Economics Research

The Calculation of Optimal Reinsurance Retention By Value at Risk Approach

Behnam Shahriar; Seyyed Mohammad Mahdi Ahmadi

Volume 8, Issue 28 , April 2008, , Pages 223-243

Abstract

  The principal goal of this paper is presenting a new method for estimation of optimal reinsurance retention related to Capital Adequacy and potential losses of an insurance company. Whereas, there are several methods for calculating this, but in this paper, we have calculated this optimal retention by ...  Read More The principal goal of this paper is presenting a new method for estimation of optimal reinsurance retention related to Capital Adequacy and potential losses of an insurance company. Whereas, there are several methods for calculating this, but in this paper, we have calculated this optimal retention by using of value at risk minimizing and Monte Carlo simulation (that is one of the VAR estimation methods). This is calculated for Mellat Insurance Company in 1384. According to our findings, for sum insured of this company's policies, approximately, the optimal reinsurance retention have been equal to 58%, 35,845 million Rails and 18,937 million Rails in quota share, excess of loss and surplus contracts, respectively.

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Relative Measuring of Similar Companies on the Bases of Financial Performance by Using DEA Method

Ahmad Makooie; Seyyed Jafar Sajadi; Pegah Pashin

Volume 8, Issue 29 , July 2008, , Pages 227-251

Abstract

  This study offers an application of a non-parametric analytic technique (data envelopment analysis, DEA) in measuring the financial performance of organizations. It explores the efficiency of automotive parts suppliers with the use of financial numbers and a number of financial efficiency ratios for ...  Read More This study offers an application of a non-parametric analytic technique (data envelopment analysis, DEA) in measuring the financial performance of organizations. It explores the efficiency of automotive parts suppliers with the use of financial numbers and a number of financial efficiency ratios for the time period 2001–2003. The data envelopment analysis is supplemented by, and compared to the model that departs from most frontier studies of organization performance, by using these suggested ratios as output measures and with no use of input measure and both of models compared to, traditional financial ratio analysis which provides additional insight into the financial performance of organizations. It is shown that data envelopment analysis can be used as either an alternative or complement to ratio analysis for the evaluation of an organization’s performance. From the efficiency results we find that the higher the size of total assets the higher the efficiency. We also find the positive relationship between the efficiency and operating profit and return on assets (ROA) and we show there is the increase in efficiency of automotive parts suppliers during the time period 1380-1382.

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Determinants of Stagflation in Iranian Manufacturing Sector

Mohammadgholi Yousefi; Bahman Khadam

Volume 17, Issue 66 , October 2017, , Pages 227-256

https://doi.org/10.22054/joer.2017.8208

Abstract

  The purpose of this study is to find the main determinants of stagflation in Iranian manufacturing sector during 1982-2012. We have used the data of manufacturing industries, categorizing them into three groups of resource base, low technology and medium and high technological industries. We have used ...  Read More The purpose of this study is to find the main determinants of stagflation in Iranian manufacturing sector during 1982-2012. We have used the data of manufacturing industries, categorizing them into three groups of resource base, low technology and medium and high technological industries. We have used logit regression with fixed effect, taking industries utilizing less than 50 percent of their nominal capacity and having more than 20 percent disguised unemployment in addition with having capital–output ratio of over 3o percent as industries suffering from stagflation. If a manufacturing industry was suffering stagflation, its dependent variable was given a value of 1 and the dependent variable of other industries was set to zero. Our explanatory variables include the imports of intermediate goods, wage costs, labor productivity, interest rates, exchange rate and oil revenue. Our findings show that all the variables with the exception of labor productivity had expected signs and their coefficients were statistically significant. The results show that, while as expected, the coefficient of labor productivity was negative, however, the coefficients of other variables were positive and significant implying positive impact on stagflation.

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Gholamreza Eslami Bidgoli; Ashraf Tehrani

Volume 10, Issue 39 , January 2011, , Pages 231-253

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Teymour Mohammadi; Monireh Motamedi

Volume 10, Issue 38 , October 2010, , Pages 235-265

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Mohsen Dastgir; Hamidreza Bazaz Zadeh

Volume 6, Issue 20 , April 2006, , Pages 235-249

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The Comparison Between Market Value Added (MVA) and Economic Value Added (EVA) with the Accounting Standards in Tehran Stock Exchange (TSE)

Rezvan Hejazi; Arefeh Hosseyni

Volume 6, Issue 23 , January 2007, , Pages 237-262

Abstract

  Maximizing shareholder’s wealth is the goal of a business enterprise. Today economic value added (EVA) is known as the best performance evaluative measure which is a measure for shareholder’s wealth increase. This measure has the greatest influence on the external measure of performance market ...  Read More Maximizing shareholder’s wealth is the goal of a business enterprise. Today economic value added (EVA) is known as the best performance evaluative measure which is a measure for shareholder’s wealth increase. This measure has the greatest influence on the external measure of performance market value added (MVA). This research investigates the relation between these two measures in Tehran’s stock exchange in medium size from 1996 to 2003. 70 companies are selected from 13 different industries as investigation samples. The results show that the most correlation is between the standardized MVA and standardized EVA. This research shows that %61 of changes in standardized MVA can be explained by changes in standardized EVA .But the explanatory power of the criteria of ROE, ROI and EPS growth is %45, %43 and %6 respectively. Hence EVA is the best measure for evaluating the internal performance and has the most correlation with the market values.

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Modelling of Prediction Stock Price by Using Neural Networks and Compare it with Mathematical Prediction Methods

Abbas Tolouie Eshlaghy; Shadi Haghdoust

Volume 7, Issue 25 , July 2007, , Pages 237-251

Abstract

  Different methods for prediction of future situation always have been one of the important concerns of scholars of different science .Naturally in this way; those methods would be more sustainable and applicable which have minimum errors in prediction. During last years, many mathematical methods like: ...  Read More Different methods for prediction of future situation always have been one of the important concerns of scholars of different science .Naturally in this way; those methods would be more sustainable and applicable which have minimum errors in prediction. During last years, many mathematical methods like: simple average, weighted average, double average and regression have been accepted and applied, but in some situations it had some problems as well. With the application of artificial intelligence like neural networks, specifically when there is proper relation between data, dependent and independent variables, a lot of hope raised and in a way that the replacement of neural networks models with mathematical methods. In this paper, the application of neural networks models and regressions in the prediction of stock prices have been evaluated and the prediction errors of these models have been measured. The research method which has been used in this paper, is evaluation method.

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Volume 5, Issue 18 , October 2005, , Pages 237-267

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Volume 5, Issue 17 , July 2005, , Pages 237-263

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The Survey of The Relationship between Exports, Degree and Export Credits Guarantee

Alireza Karbasi; Behzad Hassani Shirvanshahi

Volume 9, Issue 32 , April 2009, , Pages 239-261

Abstract

  The purpose of this paper is to provide an understanding of how the export credit worthiness of an importing country affects export sales of agricultural and other manufactured products and how export credit guarantee or insurance can mitigate risk of nonpayment. This paper makes a contribution to specific ...  Read More The purpose of this paper is to provide an understanding of how the export credit worthiness of an importing country affects export sales of agricultural and other manufactured products and how export credit guarantee or insurance can mitigate risk of nonpayment. This paper makes a contribution to specific literature on how export credit risk affect agricultural and other exports, and also contributes to the broader literature on international trade theory by showing that risk is indeed an economically significant factor in trade.  Data on export values per capita were obtained from three different source data for 2007 Iranian export values for all industries and for agricultural and related services industries were obtained from statistic of Iran׳s trade data online. This data set consists of over 117 different countries matched to their credit scores. To confirm the generality of the result, also trade data were obtained for Iran, Canada and Australia from the international trade statistics yearbook published by the World Bank. A theoretical model is developed. It shows how risk mitigation through export credit insurance could increase exports to high-risk importing countries. Results show that there is a significant positive  relationship between credit worthiness and export values.  

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A Reflection on the Origin of Bitcoin Value from the Viewpoint of Allameh Tabataba'i (RA)

Hasan Sobhani; aliasghar ghaeminia

Volume 18, Issue 70 , October 2018, , Pages 245-263

https://doi.org/10.22054/joer.2018.9566

Abstract

  Money is one of the powerful institutions that humankind created and developed and nowadays it affects all of aspects of social human life. Money essentially is production of human socialization and we should think of it as a social reality that although has a special and independent role for each individual, ...  Read More Money is one of the powerful institutions that humankind created and developed and nowadays it affects all of aspects of social human life. Money essentially is production of human socialization and we should think of it as a social reality that although has a special and independent role for each individual, but it has overall acceptance in the society. Bitcoin is a decentralized electronic fiat currency implemented using cryptography and peer-to-peer technology. Because of increasing development of bitcoin and also other similar currencies, our monetary policy-makers should take proper position about it. In this study we make an analysis about value of bitcoin in context of Etebariat theory developed by Allameh Tabataba’i and argue that value of bitcoin is consistent with this context. Our study about monetary and banking schools like metalism, chartalism, money in circle and banking shows that because of peer-to-peer system of Bitcoin, although Bitcoin is inconsistent with all of the abovementioned theories, but it is consist with Etebariat theory because of no need to third party. So Bitcoin is a counter-example to classical theory of money and it verify Etebariat theory.

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An Investigation of Revenue Impact Generating from Substitution of the Value Added Tax for Corporations Tax: The Case of Mazandaran Province

Ahmad Jafari Samimi; Seyyed Jafar Larimi; Khosro Azizi; Mohssen Hosseini

Volume 6, Issue 22 , October 2006, , Pages 257-279

Abstract

  The purpose of the present paper is to investigate the revenue impact generating from substitution of Value Added Tax for current corporations tax of economic units in The Mazandaran Province. According to the province Bureau of Tax, in 2004, there were 19576 corporations file tax of which only 7856 ...  Read More The purpose of the present paper is to investigate the revenue impact generating from substitution of Value Added Tax for current corporations tax of economic units in The Mazandaran Province. According to the province Bureau of Tax, in 2004, there were 19576 corporations file tax of which only 7856 were subjected to tax. Present study used a random sample of 365 corporations from different cities in the province of which the necessary data for 357 of them could be collected. Also due to the vast differences between the performances of corporations and economic units in the province, the statistical analysis were performed in five different scenarios. Our findings based on regression models and also the mean difference test for current tax and value added tax using the SPSS statistical package indicate that the current corporations tax is not proportionally varied with their value added in the province. We have also shown that the revenue generating feature of the value added tax is fully doubtful at 7 percent rate. Therefore, an appropriate rate of 10 percent which most countries around the World proposed when VAT introduced, has been suggested.

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Determinants of Inflation Forecast: A Dynamic Model Averaging Approach

Majid Babaie; Hossein Tavakolian; abbas shakeri

Volume 18, Issue 71 , January 2019, , Pages 261-311

https://doi.org/10.22054/joer.2018.9835

Abstract

  First studies in inflation forecasting were mostly based on traditional Philips curve in which the relation between inflation and unemployment is studied. However, after several decades and especially after the Lucas criticism, Philips curve faced great takeovers. The new Philips curve ties real and ...  Read More First studies in inflation forecasting were mostly based on traditional Philips curve in which the relation between inflation and unemployment is studied. However, after several decades and especially after the Lucas criticism, Philips curve faced great takeovers. The new Philips curve ties real and expected inflation, not to unemployment rate but to a scale of the marginal cost. Since in the original form of Philips curve, marginal cost stimulates inflation, it is difficult to formulate models that are effective in predicting inflation. Therefore, using TVP-DMA model, which has the ability to fix these deficiencies, we try to improve predictability of inflation in Iranian economy. An independent variable in conventional models can be either significant or insignificant while in TVP-DMA model, it may be significant during a period of time and insignificant in rest of the times. Therefore, this approach lets us to determine the periods in which an independent variable is significant and when it is not. In this study, we use seasonal data during the period 1991-2015. The results based on outputs of the TVP, DMS, and DMA models show that, out of 100 time periods under study, the liquidity growth rate in 19, economic growth rate in 7, unemployment in 8, exchange rate growth in 31, changes in the bank deposit rate in 14, oil revenues growth rate in 15, inflation uncertainty in 14 and the budget deficit growth rate in 4 periods have significant effect on inflation. Based on these results, it can be stated that exchange rate growth, liquidity growth and oil revenues growth rate are the most important indicators influencing inflation rate in Iran.

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Volume 5, Issue 19 , January 2006, , Pages 263-273

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Applicable Improvement Approaches in the Evaluation of Banks Branches Using Data Envelopment Analysis Models

Mohammad Reza Alirezaie; Mohssen Afsharian; Vahid Taslimi

Volume 7, Issue 27 , January 2008, , Pages 263-283

Abstract

  Performance evaluation of a Decision Making Unit (DMU) relative to all other DMUs is a competitive process that Data Envelopment Analysis (DEA) technique can measure it with efficiency improvement approaches for each DMUs. But when there are some extraordinary DMUs, the competitive problem will be replaced ...  Read More Performance evaluation of a Decision Making Unit (DMU) relative to all other DMUs is a competitive process that Data Envelopment Analysis (DEA) technique can measure it with efficiency improvement approaches for each DMUs. But when there are some extraordinary DMUs, the competitive problem will be replaced with monopoly in the process of evaluation and in this case our basic DEA models make invalid efficiency improvement results for DMUs. In this paper, we review these problems in basic DEA models and introduce a DEA model for evaluating DMUs under this circumstance. Also, the model is employed to measure the bank branches efficiency of a commercial banks.

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Volume 6, Issue 21 , July 2006, , Pages 265-290

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Identifying Effective Factors on Foreign Tourism Demand

Habib Morovat; Ali Asghar Salem; mahboobeh khadem

Volume 18, Issue 69 , July 2018, , Pages 275-306

https://doi.org/10.22054/joer.2018.8870

Abstract

  Tourism Industry has important role in the job creating and economic development. Because of it, identifying effective factors on foreign tourism demand and attractiveness of tourism destinations is important. We used panel data of incoming tourist and characteristics of tourism destinations in 147 countries ...  Read More Tourism Industry has important role in the job creating and economic development. Because of it, identifying effective factors on foreign tourism demand and attractiveness of tourism destinations is important. We used panel data of incoming tourist and characteristics of tourism destinations in 147 countries between years 2007 to 2015 to examine which factors have significant effect on foreign tourism demand. We used three aggregate indices to identify characteristics of tourism destinations that are regulatory framework, business environment and infrastructure, and human, cultural and natural resources.  Our results show that business environment, tourism infrastructures such as air and ground transportation infrastructure and price competitiveness have significant effects on foreign tourism demand. We have also used thirteen more detailed indices of tourism destination characteristics and show that safety and security (such as the costliness of common crime and violence as well as terrorism, and the extent to which police services can be relied upon for protection from crime) ,  natural and cultural resources (such as cultural heritage and nationally protected areas)  and price competitiveness indices have a significant effect on foreign tourism demand.

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Applying AHP/DEA Method in Ranking Insurance Agents

Ali Mohammadi; Somayeh Mohammad Hosseinizadeh

Volume 7, Issue 26 , October 2007, , Pages 281-304

Abstract

  This paper presents a two-stage model for fully ranking insurance where each agent has multiple outputs and inputs. In the first stage the Data Envelopment Analysis (DEA) is run for each pair of units separately. In the second stage, the pairwise evaluation matrix generated in the first stage is utilized ...  Read More This paper presents a two-stage model for fully ranking insurance where each agent has multiple outputs and inputs. In the first stage the Data Envelopment Analysis (DEA) is run for each pair of units separately. In the second stage, the pairwise evaluation matrix generated in the first stage is utilized to rank scale the units via the Analytical Hierarchy Process (AHP). Both DEA and AHP are commonly used in practice. Both have limitations. The hybrid model AHP/DEA takes the best of both models, by avoiding the pitfalls of each. AHP/DEA ranking does not replace the DEA classification model, rather it furthers the analysis by proving full ranking in the DEA context for all units, efficient and inefficient. This approach is applied for ranking 23 Iran insurance agents that worked for 2003 and 2004 years. The results reveal that 929 agents have the highest rank and 949 agents have the lowest rank in the studying period.

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Facilitation of Human Resource Movement in Complex Organizations: An Application of Mechanism Design Theory

Mohsen Yazdinejad; Tohid Firouzan Sarnaghi; Ali Nassiri Aghdam

Volume 17, Issue 67 , January 2018, , Pages 291-314

https://doi.org/10.22054/joer.2018.8570

Abstract

  One of the issues in complex organizations is management of personnel movements. On the one hand, personnel tend to change their positions from one sector of organization to another part or from one post to another post or move to another branch of the organization in a new city. On the other hand, administrators ...  Read More One of the issues in complex organizations is management of personnel movements. On the one hand, personnel tend to change their positions from one sector of organization to another part or from one post to another post or move to another branch of the organization in a new city. On the other hand, administrators reposition personnel inside an organization to avoid burnout and facilitate dynamic improvement of the organization. But internal movement inside an organization is faced with challenges, such that it should not cause any posts to be vacant and this requires access to a great deal of information about human resources of the organization and the need to processing them. In this study, we propose an algorithm using market design theory that permits managers to efficiently manage internal movement of human resources. This algorithm was developed by TTCC method and programmed in C# language. To demonstrate the accuracy of proposed algorithm, we applied it to a hypothetical organization with 2325 personnel, 155 branches and 400 internal movement requests. Simulation shows that proposed algorithm increases internal movement of human resources by 11% and help human resource management of organization to be more effective.

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Volume 1, Issue 1 , July 2001, , Pages 129-148

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The effect of terms of trade and its volatility on economic growth in Iran

Masood Nonejad; Mahdi Roshan Ghiyas

Volume 12, Issue 46 , October 2012, , Pages 183-200

Abstract

  Terms of trade is one of the important and effective variables in the economy of all countries, and especially in the developing countries. Terms of trade shows the purchasing power of exports of a country. Therefore, the study of terms of trade and its volatility is very important in the economy of ...  Read More Terms of trade is one of the important and effective variables in the economy of all countries, and especially in the developing countries. Terms of trade shows the purchasing power of exports of a country. Therefore, the study of terms of trade and its volatility is very important in the economy of a country. In this study, by using the method of Autoregressive Distributed Lag (ARDL) and the data for years of 1975-2009, the effect of terms of trade, its volatility and components on the economic growth of Iran has been estimated. The volatility of terms of trade has been estimated using the method of Autoregressive Conditional Heteroscedasticity. The results of this study show that the effect of terms of trade on economic growth in Iran is positive and significant, but its volatility has negative and significant effect. Also, the results show that export real price index has positive and significant effect, but import real price index and export real price index volatility have negative and significant effect on the economic growth in Iran.

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Volume 1, Issue 3 , January 2002, , Pages 195-206

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Analyzing the Relationship Between Government Size and Unemployment Rate in Iran

Ebrahim Ali Razini; Amir Reza Soori; Ahmad Tashkini

Volume 11, Issue 43 , January 2012, , Pages 199-218

Abstract

  This study investigates the relation between unemployment rate and Government Size in Iran. For that, we have used some VAR models, which include the following variables: government size, measured as total government outlays as a percentage of GDP, unemployment rate, real GDP growth rate, Inflation ...  Read More This study investigates the relation between unemployment rate and Government Size in Iran. For that, we have used some VAR models, which include the following variables: government size, measured as total government outlays as a percentage of GDP, unemployment rate, real GDP growth rate, Inflation rate, minimum wage. Our results show that an increasing in the Government Size would raise unemployment rate, and an increasing the GDP growth rate and Inflation rate would reduce unemployment rate.

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Volume 3, Issue 10 , January 2004, , Pages 199-232

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