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Volume 2, Issue 7 , January 2003, , Pages 67-94
Reza Talebloo; Mojtaba Bagheri Todeshki; Mohammad Mehdi Bagheri Todeshki
Abstract
The purpose of this article is to investigate the effect of behavioral deviations on the pricing of financial assets with the assumption that sentiment is an important and relevant risk factor in the Iranian capital market. This paper also examines the effect of sentiment, momentum, size, value, ...
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The purpose of this article is to investigate the effect of behavioral deviations on the pricing of financial assets with the assumption that sentiment is an important and relevant risk factor in the Iranian capital market. This paper also examines the effect of sentiment, momentum, size, value, and market risk premium by estimating the Multi-Factor Asset Pricing Model (APT). In order to perform empirical analysis, the quarterly returns of companies listed on the Tehran Stock Exchange in the period 2010-2019 in the form of 18 stock exchange groups including 63 listed companies are used. Using two indicators of market turnover sentiment. and sentiment effect. we estimate the sentiment index and by extending the Carhart model and considering two sentiment variables in the form of SAPM model, coefficients estimate by using Hausman-Taylor panel data method. The results of the model show that in the SAPM model, the sentiment variable is very important and significant and have a positive relationship with the average seasonal rate of return of different stock exchange groups.
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Volume 3, Issue 8 , April 2003, , Pages 71-98
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Volume 3, Issue 9 , July 2003, , Pages 71-111
jamshid pajhoyan
Volume 1, Issue 1 , July 2001, , Pages 25-34
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Volume 3, Issue 10 , January 2004, , Pages 39-66
Hamid Babaei meybodi; Mohamad Hosein Tahari Mehrjardi; Rohollah Taghizadeh Mehrjardi
Volume 12, Issue 46 , October 2012, , Pages 43-64
Abstract
Energy besides Other factors production is considered the main factor in the growth and economic development and in the performance of different sectors economic can play beneficial roles. Hence, the country authorities should try to predict anything more precise energy consumption in the proper planning ...
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Energy besides Other factors production is considered the main factor in the growth and economic development and in the performance of different sectors economic can play beneficial roles. Hence, the country authorities should try to predict anything more precise energy consumption in the proper planning and guidance consumption, to control the way they desired energy demand and supply parameters. The aim of this paper reviews Comparison of Neuro-Fuzzy, Artificial Neural Network and Multivariate Regression for Prediction energy consumption in the country. Case study is energy consumption in transportation sector of Iran. So for this review, were used the annual data energy consumption of transport as a variable output of forecast models and data from the entire country's annual population, GDP and the number of vehicle as the input variables. The end results were assessed with of different models (RSE), (ME) and (RMSE). Models evaluation results showed that Neuro-Fuzzy (ANFIS), compared to other models with the highest accuracy is in predicting energy consumption.
Mohammad Nabi Shahiki Tash; Javad Taherpoor; Elham Shivaii
Volume 14, Issue 52 , April 2014, , Pages 47-27
Abstract
Abstract The main objective of this paper is to measure technical deficiency as well as identifying its effective determinants in 23 active industries at 2-digit level ISIC codes during the period 1995-2009. The paper has applied the technical deficiency criterion based on the Collie and Batis approach ...
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Abstract The main objective of this paper is to measure technical deficiency as well as identifying its effective determinants in 23 active industries at 2-digit level ISIC codes during the period 1995-2009. The paper has applied the technical deficiency criterion based on the Collie and Batis approach using the Translog production function in the industries. The findings indicate that the Iranian manufacturing industries have experienced an increasing trend for efficiency so as we have found an increase in the technical efficiency coefficient for all the manufacturing industries in the investigated period. The highest level of technical deficiency is observed in the following industries: production of garment and production and dying of fur; publishing, printing and copying of recorded media; manufacturing of textiles; and recycling. On the other hand, the highest level of technical efficiency is found in the manufacturing of chemicals and chemical products. The results show that the average value of technical deficiency is equal to 0.47. Also it is found that the more the concentration coefficient, the greater the level of deficiency. In other words, the industries with more concentrated structure have had more deficiency. Given the model, in the industries that have a larger coefficient for skilled workforce and benefit from the economies of scale, the level of deficiency has reduced. The findings also demonstrate that the expenditures for the research and development have not had a statistically significant effect on the deficiency decrease in the industries.
Ali Jamali; Abbas Ebrahimi; Adel Afkhami
Volume 12, Issue 44 , April 2012, , Pages 47-71
Abstract
In recent years, regarding to the general policies of 44 principle of fundamental law and government policies for highlighting role of private sector in economic activities, many companies of different and new fields have entered in stock exchange market. This entering has lead to increase in number ...
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In recent years, regarding to the general policies of 44 principle of fundamental law and government policies for highlighting role of private sector in economic activities, many companies of different and new fields have entered in stock exchange market. This entering has lead to increase in number of industries in this market. These industries can have critical role in increasing non-oil exports and situation of social welfare. Decision-making, on which industries, by regarding country's situation to increase in non-oil exports may have relative advantage, is important for policy makers in Iran. Therefore, this research has been considered for performance appraisal and ranking different industries in Tehran exchange market based on historical financial and competitiveness indices. In this paper, at first step, Herfindal index and some other filters for measuring degree of monopolies of industries has been used to decrease the number of industries in order selection the best and verified ones. At the second step, we ranked the industries by use of multi criteria decision-making technique-TOSIS. Finally, the results of this ranking are described and the usefulness of this model for ranking is been counted.
Mahmoud Mashhadi Ahmad
Volume 13, Issue 48 , April 2013, , Pages 49-77
Abstract
“Institutions matter”. This is what we now see repeatedly in economic texts. But, some economists mentioned this truth more than a century ago. By asserting that mainstream economics has ignored institutions, these economists established a new paradigm, named institutional economics, which ...
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“Institutions matter”. This is what we now see repeatedly in economic texts. But, some economists mentioned this truth more than a century ago. By asserting that mainstream economics has ignored institutions, these economists established a new paradigm, named institutional economics, which was, according to their manifesto, “the only way to the right sort of theory.” The crucial point, however, was that this new paradigm was introducing a critical element as the main unit of analysis that could well destroy all aspects of conventional economics. Now, more than one hundred years after the beginning of institutional economics, the science of economics has witnessed many valuable endeavors to imbed institutions in economic analysis. Although valuable, but these efforts has made the concept of institutions more complicated. Indeed, as mentioned by J. R. Commons, from the early stages of the evolution of institutionalism, this concept was tangled. However, after the emergence of New Institutional Economics, we can see more difficulties. Therefore, it is important to pay attention to the meaning and concept of institutions and its relation with individuals. Another issue that this paper is going to shed some light on it, is the role of institutions in economic occasions. Finally, the paper will concentrate on one important and neglected question, which was the main source of Veblen’s attack on orthodoxy, that is, why did mainstream economics ignore institutions?
Mohammadreza Saadi
Volume 11, Issue 40 , April 2011, , Pages 49-69
Abstract
Abstract
The Economic integration is the most important phenomenon. Increasing of International trade is one of the most famous channels of economic integration. It is said that if this integration takes place, members may have a similar business ...
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Abstract
The Economic integration is the most important phenomenon. Increasing of International trade is one of the most famous channels of economic integration. It is said that if this integration takes place, members may have a similar business cycles. In market oriented countries, the subject of business cycles has been attracted more attentions. The uprising trend of living standards followed by high unemployement, slower growth rate and then decreasing in living standards. However, with regard to the importance of the subject, we investigate, the similarity of business cycles among Iran, Turkey and Pakistan’s economies. Using Leamer approach and gravity model framework, our results show that there is a weak similarity among these countries
Hossein Tavakolian; Asghar Shahmoradi
Volume 12, Issue 47 , January 2013, , Pages 51-70
Abstract
In the mainstream economic view, in low levels of inflation there is a positive relationship between inflation and economic growth, and this relationship changes to a negative one at high levels of inflation. This study examines the probability of occurring these two regimes, using Markov Switching Approach ...
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In the mainstream economic view, in low levels of inflation there is a positive relationship between inflation and economic growth, and this relationship changes to a negative one at high levels of inflation. This study examines the probability of occurring these two regimes, using Markov Switching Approach (MSA). The results show that there has been a positive relationship between inflation and economic growth only in 3 periods (1989-93 and two other short periods, 2002-03 and 2006), while in most of the time, inflation in Iran negatively affected the economic growth. The average duration of high inflation periods has been about 4 years, while the average duration of low inflation periods has been about 2 years.
Naserali Yadolahzadeh Tabari
Volume 11, Issue 41 , July 2011, , Pages 51-70
Abstract
Inflation targeting as an monetary policy framework, requiring some
prerequisites to warrant its prosperity. This research tends to investigate the
applicability of inflation targeting to Iranian economy. Our findings on the existence
of potential monetary policy instruments in order to control the ...
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Inflation targeting as an monetary policy framework, requiring some
prerequisites to warrant its prosperity. This research tends to investigate the
applicability of inflation targeting to Iranian economy. Our findings on the existence
of potential monetary policy instruments in order to control the inflation indicate that
exchange rate can be used in short term, but the over-emphasis and over
dependency on it, is not suggested in inflation targeting.
Deposit rates are officially determined not based on economic conditions, and
had negligible effect on economic variables, so using the deposit's rates as an
instrument to control the inflation is impossible. The effects of money supply on the
price level in the short- term is low, in the mid-term is moderate, and its maximum
effect revealing in the long- term; thus the money supply cannot be used as a very
effective instrument of monetary policy, for the proper time horizon in inflation
targeting framework is approximately two years.
Farzaneh Samadian; Farshad Momeni; hossien amiri
Abstract
This paper examines the impact of oil revenues and institutions on the capacity of job creation in member-countries of Organization of the Petroleum Exporting Countries (OPEC). The main research question is that how can be injecting unplanned oil revenues into the economy of OPEC members and through ...
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This paper examines the impact of oil revenues and institutions on the capacity of job creation in member-countries of Organization of the Petroleum Exporting Countries (OPEC). The main research question is that how can be injecting unplanned oil revenues into the economy of OPEC members and through what channels and mechanisms lead to inflict the productive capacities of these countries and limit job creation in these economies. In this regard, the hypothesis of research highlights the negative impact of oil revenues in an inefficient institutional framework on job creation capacity of oil exporting country’s economy. Accordingly, due to the severe Interweaving conditions of economy and policy in petroleum exporting countries, the theoretical model used in this study is based on the doctrine of institutional economics and to estimate the model and to test the hypothesis, we use data for 12 OPEC member countries over the period 2002-2014 in a panel-data econometric model.The results indicate that abundance of oil revenues in OPEC countries with inefficient infrastructure and institutions leads to decline in employment capacity. Statistical evidence also confirms the de-capacitation of employment in the economies of OPEC member countries through channels such as undermining the quality of institutions and over-reliance on imports in these countries.Based on these evidence, we come to the point that inconsiderate infusion of oil revenues in OPEC member countries in an inefficient institutional framework, limits the capacity of employment and in this way, their opportunities to achieve economic growth have become a threat to their development and growth.
Hamid Amadeh; Nader Mehregan; Mahmood Haghani; Meisam Hadad
Volume 13, Issue 51 , January 2014, , Pages 53-80
Abstract
The correct estimation of gas oil demand function in agriculture industry and calculation of price and income elasticities is important to adopt the price and income policies. Therefore, in the present study the price and income elasticity of gas oil demand were estimated applying non-observable ...
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The correct estimation of gas oil demand function in agriculture industry and calculation of price and income elasticities is important to adopt the price and income policies. Therefore, in the present study the price and income elasticity of gas oil demand were estimated applying non-observable component to the process and creation of a state-space pattern and using maximum likelihood method and the Kalman Filter algorithm. In order to compare the obtained coefficients, ARDL, ECM and FMOLS methods were used. In addition, the data used in this research are collected for the period between 1974 and 2010. The results indicate that the estimated process is random and nonlinear, and its modality is Local Level Model. According to the estimated demand function, the estimated price elasticity of gas oil demand in the short and long term are -0.09 and -0.13, respectively. Also, in the short and long term, the income elasticity is 0.4 and 0.57, respectively. In addition, the coefficient of tractor number in each acre of the area under cultivation, which shows the sensitivity of gas oil demand to equipment and agricultural machines changes, is obtained to be 0.34.
Ali Divandari; Mohammad Haghighi; Ehsan Abedi
Volume 11, Issue 43 , January 2012, , Pages 53-74
Abstract
Due to the increasing importance of Internet Banking and the critical
actions taken by banks in order to offer Internet Banking services in
Iran and also according to the increasing number of people using
Internet Banking services, it is essential for bank marketers to
understand Internet Banking ...
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Due to the increasing importance of Internet Banking and the critical
actions taken by banks in order to offer Internet Banking services in
Iran and also according to the increasing number of people using
Internet Banking services, it is essential for bank marketers to
understand Internet Banking customers better. Only through this
comprehension the marketers are able to develop strategies and tactics
to attract and sustain their customers. In this study we have
investigated the influential factors in purchasing decisions of Internet
Banking customers. Electronic questionnaires were applied for data
gathering through a case study of Mellat Bank internet banking
customers. The results of the research show that banks can achieve a
more distinctive status in service offering through designing systems
to offer secure and certain services with minimum errors; offering
various internet based services; providing timely information related
to these sort of services; educating customers on how to use them and
trying to create a positive image on customer’s minds by appropriate
advertising packages.
mohammad feghikashani; Parvin Yahyavi
Abstract
This paper takes a novel perspective in analyzing theoretically how the sovereign wealth funds (SWFs) would impact on the sovereign risk, and thereby, the financial sector and, due to some frictions, the real sector of its owner economy. This happens as we suggest SWFs could help in mitigating the extant ...
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This paper takes a novel perspective in analyzing theoretically how the sovereign wealth funds (SWFs) would impact on the sovereign risk, and thereby, the financial sector and, due to some frictions, the real sector of its owner economy. This happens as we suggest SWFs could help in mitigating the extant financial markets incompleteness. In a standard dynamic (continuous time) stochastic partial equilibrium model, it is shown how the SWFs would, under certain conditions, mitigate its owner sovereign risk, in which case it leads to the possibility of impacting on external financing costs of financial intermediaries and corporate sector. In particular, we explore how the sensitivity of default and/or financial distress and/or debt restructuring against (domestic and/or foreign) adverse shocks to the economy would be less, when there is a SWF in the economy in comparison with when the economy lacks it. This is investigated for two sources of financing the SWF. Further, we argue how the costs and benefits of establishing the SWF would be affected by the (relative) size of SWF, its type, and the state of the financial (surplus) capacity in time of setting up the SWF. The externality associated with the establishment of the SWF for the sovereign risk and formation of the new channel for the transmission of monetary and fiscal policies have been examined too. Mutual interactions between the SWF and the monetary and fiscal policy within the analytical framework have been analyzed as well.
Sahar Rahimi Rad; Hassan Heydari; Reza Najarzadeh
Abstract
Research and development expenditure is a key indicator of resources allocated to science and technological activities, so knowledge about its features and factors underlying firm decision about R&D expenditures have great importance. According to international comparisons, R&D intensity in Iranian ...
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Research and development expenditure is a key indicator of resources allocated to science and technological activities, so knowledge about its features and factors underlying firm decision about R&D expenditures have great importance. According to international comparisons, R&D intensity in Iranian manufacturing firms is low compared to developing countries and emerging-market economies. Therefore, the aim of the paper is to analyze factors determining R&D intensity in Iranian manufacturing firms. Using data covering 1995-2014 based on two-digit ISIC data of Iranian manufacturing firms, we have developed a panel-data model to analyze R&D intensity. Our results show that high-tech companies with higher ratio of human resources with tertiary education are more open to foreign trade, have greater size and also have higher ratio of investment to value-added. The results show that profitability of high-tech companies and their value-added growth have no significant effect on their decision to make R&D activities. In mid- and low-technology companies, none of explanatory variables has significant effect on R&D intensity. This shows that these industries in Iran are not developed enough to be sensitive about R&D in their strategies. Based on these results and considering very different variables that affect decisions of companies about R&D, it is necessary to implement different policies for industries with different level of technology.
Adel Berjesyan; Saeed Abedin Dour Koush
Volume 12, Issue 45 , July 2012, , Pages 55-74
Abstract
In this research, we try to specify the establishment location of private banks’ branches at the whole 22 areas of Tehran. We rank areas by using effective financial variables on bank services demand. For reaching this goal, we used Logit regression and numerical Taxonomi in a linear manner, and ...
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In this research, we try to specify the establishment location of private banks’ branches at the whole 22 areas of Tehran. We rank areas by using effective financial variables on bank services demand. For reaching this goal, we used Logit regression and numerical Taxonomi in a linear manner, and then by evaluating these two methods, we selected the best areas to establishing branches.
Reza Taleblou; Teymour Mohammadi; Hadi Pirdayeh
Abstract
Researches in housing sector show that the effect of various economic factors on housing prices might be different in separate areas of a country and housing prices in different regions of the country have internal connections with each other. Modelling of these effects is done in the form of spatial ...
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Researches in housing sector show that the effect of various economic factors on housing prices might be different in separate areas of a country and housing prices in different regions of the country have internal connections with each other. Modelling of these effects is done in the form of spatial Econometrics. In this study, data related to 28 provinces of Iran during the period 2000 -2013 is used to estimate and compare the dynamic spatial SDM panel models with spatial SDM panel models and also to estimate the direct and indirect effects (space overflows) related to the explanatory variables in both the short and long term by using population spatial weight matrix in Matlab software. In order to choose the best spatial pattern consistent with the theoretical model of housing price determination, we have used Elhorst methodology and at every step, Likelihood ratio test (LR) and Lagrange multipliers tests (LM) are used to compare the spatial patterns. We found out that dynamic spatial model shows the best specification. By comparing the results of the dynamic spatial panel models, lagged housing price variable and spatial effects of this variable have a significant role in determining house prices. The results also show that only the spatial effects of household spending variable have a significant effect on housing prices and other variables such as land price, construction costs, rental housing prices, have significant effect on housing prices in the provinces of Iran both directly and in the form of space overflow effects.
azam ahmadyan; mehran kyanvand
Volume 15, Issue 59 , January 2016, , Pages 57-94
Abstract
Bank liquidity increases the ability of banks in case of suddenly decreasing deposits and for the purpose of credit financing. The central bank as a policy-maker institution can play an important role in preventing a liquidity crisis, when the banks' liquidity risks have increased. One of the most important ...
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Bank liquidity increases the ability of banks in case of suddenly decreasing deposits and for the purpose of credit financing. The central bank as a policy-maker institution can play an important role in preventing a liquidity crisis, when the banks' liquidity risks have increased. One of the most important tools for central bank is liquidity injection in the banking system in a liquidity crisis. Since effectiveness of liquidity injection in reducing the probability of liquidity risk depends on the health status of the banks, in this paper we study the effect of liquidity injection on reducing liquidity crisis with a consideration for soundness of banking activities, using a a panel-logit model and balance sheet and income statement data for the period of 2006-2013. Results show that liquidity injection reduces liquidity risk and if one bank is more stable than other banks, it will have lower liquidity risk than others.
Abbas Shakeri; Amin Maleki
Volume 9, Issue 35 , January 2010, , Pages 57-88
Abstract
This study reviews a century of structural transformation in distribution views from functional income distribution (between suppliers of inputs) to personal income distribution (between individuals and households). In this transformation some factors have facilitated the process and some factor have ...
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This study reviews a century of structural transformation in distribution views from functional income distribution (between suppliers of inputs) to personal income distribution (between individuals and households). In this transformation some factors have facilitated the process and some factor have preventive role. Welfare governments needs, defects of functional distribution theory, improvement of hardware and software instruments in income and expenditure analysis, growth and inequality theory of Kuznets, individual choice theory of Friedman, human capital theory of Becker and justly distribution of Rawls are positive factors in this evolution and position of functional income distribution in neoclassical notion and Cambridge school and some ambiguity in how a fair distribution play a negative role in this circulation. Transformation of distributional theories in the ground of macroeconomic and microeconomic theories, is a important section of economic science improvement in the past century.
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Volume 1, Issue 2 , October 2001, , Pages 57-74
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Volume 4, Issue 12 , April 2004, , Pages 57-92
Mansour Khalili Araghi; Hossein Abbasinejad; Yazdan Goudarzi Farahani
Abstract
The purpose of this paper is to study the welfare cost of inflation in Iranian economy by using dynamic models. An increase in inflation rate makes individuals to increase their desired level of real balance which in turn leads to an increase in the transaction cost and a decrease in the resources allocated ...
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The purpose of this paper is to study the welfare cost of inflation in Iranian economy by using dynamic models. An increase in inflation rate makes individuals to increase their desired level of real balance which in turn leads to an increase in the transaction cost and a decrease in the resources allocated to production of consumption goods. This issue can be analysed as the welfare cost of inflation. To reach that end, we first estimate the money demand function. The estimation is based on cointegration and dynamic least square model (DOLS). The estimation of money demand function is done with the aim of extracting parameters of income and productivity elasticity, parameter of money demand sensitivity to inflation. This estimation has been carried out by applying both static and dynamic models. In the static model, for an inflation rate of 10 percent, the welfare cost of inflation as a portion of income is 36.5 and for a dynamic model, it is 35.4. The results indicate that the central bank policies which have led to a reduction in the rate of inflation have had sufficiently reduced the welfare costs of inflation and this inflation rate is close to its Friedman-Rule value.
