JOURNAL OF DEVELOPMENT AND CAPITAL
Year:2020 | Volume:5 | Issue:2 (9)|Papers Count:12

Objective: Due to the importance of studing the behavior of asset markets, the risk aversion term and its operational calculation has attracted many researchers. The present study intends to examine this issue by considering a portfolio with three assets in the three markets of stock, currency and gold. Therefore, by examining the fluctuations of previous years in the portfolio consisting of three macroeconomic assets, stocks, currency and gold, we can assess the risk aversion of investors in these markets and the causal relationship between these markets and take steps to construct long-term policy goals. Method: To investigate the issue, using a mathematical equilibrium model and dynamic econometric methods, the monthly data of stock markets, currency and gold during the period 1995 to 2018 has been analyzed. Results: Based on the research findings, the amount of risk aversion for the sample size shows that the average risk aversion index of investors in the stock market is higher than the other two markets and this index is the lowest in the gold market. Also, the value-at-risk index of return has a one-way causality and a significant relationship with the degree of risk aversion of investors in all three asset markets. Conclusion: The results of this study of risk aversion and risk value in these markets can help policymakers to better understand the interactions of these markets, control them and eliminat the destabilizing conditions of these markets. Specifically in the case of the Iranian stock market, it can be said that investors are relatively more risk averse to the both gold and foreign exchange markets in the conditions of economic recession and increasing political instability, in other words, stock market investors have less confidence in the exchange and gold markets. The reason is the newness of the stock market compared to the global stock markets and also the longer existence of gold and foreign exchange markets than the emerging stock market in Iran. Also since gold assets have an intrinsic value and the dollar market is supported by a large global economy, Therefore to strengthen the support of the Iranian stock market, it seems improving economic infrastructure, promotion of the conditions of companies in the stock market, increasing government support for competitive condition and prohibition of direct intervention in the stock market are necessary. In addition, due to the complex nature of the stock market and the lack of sufficient public information, the need to inform and increase public awareness for a long-term presence in the stock market seems necessary.

Objective: The energy sector has always been considered as one of the key and influential sectors in the country's economy and the analysis of the interaction effects of this sector or other productive sectors and the impact of decisions and policies related to those sectors and various economic factors such as households is very It is important. In the Iranian economy, energy carriers, especially electricity, are subject to subsidies and The government provides electricity to the people at a price far below cost. Therefore, it always incurs heavy costs for providing hidden subsidies. according to the Law on Targeted Subsidies, the government is obliged to liberalize the prices of various energy carriers, including electricity, in stages, and this liberalization has always acted as a shock, and this shock will have several effects on electricity demand. Therefore, the purpose of this study is to estimate the short-term and long-term effects of electricity prices on household electricity demand in the provinces of Iran. Methods: This study uses experimental data to study and estimate the response of household electricity demand to electricity prices in the provinces of Iran based on the ARDL panel method in the period 1991 to 2014. For this purpose, the household electricity demand function is a function of the average current price of electricity, the average current price of natural gas as a substitute, the number of hot days of the year and the average household income. In order to investigate the effect of electricity price shocks, the electricity price variable has been divided into two variables, electricity price shock and electricity price trend, using the Hodrick Prescott filter. Results: The results of model fit show that price shock elasticity is in the short run (-0. 06) and in the long run the price elasticity is (-0. 38). The price elasticity is in the short run (-5. 39) and in the long run (-52. 40). In addition, the findings show that the consumption of the previous period always has a positive and significant effect on electricity consumption of the current period. as one unit of increase in electricity consumption in the previous period, causes an increase of 0. 32 units of electricity consumption in the current period. Gas price as a substitute commodity also has a positive and significant effect on electricity consumption in the household sector in the same period, the variable coefficient of electricity price (trend) has a negative and significant effect on electricity consumption in the current period in the household sector. Conclusion: This study shows that in Iran, electricity for home consumers is a short-term commodity and a long-term commodity in the long run and the short-run and long-run income trend suggests that electricity is a normal commodity among home consumers. Cross-tensile examination of the gas indicates that the gas is a traction product and a substitute for electricity. Examination of the effect of temperature also shows that this variable will have a positive effect on power consumption. The error correction study also shows that in each period, 69% of the imbalance in household electricity demand is moderated and moves to the long run. Examination of the error correction factor also shows that in each period, 69% of the imbalance in household electricity demand is adjusted and moves towards a long-term value. The study of the effect of air temperature also shows that with increasing air temperature, the amount of electricity consumption in the residential sector increases. The results also show that the percentage of urban population has a positive effect on electricity consumption in the household sector but is not statistically significant.

Objective: This article seeks to identify the factors affecting employment in Iran's manufacturing industries during the period 1996-2015. Employment is one of the main channels affecting the performance of the economy, the changes of which will affect production, imports, exports, competition, and investment. Considering that the manufacturing industry plays an important role in creating value-added and job creation in the country's economy, this issue has caused every part of the country's manufacturing industry to be associated with high diversity. In recent years, factory industries have experienced many fluctuations due to the domestic and international conditions governing the country's economy, which has caused the major industries of the country to operate with less than production capacity, despite the high installed capacity. Method: Employment and factors affecting macroeconomic factors creating new job opportunities and increasing employment is one of the most important issues for economic planners and policymakers. Identifying the factors affecting employment is one of the most important issues in the Iranian economy. Results: In the long run and in the classical model of labor demand, the wage variable has an important role in determining the equilibrium level of employment; in addition, the variables of firm production are also effective in determining the level of employment. On the other hand, in the long run, the main factors affecting the demand for employment in the manufacturing industry are wage, output, and capital utilization variables, which can be replaced by capital stock, which is also interpreted as the substitution effects of scale. To extract the labor demand function, there are several methods by which labor demand is extracted under the same conditions. In this study, to extract the labor demand in 22 industrial sectors with 10 employees and more, we use the method presented by Varian (1978). In this method, the labor demand function can be minimized by reducing the cost function to the production function. Conclusion: The purpose of this paper is to analyze the factors affecting employment in the manufacturing industry by dividing the two-digit ISIC codes by dividing the two-digit ISIC codes by 10 employees and moreover, the period 1996-2015 using a generalized panel data approach and Generalized Least Squares (GLS) estimator. The most important factor in the development of employment in manufacturing industries is the increase in production, the realization of which requires the coordination of monetary, fiscal, foreign exchange and trade policies, and extensive interaction with the global economy and attracting foreign direct investment. The results show that the elasticity of employment demand with respect to wages, production, and capital stock are-0. 22, 0. 58, and 0. 12, respectively. Considering that one of the effective factors in increasing employment in Iran's manufacturing industries are increasing production, it is recommended that the government place more emphasis on combating the smuggling of goods and developing a competitive environment to expand industrial activities and ultimately increase demand for industrial products. Increase industrial production and thereby increase labor demand. Considering the positive effect of capital stock on employment in the manufacturing industries, it is recommended to adopt policies to increase employment, which will lead to increased investment in factory industries to increase employment by increasing capital stock.

Objective: The purpose of this paper is to derive a better criterion for systematic risk and to develop a closer relationship between the capital market and basic economic concepts and to explain the relationship between risk and return and pricing of capital assets using the economic variable of consumption in Tehran Stock Exchange. The capital asset pricing model assumes that investors consider only risk and return. But other features may also be important to investors. For example, one of these important features may be the consumption flow over the life of the investor. The premise of the consumption-based capital asset pricing model is that what matters to investors is the flow of consumption over a lifetime, not wealth itself. Therefore, a better measure of consumer welfare instead of wealth is the consumption flow that can support this welfare. This article examines whether consumption beta compared to market beta can be considered as a better criterion for explaining returns on the Tehran Stock Exchange. Methods: According to the assumption governing the pricing model of consumption-based capital assets, we calculate the covariance between stock returns and total consumption to measure risk premium. Instead of calculating risk premium based on the covariance of stock returns with market returns-a measure that focuses only on wealth. One reason that the results of this research can be used in the decision-making process, this research is applied in terms of purpose. This research is also descriptive-correlational in nature, because in this type of research, the researcher seeks to evaluate the relationship between two or more variables. To investigate the issue, based on the regression method, data of 154 companies listed on the Tehran Stock Exchange during the period 2006-2016 have been extracted from the Rahvard novin software. Also, the consumption cost index has been obtained by using the information of the price index of consumer goods and services in urban areas of Iran, listed on the website of the Central Bank of the Islamic Republic of Iran. Results: Findings of the study reject the greater power of the C-CAPM model using the consumption function portfolio compared to the CAPM model in explaining the expected real returns of the Tehran Stock Exchange. According to the results, neither model is suitable for estimating the efficiency, but due to the fact that the amount of error in the CAPM model is less than the C-CAPM model, therefore the CAPM model has better explanatory power than the C-CAPM model. Another research hypothesis that the C-CAPM model beta is a better predictor of performance than the CAPM model beta is also rejected. Conclusion: The results of the above study show that the CAPM model has performed better than the C-CAPM model, so it is not important to consider the consumption variable in predicting risk and stock returns. Therefore, it is recommended that investors do not use the consumption factor to estimate future stock returns. One of the limitations of the research is that the superiority of the CAPM model is not a reason for its comprehensiveness in the Tehran Stock Exchange, because based on the research results, this model explains a small part of the factors affecting the return.

Objective: The main purpose of this paper is to evaluate the effect of tax shocks on consumption of domestic and imported consumer goods, labor income tax and corporate tax on gross domestic product and inflation in the framework of dynamic stochastic general equilibrium model of open economy based on New-Keynesian economic tenets for Iran. To do this purpose, a dynamic stochastic general equilibrium model has been designed, calibrated and simulated that includes domestic, foreign, monetary, and financial parts. Method: To investigate the subject, based on the stochastic dynamic general equilibrium model, model includes different parts such as households, firms producing final goods in monopolistic consumption market, pricing with regard to Kalvo price stickiness, firms producing intermediate goods, the combination of government as financial section with central bank as monetary section, and foreign section. By optimization of different parts, the extracted equations are log linearized and some parameters have been calculated and some others have been calibrated and then estimated using the Bayesian method. Furthermore, Hybrid New Keynesian Phillips curve has also extracted for domestic inflation. Also, the function of variants of macroeconomic variables in relation to tax shocks, have been investigated. Results: The findings of this study indicate that the bases of tax on domestic consumption goods, and imported consumption goods, of income tax payroll, and of corporate tax have small but significant impacts on GDP and inflation. The least contribution in the changes of GDP among the investigated tax bases is attributed to tax on domestic consumption goods. Income tax payroll recorded the least contribution in the changes of inflation. Conclusion: The results of the present study confirm the low share of taxes in the Iranian economy. Also, considering the effects that the most important current tax bases have on macroeconomic variables, the government's action in providing revenue sources from these tax bases should be such that the activities of economic units face the least disruptive effects and unforeseen changes. In this regard, it is recommended to revise the current method of setting tax rates.

Objective: The purpose of this paper is to investigate the effects of green tax policy implementation on co2 emissions with emphasis on renewable energy usage development by using the GMM method, and during 2002 to 2017 period in Iran. One of the major challenges facing governments in 21st century is environmental crises, and this challenge is one of the major problems in Iran’ s future because of its technological and ecological situation. The macroeconomic policies can make changes in environmental performance of the system and fiscal policies including taxes are one of the major macroeconomic policies. The green tax in the new tax terminology and it is considered as an effective and efficient foundation for pollution control. This type of tax is based on cost, reduced pollution and promote efficiency in economy. Another important strategy for controlling and reducing pollution is the use of renewable energy sources. Methods: In this research, to study the subject, we use the Central Bank, Statistic Center of Iran and energy balance sheet data bases during the period 2002 to 2017, and also panel data model and generalized method of movement (GMM) have been used. This method is a powerful estimator that, unlike the maximum likelihood method, does not require accurate information on the distribution of error terms and also, this method, which is used in dynamic aggregate data, is based on the assumption that equation error terms are uncorrelated with a set of instrumental variables. Results: According to the research findings, the relationship between green taxes and emissions is negative for the studied provinces. Also, the production and consumption of renewable energy has the reverse effect on the emission of pollutants. In other words, the use of these energies reduces the emission of pollutants. In addition, with increasing fossil energy consumption and human development, the amount of CO2 emissions increases. Finally, the inverse relationship between the degree of industrialization and the emission of pollutants indicates that a major part of the pollution is caused by the transport and services sector and in fact, the presence of old technologies in this sector has led to an increase in the daily emission of pollutants. Conclusion: The results indicate that the implementation of green tax policy has an effect on reducing the emission of environmental pollutants. Due to the increasing number of environmental pollutants, it is very important to pay attention to the definition and implementation of tax policies in the form of green taxes. Therefore, the central government and local governments in the provinces should make efforts to implement these policies. Also, the production and consumption of renewable energy has the opposite effect on the emission of environmental pollutants. In other words, developing and replacing the consumption of these energies with fossil fuels can reduce the emission of pollutants.

GARCH conditional variance. Then, using ARDL method, long-run and short-run corrolations during 1986-2017 is investigated. Results_ The results of the paper indicate that_ 1) there is a negative relationship between exchange rate fluctuations and bank deposits volume in Iran. In other words, if exchange rates swings increase, people will deposit less money in banks. 2) economic growth of Iran has a significantly positive relationship with the amount of exchange rate. Conclusion_ There is a negative relationship between exchange rate fluctuations and the volume of bank deposits, ie with the decrease of exchange rate fluctuations, the amount of bank deposits increases, so it is necessary to adopt appropriate exchange rate policies to reduce exchange rate fluctuations and its negative effects on bank deposits_

Objective: Examining different perspectives on the impact of inflation on economic growth shows a lack of consensus on this issue. Understanding the exact relationship between inflation and economic growth requires experimental studies with a new method. Therefore, the main purpose of this article is to end this disagreement with the help of meta-analysis Methods: The meta-analysis method was used to investigate this issue for the first time. Meta-analysis is the use of specific statistical methods to summarize the results of independent studies to find the most accurate form of relationship between the variables under study. These statistical methods help to summarize different studies and summarize them objectively so that personal opinions do not have a significant impact on this process. In this meta-analysis, 29 studies that had the necessary conditions to perform meta-analysis were identified and their results were analyzed. The terms and criteria of the meta-analysis of this research are: research has been done for developing and less developed countries and Practical extraction have the effect size. Results: During the research process on the effect of inflation on economic growth, among articles, dissertations, reports, etc., according to the set criteria, a total of 5 dissertations and 24 articles with matching topics or relatively high topic similarity and suitable for meta-analysis were selected. According to the funnel diagram, the effect size of the studies does not have a diffusion bias. Due to the dual-tidy arrangement method, the present study did not need another study to be completed. Therefore, the present model does not suffer from diffusion bias and does not need other studies to eliminate bias and create symmetry on both sides of the average effect size in the fan chart. the effect size of each study is measured according to the value of the correlation coefficient of the studies. In all studies except studies (4, 8, 15, 17) in the chart that have the size of non-significant effects, the rest of the studies have significant effect size. Also, to evaluate the significance of the overall effect size of the studies, two methods of fixed and random effect size have been used Conclusion: Also, the results of research on the effect of inflation on economic growth and the identification of those variables, hypotheses and models used in inflation and growth studies showed that the effect of independent variables such as: inflation (31. 18%), investment (17. 20%) and government spending (9. 67%) had the greatest impact on growth. In the study of the studied hypotheses, it was found that among the 52 hypotheses examined, the hypothesis of the effect of inflation on economic growth (55. 76%) had the highest repetition among the selected studies, followed by the hypotheses of the effect of government spending and inflation on economic growth (54. 57). 11% and the relationship between inflation and inflation uncertainty on economic growth (9. 61%) had the highest percentage among the studies.

Objective: Predictive models for diagnosing bankruptcy or financial crisis have been widely discussed in studies and articles in the fields of economics and accounting and have been considered by financial institutions. One of the methods that can be used to help take advantage of investment opportunities and better allocation of resources is to predict financial distress or bankruptcy of companies. So, by providing the necessary warnings, can be alerted companies to the occurrence of financial distress so that according to these warnings they can take appropriate action, Secondly, investors and creditors can identify distinguish investment opportunities from unfavorable opportunities and invest in the right opportunities. Timely foresight can help decision-makers find solutions and prevent bankruptcy. The main aim of the current study is to express, determine and explain the predictive power of bankruptcy and profitability models of Tehran Stock Exchange companies to evaluate their performance and financial status by logistic regression using financial ratios selected by artificial neural network and Fulmer models. Method: The method of the present study is applied in terms of purpose and descriptive in nature. Logistic regression technique was used to test the hypotheses. The results are presented in two parts: descriptive and inferential statistics. Collection of information from the financial statements of 132 companies of Tehran Stock Exchange during the years 2012 to 2018. Firstly, the initial classification and processing of information was performed and then Eviews software was used to fit the Fulmer model and Spss26 software was used for the neural network model. Suitable indicators based on the research background in the models include debt-to-equity ratio of shareholders, profit before interest and taxes, total liabilities to assets, receivable accounts ration to sale, net return on assets, long-term debt to assets, working capital, net profit to to sale. Results: The research results indicates that both artificial neural network and Fulmer models have the ability to detect bankruptcy prediction with different accuracy, but the predictive accuracy of artificial neural network model is higher and has better performance compared to Fulmer model. In the artificial neural network model, the variables of working capital, receivable accounts on sales, net profit on assets, net profit on sales and long-term debt to assets are significant at high level in predicting corporate bankruptcy. Also, among the financial ratios used, the ratio of receivable accounts on sales had the most impact and the debt-to-equity ratio had the least impact on determining bankruptcy among the available variables. Conclusion: The best way is to take preventive measures before the occurrence of financial incapability of companies and in this regard, the result of the present study confirms the use of artificial neural network method to predict the bankruptcy of listed companies. And also, the crtiteria of working capital, net profit on assets, ratio of total debt to total assets and net profit on sales are related to transactions with bankruptcy. That is, the higher the ratio of these ratios, the probability of bankruptcy is lower. Therefore, by issuing the necessary warnings to decision makers and as a result of their actions, companies can be guided in the right direction in order to avoid wasting resources.

Objective: The structure of mutual funds and, of course, other reasons cause the management of these funds to trade based on evaluation criteria. Unexpected cash flows allow managers to constantly maintain the balance of their portfolios to control liquidity. Investment fund managers must provide liquidity to investors; Therefore, they have to make their investment decisions to manage liquidity; The aim of this study was to investigate the effect of fundamental variables of investment funds on the manager's ability to properly select stocks and accurate market timing in investment funds listed on the Tehran Stock Exchange. Method: The research area was the investment funds listed on the Tehran Stock Exchange and the time period was between 2009 and 2019. In this study, the fundamental variables of mutual funds (Fund Expenditure Ratio, Portfolio Turnover Logarithm, Fund Cash, Mutual Fund Flow), the independent variable and the ability of the manager to properly select stocks and accurate market timing, were considered as dependent variables. The present study is in the category of applied research. If the classification of types of research is considered based on the nature and method, the method of the present research is descriptive in terms of nature and in terms of method is considered in the category of correlational research. In this study, the library method was used to collect data and information. Based on the systematic removal method, 86 boxes were selected as a statistical sample. Descriptive and inferential statistics have been used to describe and summarize the collected data. In order to analyze the data, first F-Leimer F-test, Hausman test and J-b test were used and then multivariate regression test was used to confirm and reject the research hypotheses (Eviews software). Results: The effect of fundamental variables of investment funds on the manager's ability to properly select stocks and accurate market timing among large and long-term investment funds different from small and long-term investment funds. It is short. The results obtained in this research are consistent with the documents mentioned in the theoretical framework of research and financial literature. Conclusion: As a general conclusion and considering the cases mentioned in the literature section of the research, it is concluded that the fundamental variables of mutual funds affect the manager's ability to properly select stocks and accurate timing of the market. These results can increase the understanding and knowledge of investors and researchers in the field of capital markets, and in light of this, it may be possible to identify other factors that can explain changes in the manager's ability to properly select stocks and accurate market timing.

Objective: The sustainability of economic growth, the development of the industrial sector, the service sector, the agricultural sector and the oil sector are at the forefront of economic discussions in developing countries. Because economic growth and development is the product of interactions between different economic sectors. The importance of identifying the large economic sector of each country and determining the share of each sector in the future improvement and performance of each economy and country is one of the most important issues studied by economic planners of each country. So that the effect of decisions and policies of each economic sector can have different economic and social effects on the economy of each country. Therefore, the main purpose of this study is to determine the dominant sector among the sectors of agriculture, industry, services and oil in the Iranian economy. Also, the effect of each of these economic sectors on economic growth has been studied and analyzed. Method: In order to determine the dominant sector in the Iranian economy among the economic sectors (agriculture, industry, services and oil), the Herfindahl method has been used. In order to investigate the effect of each economic sector on economic growth, the distributed intermittent auto regressive distributed lag (ARDL) method has been used. The data of the present study from 1978 to 2017 were extracted from the site of the Central Bank of Iran and then examined. Considering that the results of this research can be used in the decision-making process of economic planners, it is applied in terms of the purpose of this research. Findings: The results of Herfindal index show that the service sector is the dominant sector in the Iranian economy in terms of size, which means that the service sector has the largest share in terms of size in terms of GDP. Also, after the services sector, in terms of share, the oil sector, industry sector and agricultural sector have formed other sectors of the Iranian economy, respectively. While the results of the estimate show that there is a positive and significant relationship between value added of services, industry, agriculture and oil with economic growth in the short and long term. On the other hand, the findings of the model with auto regressive distributed lag (ARDL) show that the effect of oil in the short term and services in the long run on Iran's economic growth was greater than other sectors, so that even in the short and long term, respectively The second place in terms of impact after the services and oil sector is on economic growth. Examination of the error correction factor also shows that in each period, 69% of the imbalance in different economic sectors moves towards the long-term value. Conclusion: According to the results of the study, the oil sector can be mentioned as an important part of economic growth. While the agricultural sector has played a very weak role on economic growth during the period under review. So that the agricultural sector, both in terms of size and impact, has the lowest amount of the country's economy.

Objective: Establishing a strong capital market system in a variety of situations, such as economic growth and recession, requires attention to a number of factors. The ability of shareholders in complaints against the mismanagement and management of managers and executives, or in other words, the ease of shareholders' petition, are among the factors that have prompted investors to maintain their interests against the assumptions of stewardship and representation theory in the era of recession is immune. Accordingly, the purpose of this study is to respond to investors' protection against conflicts of interest during the recession. Methods: Target sample consists of 176 of the listed companies in Tehran Stock Exchange during 2011-2017. The research method was based on multiple regression and panel data model using ordinary least squares method. Results: The research findings suggest that the conflict of interests between the manager and the owner is negatively affected by the reaction of the investors, and investor protection has a direct effect on the investors' reaction. The other results of the research are that the positive effect of supporting the investor and the negative effect of the conflict of interests between the manager and the owner is reinforced by the reaction of investors in the period of the recession. Ultimately, the interaction effect of supporting the investor and the conflict of interests between the manager and the owner during the recession with the reaction of investors has a reverse effect. Conclusion: Investors intuitively behave badly by inferring that the interests of the manager and the owner are not aligned, but as soon as they feel supported, they behave positively. This conclusion is repeated in the period of economic prosperity, but is intensified in the period of economic record.