JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN
Year:2018 | Volume:7 | Issue:27|Papers Count:8

The main objective of this paper is to model the exchange rate behavior in Iran using random differential equations. In order to model the behavior of this market, three random differential equations have been used which include the Black-Scholes model, the Merton model, and the geometric Brownian motion with the non-linear GARCH. Also, in order to estimate the coefficients of equations, the maximum likelihood approach has been used and the drift and propagation parameters are calculated monthly and yearly for the period 2007-2017. According to the research findings, the probability of the exchange rate jump in the market is 0. 87. The average rate of jump is 0. 10 and the jump variance is 0. 03. This confirms that the efficient-market hypothesis (EMH) does not exist in the Iranian foreign exchange market. In this paper, the non-linear GARCH model (NGARCH) based on Merton's model has been used to investigate the impact of good and bad news and positive and negative shocks. According to the results of the research, the estimated γ coefficient in the foreign exchange market is positive. That is, the exchange rate is most affected by bad news, negative shocks, and systematic risks. The numerical value of the coefficient in the currency market is 2. 9, indicating that it is least affected by good news. according to the maximum likelihood function, in the Iranian currency market, the Merton model has more explanatory power than the nonlinear GARCH model and the Black-Scholes model.

In this study, it is attempted to study the role of oil price and oil revenue in unemployment rate in a symmetrical (linear) and asymmetric (nonlinear) model for Iran. For this purpose, seasonal data 2001: 2 to 2017: 4 and ARDL model in linear and nonlinear approach has been used. The results in the linear approach show that the oil price has inverse effect on unemployment rate and the oil revenue has no significant effect. Also, according to the nonlinear approach, in the short run, oil price and oil revenue have an asymmetric effect on the unemployment rate. So that, decreases in the oil prices has a negative effect on unemployment rate and the effect of increases in the oil price is not significant. In terms of oil revenue, the results show that increases and decreases have a reverse effect on the unemployment rate. So that, the first, the magnitude of the effect of increases in the oil income on unemployment is different from the effect of decreases in the oil income, and second, the effect of decreases in the oil income is greater than the effect of increases in the oil income. The results for oil price in long-run is similar to short-run, and only decreases in the oil price have a reverse effect on unemployment rate. In long-run, the impact of oil revenue is unlike to short-run and it's negative. So that the first, asymmetric effect of oil revenue on unemployment rate is confirmed, and second, unlike to short-run, in the long-run, the magnitude of the effect of increases in the oil revenue on unemployment is greater than the effect of decreases in the oil revenue. CPI in the linear and nonlinear approach has a negative effect on the unemployment rate in the short-run and long-run.

Considering nonlinearities in the exchange rate pass-through to domestic prices, this study analysis the Exchange Rate pass-through on Inflation in Iran by estimating a Threshold Vector auto-regression (TVAR) model. We estimate a Threshold Vector Auto-regression (TVAR) model on quarterly data over the period 1990Q2-2016Q3. The nonlinearity test for a TVAR model against a linear VAR model suggests the presence of two regimes with one threshold value of inflation. The threshold value of inflation is estimated endogenously. The quarterly rate inflation of 3. 9 % select as a threshold level between two regimes. We find that domestic prices in Iran response strongly to a positive exchange rate shock in two regime of inflation. The rate of inflation below the threshold level constitutes a low inflation regime, and above the threshold level it constitutes a high inflation regime. The response of inflation is statistically significant in the two regimes and this result confirms the Taylor’ s theory. Also the calculation of the ERPT coefficient confirming this result and show that exchange rate pass-through is incomplete.

The main purpose of this study is to investigate the effects of variables of microeconomics and macroeconomics on the banking system fragility of Iran, using Markov-switching model. For that purpose, first, the Iran's banking system fragility index is developed over the priod of 2002: 2– 2015: 1. Based on the results, three major periods of high risk-taking, two periods of high fragility, and stability in the rest of the periods are observed. Accordingly, in the next step, three-regime Markov-switching model is used to investigate the effects of variables of microeconomics and macroeconomics on mentioned banking system fragility index. Findings based on Markov-switching regression analysis confirm the importance of both variables of microeconomics and macroeconomics in determining the Iran's banking system fragility. Findings indicate that microeconomic variables such as low capital adequacy, Low asset quality and low liquidity of banks along with macroeconomics factors such as decreasing real GDP growth, high inflation and increasing government budget deficit will lead to more fragility in the Iranian banking system.

Objectification of subsidy plan could be described as one of the best government plans and policies. According to perspective document 2025 that consider the first place in economy for Iran and regarding to government financial limitation on national economy, the reform of economic policies is a part of economic necessity for Iran. In this paper, by establishing a suitable system dynamics model, we plan to represent the efficacy of the direct subsidy distribution on level satisfaction of people from drug price changes and also consider the efficacy of this subsidy distribution on total profit of drug supply chain. First, a system dynamics of drug supply chain by considering the direct subsidy distribution have modeled. Then, the model is simulated. To do this, the casual loop diagram is depicted and then with its help, the stock and flow diagram constructed. The simulation results show the unsuitable performance for implementing the subsidy objectification. As a result, two strategies have been suggested to improve the situation.

The purpose of the study was to estimate the shadow economy and tax evasion considering behavioral factors during 1967-2015 in the Iranian economy. In doing so, different models were estimated at first, and the final model was selected with the multiple indicators-multiple causes (MIMIC) approach. Then using the side information and calibrating the time series, the relative size of the shadow economy and the absolute size of the shadow economy, and ultimately the tax evasion due to it are calculated. The results showed that the tax morale and import tax burden are among the main causes of the emergence of shadow economy. Hence, unlike developed countries, tax morale increases the shadow economy and tax evasion resulting from it, which reveals tax non-compliance in Iran.

The present study aims to determine how cement industry profit is affected by considering conditions of implementation of the Paris Agreement. It also aims to determine factors affecting pollution and reduced pollution caused by cement production. In order to achieve these goals, the case study of Iran has been investigated during 2011-2013 using logarithmic mean Divisia index (LMDI). By estimating experimental model, the results represented that environmental pollutions caused by the manufacturing industry can be reduced using new technologies, and alternative fuels. Results also indicate seven factors in the decomposition for pollution emission, including the activity effect, the clinker trade effect, the The clinker share effect, The fuel mix effect, The thermal and electrical energy efficiency effect, and the electricity carbon emission factor effect. We can make distinction between the first two effects that are options for non-technical pollution reduction and other effects that are options for technical pollution reduction. Additionally, results suggest that cement companies of Iran have not created surplus quota and they have not surplus production and profit. This indicate that, unlike European countries that have surplus quota and profit or carbon rent, Iran does not have it, since surplus production quota generated freely has not been generated to lead increased income and wealth creation.

In the process of economic globalization, one of the important factors is transfer and technology overflow from the channel of trade. Absorbing foreign technology by the channel of imports of industrial products and using the latent technology in those products creates export development, increase the quality and quantity of manufactured goods with low costs, and modify management, technology improvements and production of goods with high added valu that this makes optimal allocation of resources, efficiency and economic growth in various economic sectors. Therefore, in developing countries, after passing through the agricultural sector, the technology has been absorbed into the low-tech industries to reach a stage of development and to create the appropriate substrates for producing higher value added industries. On the other hand, export of these industries is important by creating competitive advantage, improving management practices, making cost savings and valuing. In this study, using Romer’ s endogenous growth model, the impact of import and export of low technology industries have been studied on economic growth of Iran for the period 2002-2012. In this regard, seasonal data were used in an autoregressive distributed lag (ARDL) model to examine the relationship between variables. The separation of low technology industries has been made according to the OECD classification. The results showed a positive and significant impact of import and export of low technology industries on Iran’ s economic growth. Also other variables i. e. capital stock, employment and research and development expenditures have had a positive and significant effects on Iran economic growth.