JOURNAL OF ECONOMIC MODELING RESEARCH
Year:2020 | Volume:10 | Issue:38|Papers Count:7

In recent years, some research has focused on the importance of the origin of an oil shock for macroeconomic dynamics in both oil-exporting and importing countries. The existing literature lacks a proper open Stochastic Dynamic General Equilibrium (DSGE) framework to investigate the effect of the origins of oil shocks on macro variables in a two-country model consisting of an oil-exporting county and an oil-importing country. To this end, we develop and solve a new Keynesian DSGE model to show how the different oil shocks originating from oil supply or oil demand, might have diverse impacts on key macroeconomic variables in oil-exporting and importing counties. For the case study, we use data from Iran as an example of an oil-exporting country that trades with the rest of the world. Our DSGE model is estimated by using the Bayesian method for the period 1986: 1-2017: 4. The result shows that an oil shock originated from the shortage of oil supply (an exogenous decrease in Iran's oil production) decreases total production, non-oil trade, employment, inflation and consumption in this oilexporting country. While a negative oil supply shock increases production costs and reduces production and consumption in Iran. However, an oil shock originated from an increase in the demand for oil raises output, non-oil trade, employment, consumption, and inflation in Iran as an oil-exporting country while a demand-side oil shock boosts production and increases inflation in this country.

The main objective of this study is modeling the dependency structure between the returns of oil markets, exchange rate and stocks of chemical products in Iran. For this purpose, the theory of Vine Copula functions is used to investigate the dependency structure. In addition to consider a linear relationship between financial markets in Iran, the nonlinear dependency structure of these markets is also estimated, and their dependence on their upper or lower tails is determined. The study period includes daily data (5 working days) from December 2008 to July 2017. Modeling of marginal distributions of GJR-GARCH models has been used. Then, using the Copula-GARCH approach, the structure of dependency between returns and the calculating of the Value at Risk (VaR) of crude oil, exchange rate and stock of the chemical product group returns have been investigated. Finally, the required back-test is performed on the basis of the loss function. The study findings show that both pairs of modeling returns are related to the same upper and lower tails. In addition, there is a same structural dependency on the distribution of the vine copula between the indexes of chemical products and the nominal exchange rate on the condition of the price of crude oil, which indicates the spillover between markets. Due to that spillover effect is the main source of financial risk, the structural dependence on the basis of vine copula functions makes accurate and reliable calculation of portfolio risk based on the VaR criterion.

In economic, the degree of intervention of policymakers in creation of economic stability and the response to economic fluctuations is one of the most important problems. The higher the share of efficient shocks in economic fluctuation, the lower the degree of policy response. This study evaluates the contribution of efficient shocks in creating of economic fluctuations and also estimates potential and efficient economic growth in Iran by using the seasonal data over 1988-2015 and the Dynamic Stochastic General equilibrium Approach. The results of DSGE estimation show that the high share of economic fluctuations in Iran is inefficient and monetary shocks accounted over 70 percent of economic fluctuation. Also, the estimation of potential and effective growth over 1988-2015 implies that efficient growth is smoother than potential and real growth. The sustainability of the effect of technology shock on production indicates the importance of paying attention to the growth of technology and productivity in the Iranian economy. Therefore, focusing on long-term growth has more benefits than focusing on business cycles.

Insurance as a central risk-taking institution as well as one of the investment institutions increases economic participation, investment development and stimulating economic growth. Therefore, identification of the effective factors on the insurance penetration in developing countries seems necessary. In this regard, the present study attempted to investigate the impact of national competitiveness on insurance penetration coefficient in 20 developing countries during the period 2007-2017. The research model was estimated using panel data and generalized moment’ s method in two case. In the first case, the sub-indicators of national competitiveness including basic requirements, efficiency enhancer’ s factors and innovation and sophistication factors were used as key variables in the research, and in the second case, the overall competitiveness index is used as a key variable in the research model. The results showed that the effect of overall competitiveness index and its sub-indicators on insurance penetration was positive and significant. Also, the effect of control variables, including per capita income and urbanization rate on insurance penetration is positive and significant, and the effect of dependency ratio on insurance penetration is negative and significant.

The purpose of this article is to examine the impact of education and work experience on earning. For this purpose, Mincer’ s wage equation, quantile regression estimation method and the microdata from Iranian survey of household income and expenses in 2016 have been used. Estimation results show that education returns are positive in all income quantiles, and education in lower-income quantiles has a stronger positive effect than in higher-income quantiles. Also, the average experience have a positive effect on the earnings of individuals, with a stronger effects in low-income quantiles than high-income quantiles. Gender coefficients show that female earnings in all income quantiles are much lower than males, but this negative effect was much bigger in lower-income quantiles, implying gender-based discrimination against women in low-income quantiles. According to Machado and Mata's decomposition, gender discrimination (against females) was estimated,-30% in the first decile, and-4. 5% in the ninth decile. Women's education has narrowed the gap somewhat on behalf of women. According to the results, education efficiency in Iran is far lower than many other countries in the world. Therefore, it is necessary to reform educational structures, in particular to guide them towards labor market needs and economic benefits.

Utilities and services can be divided into two types of public and private goods in terms of the nature of pricing. Urban bus services are pure private goods that have positive externality. The Mohering effect is one of the most important externality of bus services, which in fact justifies the philosophy and nature of subsidies by the municipality and the government. In this study, monetary calculation models of Mohering effect was explained and an optimal pricing model is provided for urban bus services. The results show that the optimal pricing model differs sharply from the Tehran Municipality bus ticket pricing policy. The empirical estimation of the model also shows the large difference between the current prices and the subsidy payment with the optimal values extracted from the proposed model.

The impacts of the tourism industry on economic growth can be divided into two categories: direct and indirect (spillover) effects. In the field of tourism, direct impacts have been the subject of many studies but the analysis of spillover effects, particularly the effects from tourism infrastructure development, have received less attention. This study, with an analytical approach and along with examining the quantitative methods and analysis of the spillover effects of various variables affecting the development of the tourism industry, has investigated these impacts for each the variables and in each province. For this purpose, it has used spatial econometric models. The results confirmed the existence of spatial fixed effects and was applied Spatial Durbin Model (based on Lagrange coefficient test). The results show a positive and significant impact of transport infrastructure variables (road, rail, air) and travel agencies on the growth of value added in the tourism industry. Investigation of the spillover effects of infrastructure variables on growth of value added has shown that, except for Accommodation services, other tourism infrastructure variables have negative spillover effects for neighboring provinces, and also have positive spillover effects for other (non-neighbor) provinces. The negative spillover effects on the tourism growth of the neighbor provinces are due to competition impact and relative stability in the number of domestic tourists, and the positive spillover effects on non-neighbor provinces are due to factors such as the development of multi-purpose trips and increased market access.