Examining the Persistence of Real Exchange Rate Misalignment in Iran
Amir Mansoor
Tehranchian
Associated Professor of Economics, Mazandaran University
author
Roozbeh
Balounejad Nouri
Assistance Professor of Economics, Khatam University
author
text
article
2016
per
Exchange rate, as a measure of a nation's currency against the currencies of other countries indicates the economic condition of the country at international level. Deviation from the equilibrium real exchange rate is due to the creation misalignment. Studies on the exchange rate and its impact on macroeconomic variables indicate that the misalignment or real exchange rate deviation from equilibrium path has a negative impact on macroeconomic variables. In this study, persistence in real exchange rate misalignment during the period 1978-2013 has been studied in Iran. For this reason First Equilibrium real exchange rate equation using Johansen cointegrationmethod was estimated. Then, using the Autoregressive Fractionally Integrated Moving Average model (ARFIMA) and Exact Maximum Likelihood (EML) method persistence of real exchange rate misalignment is determined. Persistence Test results showed that the degree of integration real exchange rate misalignment is equal to 0.42, indicating the persistence of the real exchange rate misalignment in Iran.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
2
v.
4
no.
2016
1
22
https://ecoj.tabrizu.ac.ir/article_4754_7b05857bfecf2dd7ffdf52eb2634ac42.pdf
The Effect of Government Size and Good Governance on Energy Consumption Intensity: A Case Study of OPEC Countries
Kiumars
Shahbazi
Associate Professor of Economics, Urmia University
author
Samad
Hekmati Farid
Assistant Professor of Economics, Urmia University
author
Hadi
Rezaei
MA Student of Economics, Urmia University
author
text
article
2016
per
Due to affluence of oil and its low price in OPEC countries, energy consumption in these countries is higher than world standards. So, Management of demand side of energy and offering solutions to decrease the energy consumption have been economists’ and policy makers’ concern in energy field. The government is one of the major institutions that affect energy consumption management. Hence, this paper investigates the nonlinear effect of government size and good governance on energy consumption intensity in OPEC countries during 2002-2011 using the panel smooth transition regression (PSTR) and the variables such as industrial value added and population are used as control variables. The results show that hypothesis of linear relationship between government size, good governance and energy consumption intensity is rejected and suggested model has two regimes with one threshold level. In the first regime, the government size, good governance and population have significant and negative effect and industrial value added has significant and positive effect on energy consumption intensity. In the second regime, after the threshold level, government size and industrial value added have significant and positive effect, and population and good governance have significant and negative effect on energy consumption intensity.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
2
v.
4
no.
2016
23
48
https://ecoj.tabrizu.ac.ir/article_4751_f8e6c20c5b0ff5ef5acbda1b425d83ca.pdf
Decomposing Influencing Factors of Energy Consumption Changes in the Iranian Industrial Subsectors:
The Comparison of Laspeyres and Divisia Methods
Mohsen
Pourebadollahan Covich
Associate Professor of Economics, University of Tabriz
author
Hossein
Panahi
Associate Professor of Economics, University of Tabriz
author
Shahriyar
Shahbazy Homonlo
MA of Economics, University of Tabriz
author
Khadijeh
Salehi Abar
MA of Economics, University of Tabriz
author
text
article
2016
per
Due to an impressive increase in energy consumption, awareness about energy consumption process and factors influencing it, can help the policies of energy saving and efficient use of it. The industry sector as one of the link factors among other economic sectors in the community, has a determining role in the energy consumption and its efficiency .Accordingly, in this study by using two general methods of analysis of indicator (Laspeyers and Divisia), changes in energy consumption during the period 2000-2011 in the industrial sub-sectors of Iran are analyzed into three components: activity effect, structural effect and the effect of energy intensity. Comparison of methods of index analysis indicates that the results of analysis of the factors affecting changes in energy consumption by AMDI, LMDI and GFI methods are almost the same and they analyzed it completely. While there is a considerable difference between the results of Laspeyers index and real values and it leads to the creation of the remainder. The results suggest that in all four mentioned methods, the main cause of energy consumption increasing is changes of activity effect and in contrast, the most important factor of reducing energy consumption is changes in energy intensity and changes of structural effects have a little impact on energy consumption’s increasing.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
2
v.
4
no.
2016
49
70
https://ecoj.tabrizu.ac.ir/article_4767_d451eec0e6428d5bcc1276cf8903f85d.pdf
Introducing an Early Warning System of Exchange Rate Volatility in Iranian Exchange Market: Markov Switching GARCH Method
Mohebalah
Motahari
PhD Student of Economics, Ferdowsi University of Mashhad
author
Mohammad Reza
Lotfali Pour
Professor of Economics, Ferdowsi University of Mashhad
author
Mohammad Taher
Ahmadi Shadmehri
Associate Professor of Economics, Ferdowsi University of Mashhad
author
text
article
2016
per
Forecasting exchange rate volatility is important step in exchange market policy making to avoid high volatility of exchange rate. Exchange rate volatility is important because it is an index of investment uncertainty in each economy. The aim of this paper is introducing an Early Warning System (EWS) of high volatility of exchange rate in Iranian exchange market. Therefore, by estimation a Markov switching GARCH model, exchange rate volatility has been modeled. In this paper, the daily data of market exchange rate during 25thOrdibehesht 1385 until 21thTir 1394 has been used. With estimation of this model, transition matrix of probabilities of high and low volatility regimes has been calculated. By using this matrix, probabilities of high and low volatility regimes in Iranian Exchange Market have been calculated for future horizons so, it is possible to achieve a suitable model for forecasting high volatility of exchange rate regime in Iranian Exchange rate Market. The results of this system indicate that the probability of staying in high volatility exchange rate regime, the probability of transition from high to low volatility, the probability of transition from low to high volatility and the probability of staying in low volatility exchange rate regime are 0.14, 0.03, 0.86 and 0.97 respectively.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
2
v.
4
no.
2016
71
92
https://ecoj.tabrizu.ac.ir/article_4760_fba3918759ab7e170de252545c5c5af1.pdf
Determining the Stock Optimal Portfolio using Value at Risk
Hossein
Asgharpur
Associate Professor of Economics, University of Tabriz
author
Ali
Rezazadeh
Assistant Professor of Economics, Urmia University
author
text
article
2017
per
The main objective of this study is determination of food industry companies’ stocks optimal portfolio in Tehran stock market. For this purpose, weekly stock prices of the companies has been used over the period of 2008-2012. We calculated VaR using parametric method for stocks and selected the optimal portfolio of stocks. Optimization portfolio is done to minimize portfolio VaR determined according to expected returns through non-linear programming.Results show that greater weight in the optimal portfolio belongs to stocks that have greater expected return and less VaR. A sensitivity analysis with respect to the confidence level shows that the optimal portfolio does not change when the level is changed. Confidence level increasing only increased portfolio value at risk without changing the optimal portfolio weights.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
2
v.
4
no.
2017
93
118
https://ecoj.tabrizu.ac.ir/article_4738_7826523db441a9758a38f35042481b8e.pdf
Design of Early Warning System for Predicting Exposure to Failure Time of Banks
Azam
Ahmadyan
Researcher in Monetary and Banking Research Institute of Iran
author
text
article
2017
per
The collapse and failure of a bank could have devastating consequences to the entire banking system and widespread repercussion effect on other banks and the economy as a whole. The main objective of this paper is to design an early warning system for predicting failure time of banks by type of ownership and investigating the effects of the leading indicators in predicting bankruptcy of the Iran's banks using Kaplan-Meier model and Cox hazard model in survival analysis framework. For this purpose, banks financial statement over the period of 2001-2014 were used. The study showed that the survival of Iranian banks Influenced by 13 leading variable that banking supervisors can use these indices for identifying high-risk banks. The results have shown that private banks have been less shelf life and the cost indices, credit risk and liquidity risk are the most important factors affecting the time of bank’s insolvency.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
2
v.
4
no.
2017
119
144
https://ecoj.tabrizu.ac.ir/article_4737_b04bcb2342fa2763b2cae028071b3e1b.pdf
Determinants of CO2 Emissions in Developing Countries using Bayesian Econometric Approach
Alireza
Tamizi
Assistant Professor of Economics, Payam Noor University
author
text
article
2016
per
The attention to sustainable development and the necessity of environmental protection, and also the adverse effects of environmental pollution on development and quality of life all over the world, have made the environmental protection a major concern of economic officials. For this reason, over the recent decades an extensive literature has been devoted to improve environmental quality and its determinants. Therefore, economic analysts have focused on these issues more than before. In this regard, to know the effects of air pollution determinants can contribute economic officials to reduce pollution. This study attempted to investigate the effects of some variables on CO2 (as one of the most important air pollution indicators) in developing countries during 1992-2014 using Bayesian econometrics approach and applying Bayesian Model Averaging (BMA). Finally, according to the theoretical and empirical evidence, it is found that Environmental Kuznets’ hypothesized inverted U-shaped relationship between economic growth and environmental quality is supported by data. The findings of the study also showed that energy consumption, electricity consumption, and the variables related to industrialization have positive and almost important relationship with CO2 emissions. Against, literacy rate and income inequality have negative effects on CO2 emissions.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
2
v.
4
no.
2016
145
168
https://ecoj.tabrizu.ac.ir/article_4755_7dc5ddd2e4b14ec88886e3f4a01a01d5.pdf
Coordination of Methodology and Subject in Economics: A Philosophical Approach for Islamic Economics
Ataollah
Rafiei Atani
Assistant Professor of Economics, Iran University of Science and Technology
author
text
article
2016
per
In this paper, by examining the proportion of "subject" and "method" in the conventional economics, a path for theory building in the Islamic economics from a philosophical perspective has been shown. For this purpose, by showing the position of "subject" of every science, opinion of economists on the subject of economics is investigated. In this paper we show that the "subject" of economics is “action of rational economic man”. Thus, all issues, economic theories and schools should logically be based on. Then by showing the relationship between the conventional method of theory building – means of mathematical approach and the subject of conventional economics- Nature of the subject of economics, within the framework of Islamic philosophy has been re-reading. The basic result of this paper is that Islamic approach to economics in addition to the "explanation", has a normative and prescriptive recommendations as well; this approach, comes from an Islamic perspective in the realm of "subject" of the economics.
Quarterly Journal of Applied Theories of Economics
University of Tabriz
2423-6586
2
v.
4
no.
2016
169
197
https://ecoj.tabrizu.ac.ir/article_4750_fffa6177cf531ee1f775a988582df6b6.pdf