Esfandiar Jahangard; Afrouz Azadikhah Jahromi
Volume 13, Issue 51 , January 2014, , Pages 81-111
Abstract
In this paper we identify the production chains of Iranian economy by using average propagation length (APL) index. In our imprical investigation, we have applied the mentioned methodology to the 2000 input-output table of Iran. In order to obtain a clear overview of the production chains in Iran, the ...
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In this paper we identify the production chains of Iranian economy by using average propagation length (APL) index. In our imprical investigation, we have applied the mentioned methodology to the 2000 input-output table of Iran. In order to obtain a clear overview of the production chains in Iran, the table was aggregated to 6 sector level. At first we calculate the backward and forward linkages and APLs, and then we visualize the production chains for Iranian economy. As a second application we have considered the linkages, APLs and production chains at a more detailed level. For this purpose, we have used the 28-sector classification. The results for the backward and forward linkages of each sector indicate that industry and electricity, gas and water supply are known as key sectors. Also it was found that largest average forward APL value belongs to agriculture and mining, and smallest value belongs to services and construction. Likewise, the largest average backward APL value is observed for construction and agriculture, and smallest value oserverd for mining and services. It should also be noted that in both applications mining located at the beginning of the production chain o Iranian economy.
Hassan Heydari; HamidReza Faalju; Fatemeh Karami
Volume 13, Issue 49 , July 2013, , Pages 151-176
Abstract
The price index of shares of companies accepted in the Tehran Stock Exchange (TSE) is one of the main variables in evaluating macroeconomic performance of Iranian economy. One of the factors affecting stock price index of developing countries like Iran, that has high degree of volatility, ...
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The price index of shares of companies accepted in the Tehran Stock Exchange (TSE) is one of the main variables in evaluating macroeconomic performance of Iranian economy. One of the factors affecting stock price index of developing countries like Iran, that has high degree of volatility, is exchange rate uncertainty.The main objective of this paper is to investigate the effects of exchange rate uncertainty on price index in the TSE for the period of 1994-2009 using monthly data. In this regard, first, an index of exchange rate uncertainty is calculated using EGARCH models. Then, in order to obtain the relationship between uncertainty in real exchange rate and the stock price index, Bounds test approach is applied to the relationship between level data. The results show that in both long-run and short-run, there is a negative and significant relationship between the exchange rate and stock prices. Moveover, real exchange rate uncertainty has a non-significant negative effect on stock price in short-run. In the long-run, the relationship between real exchange rate uncertainty and stock price is negative and significant. The results of Granger causality test also show that bidirectional causality exists between the real exchange rate and real exchange rate uncertainty in the short-run. While we could not find such an interactive relationship between other variables in the short-run, an indirect causality exists from exchange rate and exchange rate uncertainty to the stock price in the long-run.
Saeed Moshiri; Mohammad Nadali
Volume 13, Issue 48 , April 2013, , Pages 1-27
Abstract
The banking structure in Iran has undergone dramatic changes for the past three decades going from a mixed private-public banking system to a complete state-owned banking system. Although banking crisis such as bank panic and bank run has never been observed in Iran, the money market pressure index ...
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The banking structure in Iran has undergone dramatic changes for the past three decades going from a mixed private-public banking system to a complete state-owned banking system. Although banking crisis such as bank panic and bank run has never been observed in Iran, the money market pressure index shows that the banking system has experienced crisis in various times. In this paper, we use the banking crisis data derived by Moshiri and Nadali (2010) to estimate the determinants of the banking crisis in Iran, using a Logit model for the period 1971-2008. The estimation results show that inflation, short term interest rate, and the ratio of domestic credit to private sector to GDP are the main factors affecting banking crisis in Iran. Moreover, the results indicate that the relationship between inflation rate and the banking crisis is U shape. The exchange rate does not have a significant effect on the banking crisis as the Iranian banking system is not heavily involved in the international financial markets and is not strongly connected to the international banking system.
Majid Sameti; Hassan Karnameh Haghighi
Volume 13, Issue 48 , April 2013, , Pages 121-145
Abstract
This study aims primarily at investigating the impact of macroeconomic instability on lending behavior of banking sector in Iran using data on commercial banks and macroeconomic instability from 1974 to 2009. Our results under the Co-integration and Vector Error Correction Modeling framework show that ...
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This study aims primarily at investigating the impact of macroeconomic instability on lending behavior of banking sector in Iran using data on commercial banks and macroeconomic instability from 1974 to 2009. Our results under the Co-integration and Vector Error Correction Modeling framework show that bank lending has a long-run relationship with macroeconomic instability. In other words, the long-term increase in macroeconomic instability indicators would be associated with reduction in commercial bank lending. In addition, an increase in the natural logarithm of assets of commercial banks (as a proxy of bank size), have a significant effect on the lending behavior of commercial banks. The results also show that although the ratio of deposits to capital and lending behavior of commercial banks are interacted with each other in the long run, but in the short term the error of balance does not adjust itself. Simply saying, although the ratio of deposits to capital has a long-run effect on the lending behavior of commercial banks but it is not affected by lending behavior of commercial banks. In fact, the variable of deposits to capital ratio is weak exogenous when compared with other variables.
Ali Hussein Samadi; Naghmeh Zare Haghighi
Volume 12, Issue 47 , January 2013, , Pages 123-152
Abstract
The main purpose of this paper is to examine the causal relationship between government revenues and expenditures in Iran. We use an asymmetric error correction model within a Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) framework during 1991-2010. Contrary to previous ...
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The main purpose of this paper is to examine the causal relationship between government revenues and expenditures in Iran. We use an asymmetric error correction model within a Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) framework during 1991-2010. Contrary to previous studies on Iranian economy, the results show that synchronization hypothesis with asymmetric adjustment towards long run equilibrium is confirmed between government revenues and expenditures. The policy implication of the results is that the government should simultaneously rise revenues and decrease spending in order to control the budget deficits.
firuz fallahi; Parviz Mohamadzadeh; Ali Rezazadeh; Siavash Mohammadpoor; Mohammad Hossein Shararkhah
Volume 12, Issue 46 , October 2012, , Pages 117-140
Abstract
The main objective of this paper is to investigate the asymmetric effects of the parity rate shocks in U.S. Dollar and Euro against Iranian Rial on the output and price in Iran during 2000:3-2007:3 period. For this purpose, the fluctuations of U.S. Dollar and Euro value against Iranian Rial have been ...
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The main objective of this paper is to investigate the asymmetric effects of the parity rate shocks in U.S. Dollar and Euro against Iranian Rial on the output and price in Iran during 2000:3-2007:3 period. For this purpose, the fluctuations of U.S. Dollar and Euro value against Iranian Rial have been defined as the difference between actual real exchange rate and fitted values of real exchange rate estimated by using a Markov Switching approach. Using Johansen’s co-integration test, the existence of long-run relationship between the variables of the model has been examined and both of the Lambda Max and Lambda Trace statistics confirmed that there is at least one co-integration vector between variables of the two main models of this study. Finally, asymmetric effects of U.S. Dollar and Euro shocks during positive and negative shocks on output and price level has been tested using LR test. The results show that positive and negative shocks of U.S. Dollar have an asymmetric effect on output and price level. The results also show that the fluctuations in the value of Euro against Iranian Rial have an asymmetric effect on price level and a symmetric effect on output.
Ahmad Jafari Samimi; Mehdi Adibpour; Sara Nazar Alizadeh
Volume 12, Issue 45 , July 2012, , Pages 123-141
Abstract
NAIRU plays an important role in guiding monetary policy to control inflation and unemployment. The purpose of this paper is to estimate the so-called “Non- Accelerating Inflation Rate of Unemployment” (NAIRU) in Iran. In this paper, different filters such as Kalman, Hodrick-Perescott and ...
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NAIRU plays an important role in guiding monetary policy to control inflation and unemployment. The purpose of this paper is to estimate the so-called “Non- Accelerating Inflation Rate of Unemployment” (NAIRU) in Iran. In this paper, different filters such as Kalman, Hodrick-Perescott and Band-Pass have been used during 1348-1388 (1969-2009). Also, The NAIRU estimations under the above different filters were compared to the actual rate of unemployment. Our findings indicate that the Kalman filter is more consistent with the performance of the Iranian economy. The average NAIRU estimated under Kalman filter was about %10.8 during the period. Using suitable monetary policy can reduce the so-called unemployment gap measuring the deviation between NAIRU and the actual unemployment rate.
Mohammadali Feizpour; Mohammadreza Dehghanpour
Volume 11, Issue 41 , July 2011, , Pages 71-95
Abstract
The relationship between industrial structure and productivity, particularly when
the former influences the latter, is the traditional view that large firms in more
concentrated industries have the resources to make R&D investments, bring about
technical advances and ultimately raise industrial ...
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The relationship between industrial structure and productivity, particularly when
the former influences the latter, is the traditional view that large firms in more
concentrated industries have the resources to make R&D investments, bring about
technical advances and ultimately raise industrial productivity. On the other hand,
small firms in competitive industries may lack the resources to invest in innovation
and make productivity gains.
The purpose of this paper is to investigate the relationship between industrial
structure and labour productivity for manufacturing firms in Iran during the years of
the Second Development Plan. Concentration ratio, barriers to entry and minimum
efficient scale are considered as measures of industrial structure and labour
productivity wich is defined as the ratio of total output to total labour force. The data
for empirical analysis consist of 12000 manufacturing firms, aggregated at 23, 60
and 135 of 2, 3 and 4-digit industries respectively. The results suggest that industry
structure, measured by minimum efficient scale has a positive and significant effect
in the labour productivity. This finding suggests that Iranian manufacturing plants
are sub-optimal and it is possible to increase labour productivity by achieving
minimum efficient scale.
Javid Bahrami; Maryam Farshchi
Volume 11, Issue 40 , April 2011, , Pages 185-211
Abstract
This paper examines the incidence of Dutch Disease symptoms in the agriculture sector of Iran, by applying SVAR modeling to quarterly data of twenty years span, from1367-1386 our findings do not reveal any significant relation between oil prices, and value added of agriculture sector, but indicate a ...
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This paper examines the incidence of Dutch Disease symptoms in the agriculture sector of Iran, by applying SVAR modeling to quarterly data of twenty years span, from1367-1386 our findings do not reveal any significant relation between oil prices, and value added of agriculture sector, but indicate a significant negative effect of oil price on the relative price of agricultural products. Therefore, the incidence of Dutch Disease cannot be rejected. Although it seems that protective measures, in some extent, have been succeeded in insulating the production from harmful effects of decrease in the relative prices, but these measures, in no way will ensure the future development of the agriculture sector.
