We find that oil incomes have reduced income inequality in countries with better governance. Rent-seeking could explain the adverse effect of oil incomes on income inequality. Our empirical results are consistent with this contention, because the index of rent-seeking has an adverse and significant effect on income distribution as measured by Gini coefficient.

By the advent and development of Information and Communication Technology (ICT), the Micro and Macro Economic variables are changed. In other words, the exclusive characteristics of ICT can alter the job framework in a society. This fact will be done in our country, too. Because of the importance of the employment issue in Iran, a research in about of effect of ICT on this variable in Iran is so necessary. The aim of this paper is to investigate the effect of ICT on Employment of Iran with a microeconomics’ model. So, the Model with a VECM approach has been estimated for 1338-1385. The result of this paper is shown that the ICT has negative effect on employment of Iran in short run, but it has positive effect in long run. Anymore, the ICT has positive effect on the skillful employers and negative effect on no-skillful employers.

The relationship between stock return and inflation has been noticed by many researchers so far on which there has been no absolute finding. For this reason, it is considered as a puzzle. This relationship is quite different from one country to another because of the presense of various rates of inflation and economic structures. In this study, the relationship between two indexes of CPI (Consumer Price Index) , PPI(Producer Price Index), and stock return is investigated from Tir 1371 to Khordad 1387. The regression result of the first hypothesis showed that the variables of CPI and PPI are not suitable for explaining the stock return. The analysis of second hypothesis is done with respect to GARCH and Exponential GARCH (EGARCH) models and leverage effect. The estimated result showed that this model is suitable for explaining the stock return volatility. By using the result of leverage effect hyhotesis which has used the exponential Garch, the assymetry of volatility and presence of the leverage effect are confirmed in Tehran Stock Exchange and finally, test second hyphotesis showed that these variables didn’t have any effects on both mean and stock return volatility. But, because of asymmetry of volatility in Tehran Stock Exchange, we must apply Garch exponential model for testing this hyphotesis

One of the most important issues about production structure and measurement of factors utilization in industry is the study of substitutability among the production factors. While, energy, for its particular features like finite and the direct relationship between energy usage and air pollution; and specifically abundance of energy resources and allocation of subsidies to different energy carriers in Iran, has led to the fact that energy factor and its substitutability with other factors become of high importance. In this way, basic metals manufacturing are one of the fundamental industries parts which consume a lot of energy and are regarded as one of the high value added parts. The main concern of this study is the estimation of energy factor demand, and the factors affecting basic metals manufacturing during 1373-1382. In addition, the complementary and substitutability of electricity and other factors in basic metals manufacturing are studied. Using panel data models of Translog, factor demand is estimated for labour, capital, electricity and other energy carriers. In estimating the models fixed effect and ISUR have been used. The results of the study show that, capital and electricity are complementary while capital has the substitutional relationship with other energy carriers. Substitution between electricity and the other careers are not confirmed. The corresponding own-price elasticities are -0.49 for labour, -0.10 for capital, -0.39 for electricity and -0.31 for other energy careers.

The amount of impacts of changes in world prices on economic indices of a country can be studied focusing economy's openness level and volume of the country's interaction with other countries. The increase in world prices in recent years, in one hand and the consistent increase of domestic inflation in the other hand put special importance upon surveying the impacts level of the world prices on domestic economy. Furthermore, the impacts of imported goods price increase on export-import and in other words the trade balance in countries with open economies is undeniable in the economics literature. In this article, while presenting a general equilibrium model for Iran, the impact of the world price fluctuations of agricultural, industrial and service sector on the level of domestic prices, trade balance and exchange rate has been separately and simultaneously studied. The results show that, agricultural goods price increase, decreases the net exports in goods and services sectors. The increase in industrial goods price has the most powerful effect on domestic price level and the increase in service sector prices. Also, the gross domestic product will be decreased if the global prices are decreased.

This paper estimates a simple Real Business Cycle (RBC) model for Iran using the Kalman Filtering and maximum likelihood methods. Ireland (2004) model is used to develop features of Iran's economy. Using quarterly and annual data from 1987:1 to 2005:4, the initial values of the parameters were established. Maximum likelihood method was sued to estimate the parameters of the model. The estimation of the unobservable variable such as the deviation of the technology from its steady state shows that its standard error has been decreased during the 1997 to 2005. This result illustrates that the economic stability has improved over this period. In addition, technological shocks are persistent in Iran's economy, though policy makers should have clear ideas to control them. The results of the estimated model show that the estimated values of the parameters such as the coefficient of AR(1) process for technology, the growth rate of quarterly per capita output are reasonable for the Iran's economy. Applying bootstrap method, the standard errhufhsors of the estimated parameters are calculated. In addition, the simulated auto-correlation coefficient and the standard errors of the cyclical part of the per capita real output, per capita real consumption are very close to their actual values in Iran's economy

The aim of present article is determining economic value of air pollution and environmental effects of Mashhad city air pollution. Data of 286 households of Mashhad was gathered through questionnaire in a survey research using stratified random sampling method in year 2006. In order to detemine environmental effects of air pollution choice experiment approach - which gives the most perfect environmental total economic value - conditional logit (CL) and nested logit (NL) models, have been applied. On this base, for a thirty percent improvement in bad odour, black fallout, poor visibility and health effects of air pollution, high-polluted region settlers are willing to pay, in average, 751, 912, 1526 and 1607 Rials per month, respectively. Whilst, middle-polluted region settlers, are willing to pay 595, 802, 1263 and 1453 Rials per month for 30 percent improvement in bad odour, poor visibility, black fallout and health effects of air pollution, respectively. Therefore, value of a thirty percent improvement in Mashhad air pollution is equal to 11303472650 Rials per month.

Portfolio selection is considered a critically significant decision, firms have to make. As such, much research has been focused on the selection of a portfolio with a controlled level of risk and high expected return. This paper uses a new definition of risk for portfolio selection whereby risk taking is taken as a curve instead of a specific value. In this paper, a genetic algorithm is presented for portfolio selection. Stochastic simulation is used to calculate the expected values and the values of the risk curve function. Finally, as a case study, the algorithm has been used for portfolio selection in Tehran Stock Exchange. The results of the algorithm and the experiment show that the designed algorithm is very effective for solving the portfolio selection problem.