. .
Volume 6, Issue 21 , July 2006, , Pages 15-55
Hossein Abbasinejad; Yazdan Gudarzi Farahani
Volume 14, Issue 52 , April 2014, , Pages 26-1
Abstract
Abstract The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the characteristics of CPI’s long–run ...
Read More
Abstract The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the characteristics of CPI’s long–run memory and regress its ARFIMA model. In addition, the amount of error terms in ARFIMA model are examined by FIGARCH model in order to determine what model the heteroscedasticity in inflation is following. The results indicate that monthly time series of inflation may have non-integer root. In other words, the degree of integration for inflation can be a non-integer number rather than an integer. To determine this, an Augmented Dikey-Fuller test, Philips–Prone test and KPSS are used and the results show that the degree of integration for inflation series should lie between zero and one. Thus, the hypothesis of inflation series with memory is proposed. By estimating the parameter of long run memory in the model it becomes evident that the inflation series has the degree of integration of 0.46 and one time differentiating leads to over-differentiation. Hence, inflation series has a long run memory in Iran and the effects of each shock on this variable exists for long periods.
Sahar Pournaghi Keikeleh; Kowsar Yousefi; Mohsen Mehrara
Abstract
The Health Reform Plan was initiated in 2014 aiming to increase health utilization and to reduce the out-of-pocket payment. The plan was criticized for its inflationary effects and also its health induced demand. This study examines the induced demand hypothesis using the health datasets of the ...
Read More
The Health Reform Plan was initiated in 2014 aiming to increase health utilization and to reduce the out-of-pocket payment. The plan was criticized for its inflationary effects and also its health induced demand. This study examines the induced demand hypothesis using the health datasets of the year 2008 (before the reform) and the year 2015 (after the reform). The data is collected every four years by the National Institute of Health Research. As the control group, we consider individuals who have accessed to medical knowledge among their family members and are less exposed to the asymmetric information; thus they can be considered as the control group for whom there is no induced demand. Individuals without medical knowledge are more likely to be exposed to induced demand by physicians, and are considered as the treatment group. We use Difference-in-Difference methodology. The robustness of results are tested using variety of subgroups and controlling for many observation. Results indicate that individuals without medical knowledge has an average of 10% more referrals compared to those who have medical knowledge. Also, their per capita cost has been increased by 54%, which is equivalent to extra 10650 tomans after the reform. Our results confirm that the reform has significantly induced demand.
. .; . .
Volume 3, Issue 10 , January 2004, , Pages 13-38
Farshad Mo’meni; Farzaneh Samadian
Volume 13, Issue 50 , October 2013, , Pages 17-62
Abstract
This paper reviews the effects of institutions quality on the mechanisms that influence the turning of the blessing of oil resource revenues into a curse for Iranian economy and during 1973-2011. The main research question is that in a situation characterized by inefficient and malfunctioning institutions, ...
Read More
This paper reviews the effects of institutions quality on the mechanisms that influence the turning of the blessing of oil resource revenues into a curse for Iranian economy and during 1973-2011. The main research question is that in a situation characterized by inefficient and malfunctioning institutions, the injection of oil revenue into the economy, how and through which channels, will cause resource curse to happen. This paper also shows that natural resources, like oil, don't lead to disasters per se; but this is the institutional-structural framework in a country and its interaction with the rents of oil revenues that can lead to the curse of natural resources. This study is a descriptive analysis and the analysis has been carried out by using Institutionalism Approach. According to the findings of this research, the negative effects of oil revenues in Iranian economy caused by inefficient and malfunctioning infrastructures and institutions, lead to short-run and long-run decrease in economic growth and resource curse finally. In Iran, oil revenue shows its immediate effect through fiscal policy and the government's budget (oil price effect on government expenditure) and then through budget deficit, it is related to the monetary sector of the economy (great impact of oil price on liquidity).So volatility of oil revenues and the rigidity of the government budget compared with the oil revenues is one of the main channels which the resource curse have been developed in Iran and caused to liquidity growth and inflation. It has important consequences such as increasing imports, decreasing non-oil export and increasing share of value added of services sector in GDP; the increase in the share of value added of services sector in GDP is such that the service sector (mainly brokerage and intermediary services) exceeds more than 50% of Iran's GDP.
ali akbar arabmazar
Volume 1, Issue 1 , July 2001, , Pages 17-24
Golrooz Ramezanzadeh Velis; Farshad Momeni
Volume 13, Issue 51 , January 2014, , Pages 19-51
Abstract
The phenomenon of “resource curse” or “paradox of plenty” is inconsistent with the general belief that natural resources always result in economic growth. The present study is focused on this question “why despite the fact that oil exporting developing countries benefit ...
Read More
The phenomenon of “resource curse” or “paradox of plenty” is inconsistent with the general belief that natural resources always result in economic growth. The present study is focused on this question “why despite the fact that oil exporting developing countries benefit from the most major transfer of wealth without war, such countries suffer from economical failure”. To address the mentioned question, we have relied on a descriptive – analytic approach and employed the framework of institutionalism theory to study “shortsightedness” among decision makers and policymakers of such societies and finding consequences and damages of this trend and effective solutions for these problems. In order to study that how this phenomenon has been created and continues to persist, we have used “historical explanation” and “political economy”. In summary, according to causes specified by mentioned explanatory methods, the main factor was found in weakness of institutional structure. Considering Iran as the case study, this country experienced two shocks of income from petroleum industries in 1971 and 2011. By following the historical origins and considering the political economy of Iran, one can see that the finding of the present article is also true for Iran. In this regard and alongside with other amending solutions, adjustment of budgeting and taxation systems are proposed by the present study as solutions for achieving effective and productive utilization of incomes produced by petroleum industries for the purpose of long term development.
Zahra Afshari; Moorashin Javan; Shamsollah Shirinbakhsh
Volume 12, Issue 47 , January 2013, , Pages 21-50
Abstract
Although there are numerous studies in the literature that look at the theoretical effects of automatic stabilizers and their efficiency, few of them present empirical evidence. This paper conducts an empirical study on the effects of fiscal policy as an automatic stabilizer. In the first part of this ...
Read More
Although there are numerous studies in the literature that look at the theoretical effects of automatic stabilizers and their efficiency, few of them present empirical evidence. This paper conducts an empirical study on the effects of fiscal policy as an automatic stabilizer. In the first part of this paper we attempt to study the cyclicality of fiscal policy and for this purpose, the method of panel data is applied to 8 OPEC member countries for the period of 1976-2009. The results show that the fiscal policy for the selected countries is counter-cyclical. The main purpose of this paper is to study the relationship between fiscal policy (measured by government expenditures, tax revenues and transfers) and fluctuations of economy during business cycles (measured by GDP, private GDP and consumption) among 8 OPEC member countries by applying panel data approach for the period 1976-2005. The results show that there is a strong and negative correlation between tax revenues (relative to GDP) and fluctuations of output. This paper also show that government expenditures (relative to GDP) are positively correlated with the fluctuations of output. The results indicate that tax revenues, as an efficient fiscal policy tool, help to smooth the fluctuations of output. On the other hand, the results show that government expenditures increase the fluctuations of output. Furthermore, we check for the robustness of our results by introducing a list of control variables (openness, GDP, GDP per capita and GDP growth) and introducing these variables into our model does not affect our main results. So, this observation supports the idea that in countries that are exposed to business cycles with more fluctuations, it is desirable to increase tax revenues (relative to GDP) by expanding tax base to help smooth these fluctuations.
Naser Khiabani; shaghayegh shajari
Abstract
Housing price swings have always been under the spotlight for policy-makers and academics. Financial accelerator mechanism (developed by Bernanke and Gertler, 1999) can provide some explanation to these fluctuations. With focusing on the concept of financial accelerator, this paper sheds light on the ...
Read More
Housing price swings have always been under the spotlight for policy-makers and academics. Financial accelerator mechanism (developed by Bernanke and Gertler, 1999) can provide some explanation to these fluctuations. With focusing on the concept of financial accelerator, this paper sheds light on the long- and short-run correlation of housing prices and credit in Iran. We applied a Structural Vector Error Correction Model (SVECM) to housing and credit market over period 1988q2-2015q1. Our findings confirm the existence of a cointegrated relationship between credit and housing prices. In a long-run perspective, the causation goes from credit to housing prices. However, in the short-run we find an existence of contemporaneous bi-directional dependence between housing prices and credit. In general, we find the evidence of housing collateral effect in housing and credit markets in Iran. However, this role is small and limited compared to the same role in countries with developed financial and mortgage markets.
Hamid Kordbacheh; Leila Pordel Nooshabadi
Volume 11, Issue 43 , January 2012, , Pages 23-51
Abstract
The purpose of this paper is to investigate the relationship between
bank ownership and prudential behavior of banks in Iranian banking
industry. Although, the relationship between bank ownership and
performance is well studied but there are few studies focusing on the
effect of ownership upon banks ...
Read More
The purpose of this paper is to investigate the relationship between
bank ownership and prudential behavior of banks in Iranian banking
industry. Although, the relationship between bank ownership and
performance is well studied but there are few studies focusing on the
effect of ownership upon banks lending and prudential behavior (Jia
2009). This paper as the first study over Iranians banking system is to
tackle this subject using a panel of 12 banks over 2002 – 2008. To this
aim the main determinants of prudential behavior as control regressors
are considered to provide a much more accurate model to describe the
relationship between the prudential behavior and ownership structure
of banks. The findings of the study provide the strong evidence to
conclude that the lending by states–owned banks has been less prudent
than lending by private banks. Furthermore, the results of this study
show that the larger banks tend to be more prudent than the smaller
ones. Moreover, the results indicate that the less market concentration
in Iranian banking industry and the more GDP growth lead to the less
prudential behavior. The results also show that the higher percentage
of loans in arrears results in the more prudential behavior. Last but not
least, the findings of this research show that lending by state–owned
banks is becoming more prudent indicating the positive effects of the
reforms of Iranian banking system over the last decade.
fatemeh abdolshah; Saeed Moshiri
Abstract
Because of prevalence of non-performing loans in Iranian banking sector, it is important to estimate the default probability of borrowers in order to effectively manage credit risk. This paper conducts stress testing for default probabilities in banking industry of Iran. We apply the credit portfolio ...
Read More
Because of prevalence of non-performing loans in Iranian banking sector, it is important to estimate the default probability of borrowers in order to effectively manage credit risk. This paper conducts stress testing for default probabilities in banking industry of Iran. We apply the credit portfolio approach model developed by Wilson (1997) and analyze the impacts of various macroeconomic shocks on default rates of banks. In the constructed model, we first estimate the effects of macroeconomics variables on default rate. Then the dynamic relationship between selected macroeconomics variables is estimated by a VAR model. Residuals obtained in the two previous steps were used to construct the covariance matrix for system of equations. Finally, using the Monte-Carlo method, a path of default probabilities is simulated in a one-year horizon under different scenarios. We compare default rates under different stress scenarios with baseline scenario to identify the effects of different shocks. The results of simulation show that unemployment rate shock has been the most harmful factor for default probabilities, followed by exchange rates shock. A shock to GDP growth also affects default rates significantly. Inflation shock generates the least important effect on default rates, consistent with the insignificant coefficient of inflation rate in the estimated default probability equation. A simultaneous shock to all macroeconomic variables has higher impact on the default rates in lower tails than upper tails. The results also show the effects of shocks decrease with the passage of time.
Mohammadbagher Asadi; hosein sadeghi soghdel; Bahram Sahabi; alireza naseri
Abstract
By supplying energy for many activities, electricity is one of the most important drivers of industrial development. But, electricity industry is one of the largest producers of polluting gases due to combustion of fossil fuels. This has raised serious concerns about the externalities of pollutant emissions ...
Read More
By supplying energy for many activities, electricity is one of the most important drivers of industrial development. But, electricity industry is one of the largest producers of polluting gases due to combustion of fossil fuels. This has raised serious concerns about the externalities of pollutant emissions in power generation processes. This paper aims at modeling and estimating the health effects and costs of electricity generation in thermal power plants in Iran based on the Impact Pathway Approach using SimPacts software. Based on our results, the health costs of electricity generation in Iran in year 2014 are more than 110 trillion Rials, which accounts for about 1 percent of GDP in this year. Also, the research results show that combined cycle and gas turbine power plants respectively impose the lowest and highest social health costs per kilowatt-hour of electricity generation. Ultimately, by modifying the fuel mix and only using natural gas as the fuel for power plants, the health costs of electricity generation will be reduced by more than 53 percent.
Javid Bahrami; Ahmad Mohammadi; Reza Taleblu
Volume 12, Issue 44 , April 2012, , Pages 25-45
Abstract
We study the volatility of business cycle of Iranian economy base on the wavelet approach. we found some synchronic business cycles with different power and frequencies (two to four years cycles, and trend that indicates the low frequency) which is contradictory to the traditional approach that highlights ...
Read More
We study the volatility of business cycle of Iranian economy base on the wavelet approach. we found some synchronic business cycles with different power and frequencies (two to four years cycles, and trend that indicates the low frequency) which is contradictory to the traditional approach that highlights classic definition of cycle (with three to eight years cycles).On the other hand, exception to 1971-1981, oil and non-oil cycles are approximately the same which means that the non-oil sector has been affected by the oil sector volatilities and neutralization of this affection by economic policies has been failed. The other point is that oil cycle has completely different asymmetry than the non-oil cycle. We also found that the energy of trend is sharply more than other elements of wavelet which indicates that the concealed long run volatilities is major part of the energy of economic time series. This finding is compatible with other related studies.
Ahmad Mohammadi; zeinab savari; Khaled Ahmadzadeh
Abstract
This paper deals with the question of whether gold coin futures contract in Iran performs expected function of price discovery or not. We investigate this question by using three distinct approaches: linear and nonlinear causality tests between gold coin futures and spot market, volatility spillovers ...
Read More
This paper deals with the question of whether gold coin futures contract in Iran performs expected function of price discovery or not. We investigate this question by using three distinct approaches: linear and nonlinear causality tests between gold coin futures and spot market, volatility spillovers between those markets and share of each market in the process of price discovery. The data cover two periods: 1 August 2011 - 24 November 2013 and 25 November 2013 - 16 July 2015, with the former period corresponding to the unprecedented volatility of gold coin market in Iran and the latter period corresponding to stability of this market. In general, the results show that causality runs from spot prices to futures prices, volatility transmits from spot market to futures market and price discovery takes place mainly in spot market. Overall, the results of this paper reveal that futures market does not perform the expected function of price discovery. The results are consistent with the basic characteristics of futures market in Iran: it is in the early stages of its development and its size, in comparison to the spot market, is small.
Mahnoush Abdolah Milani; teymour mohammadi; solaleh tavassoli
Abstract
In the past few decades, the rapid growth of health expenditure among countries and considerable differences between per capita health expenditures in different countries, have led to extensive studies about determinants of health expenditures. The aim of this study is to identify such factors across ...
Read More
In the past few decades, the rapid growth of health expenditure among countries and considerable differences between per capita health expenditures in different countries, have led to extensive studies about determinants of health expenditures. The aim of this study is to identify such factors across different countries which can be put into distinct income groups. For this purpose, panel data regression technique for 148 countries from 1995 to 2013 with fixed effects model was used. The results show that, in contrast to previous studies which use macro data analysis, the effect of population ageing in upper-middle- and high-income countries, which face the greatest rate of population ageing, on health expenditures was shown to be positive at a significant level. Income as being not the sole factor associated with health expenditure, our results show that life expectation and the share of young population (under 14) are among important factors. Another driver of health expenditure was revealed to be the total government expenditure as a share of GDP that was insignificant only for low income countries. This observation might reflect the trade off in domestic health expenditures made by the low-income countries as a result of receiving international aids. The income elasticity for all groups was below unity and suggestive of health care to be a necessity good in all countries.
Ahmad Ahmadpoor; Amir Hosein Azimiyan Moez
Volume 12, Issue 46 , October 2012, , Pages 27-42
Abstract
Studying and quantifying the relationship between risk and return and identifying factors affecting the return have always been in the interest of researchers in the field of finance. Researches have shown that multi-factor models have higher power in explaining stock returns when compared with single ...
Read More
Studying and quantifying the relationship between risk and return and identifying factors affecting the return have always been in the interest of researchers in the field of finance. Researches have shown that multi-factor models have higher power in explaining stock returns when compared with single factor models. Fama and French (1993) presented a three-factor model including market portfolio, size and the ratio of book value to market value to describe market return. The aim of this study is to add a new variable, assets growth, to this model and make a four-factor model to have a better analysis and to make a better prediction of stock market return in Tehran Stock Exchange. To accomplish this purpose, the impact of assets growth on stock return is considered under two different models which in one of them, it is not controlled for the effects of the two variables of size and the ratio of book value to market value, and in the other one, these variables are included in our model. The data are examined over a 10-year period (2000-2010) using Eviews software, and the results show that although assets growth independently does not have any significant impact on stock return, when it is added to a three-factor model that was introduced by Fama and French , it will have a negative impact on stock market return.
Zahra Afshari; Shamsolah Shirin Bakhsh; Maryam Beheshti
Volume 12, Issue 45 , July 2012, , Pages 27-54
Abstract
An oil-producing country face fiscal challenges arising from the fact that oil revenue is exhaustible, volatile, and uncertain and largely originates from abroad. The dependence of government revenue on oil proceeds which are unpredictable significantly complicates fiscal management policy in short and ...
Read More
An oil-producing country face fiscal challenges arising from the fact that oil revenue is exhaustible, volatile, and uncertain and largely originates from abroad. The dependence of government revenue on oil proceeds which are unpredictable significantly complicates fiscal management policy in short and long run. Sustainability generally, concerns current and expected future policies. If governments do not expect current and future policies to lead to an intertemporal budget constraint, then the fiscal process would be unsustainable.
This paper has empirically examined the sustainability of fiscal policy in Iran and provides a theoretical framework for analyzing of the sustainability of fiscal policy based on the government intertemporal budget constraint. Co integration and multi co integration methodologies such as Engle-Granger and Johansen-Josilios as well as Barro’s (1979, 1986) Tax-Smoothing Model were used to evaluate fiscal budgeting processes in Iran. It was found that the fiscal budgeting process in Iran is not sustainable and the Iranian fiscal policy, as far as oil and gas income is concerned, is not a fully responsible policy. In addition the evidence in this research shows that the government spending and revenues in Iran are independent.
Fathiye Meghdadi; Mohammad Lashkari; Seyyed Alireza Davoudi
Volume 13, Issue 48 , April 2013, , Pages 29-47
Abstract
This study is the result of an applied research which aim is describing a method for priority classification of factors affecting the use of electronic services by banks’ customers. As the environment is fuzzy, the hierarchical analysis process model (Fuzzy-AHP) has been proposed for the method. ...
Read More
This study is the result of an applied research which aim is describing a method for priority classification of factors affecting the use of electronic services by banks’ customers. As the environment is fuzzy, the hierarchical analysis process model (Fuzzy-AHP) has been proposed for the method. In this research the field study describing approach has been used and a sample of customers of Saman Bank with size of 50 has been analyzed by fuzzy-AHP to prioritize the effective factors. The studied factors are responsiveness, efficiency, fulfillment, reliability, privacy, perceived usefulness, ease of use, attitude, subjective norm and perceived behavioral control. The research results show that some factors such as perceived usefulness, fulfillment, ease of use, privacy, responsiveness, reliability, efficiency, attitude, subjective norm, perceived behavioral control, with respect to importance, have significant effect on the use of electronic services by bank’s customers.
Akbar Keshavarzian peyvasti; Ali Azimi Chanzagh
Volume 8, Issue 31 , January 2009, , Pages 29-57
Abstract
The main objective of this research is to settle the fundamental challenges in financial sector, that is to say, "liberalization of Interest Rate". In effect, the main question of research is "How can the liberalization of interest rate on macro economic variables in the course of research be evaluated? ...
Read More
The main objective of this research is to settle the fundamental challenges in financial sector, that is to say, "liberalization of Interest Rate". In effect, the main question of research is "How can the liberalization of interest rate on macro economic variables in the course of research be evaluated? To this end, the literature of the issue of research will be initially reviewed such as: Maxwell, Gupta, Rubini & Martin, Warman & Tirlwall, Westhead & Storey, Then the research model in question will be elaborated and its basic theory will be briefly presented. The effect of interest rate on macro economic variables with the emphasis on the theoretical aspects interest rate can be calculated on the basis of Fisher identity, systematic model using three stage least square (3SLS). In the simultaneous equations system, money demand function, investment and growth have been estimated and with approve of Mckinon-Show theory in Iran, the positive effect of financial liberalization on investment and economic growth has been determined.
. .; . .
Volume 1, Issue 2 , October 2001, , Pages 29-42
Mohammadali Kafaie; Mahboubeh Rahzaani
Abstract
The stateof bankrupcy and losses incurred by many banks in recent global financial crisis has doubled the importance of paying attention to the liquidity of banks as an indicator of health and stability of banking systems. In addition, due to dependence of banking system's performance on economic variables ...
Read More
The stateof bankrupcy and losses incurred by many banks in recent global financial crisis has doubled the importance of paying attention to the liquidity of banks as an indicator of health and stability of banking systems. In addition, due to dependence of banking system's performance on economic variables at the macro level, with a consideration on intermediatory function of banks and role of macroeconomic instability in creating financial system instability, which influences banks' performance and activity, studying the stability and health of the banking system has become more important. Therefore the purpose of this study is to evaluate the impact of macroeconomic fluctuations on liquidity risk of bank. Using GARCH and EGARCH models, panel data, the effects of macroeconomic fluctuations on liquidity risk of banks in Iran is studied by using quarterly data of 14 largest banks of the country during 2006:2-2014:1. The results show that fluctuations in GDP, inflation, exchange rate and stock price index as most important macroeconomic variables have significant effects on liquidity risk of banks. Therefore, higher fluctuations in Iranian economy can result in shortages of liquidity in banks and changing composition of bank deposits and eventually exposing banks to higher liquidity risks.
Abbas Assari Arani; Lotfali Agheli; Saeid Shafiei; Meysam Rasoli Mir
Volume 11, Issue 40 , April 2011, , Pages 31-48
Abstract
Abstract Fair distribution of income has been considered as the most important economic issues in different countries. In recent years, the quality of income distribution and the impact of macroeconomic policies on that has been more considered, ...
Read More
Abstract Fair distribution of income has been considered as the most important economic issues in different countries. In recent years, the quality of income distribution and the impact of macroeconomic policies on that has been more considered, especially after the issue of poverty reduction projects in the world. In today's world, the biggest factor causing poverty is not the lack of income, but it is the unfair distribution. Currently, majority of economists, considered the income distribution as one of the goals of government economic programs and the impact of fiscal policy on that as very important. This paper seeking for examination of the effect of fiscal policies on income distribution in IRAN. For this purpose we use a quantile regression model. In summary, the results show that the government's fiscal policies that impact on the Gini coefficient is not constant, but between different quantiles is different. While these policies in low quantiles do not have significant effects on income distribution, but their effects on the high quantile income distribution is quite significant.
Mostafa Karimzadeh; Khadijeh Nasrollahi; Saeed Samadi; Rahim Dallai Esfahani
Volume 11, Issue 41 , July 2011, , Pages 31-50
Abstract
The main idea of this study is examination of the Impact of Terms of Trade on
Investment by Johnsen-Juselius cointegration technique for Economy of Iran in
(1971-2006). For this aim, we specify investment function according the present
value criteria and neoclassic theory. Our model includes gross ...
Read More
The main idea of this study is examination of the Impact of Terms of Trade on
Investment by Johnsen-Juselius cointegration technique for Economy of Iran in
(1971-2006). For this aim, we specify investment function according the present
value criteria and neoclassic theory. Our model includes gross domestic production,
price index, interest rate and terms of trade.
We use Johnsen-Juselius cointegration technique for estimation of this model.
The result of econometric estimation has indicated a long run relationship among
investment, gross domestic production, price index, interest rate and terms of trade.
Our result showed GDP, price index and terms of trade have direct effect and
interest rate has inverse effect on investment.
Meysam Rafei; Javid Bahrami; Davood Daneshjafari
Volume 14, Issue 54 , October 2014, , Pages 33-65
Abstract
In this paper by using a dynamic stochastic general equilibrium model we study how macroeconomic variables are affected by different shocks using fiscal reaction functions for Iran’s economy. For this purpose we compare the results of a real business cycles model in a baseline scenario, in which ...
Read More
In this paper by using a dynamic stochastic general equilibrium model we study how macroeconomic variables are affected by different shocks using fiscal reaction functions for Iran’s economy. For this purpose we compare the results of a real business cycles model in a baseline scenario, in which the government does not follow any specific reaction to the shocks and alternatives in which the government reacts counter and pro cyclically to the shocks. Results of the simulations indicate that when the government follows backward looking fiscal rules the deviation of the variables from steady state increases. In other words, in a real business cycle model for the Iranian economy, we show that the consequence of the government’s intervention in the economy is economic instability in Iran.
Mohammad Sayadi; Abbas Shakeri; Teymur Mohammadi; Javid Bahrami
Abstract
The main objective of this study is to evaluate the impact of oil revenue, productivity and money growth rate shocks on macroeconomic variables, in the context of a DSGE model with the consideration of features such as big size of government activities in the economy, inefficiency of government investment, ...
Read More
The main objective of this study is to evaluate the impact of oil revenue, productivity and money growth rate shocks on macroeconomic variables, in the context of a DSGE model with the consideration of features such as big size of government activities in the economy, inefficiency of government investment, the need to invest in development of infrastructures, and existence of “National Development Fund” (NDF) to support private sector investment. The research findings based on RBC model, show that oil revenue shock has increased the consumption, government spending (both current and capital expenditures) and has decreased inflation in short-run; although because the oil shock is transferred to demand side, this situation leads to increase of inflation in medium-term. Our results show that when the oil revenue increases, the resources of NDF and consequently the share of credit granted to private sector will be raised and this can promote private sector production. In addition, because of the structure of Iranian economy, the increase in oil revenue has little effect on growth and development of production in non-oil producing sectors. Furthermore, the research findings show that when the inefficiency of public investments decreases, the investment of oil revenues has more positive effects on private sector production as a crowding-in effect phenomenon. Likewise, each of productivity and monetary shocks in the model has the same results as the theoretical expectations.
