Selecting an Appropriate Model to Study the Transmission Volatility between the Financial Markets of Selected Islamic Oil Exporting Countries
zinat
zakeri
Ph.D. Candidate in Economics, University of Allameh Tabataba'i
author
Abbas
Shakeri
Professor of Economics, University of Allameh Tabataba'i
author
Teimoor
Mohammadi
Associate Professor of Economics, University of Allameh Tabataba'i
author
text
article
2020
per
In recent years, with the expansion of the globalization process, the relationship between the financial markets of different countries, including developing countries such as OPEC oil-exporting islamic countries, has increased more than ever, resulting in modeling the volatility of returns in international stock markets in terms of science. finance has become an important issue. the importance of this issue in risk management is the pricing of financial derivatives and the coverage of the resulting risk, marketing and selection of financial portfolios. experimental results show that the modeling of transmission volatility is very important in obtaining the results of the presence or absence of transmission volatility between different financial markets. accordingly, in the present paper, two approaches of multivariate dynamic conditional correlation (DCC) and multivariate factor stochastic volatility in modeling transmission volatility between selected markets using the risk value and calculating the loss function are compared. to obtain experimental results from stock price index data in the financial markets of five selected islamic and oil countries, including Iran, Saudi Arabia, UAE, Qatar and Nigeria with daily frequency during the period 12/05/2008 to 19/02/2020 used. experimental results of Kupiec and christoffersen tests show that both approaches can be used to calculate the risk value, but due to the comparison of loss functions, the multivariate factor stochastic volatility modeling approach compared to the GARCH approach of dynamic correlation (DCC) multivariate is preferred
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
1
24
https://ecoj.tabrizu.ac.ir/article_11596_f25acb49172a171aec46aef6ad5ba769.pdf
dx.doi.org/10.22034/ecoj.2020.11596
Simulating interbank money market interest rate using search models within a Nash-Equilibrium framework
Reza
Raei
Faculty of Management - University of Tehran
author
AKBAR
KOMIJANI
Faculty of Economics- University if Tehran
author
Mortaza
Baky Haskuee
Faculty of Economics-Imam Sadeq University
author
Hamidreza
Jafari
Ph.d student in Finance
author
text
article
2020
per
The interbank market is a part of the money market in which banks and credit institutions enter into transactions to finance and consume surplus resources in the short term with the aim of balancing their liquidity situation. In a corridor framework of monetary policy, the central bank sets interbank money market (IBMM) interest rate and also implements open market operation (OMO) to direct market interest rate towards the policy rate. Hence estimation of IBMM equilibrium interest rate is the most important challenge in monetary policy making. In order to model the interbank market in Iran, this research provides a 4-periods search model, including shocks, searching for counterparty, bargaining and settlement with central bank, and it simulates Iranian banks’ behavior to derive Iran’s interbank rate from 2017 to 2019. The results show that the model-driven lending rate of large banks is higher than their borrowing rate which is consistent with rational behavior of the banks, while the actual rates are the same in both cases that implies distortion in interest rate policy making by Iran central bank.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
25
50
https://ecoj.tabrizu.ac.ir/article_11653_bcd4ab9b7bd72fa0b41d6097da9f7c9d.pdf
dx.doi.org/10.22034/ecoj.2020.11653
The effect of permanent and transitory shocks of productivity on the degree of absorption of technology spillovers
sorour
chehrazi
department of economy, economy and management faculty, shahid bahonar university, Kerman, Iran
author
sayed abdolmajid
jalaee
shahid bahonar university of kerman
author
text
article
2020
per
The economic and commercial progress of each country depends on the technical and industrial progress, and technical and industrial progress in various economic sectors is possible due to domestic research and development activities and the spillovers of international research and development and the use of their results in economic plans. R&D activities lead to the production of goods and services that can be traded and more effectively use of existing resources and absorbing advanced foreign technology. accordingly, in this study, The effect of productivity shocks on the degree of efficiency in technology spillovers were examined during the period of 1978-2014. for this purpose, the Blanchard-Quah technique have been used for the analysis of temporary and permanent productivity impacts and the structural vector autoregression (SVAR) have been used to study the effect of these two components on technological spillovers. the results of the model indicate that, while the permanent productivity shocks, the main cause of changes in technology spillovers, transitory productivity shocks, do not plays an important role in explaining the changes technology spillovers.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
51
70
https://ecoj.tabrizu.ac.ir/article_11348_a9d3d740a51d597931352b271c49a770.pdf
dx.doi.org/10.22034/ecoj.2020.11348
Impact of Innovation on Pollution Emission of Iranian Provinces in the Framework of Environmental Kuznets Curve (Spatial Econometric Approach)
maryam
darbidi
Ph.D Student of Economics, Razi University
author
sohrab
delangizan
Associate Professor of Economics, Razi University
author
Shahram
Fatahi
Associate Professor of Economics, Razi University
author
Mohammad Sharif
Karimi
Assistant Professor of Economics, Razi University
author
text
article
2020
per
Identification the affecting drivers on improving the quality of the environment is one of the most effective steps towards achieving environment friendly economic growth and development, thus moving to the third stage of the environmental Kuznets curve. In the present study, the impact of innovation as one of the most important affecting variables on emission of pollution in the Iranian provinces in the framework of Kuznets curve over the period of 2007- 2016 has been estimated with the spatial econometric approach. Two indicators of R&D costs and human capital are used as an alternative to innovation. The results indicate that R&D and human capital have a significant negative impact on air pollution emissions in the Iranian provinces. Therefore, policymakers should reduce pollution emission by planning to increase local investment in R&D activities and improving the quality of human capital. Also, the increase in R&D of adjacent provinces through spatial spillover effects reduces contaminant emission. The findings also suggest that innovation causes that the return point of Kuznets curve occurs at a lower GDP per capita level.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
71
98
https://ecoj.tabrizu.ac.ir/article_11586_e58fbe6c77c4c8d4891927af60d55411.pdf
dx.doi.org/10.22034/ecoj.2020.11586
Granger Causality Analysis of Energy Consumption and Value Added in Industrial Sub-Sectors of Iran: A Bootstrap Panel Approach
Leila
Eghbali
M.Sc. in Economic Development & Planning, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.
author
Reza
Ranjpour
Associate Professor of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.
author
Seyed Kamal
Sadeghi
Associate Professor of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.
author
text
article
2020
per
Iran, as a developing country, has extensive energy resource types and is considered as an example of economic growth model based on natural resources. The industry is considered as one of the major sectors of energy consumption in the country, and determining the relationship between energy consumption and economic growth is one of the important issues in this field. In recent years, however, energy has become an interesting topic for researchers, only a limited number of studies on energy consumption have been undertaken in the industry. Therefore, this study seeks to evaulate the relationship between energy consumption and value added in industrial sub-sectors of Iran. The main aim of this research is to identify the relationship between total energy consumption and industrial sub-sectors value added of Iran during the period 1995-2017. The panel Granger causality was used to investigate the causality between variables based on the bootstrapping approach to accurately evaluate the results. The outcomes indicate that there is no causality between total energy consumption and value added growth in industrial Sub-Sectors. Therefore, the rising in energy consumption does not cause a growth of value added and saving policy can be used without any decrease in value added growth. Value added growth cause energy consumption in two main industrial sub-sectors. Thus, any increase in value added causes a rise in total energy consumption, and it is essential to prioritize these sub-sectors in all industry-related policies.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
99
130
https://ecoj.tabrizu.ac.ir/article_11585_47f8a6dbcb4470753c334289547a7409.pdf
dx.doi.org/10.22034/ecoj.2020.11585
Investigating the relationship between social capital, health capital and economic growth in Provinces of Iran
mojtaba
ghiasi
iau-malayer
author
Ahmad
sarlak
Assistant Professor of Economics, Islamic Azad University, Arak,
author
Hadi
ghafari
Associate Professor of Economics, Payame Noor University, Arak
author
text
article
2020
per
In the last two decades, social capital is one of the new concepts that has found a significant place in economic and social studies. But there is always a lot of debate amongst thinkers about how the relationship between social capital, health and economic growth. The purpose of this study is to determine the relationship between indicators of social capital and human capital of health with economic growth of the provinces using the panel data Vector Auto regression for the period of 2005-2015. To calculate the social capital index of 11 variables, 5 variables have been used to calculate health Capital. Experimental results obtained from estimating the model and examining the interaction of research variables in the framework of analysis of variance, show that in the period under review, not only economic growth has a positive effect on social capital and health capital of the provinces but also higher levels of social capital. Health capital in the provinces of the country has improved and with the increase of health capital, it has led to the improvement and formation of social capital.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
131
156
https://ecoj.tabrizu.ac.ir/article_11560_a6e8e1782a1e8871e83197adccad01c2.pdf
dx.doi.org/10.22034/ecoj.2020.11560
Analysis Effects of Goods Market Efficiency on Economic Success with emphasis on variables affecting efficiency
(Case Study: Asian Countries with the average upward competitiveness index)
Naghmeh
honarvar
Ph.D Student in Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
naghmeh_honarvar@yahoo.com
author
homayoun
ranjbar
Associate professor, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran(corresponding author)
author
sara
ghobadi
Assistant professor, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
s_ghobadi@hotmail.com
author
text
article
2020
per
The main purpose of each country is to have high economic growth and to reach developmental levels, which is the necessity to achieve these goals, to use the best available resources in the country and to improve its efficiency and productivity. Promotion of efficiency and productivity affects the main economic, social and political phenomena of societies, such as lowering inflation, increasing welfare, increasing employment and increasing competitiveness. Therefore the purpose of this study is to analyze the long run effects of the goods market efficiency component in the global competitiveness index on the economic success for the period 2008-2019 in Asian countries with the average upward competitiveness index. For this purpose, using the Panel Vector Error Correction Model (PVECM), the effects of goods market efficiency on the economic success of these countries was investigated. In general, the results indicate that by creating a shock in the goods market efficiency, the positive shock of goods market efficiency (improving the goods market efficiency) lead to increase in the rate of economic growth and decrease in the unemployment rate and ultimately, an increase in economic success in the medium and long run. The results of variance decomposition also indicate that the most effective variable on the goods market efficiency is investment, which has the greatest impact in the long run.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
157
184
https://ecoj.tabrizu.ac.ir/article_11432_6d1a240e5592ac2b3188918cd07fc0bd.pdf
dx.doi.org/10.22034/ecoj.2020.11432
Spatial analysis of the effect of financial decentralization on poverty, study of the country's provinces
Shiva
Alizade
Lorestan univercity
author
Mohammad
Alizadeh
Associate Professor of Economics, Lorestan University
author
vahid
shaghaghi shahri
Head of the Faculty of Economics, Kharazmi University
author
mahboubeh
delfan
Assistant Professor Lorestan University
author
text
article
2020
per
Considering that from the late 60's and at the same time with the beginning of the first development plan and the beginning of the economic adjustment program, it was expected that some Iranian households would have difficulty in meeting their minimum needs (Khodadad Kashi et al., 2002). It received the attention of many studies. In recent decades, many economic researchers believe that governments will be able to reduce poverty and improve people's livelihoods through the implementation of fiscal decentralization policies. Therefore, the present study, along with other variables affecting poverty, examines the spatial effects of financial decentralization indicators on poverty for the provinces of Iran during the period 2006-2016. The results of the study indicate that financial decentralization of expenditures with coefficient (-0.1373) and financial decentralization of income with coefficient (-0.012) percent have negative and significant effects on poverty. The higher financial decentralization coefficient of expenditures compared to income indicates that Implementing a fiscal decentralization policy will be able to reduce poverty more effectively. In addition, the results of the present study confirm the positive and significant effects of spatial proximity for the provinces of the country.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
185
214
https://ecoj.tabrizu.ac.ir/article_12232_4d46db0b6d25a16d7aea43b9e46f1df9.pdf
dx.doi.org/10.22034/ecoj.2020.12232
Urbanization and Energy consumption in Iran: Application of STIRPAT Model
Hasn
Farazmand
Associate Professor of Economics, Faculty of Economic at the Shahid Chamran University
author
Ebrahim
Anvari
Assistant Professor of Economics, Faculty of Economic at the Shahid Chamran University
author
baghiatallah
mousavi
Shahid Chamran University / Faculty of Economics and Social Sciences / Ph.D student
author
text
article
2020
per
Considering the importance of urbanization and its relationship with energy sources, it is necessary to examine the relationship between these two variables for policy making. Accordingly, this paper reinvestigates the relationship between urbanization and energy consumption in case of Iran for the period of 1375-1393 by employing the STIRPAT (Stochastic Impact by Regression on Population, Affluence and Technology) model and autoregressive distribution lag (ARDL) Bound Test. Long-term results show that logarithms of urbanization and its square have a positive effect on energy consumption. The positive effect of transportation on energy consumption is shown that energy is the technology used in this industry. The increase in GDP per capita has increased energy consumption. The relationship between technology and energy consumption suggests the function of return effects. Short-term results also confirm the positive impact of urbanization. Short-term relationships between economic growth and energy consumption are positive. Technology has negative effect and transportation will positively affect energy consumption in the short term. Our empirical results indicate that the short run deviations stem in energy demand function is corrected by 15.39% in each quarter and will take 1 year and 2 months to achieve stable long run equilibrium path. Based on the Granger causality results, energy consumption is a major cause of urbanization.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
215
240
https://ecoj.tabrizu.ac.ir/article_12233_0af58f474d110fea70504234d0b00fe7.pdf
dx.doi.org/10.22034/ecoj.2020.12233
Investigating the effect of institutional quality (corruption) and lack of financial dominance (central bank independence) on optimal monetary policy using DSGE and STAR approaches
maryam
ghadimi
Islamic Azad University,Tehran South Branch,Tehran,Iran
author
mahnaz
rabiei
Assistant Professor of Economics and Faculty member of Islamic Azad University,Tehran South Branch.Tehran,Iran
author
abdolah
davani
Assistant Professor of Economics and Faculty member of Islamic Azad University,Tehran South Branch, Tehran,Iran
author
Abolfazl
Shahabadi
Professor of Economics and Faculty member of Social& Economic Department,Alzahra University,Tehran,Iran
author
text
article
2020
per
Examining monetary policy as one of the channels affecting macroeconomic variables is one of the important issues in the economy. In the present study, using the non-linear model of auto regression with gentle transfer (STAR), the effect of corruption on monetary policy with respect to different levels of independence of the Central Bank of Iran has been investigated. The results, in addition to confirming the non-linear relationship between the independence of the Central Bank of Iran and the growth of money supply, show that increasing the degree of independence of the Central Bank has reduced the growth of money supply. In the second part , optimal behavior of optimal monetary policy is determined using the Stochastic Dynamic General Equilibrium (DSGE) model. The results show that fiscal dominance reduces the coefficient of optimal policy and the greatest stabilizing power of optimal monetary policy occurs in the state of complete independence of monetary policy.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
7
v.
3
no.
2020
241
280
https://ecoj.tabrizu.ac.ir/article_12262_3de26d4e5882cbaf7de9b61788156b96.pdf
dx.doi.org/10.22034/ecoj.2020.12262