IRANIAN JOURNAL OF APPLIED ECONOMICS
Year:2016 | Volume:6 | Issue:-|Papers Count:6

The main purpose in the present paper is to optimize the Sepah Bank Investment Company’s Portfolio using the method of minimizing the risk subject to the expected return. In this regard, first, the combination of the mentioned company’s portfolio was considered over the period 2008-2011 (1387- 1390 corresponding to Iranian calendar) and four industries with high shares between all the invested were selected. Latter, the returns’ risk of the four industries using the multivariate GARCH model have been estimated in BEKK - Diagonal model’s frame over the time. In the following, subject to the expected return, the optimal risks of investment portfolio including the four selected industries have been calculated. The Findings show that whenever there is less of a risk for each industry’s return, its share is higher in the portfolio. Furthermore, on the average, the non- metallic mineral extraction industry has the highest share. Respectively, the ranking of three of the remaining selected industries’ shares consists of: metallic mineral extraction industry, holding companies and chemical materials and products industry. Therefore, it is sufficient that the Sepah Bank Investment Company in order to minimize its risk in any time and to achieving an expected return considers such a ranking.

The main objective of this study is to analyze the impact of macroeconomic uncertainty on economic growth and investment in Iran during 1980 to 2011 (1359 to 1390 corresponding to Iranian calendar). Hence, macroeconomic uncertainty vectors for both macro indicators, including the budget deficit and the volume of money are estimated using the generalized autoregressive conditional heteroskedasticity (GARCH), and the impact of each macroeconomic uncertainty vectors on investment and economic growth is studied. The results show that the macroeconomic uncertainty indicators have statistically significant negative impact on investment and economic growth in Iran during the mentioned period. So that increasing 1 percentage in the budget deficit uncertainty causes to decrease 0.23 percent and 0.31 percent in investment and in economic growth, respectively, and also increasing 1 percentage in the money uncertainty leads to reduce 0.25 percent in investment and 0.17 percent in economic growth. In addition, the budget deficit uncertainty has had more effect on reducing in economic growth and investment than the money uncertainty.

In recent decades, in different countries, industrial development and firms expansion in various sizes are caused that industry sector is formed with an emphasis on small and medium firms or large firms. Examining the existence of the relationship between firms’ size and economic growth can affect the related policies that support firms. In the present paper, the effect of small and medium firms on economic growth in Iran, compare to the effect of large firms, is studied during 1987 to 2014 (1366 to 1393 corresponding to Iranian calendar). For this purpose, according to Romer (1990) and Lee (2010) growth model, economic growth is considered as a function of the number of small and medium, and large firms, labor, physical capital accumulation and research & development expenditure. The results which are obtained by using co-integration and Auto regressive vector methods, indicate that the number of small and medium firms and also the number of large firms has a significant positive effect on economic growth. In addition, the number of small and medium firms has a greater influence on economic growth than has the number of large firms. T he reason is due to the short - term return of small and medium firms and also to the existence of many obstacles in relation to the large firms’ growth in Iran' s economy.

Aware of the output gap trend is very important in directing monetary and fiscal policies. While, the impact of oil shocks on output gap cannot be ignored, regarding the importance of oil revenues to the Iranian economy. Therefore, in the present paper the impact of the oil revenues shocks on output gap during the period 1989: 1- 2014: 1 (1368: 1 -1393: 1 corresponding to Iranian calendar) by using VAR & VECM models was studied. Output gap derived from the difference of potential output and actual output that first the potential output is estimated by using Kalman filter method. In this study, for elicitation of oil revenues shocks Hodric-Prescott method was used. And for deriving the impact of oil revenues shocks on output gap IRF& VD functions were used. Finally, the convergence of long-term relationships based on Johansen method were elicited and analyzed. The results of Research indicated asymmetric response of output gap tooil revenues shocks.

Poverty is an issue that has been raised since many years away and despite of the world countries’ economic growth and implementation of various combating policies to poverty, it is still one of the most important goals for world countries’ economic policy makers. In this regard, the financial sector because of its relationship with other different society’s sectors, plays an important role and via some ways, such as facilitating exchange, credit, risk reduction and provision of other financial services, can change poverty. Hence, the present study examined the relationship between financial development and poverty in 26 selected developing countries of the world, using panel data model, in the period from 2003 to 2012. Results indicate that there is a negative relationship between financial development and poverty; as society’s poverty is reduced by increasing financial development. Also, per capita GDP and the literacy index is inversely related to the poverty index and the cost of living index has positive relationship with the poverty index.

The main purpose of this paper is to investigate the impact of oil revenues on oil-exporting countries’ tax revenues. To do this, countries have been divided into two group including low and high level, in terms of the degree of trade openness, and the considered model has been estimated by using countries panel data during 1998 to 2014. The results show that oil revenues have had a significant negative impact on tax revenues, in both groups of the mentioned countries. In addition, the other variables don’t have any significant impact on tax revenues in countries with low degree of trade openness, while they (except GDP) have significant positive impacts on tax revenues in countries with high degree of trade openness.