Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation
Ghlamreza
Keshavarz-Haddad
Associate Professor, Department of Economics, Faculty of Management and Economics, Sharif University of Technology,Tehran, Iran
author
Mohammad Amin
Zabol
Ph.D. Student in Economics, Semnan University,Semnan, Iran,
author
text
article
2020
per
In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, PGARCH, FIGARCH and FIEGARCH Models. The two-stage Back-Testing method is used to evaluate the adequacy and accuracy of the calculation methods. Furthermore, we rank the accuracy of the estimation methods by a loss function. Our findings show that the most accurate method, In terms of the value of the loss function and among the applied econometrics methods, is VaR by t-student distribution for gold return and PGARCH for the long position and acceptable performance for the short position.
Economics Research
Allameh Tabataba'i University
1735-210X
20
v.
77
no.
2020
1
28
https://joer.atu.ac.ir/article_12076_386c25b97560bfc97c9de66c2ea5a8fa.pdf
dx.doi.org/10.22054/joer.2020.12076
Analyzing the Impact of Fundamental Factors and Institutional Variables on Exports of Emerging Countries (2000- 2015): Lessons for Iranian Economy
Ali
Sarkhosh-Sara
Ph.D Candidate in Economics, Department of Economics, University of Isfahan, Isfahan , Iran
author
Khadijeh
Nasrollahi
Associate Professor, Department of Economics, University of Isfahan, Isfahan, Iran
author
Karim
Azarbayjani
Professor, Department of Economics, University of Isfahan, Isfahan, Iran
author
text
article
2020
per
One of the most important factors in achieving sustainable economic growth and development is to increase exports, which is also the main goal of foreign trade policy. In this area, emerging countries have been able to achieve significant success in recent years. Therefore, studying the experiences of these countries can be effective in increasing Iranian exports. The purpose of this study is to investigate the effect of fundamental factors and institutional variables on exports of a selection of emerging economies during the period 2000-2015 using the panel data econometric method. Our results show that the effects of fundamental factors, namely total factor productivity, human capital and R&D expenditures, on export performance of select emerging countries are positive and significant and the effect of labor cost variable is negative and significant. Also, our results show that, in general, the effect of good governance variables, as an indicator of institutional factors, on exports of emerging countries is positive and significant. These results indicate that reducing production- and risk-costs and strengthening institutional foundations in emerging countries has led to a boost in investment and production arrangements in these countries and ultimately to an increase in exports. Also, our results show that the effect of consumption expenditures on export performance of select emerging countries is negative and significant and the effect of government tax revenues on export performance is a reversed U shape. These results show that based on The experiences of emerging countries, different countries have to pay attention to fundamental factors and institutional variables, in addition to conventional methods such as increasing exchange rates, export awards, etc., and implement reforms that are curb inefficiencies in goods and labor markets.
Economics Research
Allameh Tabataba'i University
1735-210X
20
v.
77
no.
2020
29
65
https://joer.atu.ac.ir/article_12077_0164d0400e83afe24baec8bef360f5e8.pdf
dx.doi.org/10.22054/joer.2020.12077
Bubble Migration between the Foreign Exchange Market and the Housing Market
Madjid
Hatefi Madjumerd
Postdoctoral Researcher, Faculty of Economics, University of Tehran, Tehran, Iran.
author
Mohsen
Mehrara
Professor, Faculty of Economics, University of Tehran, Tehran, Iran.
author
text
article
2020
per
The main objective of the study is to investigate the bubble migration between foreign exchange and housing markets in Iran using seasonal data of 1966-1396. In this regard, bubble dating is discovered by using of Phillips et al (2015) method; then, bubble migration from the foreign exchange market to the housing market and from the housing market to the foreign exchange market is examined, using the Gomez-Gonzales et al. (2016) method. The results show that there are 7 bubble periods in the foreign exchange market; and 7 bubble periods in the Housing market. four hypotheses were defined for examine the bubble migration, according to the bubble dates (from the foreign exchange to housing market and vice versa). The results of the hypothesis testes showed that the first house bubble (2007Q2-2008Q3) led to the creation of the first bubble of the foreign exchange market (2007Q4-2008Q3). It seems that in the currency restriction conditions, the probability of creating a foreign exchange bubble and its migration to the housing market is rather high and vice versa.
Economics Research
Allameh Tabataba'i University
1735-210X
20
v.
77
no.
2020
67
102
https://joer.atu.ac.ir/article_12078_1df9d66c59ca6e7019149474e137eba9.pdf
dx.doi.org/10.22054/joer.2020.12078
The Effect of Macroeconomic Instability on the Number of Active Firms in Iran
Vahid
Dehbashi
Faculty Member, Department of Agricultural Economics, Zabol University, Zabol, Iran.
author
Hadi
Esmaeilpour Moghadam
Ph.D Student in Economics, Faculty of Economic, Allameh Tabataba’i University, Tehran, Iran .
author
Zahra
Arbabi
Faculty Member, Department of Business Management, Islamic Azad University Zahedan Branch, Zahedan, Iran.
author
text
article
2020
per
In decades, improving The business environment is considered a solution for the economic problems of societies on a macro level. The business environment includes factors outside the control of economic actors that can affect their business performance. In recent decades, this concept has been considered by countries and international institutions, so that a part of a country's macro policies and objectives is assigned to improving the business environment. Hence, this study analyzes the effect of macroeconomic instability on a number of active firms in the Iranian business environment. Our results show that the quality of the economic, physical and human environment affected the the number of active firms in the framework of cointegration and VAR models. In other words, increasing macroeconomic instability as an index of -negative- the quality of economic environment reduces the number of active firms in the long run. Human development and physical capital have positive and significant effects on increasing the number of active firms. In this context, it is necessary to adopt proper plans and programs for removal of barriers, especially economic instability, and to implement these programs by the government.
Economics Research
Allameh Tabataba'i University
1735-210X
20
v.
77
no.
2020
103
128
https://joer.atu.ac.ir/article_12079_99c8e889adf3247707a884e4c91b5398.pdf
dx.doi.org/10.22054/joer.2020.12079
The Effects of Financial Development on Relative Poverty in Iran: Evidence from the Smoothing Transmission Regression Model (STR)
Seyed Masih
Molana
Ph.D. in Economics, Faculty of Management, Islamic Azad University, Arak Branch, Arak, Iran, Iran
author
Abbass
Najafizadeh
Assistant Professor, Department of Economics, Faculty of Management, Islamic Azad University, Arak Branch, Arak, Iran
author
Ahmad
Sarlak
Assistant Professor, Department of Economics, Faculty of Management, Islamic Azad University, Arak Branch, Arak, Iran
author
Gholam Ali
Haji
Assistant Professor, Department of Economics, Faculty of Management, Islamic Azad University, Arak Branch, Arak, Iran
author
text
article
2020
per
The purpose of this paper is to examine the effects of financial development on poverty in Iran. In this study, we used the indicators of the stock market and the money market to examine the effect of financial development on poverty. In order to test the relationship between variables, a smoothing transmission regression model was used for the period 1989-2016 The results of the model estimation, while confirming the nonlinear impact of financial development on poverty, indicate that Financial development indicators affect the poverty of Iran in the form of a dual regime. So that in the domains of economic growth less and more than 2. 9 percent the impact of financial development indicators on poverty is different and significant. The results indicate that the financial development variable in the banking sector has a negative and significant effect on poverty. In other words, an improvement in the financial development situation in the banking sector has led to a reduction in poverty in the community, But financial development in the capital market has had fewer effects on poverty reduction than financial development in the monetary sector.
Economics Research
Allameh Tabataba'i University
1735-210X
20
v.
77
no.
2020
129
162
https://joer.atu.ac.ir/article_12080_4f3106cb869845574be11fe9857bf80e.pdf
dx.doi.org/10.22054/joer.2020.12080
An Analysis of the Relation between Semiotics and Development within the Framework of Institutionalism
Farshad
Momeni
Professor, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
author
Hamid
Padash
Assistant Professor, University of Tehran, Tehran, Iran
author
Amir
Khadem Alizadeh
Assistant Professor, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
author
Ramineh
Soleimanzadeh
PhD Student, Allameh Tabataba'i University, Tehran, Iran
author
text
article
2020
per
Semiotics is the process of studying signs. The study of the relationship between semiotics and other sciences is a relatively new topic in the scientific world. Discovering this relationship can be the goal of various research, including this one. This study, by adopting a semiotic approach, examines development within the framework of institutionalism. This research shows that there is a link between semiotics and the institutional approach of development in several ways. First, the market is a contractual phenomenon and is influenced by the preferences and values of individuals. Second, the state is an institution that can be analyzed using semiotic analysis. Third, consumption and value of goods depend on how they use signs. Fourth, production is a semiotic behavior. Fifth, the rational behavior of actors has a logical and semiotic meaning. Finally, the system of values and norms that shape the behavior of individuals is a subject of cultural semiotics.
Economics Research
Allameh Tabataba'i University
1735-210X
20
v.
77
no.
2020
136
189
https://joer.atu.ac.ir/article_12081_b9e8719f24f98a5f55ab64709f67301b.pdf
dx.doi.org/10.22054/joer.2020.12081