Somayeh Shokravi; Mohsen Khezri
Abstract
In this study, to determine the exact effect of financial development on economic growth, we use quarterly data for 1988 to 2013 and apply factor-augmented vector autoregressive (FAVAR) model in combination with time-varying parameters model (TVP) for the case of Iranian economy. Variables used ...
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In this study, to determine the exact effect of financial development on economic growth, we use quarterly data for 1988 to 2013 and apply factor-augmented vector autoregressive (FAVAR) model in combination with time-varying parameters model (TVP) for the case of Iranian economy. Variables used in this study include economic growth, ratio of government spending to GDP (as an index of government size), economic openness index (the ratio of exports and imports to GDP), inflation and financial development index (as an unobservable variable). Based on our results, the effect of financial development index on economic growth in the period under consideration is positive, an increase in government size leads to lower economic growth, in a way that the government size effect is more intense at times that oil revenues increase. In addition, the effect of inflation on economic growth is positive. Finally, the degree of trade openness on economic growth has a positive effect.
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Volume 1, Issue 1 , July 2001, , Pages 149-180
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Volume 1, Issue 3 , January 2002, , Pages 207-216
Gholamhossein Mahdavi; Kazem Goodarzi
Volume 11, Issue 43 , January 2012, , Pages 219-237
Abstract
The purpose of this study is to introduce an artificial neural model for
predicting systematic risk of Saipa Company by using macro
economic variables. The net used in the study is a neural feedforward
network with backpropagation algorithms. Price Index in Tehran
Stock Exchange, Exchange Rate, Oil ...
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The purpose of this study is to introduce an artificial neural model for
predicting systematic risk of Saipa Company by using macro
economic variables. The net used in the study is a neural feedforward
network with backpropagation algorithms. Price Index in Tehran
Stock Exchange, Exchange Rate, Oil Price and Gold Price have been
considered as four input variables, and the systematic risk as the
output variable. The relevant data for each variable has been set
weekly and monthly, and based on the data, 80 different neural
networks were designed.
The results show that the optimal model for predicting weekly
systematic risk is a four- layer- model with the Root- Mean- Square
(RMS) of 0/033314. Furthermore, the optimal model for predicting
monthly systematic risk is a three- layer- model with the RMS of
0/065557.
reza tehani; Shapur Mohammadi; Arash Mohamadalizadeh
Volume 11, Issue 41 , July 2011, , Pages 225-244
Abstract
This paper presents a new perspective on the Fisher hypothesis, which states a positiverelationship between nominal stock returns and inflation. The new approach is based on a waveletmultiscaling method that decomposes a given time series on a scale-by-scale basis. The time series of inflation and stock ...
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This paper presents a new perspective on the Fisher hypothesis, which states a positiverelationship between nominal stock returns and inflation. The new approach is based on a waveletmultiscaling method that decomposes a given time series on a scale-by-scale basis. The time series of inflation and stock return are decomposed into three wavelet details and one wavelet smooth. Empirical results show that there is a positive relationship between stock returns and inflation at 2month period and at 8-month period, while a negative relationship is shown 4-month period. Also,no significant relationship was revealed in one month time horizon. This indicates that the nominal return results are supportive of the Fisher hypothesis for risky Assets in d2 and s3 of the wavelet domain, while the stock returns do not play a role as an inflation hedge at one month and four month timescales.
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Volume 3, Issue 10 , January 2004, , Pages 233-254
Hamid Kurd Bache; Somaye Jahan Mahin
Volume 12, Issue 44 , April 2012, , Pages 235-258
Abstract
Non-Pricing strategies are used by firms to increase sales, expand market share, retain existing and attract new customers. These are methods and techniques that don’t involve a change in the price of the product. The non-pricing strategies are more important for banks, because they are restricted ...
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Non-Pricing strategies are used by firms to increase sales, expand market share, retain existing and attract new customers. These are methods and techniques that don’t involve a change in the price of the product. The non-pricing strategies are more important for banks, because they are restricted in using of them. Iranian banking system has recently experienced a structural change through authorizing the establishing private banks as well as recapitalization and partial privatization of the existing commercial banks. This reform has led to more competition among banks. Therefore, the banks are seeking different strategies to spread their role in the market. Due to the policies of the central bank in setting up the same rates of deposit and loan interests for all the banks, the non-price strategies have been most importance and priority.
This paper attempts to investigate the impacts of such strategies on Iranian banks' performance using a sample of 12 commercial banks in the period of 2002-2007. We used a single-stage frontier approach. This model allows estimating firm level efficiency and the sources of inefficiency simultaneously. A super efficiency model has also been used for the sake of consistency and cross checking of the results. In order to control the effects of other determinant factors of banks' performance such as ownership status, experience, risk and market concentration, these factors are also included in the models.
The results indicate that regardless of the method used, the non-pricing strategies such as difference in products, advertising and electronic banking have improved performance of the banks over the studied sample.
Reza Moghaddasi; Bita Rahimi Badr
Volume 9, Issue 35 , January 2010, , Pages 239-263
Abstract
Wheat, as one of the worldwide fundamental agricultural products is an efficient weapon in political and global relations. The strategic importance of wheat is increasing every day. In this study the price of this product will be forecasted during 2009-2011 period taking into account the vital mission ...
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Wheat, as one of the worldwide fundamental agricultural products is an efficient weapon in political and global relations. The strategic importance of wheat is increasing every day. In this study the price of this product will be forecasted during 2009-2011 period taking into account the vital mission of supply of food security and self sufficiency in production of fundamental agricultural products such as wheat in National Document of Agriculture Section Development in Fourth Plan and undeniable role of price in this regard, underlying and selecting an appropriate model. To do this the forecasting performance of structural and time series models will be evaluated and compared according to the common criteria. The data used in this research include annual farm and guaranteed prices of wheat and rice and the wheat stock at the end of years during 1966-2008 period extracted from reports of Ministry of Agricultural and Central Bank. The research results show the preference of time series models (Unit root and ARIMA) for forecasting of wheat price.
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Volume 2, Issue 4 , April 2002, , Pages 255-259
Alimorad Sharifi; Rahman KHosh Akhlagh; Mohammad Esmail Hamdani Golshan; Zeinolabedin Sadeghi
Volume 9, Issue 34 , October 2009, , Pages 265-287
Abstract
Securing electrical energy usages in peak period is one of the problems in power industry. Establishing new plants and increasing in capacity electrical energy is the easiest solution of the chose.
But demand side management through load management is another solution. Economical load management is ...
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Securing electrical energy usages in peak period is one of the problems in power industry. Establishing new plants and increasing in capacity electrical energy is the easiest solution of the chose.
But demand side management through load management is another solution. Economical load management is operational way by price motive, that self –rationing is one of the economical load management method.
In this paper, effort is made to introduce self –rationing and surviving original paper in this subject in economic literature in recent 30 years .we can divide existing literature in two period, first period 1978 to 1990(introduction self –rationing method) and period 1990 up to now (application and expansion).
Majid Sabbagh Kermani; Khaled Ahmadzadeh; Seyyed Hadi Musavi Nik
Volume 10, Issue 37 , July 2010, , Pages 267-293
Abstract
House price changes in Iran is a category for thinking about in recent years and also different studies has been done on determinants of housing supply and demand and its price. However, this study deals with causality relation between house price and its determinant factors by seasonal data in Tehran ...
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House price changes in Iran is a category for thinking about in recent years and also different studies has been done on determinants of housing supply and demand and its price. However, this study deals with causality relation between house price and its determinant factors by seasonal data in Tehran between “1994-2006". In this study, Vector Error Correction, is used to estimate the model. Moreover, Wald test is utilized for the study of causality relation in long-run and short-run. The results show that all of the model variables can be significantly determinant of house price. In short-run, land price, the wholesale of building materials, and gold price (as substitution market) have a bilateral causality relation with house price. Forthermore, there exists a unilateral causality among the average of household income and private sector investment in house building, as complete buildings, with housing price. Nevertheless, in the short-run Granger causality between house price and interest rate was not confirmed. On the other hand, the high significance of the coeffeceint of partial error correction in all of the estimated equations as well as integrated tests with model dependent variables reveals existence of a long-run relation.
Ali Mohammadi
Volume 11, Issue 40 , April 2011, , Pages 273-302
Abstract
The purpose of this research is to measure and evaluate the financial performance of car industries and part producer companies as a whole group in Iran stock exchange market in order to rank these industries and factories. The research was executed for 21 companies financial information ...
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The purpose of this research is to measure and evaluate the financial performance of car industries and part producer companies as a whole group in Iran stock exchange market in order to rank these industries and factories. The research was executed for 21 companies financial information on their liquidity ratio, activity ratio, debt ratio, profitability ratio, and capital market during 5 financial period of 2003-2007. The entropy statistic results showed that return on investment (ROI) ratio, operating profit ratio, and current ratio, which possess values of 0.295, 0.137, 0.080 respectively, have a high priority in identifying better companies
Meanwhile, the rank of companies have not fully consistent, so the validity of results have been investigated through comparision between companie's rank by ROI, TOPSIS, taxonomy and linear assignment. The results showed that TOPSIS and taxonomy with ROI had significant relationship. So, TOPSIS and taxonomy are better for financial evaluation of companies. The result of TOPSIS showed that "Lent Toormoz", "Charkheshgar" and "Iran Rikhtehgari" with the best financal performance in Iran stock exchange market ranked first to third, respectively.
Saeed Samadi; Mohammad Vaez Barzani; Mohammad Reza Ghasemi
Volume 10, Issue 39 , January 2011, , Pages 273-297
Seyed Mohammad Mirmohammadi
Volume 11, Issue 42 , October 2011, , Pages 277-301
Abstract
In this study, the role of banking facilities granted in development of Iran's non-oil
exports has been investigated. To this point, by seemingly unrelated regression method, the
impact of facilities granted on investment, impact of investment on capital inventory (stock),
impact of capital inventory ...
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In this study, the role of banking facilities granted in development of Iran's non-oil
exports has been investigated. To this point, by seemingly unrelated regression method, the
impact of facilities granted on investment, impact of investment on capital inventory (stock),
impact of capital inventory on non-oil GDP and impact of non-oil GDP on non-oil exports
was measured. The results showed that the banking facilities granted has a positive influence
on non-oil exports.
Hashem Nikoomaram; Roya Darabi
Volume 7, Issue 25 , July 2007, , Pages 279-316
Abstract
This paper develops an equity valuation model that relates growth in expected earnings to firm value. The modelling, in addition to growth, also incorporates nonrecurring items as an adjustment for earnings. The analysis shows that the valuation function consists of three terms: (i) "Permanent earnings ...
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This paper develops an equity valuation model that relates growth in expected earnings to firm value. The modelling, in addition to growth, also incorporates nonrecurring items as an adjustment for earnings. The analysis shows that the valuation function consists of three terms: (i) "Permanent earnings model" (i.e., capitalized earnings) adjusted for non-recurring items, (ii) Current non-recurring items and, (iii) a "Multiplier" that mirrors both short-term growth and long-term growth, which multiplies next period expected earnings. This modelling implies that the accounting is conservative, indicating that growth and conservative accounting are two sides of the same coin. The paper also shows that like dividends, non-recurring items are irrelevant for the purposes of forecasting and valuation, except via their impact on book value. Permanent earnings, expected earnings, expected abnormal earnings, short-term growth, long-term growth, cost of capital and expected dividend had selected to the variable of this research. All of the hypothesis are tested by Wilcox on signed rank test .The result of this research indicates that all of the three models between calculative firm value and market firm value are found to lack significance deference.
Kambiz Hozhbar Kiani; Alireza Siami
Volume 8, Issue 29 , July 2008, , Pages 281-307
Abstract
Many of the government programmes for food security are based on their intervention in changing equilibrium prices and quantities. For example, we can refer to the subjects of price control, giving subsidies to some foodstuffs and also the rationing of some products. But such programmes would become ...
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Many of the government programmes for food security are based on their intervention in changing equilibrium prices and quantities. For example, we can refer to the subjects of price control, giving subsidies to some foodstuffs and also the rationing of some products. But such programmes would become valuable when they are offered on the basis of accurate studies for the sake of examining their effects on the household consumption basket and also their nutritious values. These estimations are largely done by the use of demand elasticities of prevailing foodstuffs in the family consumer baskets. In all of these studies the estimated price demand elasticities of existing foodstuffs have been obtained by using time- series data that this Data use the average variables. So definitely does not fully explain our need of studying the household food consumption basket. Therefore, keeping this problem in mind, we have used survey data by 28000 Iranian families in the year 1380 in order to estimate the household demand elasticities. In this study, using a new approach and with the aid of household survey data and by applying the concept of
marginal or unit values, reflecting market prices and consumer choices based on the quality of these foodstuffs, we have been able to estimate the demand functions for food products. Based on these estimates the price demand elasticity of foodstuffs, the cross and income elasticity have been all obtained for seven different groups of food products containing kinds of foodstuffs in the consume food basket of Iranian families.
In this research, we have estimated the demand functions, price and income elasticities by using the almost Ideal Demand System (AIDS). The other new thing in this research is the nutrient elasticities. In fact using the foodstuffs elasticities, and with the aid of matri algebra by a transformation matrix, we have estimated nutrient elasticities. These elasticities explain the effects of the change in consumer income and the prices of foodstuffs on the amount of the nutrient that should reach the body of individuals. These implication provide the nutrition administrators with important and key instruments, with the aid which they would be able to evaluate the impacts of food programme on the health of society from the viewpoint of nutrition.
Mohammad Vaez Barzani; Rahim Dallai Esfahani; Saeed Samadi; Hamid Reza Faaljou
Volume 10, Issue 36 , April 2010, , Pages 285-308
Abstract
The aim of this paper is to investigate the impact of the control variables on the Iranian stock market by using optimal control theory. We try to determine the optimal path of the economic control variables like money stock, exchange rate, taxes, government expenditure and state variables such as market ...
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The aim of this paper is to investigate the impact of the control variables on the Iranian stock market by using optimal control theory. We try to determine the optimal path of the economic control variables like money stock, exchange rate, taxes, government expenditure and state variables such as market value of stocks and transactions during the third and fourth economic plans. The result shows that the fiscal policies has been chosen much more effective than the monetary policies. We study four different alternatives. Based on the first, second and third alternatives, the model reaches to the optimal path of the number of transactions while for the model does not reach the optimal path of the market value of stocks.
In the fourth alternative the government can reach the optimal path of its economic variables by choosing expansionary monetary and fiscal policies along with depreciation of exchange rates simultaneously.
Abolghasem Mahdavi; Mohammad Amin Naderian
Volume 10, Issue 38 , October 2010, , Pages 287-309
Abass Salimian; Fazeleh Khadem
Volume 7, Issue 27 , January 2008, , Pages 333-363
Abstract
In this paper, estimating productivity is done through, using both, the index approaches and productivity function. In the first approach, partial productivity of the inputs (labor, capital and materials) are measured as a rating of the output to the appropriate inputs, but in the later one the marginal ...
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In this paper, estimating productivity is done through, using both, the index approaches and productivity function. In the first approach, partial productivity of the inputs (labor, capital and materials) are measured as a rating of the output to the appropriate inputs, but in the later one the marginal productivity are obtained using the estimated factor elasticities. Having the results and in the final step, we try to analyze the effect of the automobile import on the productivity.
The results show that partial factor productivity has a disorder trend like pattern on the period 1973-2000. Also, a comparison between marginal and average productivity, indicates that the corporation is operating at the region, in which marginal product of all inputs are non-negative. It must be noted that there is a negative effect from the import on the productivity of the corporation.
Farshad Heybati; Afsaneh Tavangar
Volume 7, Issue 26 , October 2007, , Pages 349-390
Abstract
Researchers mostly categorize firms into two groups- growth firms and value firms-based on using either P/B or P/E ratios separately, as valuation variables to study on forecast power and ability of the Residual Income .In Iran, similarly, investors and researchers use P/E and sometimes P/B ratios, as ...
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Researchers mostly categorize firms into two groups- growth firms and value firms-based on using either P/B or P/E ratios separately, as valuation variables to study on forecast power and ability of the Residual Income .In Iran, similarly, investors and researchers use P/E and sometimes P/B ratios, as measures of stock valuation and pricing. This study investigates on Residual Income trend of the categorized firms by using P/E and P/B ratios jointly. Therefore, research hypotheses have been formulated as: declining firms expectedly decrease their future Residual Income and turnaround firms, mature firms; growth firms expectedly increase their future Residual Income. Competitive firms expectedly do not change their Residual Income also. By applying the correlation test to all firms, which have been listed in Tehran Stock Exchange during years of 2000 to 2005, the firms were founded out to be in confidence level as a result. Then correlations of P/E and P/B ratios with the other variables including Residual Income, changes and growth of the Residual Income and ROE as well were tested that the result have indicated
that the applied Correlation Coefficient to the categorized groups is more identified and be stronger compared to pool data application. I observed that the relation between P/B and variables is more constant and stable rather than to P/E ratio, suggesting the importance of categorizing firms facing to similar economic situations to expand the area of investigations on Residual Income trend and be helpful for future researches.
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Volume 1, Issue 3 , January 2002, , Pages 217-228
Mohammad Hadi Zahidi Vafa; seyyed hasan ghavami
Volume 11, Issue 43 , January 2012, , Pages 239-255
Abstract
Game theory has a significant role in contemporary orthodox
economics. This theory studies the strategic behavior of players. So
strategic interaction is the key point in the games theory. Principalagent
model is an application of the theory. This model is applied
when a job or an activity ...
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Game theory has a significant role in contemporary orthodox
economics. This theory studies the strategic behavior of players. So
strategic interaction is the key point in the games theory. Principalagent
model is an application of the theory. This model is applied
when a job or an activity is delivered to an agent by a firm or another
agent called the principal. Naturally the terms and conditions
including the rights and obligations of two sides are elaborated in the
contract. Depending on whether the information on exact details of the
subject and the terms are the same or not, different models are
developed. One of the most important financing instruments in noninterest
banking as a main field of Islamic Economics is profit-loss sharing contracts among
which we can name sleeping partnership. The subject matter of sleeping partnership
is trade in which a capital owner finances the money needed by the agent to start a business
which is based on profit-loss sharing. This paper tries to construct an analytical model
to explain the sleeping partnership by appling principal– agent model with asymmetric
information case which is causing adverse selection .In this paper we showed that Islamic
finance instruments (sleeping partnership) in the spirit of profit-loss sharing can be explained
through the modern achievements of contemporary economics and we can analyze sleeping partnership with the help of game theory method.
MirFeiz Fallah Shams; Mahdi Rashno
Volume 11, Issue 41 , July 2011, , Pages 245-266
Abstract
The main objective of this paper is to study the accuracy of the relative valuation
models, P/E and P/B. We chose 75 companies which are listed in Tehran Stock
Exchange from 2001 until 2006. The accuracy of relative valuation models in
prediction of initial public offering price depends on selection ...
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The main objective of this paper is to study the accuracy of the relative valuation
models, P/E and P/B. We chose 75 companies which are listed in Tehran Stock
Exchange from 2001 until 2006. The accuracy of relative valuation models in
prediction of initial public offering price depends on selection of comparable firms. In
this paper, comparable firms were selected on the basis of industry type, return on
equity (ROE), and total assets. In case of comparable firm selection, our findings
prove that companies with the same ROE is more accurate than those in the same
industry. The accuracy prediction in the companies with same total assets is in the
last place in prediction accuracy. In general conclusion, the P/B ratio is more
accurate than the P/B ratio.
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Volume 3, Issue 10 , January 2004, , Pages 255-280
Mahmoud Mahmoud Zade; Bizhan Safavi; Rasoul Rajabi
Volume 12, Issue 44 , April 2012, , Pages 259-289
Abstract
The purpose of this paper is to investigate factors that affect the PRIDE automobile demandin Iran. We used Almost Ideal Demand System (AIDS) model and Seemingly Unrelated Regression (SUR) method in the period of 2004-2008 monthly. Results indicate that the price elasticity of PRIDE is -2.59 and -2.46 ...
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The purpose of this paper is to investigate factors that affect the PRIDE automobile demandin Iran. We used Almost Ideal Demand System (AIDS) model and Seemingly Unrelated Regression (SUR) method in the period of 2004-2008 monthly. Results indicate that the price elasticity of PRIDE is -2.59 and -2.46 in long-run and short-run, respectively. The income elasticity of PRIDE is 4.06 and 4.32 in long-run and short-run, respectively. In addition results show that PRIDE automobile is substitutable with 1600cc automobiles and public transportation, and complementable with petrol and other cars. Also, forecasting results show the share of PRIDE automobile in households' expenditure will decrease during 2010-2012. Therefore PRIDE automobile demand comes near to the saturation point.
