Journal of Quantitative Economics
Year:2018 | Volume:15 | Issue:1|Papers Count:9

One of the destructive and annihilating factors of capital market is forming stock bursting price bubble; therefore, considering strategic, financial and economic importance of this market is one of the important theoretical issues in economic literature and finance management in recognizing and evaluating the existence of bubble price in the stock market. Research methodology of this study is based on a descriptive analytical type. This study purpose was to evaluate the effect of monetary policy and the general level of prices of the asset price channel on the bubble in stock prices in Iran during the years 1370 to 1393. In order to assess the importance of each asset prices in the monetary transmission mechanism to GDP, it is necessary to determine changes in GDP. To do this, in this study, structural VAR (SVAR) Iran is using quarterly data. Also, according to error correction equation bubbles stock price, if any imbalance in the variable price bubbles arise in the course of about 27 percent from it’ s relaxed.

The purpose of this paper is investigating the impact green taxes on economic growth and welfare for Iran's economy using New Keynesian small open dynamic stochastic general equilibrium model (DSGE). For this purpose, a DSGE model with different sectors of households, firms, government and foreign sectors of the Iranian economy is calibrated and simulated. According to the draft of sixth five development plan, four scenarios (0. 5%, 1%, 1. 5% and 2%) are considered for green tax rate. The results of simulation and analysis of impulse response functions of the model show that applying green tax affects on economic growth in the short and long term and also increases welfare in economy of Iran. Assuming different results of impact green taxes on economic growth and welfare determine that If the government's approach is attending to increasing the quality of the environment, emission reduction and accordingly sustainable development and welfare increasing thus it should accept economic output reduction. The results of all four scenarios show that economic output reduction and welfare increasing are very low.

In this research have been studied the effectiveness of socio-demographic variable (includes people employed households, dwelling ownership, literacy level of heads of household and household size) on least subsistence and poverty line of Iranian urban income groups via Extended Linear Expenditure System (ELES) approach by Generalized Method of Moments (GMM) method by using Panel Data in 1982-2016 periods. The survey results show that household size is the most important effects to increase the least subsistence in all commodity groups. Survey the time series poverty line of income groups shows that poverty line in all courses is always rising. Its main cause is increase in inflation and changes in socio-demographics effects. On this basis, monthly poverty line in first income group in 1982 is 35, 000 Rials and in 2016 is 18, 000, 000 Rials. While, monthly poverty line in tenth income group in 1982 is 83, 000 Rials and in 2016 is 25, 000, 000 Rials. The average monthly poverty line in 2016 is 22, 000, 000 Rials. In other income groups poverty line has increased, too. The amount of the poverty line from revenue in the second and third income groups is average four and three times more, respectively and in the fourth and fifth and sixth income groups is average two times more and in the seventh and eighth income group is average similar and only the ninth and tenth income groups the poverty line is higher revenue.

Developing countries are characterized by a large agricultural sector in their economy. So that food prices and consumption are more sensitive in these countries. Shocks in these countries are very costly given the subsistence needs of the population. Applying various monetary and fiscal policies could lead to major changes in food prices and hence food intake. The aim of this study is to investigate the effects of monetary, fiscal and oil shocks on food prices and consumption in Iran. To do so, we have developed a Dynamic Stochastic General Equilibrium (DSGE) model for a small open oil exporting country. Calibration method was used to determine the Parameters values. The results of the simulation confirmed the validity of the model in explaining economic fluctuations. The findings indicate that the shocks have a positive effect on the food consumption. Furthermore, the results show the monetary shocks have greater influences than other shocks.

Effect of terms of trade as a variable in balance of payments adjustment and long run growth, has been considered since a long time ago. Hence, main purpose of this article in analyzing behavior of economic growth and terms of trade effect on it in Iran's economy by using quarterly data in period 1990: 2-2014: 3. For this reason, a regression pattern is designed and then one time is analyzed by Markov Switching Model with Fixed Transition Probability and another time by Markov Switching Model with Time Varying Transition Probability. Generally the result of estimation represent that terms of trade changes has a positive but very low impact on Iran economic growth which can be ignored. So, the behavior of economic growth in Iran is not affected by the behavior of terms of trade. What's more, among all the considered variables, the effect of real oil price is significant. In addition to this, the effective real exchange rate is the effective variable on switching regimes. Furthermore, estimation by Markov Switching Model with Fixed Transition Probability is more compatible with Iran's economy.

Financial markets especially capital market can make strong connections with other parts of the economy. After 2007/2008 financial crisis and global extensive economic recession, the economists show interest in the financial markets function again. The purpose of this study is to design and estimate a Dynamic Stochastic General Equilibrium new Keynesian model with Stock market dynamism to investigate the stock market channel effectiveness mechanism on macroeconomics variables. So an open DSGE model containing households, firms, banks, government and central bank was designed and after log-linearization, then the model’ s parameters were estimated using quarterly data 1996: 3-2013: 2 and experimental studies results. The model estimation using Bayesian method results show the effect of stock market on macroeconomic variables but due to the small size of Iran’ s capital market the effect is meaningful according to size but the duration is not strong or stable. After all, it’ s preferred that Iran’ s central bank focus on total index growth rate rather than total index deviations in reaction to a shock in capital market in order to decrease the effects of financial mechanisms on real and nominal macroeconomic variables.

Credit risk is one of the most important banking risks that is due to not paying principal and interest of loans. Measuring credit risk is important; because not measuring it lead to increasing volume of doubtful accounts and unexpected future losses. In this research a model was proposed that based on linear and nonlinear optimization. This model is finding a separating hyperplane which classify 85 good and bad borrower customers of Iranian’ s bank. This customers are all in Tehran Stock Exchange (TSE). In order to improving the model we used kernel functions, data fuzzification and penalty factors in it. The results show that the best model among linear and nonlinear models with linear, polynomial, sigmoid and RBF kernels, is a linear optimization model with sigmoid kernel function that has accuracy of 80% and recall of 100%.

Alignment of industrial development and differences in the regional development has increased the importance of investigation of spatial aspects and of the main drivers in regional development that it is a factor in the spread of inequalities in the regions of each country. This study aimed to assess factors affecting regional development using spatial econometric model and it analyze the regional development problem in the provinces of Iran. For this purpose, the two-sided neighborhood matrix and spatial error model are used for 30 provinces during 1392. The results indicated a significant influence of political factors on increase or decrease the level of regional development disparities between provinces, particularly fiscal policy. Industrial investment as one of the important variables in the development and structural transition has a significant positive influence on regional development and because of the impact that rising income levels, backward and forward linkages and value chain can be a factor convergence is affecting regional development.

Tax revenues are the most important sources of public funding. In other words, the role of tax revenues as the most effective tool of fiscal policy, is very important. Therefore, according to the essential role of tax revenue on governments’ economic situation, and since a prerequisite for effective actions in order to implement appropriate fiscal policies, is to know its determinants, this paper tried to investigate the determinants of tax revenues in Iran during 1350-1392, using a Bayesian Econometric Approach and applying Bayesian Model Averaging. The results show that some variables such as literacy rate, GDP growth, population growth, value added of industry sector, and government expenditure have positive effects, but variables such as exchange rate, GINI index, value added of agricultural sector, oil revenue, and value added of oil sector have negative effects on tax revenues. The policy recommendations resulted from this study are: To increase tax revenues through structural changes in economy by increasing the share of industry sector and industrialization of agricultural sector; To improve tax laws and to find executive effective solutions in order to decrease big investors tax evasion; and to try in order to increase efficiency and effectiveness of the education system.