Batoul Raf’at; Seyed Komail Tayyebi
Volume 10, Issue 36 , April 2010, , Pages 41-58
Abstract
This study examines the relationships between FDI flows and trade to Iran. Theoretically, FDI and international trade can be substitute or complementary. Within the early theories of foreign direct investment and multinational firms, FDI and foreign trade were considered to be substitute. New international ...
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This study examines the relationships between FDI flows and trade to Iran. Theoretically, FDI and international trade can be substitute or complementary. Within the early theories of foreign direct investment and multinational firms, FDI and foreign trade were considered to be substitute. New international trade theories emphasize, the complementary relationship between FDI and foreign trade .This is the result of introducing new aspects in the models like increasing returns to scale, product differentiation and technology-differences among nations. We study empirically the impact of foreign trade on foreign direct investment (FDI), using data on inward FDI to Iran from 1973 through 2006.
We find that foreign trade can encourage FDI and also FDI can increase trade. On the other hand, results show that there is a complementary relationship between trade and FDI. Beside trade, GDP, Exchange rate and some economic variables are affected by FDI.
Karim Emami; Azadeh Mehrabian
Volume 10, Issue 36 , April 2010, , Pages 59-86
Abstract
One of the most important economic challenges that every economy of the world is facing is how to reach to a sustained growth in the long run. The aim of this research is to survey about the effects of business cycle volatility on economic growth in Iran from 1340 to 1387. Some of the variables used ...
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One of the most important economic challenges that every economy of the world is facing is how to reach to a sustained growth in the long run. The aim of this research is to survey about the effects of business cycle volatility on economic growth in Iran from 1340 to 1387. Some of the variables used in this research were growth of gross national product, volatility of business cycles, inflation, inflation uncertainty and the index of financial depth. In this survey, at first the volatility of business cycles and inflation uncertainty were computed by generalized autoregressive conditional heteroscdasticity model. Then we estimated the effects of volatility cycles in the long run for economic growth by using co-integration test and vector erorr correction Model. The results of this estimation show that the business cycle volatility causes a decrease in the long run economic growth. The reason is that the volatiity of economic production causes uncertainty in production and then as a result of that a decreas in investment and long run economic growth.
Teymour Mohammadi; Reza Teleblou
Volume 10, Issue 36 , April 2010, , Pages 137-170
Abstract
In this paper, we study inflation dynamics and then examine the relation of inflation and inflation uncertainty. At first, for filtering of predictable term of inflation series, we used time series model. In this way, some test like ADF, PP, KPSS were also used.
The results show that integration ...
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In this paper, we study inflation dynamics and then examine the relation of inflation and inflation uncertainty. At first, for filtering of predictable term of inflation series, we used time series model. In this way, some test like ADF, PP, KPSS were also used.
The results show that integration of inflation series is neither one nor zero. Then we examine the hypothesis of fractional integration that means long memory of inflation. With applying ARFIMA model, we show that inflation has fractional integration with degree of 0.4 that is implying that Iran’s inflation has long memory and then every shock to this variable remain long run.
In the next stage, we used ARFIMA residual for test GARCH model then that was used as inflation uncertainty. With granger causality test we find that the causality between inflation and uncertainty is bilateral.
Farzad Karimi; Hossein Pirasteh; Seyed Komail Tayyebi
Volume 9, Issue 35 , January 2010, , Pages 265-288
Abstract
In the new literature of international trade, the focus has been on discussion of how trade integration affects business cycle synchronization.
The objective of this paper is exploring the main determinants of business cycle synchronization whit emphasizing on the trade integration which have ...
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In the new literature of international trade, the focus has been on discussion of how trade integration affects business cycle synchronization.
The objective of this paper is exploring the main determinants of business cycle synchronization whit emphasizing on the trade integration which have been evaluated through econometric model over period 1990-2005.
The empirical results show that trade integration is significantly the major factor of business cycle synchronization in these countries particularly during 1990-2005. In addition, similarities in both fiscal and monetary policies as well as similarities in economics structures influence significantly business cycle synchronization in the region.
Ebrahim Gorji; Ali Reza Eghbali
Volume 9, Issue 33 , July 2009, , Pages 71-96
Abstract
In this paper, authors, reviewing business cycles nature and numerous outlooks concerning “raison de etre” there of, provide a model together with its estimated using VAR for the years 1959-2006. The results show that monetary and fiscal factors may affect economic fluctuations. It seems ...
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In this paper, authors, reviewing business cycles nature and numerous outlooks concerning “raison de etre” there of, provide a model together with its estimated using VAR for the years 1959-2006. The results show that monetary and fiscal factors may affect economic fluctuations. It seems that fiscal policies have been more effective in creating business cycles. Meanwhile, there are other factors, which somehow are related to economic structure of Iran, play a significant role in economic crises within Iran’s economy.
Ali Esmaieel Zadeh Magharri
Volume 9, Issue 33 , July 2009, , Pages 97-123
Abstract
The aim of this paper is to investigate the relationship between investment, import and export on inflation in Iran’s economy. First, we talk about inflation theory and then give a short discussion about inflation effects on investment to make sure that our time series are stationary. We use ADF ...
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The aim of this paper is to investigate the relationship between investment, import and export on inflation in Iran’s economy. First, we talk about inflation theory and then give a short discussion about inflation effects on investment to make sure that our time series are stationary. We use ADF method.
Then we estimate our models. We find out that the relationship between export and import and inflation is positive and the relation between investment and inflation is negative.
Seyyed Abdolmajid Jalaee; Mina Sabbagh Poorfard
Volume 9, Issue 33 , July 2009, , Pages 171-188
Abstract
Nowadays, the effect of foreign direct investment on economic growth, theatrically & empirically, has been proved. Developed countries have experiences, using FDI for reaching stability on economic growth and of course in this channel should not ignore the role of financial markets in these countries. ...
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Nowadays, the effect of foreign direct investment on economic growth, theatrically & empirically, has been proved. Developed countries have experiences, using FDI for reaching stability on economic growth and of course in this channel should not ignore the role of financial markets in these countries. In this paper, first the effect of FDI on economic growth has been investigated and then for the purpose of determining the stability of this effect, controlling variables have been used. The result shows that when controlling variables used, FDI have no effect on economic growth. According to this, several variables have been introduced to determining the role of financial markets. Through combining these variables and entering them in the growth model it is obvious that the effect of FDI on economic growth is significant. Therefore, it is concluding that, in Iran with better –developed financial markets, the effect of FDI on economic growth will be improved.
Manoochehr Asgari; Hamid Tofighi
Volume 9, Issue 33 , July 2009, , Pages 223-246
Abstract
The purpose of this survey is to determine of equilibrium real exchange rate, misalignment and impact of misalignment of real exchange rate on economic growth. According to introducing of new exchange rate literature on 80 decade and econometrics models in recent decades, the model that introduce here ...
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The purpose of this survey is to determine of equilibrium real exchange rate, misalignment and impact of misalignment of real exchange rate on economic growth. According to introducing of new exchange rate literature on 80 decade and econometrics models in recent decades, the model that introduce here is the fundamental Edwards model that adjusted for IRAN. The variables of this survey for determining of real exchange rate are: government expenditure, the ratio of capital investment to GNP, capital account, the ratio of oil and gas revenue to GNP, the excess of money supply to money demand, the difference between parallel and official market exchange rate. The period of this survey is from 1959-2004 Iranian calendars. In this regard we use Johanson test in order to estimate long-run equilibrium real exchange rate and use vector error correction model in order to achieve short time relations and loading factors. After calculating real exchange rate from long-run estimated equation, misalignment could
be calculated from the difference between real exchange rate and estimated equilibrium real exchange rate. As in most years in Iran exchange rates overvalued, when we calculate misalignment and use it for estimating economic growth model, the sign of misalignment was negative and therefore had negative impact on economic growth.
Mahdi Taghavi; Hossein Mohammadi
Volume 9, Issue 32 , April 2009, , Pages 15-42
Abstract
The role of capital and investment in the process of economic growth and development has mentioned in many economic theories. Shortage of investment in any country is an incentive for efficient use of investment to increase the economic growth.
In this paper, we compare the productivity of investment ...
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The role of capital and investment in the process of economic growth and development has mentioned in many economic theories. Shortage of investment in any country is an incentive for efficient use of investment to increase the economic growth.
In this paper, we compare the productivity of investment in four economic sectors namely, agriculture, petroleum, industry and services in Iran. For this purpose, we use incremental capital output ratio at first and compute it for these sectors. Then we use an endogenous growth model to assess the impact of investment in these four sectors on economic growth.
Our results show that productivity of investment in petroleum and agriculture is higher that industry and service.
Saeed Moshiri; Amir Behdad Salami
Volume 9, Issue 32 , April 2009, , Pages 167-203
Abstract
Simulation has been increasingly applied in social sciences and economics in the two last decades. Agent Based Simulation (ABS) provides the opportunity of creation of an artificial environment for many agents to have interaction in a computer. In this paper, concerning ABS literature and the new characteristics, ...
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Simulation has been increasingly applied in social sciences and economics in the two last decades. Agent Based Simulation (ABS) provides the opportunity of creation of an artificial environment for many agents to have interaction in a computer. In this paper, concerning ABS literature and the new characteristics, Tehran Stock Exchange has been simulated. Primary tests show that this model is capable of reproducing the existing statistical identifications in time-series of prices and returns in International and Tehran stock markets.
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 ...
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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.
Teimoour Mohammadi
Volume 9, Issue 32 , April 2009, , Pages 263-289
Abstract
In this article, the effects of not using DST (Daylight Saving Time), on electricity consumption in Tehran Electricity Region are examined and the corresponding monetary cost is evaluated. The study uses an econometric model based on Intervention ...
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In this article, the effects of not using DST (Daylight Saving Time), on electricity consumption in Tehran Electricity Region are examined and the corresponding monetary cost is evaluated. The study uses an econometric model based on Intervention Analysis. The data includes the hourly consumption of electricity during two months of the year (Farvardin and Ordibehesht 1384-1385, 21th March up to May 2006 and 21th March up to 21th May 2007).
Results indicate that the consumption increases during peak hours of the noon and night is significant, while the consumption decreases in some other hours is not significant. Both the load and its duration in the peak, have increased and energy use has experienced an increase of 227MWh. Energy use, in addition to its normal annual growth, has grown and created a huge social cost, not to mention the other social damages such as traffic fatalities, environmental costs and … .
Abbas Arabmazar; Ali Akbar Bajelan
Volume 8, Issue 30 , October 2008, , Pages 41-69
Abstract
This study estimates optimal commodity tax rates regarding efficiency and social justice. A many- person Ramsey rule and Bergson – Samuelson social welfare function are used for estimating optimal tax rates. We need to estimate price elasticities of commodities before computing optimal tax rates. ...
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This study estimates optimal commodity tax rates regarding efficiency and social justice. A many- person Ramsey rule and Bergson – Samuelson social welfare function are used for estimating optimal tax rates. We need to estimate price elasticities of commodities before computing optimal tax rates. These elasticites come from estimation of Almost Ideal Demand System based on household expenditure data, in urban area,s over the period of 1993-2005 and 10 cost deciles. The Almost Ideal Demand System has been estimated by using Panel Data approach. The contrast between efficiency and equity is examined by including a parameter called ''Rate of inequality aversion parameter'' in social welfare function. Optimal tax rates are computed from Lagrange – approach solution of nonlinear systems under alternative assumptions about rate of inequality aversion parameter and fixed Tax Revenues.
The Results show that when inequality aversion parameter equals zero, optimal tax of different commodities will be equal. Otherwise, they are different. The larger the parameter, the greater the difference. Tax rates on commodities which have large share in expenditure of lower deciles decrease while tax rates on other commodities increase. Also, with increase of the parameter, marginal cost of the social welfare decreases.
Masoud Nonejad
Volume 8, Issue 30 , October 2008, , Pages 105-124
Abstract
Comparative advantage indicates the power of a country in producing a commodity or service by lower cost in comparing to the other countries. This concept is one of the applications in international economics. Metallic and nonmetallic minerals industry is one of the important and considerable industries ...
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Comparative advantage indicates the power of a country in producing a commodity or service by lower cost in comparing to the other countries. This concept is one of the applications in international economics. Metallic and nonmetallic minerals industry is one of the important and considerable industries in our country which has high potential for export. In this study, comparative advantage of this industry was investigated in Iran using three indices include revealed comparative advantage, location quotient with respect to value added and location quotient with respect to employment. Time series data during 1963 to 1999 were used. Also, Mobarakeh Company as the most important unit in this industry, was investigated by domestic resource cost index. Results indicate that in four years of fifth period of development program from 1991 to 1994 metallic and nonmetallic minerals industry has comparative advantage. This advantage is more pertain to metallic minerals sector. In the fifth period, the average of
revealed comparative advantage index is equal to 1.37, meanwhile indices of quotient location with respect to value added an employment were in the least their amount. The result of domestic resource cost index for Mobarakeh Steel Company showed that the corporate has gained 434 Rls for each kilogram of steel. Also, the results of investigating factors affecting the revealed comparative advantages index indicated that, export with the elasticity of 0.68 has the high effect on the growth of this index.
Ali Falahati; Saeed Solaymani
Volume 8, Issue 30 , October 2008, , Pages 125-152
Abstract
With regard to globalization process which lies in front of developing countries, finding a trade commercial pattern for countries in the world trade with a suitable trade partners and those countries which don’t want to be left behind in the world trade, is a necessary and important task. In this ...
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With regard to globalization process which lies in front of developing countries, finding a trade commercial pattern for countries in the world trade with a suitable trade partners and those countries which don’t want to be left behind in the world trade, is a necessary and important task. In this study the trade pattern of intra industry and inter industry of Iran in the year 2003 has been investigated with the gravity model. The results show that Iran in the iron and iron alloys sector and non alcoholic beverages and tobacco is functioning with intra-industry and differentiated product pattern, a fact which shows the stability of intra industry pattern of Iran in the regional and global level in these sectors.
Teymoor Mohammadi; Amir Gholami
Volume 8, Issue 29 , July 2008, , Pages 49-74
Abstract
The purpose of this article is to examine the effects of exchange rate unification on macroeconomic variables (inflation, unemployment and output) by applying a Vector Autoregression model to Iran’s economy. Variables are GDP, Price level, Unemployment and exchange rate and data belongs to the ...
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The purpose of this article is to examine the effects of exchange rate unification on macroeconomic variables (inflation, unemployment and output) by applying a Vector Autoregression model to Iran’s economy. Variables are GDP, Price level, Unemployment and exchange rate and data belongs to the priod 1961-2001.
We can Summerize the results of this research as follows:
1) Official exchange rate is significantly correlated with consumer price index, so that exchange rate shocks resulting from Unification positively affects price level within three periods.
2) Official exchange rate is not significantly correlated with the real GDP.
3) Official exchange rate is not significantly correlated with the unemployment rate.
Akbar Komeyjani; Mahmood Mahmoodzadeh
Volume 8, Issue 29 , July 2008, , Pages 75-107
Abstract
Analysis of ICT impacts on the economic performance has been started since 1990s. Researches have found different results about ICT outcomes in different countries at macro level. The aim goal of this paper is to investigate the impact of ICT on Economic Growth (EG) by using Growth Accounting theory ...
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Analysis of ICT impacts on the economic performance has been started since 1990s. Researches have found different results about ICT outcomes in different countries at macro level. The aim goal of this paper is to investigate the impact of ICT on Economic Growth (EG) by using Growth Accounting theory and Vector Error Correction Method (VECM) in Iran over the period 1959-2003 at different subperiods.
Findings state that the non-ICT capital stock has the vital role (almost 50 percent) in EG. The employment share is 30-38 percent. Total Factor Productivity (TFP) accounts for 7-10 percent of EG. The production elasticity of ICT capital stock is 0.07. It contributes almost 7.0 percent of EG in the period of 1984-2003. This share doesn't consist of quality adjustment, usage, spillover, and technological effects, therefore it is the least. Also, there is a causal relationship from ICT capital stock on production in short and long run. In addition, the Scale of Return is unit in
Iran economy. Improvement of the complementary factors and ICT infrastructure and Promoting the usage of ICT can increase the contribution of ICT in Iran economy.
Azam Soleymani; Hashem Nikoomaram
Volume 8, Issue 29 , July 2008, , Pages 253-279
Abstract
The subject of this research is testing the validity of C.Zavgren in Iranian corporations and finally finding a model for estimating the probability of bankruptcy of this companies
For doing this we used years 1998 to 2005 companies. Real meaning of fail or bankruptcy is cease of operation, but unfortunately ...
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The subject of this research is testing the validity of C.Zavgren in Iranian corporations and finally finding a model for estimating the probability of bankruptcy of this companies
For doing this we used years 1998 to 2005 companies. Real meaning of fail or bankruptcy is cease of operation, but unfortunately because of governmental support the failed companies in Iran to follow their operations, we defined failed companies as per article 141 Business Act that express" the companies that the total accumulated loss (negative retained earning) is more than 50 percent of their capital share, is treated as bankrupted company", we used the same criteria for selecting bankrupted companies.
Finally we found 30 bankrupted companies. For selecting successful companies we used two methods of sampling. In first method, we selected
a miror for each failed company, in the way that for each failed company we found a successful one, in the same industry and year, we call this method of selection, sample1 hereinafter.
The second method for selecting successful companies, we selected most successful companies so that the gap and discriminate between two groups of companies. For doing so, we selected companies with higher retained earning to share capital ratios. We call this way of selection, sample2 hereinafter.
We used the Zavgren coefficients and calculated the probability of bankruptcy. This model for both method of our sampling predicted the probability of fail incorrectly. Actually the expected value of probability for both types of companies was more than .5
We tried to find a formula for prediction probability of bankruptcy using Logit analysis model.
Jamshid Pajooyan; Nemat Falihi
Volume 8, Issue 28 , April 2008, , Pages 147-171
Abstract
The determination of economic value of environment resources has become significantly important in the light of increasing pollution and environmental deterioration that is getting momentum. On this ground, the necessity of gauging the cost of pollution, preparing the so called "green national accounts", ...
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The determination of economic value of environment resources has become significantly important in the light of increasing pollution and environmental deterioration that is getting momentum. On this ground, the necessity of gauging the cost of pollution, preparing the so called "green national accounts", introducing new taxes and levies to contain and prevent further destruction of the environment, has received especial attentions. The very objective of this paper is to determine the recreation value of Anzali Wetland for which the travel cost approach based on household production function has been employed. Generally two approaches are employed in regard to wetland recreation valuation. One is based on demand for travel which takes into account the willingness of individuals to pay for travel expenses. And the second one is based on recreation production function and marginal cost of each travel, taking into account the shadow price of recreation. The present paper has utilized the second approach for the valuation of wetland recreation services introduced by Doctor Pajooyan.J (1987). This approach has benefited from Gary Beaker household production function. The result of this study indicates that distance and travel expenses have significant effects on the provision of recreation services. Under competitive condition, marginal cost of recreation is estimated to amount to Rls, 1100000 per day which is take to be the shadow price of recreation. The result also indicates that the recreation demand has a negative relation with the shadow price of recreation and the relation is positive with respect to income of the consumers and this is in line with the theoretical foundation. Moreover, traveler's willingness to pay has a positive relation with income, marital status, level of education, and travel interest, but with respect to quality of wetland, this relation is negative.
Hamid Abrishami; Mohssen Mehrara; Maryam Ajorloo
Volume 8, Issue 28 , April 2008, , Pages 173-197
Abstract
Banks have important roles in economy, such as mobilization of funds, intermediation, and utilization of fund and financial management. Even in developed economies, banks are on the center of financial and economic movements and they are the basis of monetary policies. In this research, we have investigated ...
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Banks have important roles in economy, such as mobilization of funds, intermediation, and utilization of fund and financial management. Even in developed economies, banks are on the center of financial and economic movements and they are the basis of monetary policies. In this research, we have investigated the cost-efficiency of banking systems (the case study of the Bank Mellat in the period 1991-2003). We have also estimated the cost-efficiency by using the parametric technique (econometrics) and Translog Stochastic Frontier Cost Function. The advantage of this method is that it divides inefficiency into two independent residuals including cost-inefficiency and stochastic factors. After estimating of the cost function and finding the inefficiency factor, we realize that 10 percent of variance of model's errors is attributed to inefficiency factors. On the other hand, our research show that the total cost to minimum cost ration of the Bank Mellat is 1.07. It means that during this period, the Bank Mellat had only 7 percent inefficiency and the trend of inefficiency was stable during the whole period.
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 ...
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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.
Mahdi Taghavi; Azadmehr Kahram; Parvaneh Salatin
Volume 7, Issue 27 , January 2008, , Pages 15-50
Abstract
The terms of trade is one of the important tools for the macro-economic analysis and the most principle issue in this analysis is a dual relationship between the terms of trade and the exchange rate. The changes in the relative prices are the consequent of the fluctuations in the terms of ...
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The terms of trade is one of the important tools for the macro-economic analysis and the most principle issue in this analysis is a dual relationship between the terms of trade and the exchange rate. The changes in the relative prices are the consequent of the fluctuations in the terms of trade and exchange rate.
This paper focuses on the short-run and long-run effects of the terms of trade on the exchange rate in Iran's economy during 1959-2004,by using the:ARDL(Auto-Regressive Distributed Lag Model),VECM(Vector Error Correction Model)and the impulse response function of VAR(Vector Auto-Regressive).
The results show that although there is a relationship between the terms of trade and exchange rate but the impact of the terms of trade shocks on the exchange rate fluctuation is petty and the main changes of exchange rate in Iran is the consequent of itself.GDP has a positive effec
on the terms of trade improvement and congruently the terms of trade improvement reduces inflation. The other result signifies that the terms of trade has a negative effect on the economic growth. This is the consequent of adoption of wrong economic –commercial policy.
Abolfazl Shah Abadi
Volume 7, Issue 26 , October 2007, , Pages 181-211
Abstract
The aim of this paper is to assess the role of government expenditure and government economic policies on nonoil economic rate of growth during 1959-2003.
The result indicate that nonoil economic rate of growth depends negatively and significantly on the rate of growth of the ratio of labor and ...
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The aim of this paper is to assess the role of government expenditure and government economic policies on nonoil economic rate of growth during 1959-2003.
The result indicate that nonoil economic rate of growth depends negatively and significantly on the rate of growth of the ratio of labor and depends positively and significantly to the ratio of total investment, government investment and the rate of growth of the ratio of government expenditure, while the rate of growth of the ratio of money supply, the rate of growth of the ratio of export and import to nonoil GDP have not been influential and significant. In other word results show that these policy variables have not a significant effect on nonoil economic rate of growth. While finance policy has significant impact on nonoil GDP rate of growth, monetary policy does not.
In addition, we discussed various shocks and their immediate effects on different variables through application of impulse response and variance decomposition and tried to show the effect of changes on variables and on nonoil economic rate of growth accordingly.
Parviz Davodi
Volume 7, Issue 25 , July 2007, , Pages 15-45
Abstract
In spite of the previous literature of demand for money in Iran, which is based on macroeconomic framework, this paper takes a microeconomic approach and investigates the incomes and price – using cost - elasticities of the demand for monetary assets based on a nonlinear demand system. The data ...
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In spite of the previous literature of demand for money in Iran, which is based on macroeconomic framework, this paper takes a microeconomic approach and investigates the incomes and price – using cost - elasticities of the demand for monetary assets based on a nonlinear demand system. The data covers from 1989 to 2005. The model is specified as a dynamic system to take account of institutional constraints and the dynamic nature of the assets markets. The conclusion is that user cost elasticities of the monetary assets with longer maturities is significantly greater than those of shorter periods. The interesting finding, however, coming from a sensitivity analysis implies that the interest elasticities of the demand for monetary assets are almost zero. In addition, it seems that fluctuations in the elasticities may be directly come from real sector’s fluctuations, as happened in 1995 and 1997. Due to the fact that the estimated elasticities depends poorly on the interest rates, it seems that some appropriate non-interest rate based policies such as controlling inflation organizing and structuring financial markets may significantly alter the using cost, which in turn may result change the demand for monetary assets as well.
Alireza Kazerooni; Nasrin Rostami
Volume 7, Issue 25 , July 2007, , Pages 177-196
Abstract
The main objective of this research is to investigate the impact of foreign exchange rate fluctuations on the Iran's macroeconomic variables, especially the real output and domestic price level during 1961-2002. For this purpose, the fluctuations of the exchange rate are decomposed into two parts, anticipated ...
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The main objective of this research is to investigate the impact of foreign exchange rate fluctuations on the Iran's macroeconomic variables, especially the real output and domestic price level during 1961-2002. For this purpose, the fluctuations of the exchange rate are decomposed into two parts, anticipated and unanticipated components by using Hodrick Prescott filter. The empirical methodology is based on regression model and VAR method. The main findings of this research indicate that the exchange rate fluctuations have a non-symmetric impact on the real output and the domestic price level in Iran. It means that the impact of anticipated and unanticipated shocks on the real output are different from each other; the anticipated shocks of the exchange rate has more impact on the domestic output in comparison with the unanticipated ones. In addition, the negative shocks (unanticipated change in the exchange rate) have more effects on the real output than the positive shocks. In other words, the unanticipated currency appreciation (a negative shock) has influenced the real output more than the unanticipated currency depreciation. Similarly, the impact of the foreign exchange rate shocks on the domestic price level is non-symmetric. It means that the unanticipated exchange rate shocks have more effect on the price than the anticipated ones. Moreover, the absolute effect of the positive shocks (depreciation) on the price level is more pronounced than that of the negative ones. In other words, the absolute impact of the national currency depreciation on the price is higher than that of the appreciation.
