JOURNAL OF ECONOMIC MODELING RESEARCH
Year:2011 | Volume:1 | Issue:2|Papers Count:8

In this article the relationship between market return and volatility is examined by applying out- of- sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE and TSE. However I found only negative relationship between unexpected volatility and monthly returns in most of international exchanges. I didn’t also find any significant relationship between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive relationship between volatility and return. Although there are low coefficients of determination for all regressions, asymmetric volatility of return hypothesis explains this relationship in the sense that a decrease in stock price (negative return) increases the financial leverage of companies leading to more risky stocks and an eventually increasing volatility.

The foreign direct investment is one of the economic variables that can positively affect the economic growth, but according to some researches this does not apply to some countries. These researches implicate that this lack of positive effect is due to domestic qualification of the home country. One of the essential qualifications for positive effectiveness of foreign direct investment on the economic growth is the existence of developed financial market. Therefore, in this research we intend to examine the role of financial market in the effectiveness of foreign direct investment on the economic growth. To do this we made use of the data from 57 countries in the period 1990-2005 and the econometric technique of panel data. The results show that in developed countries because of their financial market, the effect of foreign direct investment on economic growth is positive and significant whereas in developing countries this effect is not significant.

The Poverty measurement and its determinants are the most important factors in poverty alleviation programs. In this paper, we estimate poverty line and its dimensions by using Linear Expenditure System. To that end, we use household level data from the Statistics Center of Iran during the period of 1994-2008. We examine the main determinants of poverty for urban households using a probit model. In this model, we assess the impact of key household characteristics on poverty.The results show that the poverty likelihood decreases if the educational level of the head of the household increases. In addition, the chance of being poor declines in a household headed by a male. The age of the head of the household, the ratio of income earners in the household, and the household size are other factors that have a significant role in the probability of being poor.

The theoretical literature of economic growth (endogenous and exogenous growth model) and empirical evidence in developed and developing countries show that without financial reform, sustainable development on economic growth and developments in the international financial sector development on economic growth and development in the international financial sector make a more important issue. Some economists believe that financial reforms through increasing the level of saving and investment can provide economic growth. Also, some economists believe that financial reform by international capital mobility and technology transfer can cause income convergence among countries. This study investigates the theoretical founddations of financial development, financial system and its functions, and also the analysis of the effect of financial reform on economic growth and creating income convergence among selected Islamic countries during 2008-1979. Estimation results show that financial reform through liquidity has direct and significant impact on economic growth. The crossover effect of economic growth and liquidity has direct and statistically significant effect on income convergence.

This paper focuses on the role of uncertainty about the number of surviving children. The survey discusses the effects of declining mortality rates on fertility, education and economic growth. The construction of the paper is an OLG model in which individuals make choices about fertility decision over their lifetimes subject to uncertainty about the immortality. The simulation of model using actual changes reveals the fact that if the uncertainty about child survival enters to growth model, the population becomes an inverted u-shaped function of income per capita. As the mortality rate and thus uncertainty falls, the precautionary demand for children decreases. Furthermore, lower mortality encourages investment in children’s education .Also the calibrated version of the model using realistic estimates demonstrates that at low levels of income, population growth rises leading to Malthusian steady-state equilibrium, whereas at high levels of income population growth declines leading to a sustained growth steady-state equilibrium.

The main purpose of this paper is to examine the effect of merger, concentration and credit risk on the efficiency of Iranian Banking industry. To measure the efficiency of Iranian banking system, we have used the data of commercial & specialized bank's balance sheets during 2001-2007, and a parametric approach to estimate two empirical models.To estimate efficiency measures and determining main factors affecting the measures, we have used a Logarithmic - Linear form of a random Translog cost function. The results of the first estimated efficiency model show that the average efficiency measure of banking system in Iran is 54% and that the merger of the more inefficient banks within the efficient bank will cause the average efficiency measure rise to 70%The results of the second model - assessing the effecting factors on efficiency- show that the efficiency of banks has an  inverse relationship with the concentration (competition in banking industry), and a direct relationship with the IT index (e-banking activity) and the facilities to assets and capital to assets ratios (as the indices of the credit risk).

Banks play an important role in many modern economies. The main functioning of banks is to reduce the information problems between lenders and borrowers. The experiences show that banks with a powerful balance-sheet have a better ability to isolate their lending activities from monetary shocks. So, the balance-sheet items of commercial banks play an important role in their sensitivity to the monetary downturns. This paper has two distinguishing features compared to other papers. First, we examined the indirect effects of monetary policy on bank lending through the balance-sheet items of the Iranian banks. Second, we have used two separate samples, private and public banks, because their organizational systems have significant differences. Our hypothesis is that the monetary policy can indirectly affect the public and private banks’ lending through their balance-sheet items. Our results show that the monetary policy has no direct but indirect effects on bank lending in Iran.

The ability of OLG models in analyzing and simulating the various fields of an economy, such as the investigation of endogenous growth policies, the development of intergenerational equity criteria and the reform of social security system, has caused these models to have a special position among economists in recent decades. However, difficulties in quantifying these models and analyzing their stability properties have led them to remain only theoretical and receiving less attention from empirical viewpoints.This paper uses the proposed method by Auerbach and Kotlikoff to estimate a 55-period overlapping generations model. Then due to failures of the Iran’s Pension System, it analyses and simulates Pension System within overlapping generation’s model with heterogeneous agents living in 55 periods. Thus we study the effects of transition from the Pay-As-You-Go Pension to the Fully Funded Pension System in the process of capital accumulation, national production and national consumption.The findings indicate that the individual optimal consumption-saving behavior varies under different social security systems. The results of the simulation model show that in addition to increasing the personal financial assets, Fully Funded Pension System provides a higher physical capital accumulation for the economy than that of ¬Pay-as-you-go Pension System. In addition to higher levels of national consumption and production, the transition to the new system causes people to have more incentive to stay in the labor market and to complete their career because they have higher labor income than the old pension system.