Journal of Economic Modelling
Year:2012 | Volume:6 | Issue:2 (18)|Papers Count:7

This paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data during 2001-2011. The results represent that there is no long-term significant relationship between effective real exchange rate and industry index. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets. There is a bidirectional volatility spillovers effects between two markets. This indicates that previous innovations in stock market affects on the future volatility in foreign exchange market, and vice versa.

The main objective of this study is to identify the factors affecting the prices of housing by the use of Spatial Econometrics approach in Tabriz. To achieve the end, four physical, environmental, availability and spatial factors will be considered. Indeed, by determining the factors affecting the function of housing price based on a hedonic approach, spatial econometric can explain them in a spatial dependence frame. By using the cross-sectional data collected in 2010 from 757 families living in Tabriz prepared by Statistical Center of Iran, the software such as Geoda and GIS and Tabriz statistical maps, a model will be estimated for the effectiveness of home prices. The results indicate that there is a spatial dependence in the price of housing units in eight districts of the Tabriz city. The heating and cooling systems, exterior, structure type and the availability of street and security are the most effective elements in housing price.

In this paper, relative poverty will be noted to and, based on utilitarian approach and using Linear Expenditure System, a poverty line is estimated for urban and rural households. Then, head count ratio, poverty gap and Foster-Greer-Thorbecke (FGT) index will be calculated and analyzed. The results represent that, at the first half of this study, the poverty indicators have almost downward trend, while there is a rise for poverty indicators at the second half. Therefore, more attention, continuous monitoring and efforts for poverty alleviation will be recommended.

In this paper, the effect of financial wealth on private sector consumption is tested. The estimation of Auto-Regressive Distributed Lags (ARDL) model by using quarterly data during 1996Q1-2010Q4 represents that the marginal propensity to consume out of disposable income is 0.361 and 0.686 in the short and long-term respectively, and it will be 0.261 and 0.497 respectively when consuming financial wealth. In addition, Error Correction Model (ECM) explains moderate adjustment of short-term imbalances with a factor of -0.525.

The appearance of J-curve phenomenon to the issues of international economics in 1970s attracted the attention of researchers to short-run dynamics of trade balance response to the exchange rate changes. While, before 1970s; the studies investigated the reaction of trade balance statically. J-curve hypothesis violates the positive effectiveness of currency depreciation on the trade balance in short-run. In this paper, we attempt to combine short-run dynamics of trade balance to its long-run changes by using appropriate method to test J-curve between Iran and other major trading partners in Asia. Bound test method in co-integration and Error Correction Model are used during 1991Q2-2007Q3. Outcomes of our study suggest that there is J-curve effect in bilateral trade balance between Iran and its two other partners, China and Japan. Also, the depreciation of Rial versus other currencies has a favorite effect on bilateral trade balance in long-run.

Stock exchange market is one of the important ways to investment. In this market, the investors are looking for the best securities to maximize the profit. Therefore, forecasting the stock price of next day has a vital role in purchasing such securities. To do this, application of Neural Networks financial forecasting has become very popular over the last few years. In this paper, for predicting the next day's close stock price of Pars Petroleum Company, Artificial Neural Network (ANN) and Autoregressive Integrated Moving Average (ARIMA) will be developed, used and compared. The data are daily collected and analyzed during 2009-2011. The findings indicate that forecasting the price by Neural Network is superior to ARIMA due to its less error coefficients and high explanatory ability.

This article reviews the relationship between the government spending and economic growth and by estimating the optimal size of government tries to examine the relationship between government size and economic growth in Iran and analyze the presence and shape of the Army Curve. It is expected that the results obtained in the context of Iran could be of relevance to other developing countries or at least to those with similar economic structure or size. Moreover, this study performs an empirical test of popular phenomenon of the Armey curve using a time series and data set during 1964-2006 in Iran. The results show that the relationship between government size and economic growth, in the long term and short-term, is positive and non-linear. It is also found that the current size is larger than the size of government optimal in long-term and short term. It is necessary to decrease the size of government.