ORIGINAL_ARTICLE
Selecting an Appropriate Model to Study the Transmission Volatility between the Financial Markets of Selected Islamic Oil Exporting Countries
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
https://ecoj.tabrizu.ac.ir/article_11596_f25acb49172a171aec46aef6ad5ba769.pdf
2020-11-21
1
24
10.22034/ecoj.2020.11596
Transmission volatility
Factor stochastic volatility model
Multivariate GARCH modle
Islamic oil countries
zinat
zakeri
zinat7479@yahoo.com
1
Ph.D. Candidate in Economics, University of Allameh Tabataba'i
AUTHOR
Abbas
Shakeri
shakeri.abbas@gmail.com
2
Professor of Economics, University of Allameh Tabataba'i
LEAD_AUTHOR
Teimoor
Mohammadi
atmahmadi@gmail.com
3
Associate Professor of Economics, University of Allameh Tabataba'i
AUTHOR
پاکیزه، کامران (1389). تلاطم و بازده (شواهدی از بورس اوراق بهادار تهران و بورسهای بین الملل). فصلنامه تحقیقات مدلسازی اقتصادی، 1(2)، 1-20.
1
سجاد، رسول، هدایتی، شراره و هدایتی، شهره (1392). مقایسه مدل تلاطم تصادفی و مدلهای گارچ از طریق محاسبه ارزش در معرض خطر. مجله مهندسی مالی و مدیریت اوراق بهادار، 4 (15)، 79-97.
2
سجاد، رسول، هدایتی، شراره و هدایتی، شهره (1393). برآورد ارزش در معرض خطر با استفاده از نظریه ارزش فرین در بورس اوراق بهادار تهران. فصلنامه علمی پژوهشی دانش سرمایه گذاری، 3(9)، 133-155.
3
عباسی نژاد، حسین، محمدی، شاپور و ابراهیمی، سجاد (1393). مقایسه مدلهای نوسانپذیر چند متغیره در برآورد رابطه بین نرخ ارز شاخص سهام. فصلنامه علمی پژوهشی دانش سرمایهگذاری، 3(11)، 201-222.
4
مفتخر دریایینژاد، کبری (1391). تأثیر سرایت بازده و تلاطم در برآورد ارزش در معرض ریسک سبد دارایی متشکل از طلا، ارز و سهام. پایاننامه کارشناسی ارشد، دانشکده مدیریت و اقتصاد دانشگاه صنعتی شریف.
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Abbas, Q., Khan, S., & Shah, S. Z. A. (2013). Volatility transmission in regional Asian stock markets. Emerging Markets Review, 16, 66-77.
6
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7
Abbes, M. B., & Trichilli, Y. (2015). Islamic stock markets and potential diversification benefits. Borsa Istanbul Review, 15(2), 93-105.
8
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Forbes, K., & Rigobon, R. (2000). No Contagion, only interdependence. Massachusetts Institute of Technology, Sloan School of Management. Working Paper.
15
Harris, R. D., & Pisedtasalasai, A. (2006). Return and volatility spillovers between large and small stocks in the UK. Journal of Business Finance & Accounting, 33(9‐10), 1556-1571.
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Jorion, P. (1985). International portfolio diversification with estimation risk. Journal of Business, 259-278.
19
Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452-470.
20
Melino, A., & Turnbull, S. M. (1990). Pricing foreign currency options with stochastic volatility. Journal of econometrics, 45(1-2), 239-265.
21
Moftakhar Daryaie Nejad, K. (2012). Returns and Volatility Spillover Effects on the Estimated VaR of Gold and Exchange Rate Portfolio.Master Thesis, Faculty of Management and Economics, Sharif University of Technology (In Persian).
22
Neaime, S. (2012). The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets. Emerging Markets Review, 13(3), 268-282.
23
Pakizeh, K. (2011). Volatility and Returns (Empirical Evidence from Tehran and International Stock Exchanges). Journal of Economic Modeling Research, 1(2), 1-20 (In Persian).
24
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25
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26
Sajjad, R., Hedayati, S., & Hedayati, S. (2013). Comparison of stochastic volatility model and GARCH models, by calculating the risk value. Journal of Financial Engineering and Securities Management, 4(15), 79-97 (In Persian).
27
Sajjad, R., Hedayati, S., & Hedayati, S. (2013). Estimation of Value at Risk by using Extreme Value Theory in Tehran Stock Exchange. Journal of Investment Knowledge, 3(9), 133-155 (In Persian).
28
Shiller, R. J. (2001). Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421-436.
29
Taylor, J. W. (2004). Smooth transition exponential smoothing. Journal of Forecasting, 23(6), 385-404.
30
Tsay R. S. (2002). Analysis of Financial Time Series, John Wiley & Sons.
31
Zhou, X., Nakajima, J., & West, M. (2014). Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models. International Journal of Forecasting, 30(4), 963-980.
32
Vuolteenaho, T. (2002). What drives firm‐level stock returns?. The Journal of Finance, 57(1), 233-264.
33
Xu, X. E., & Fung, H. G. (2002). Information flows across markets: evidence from China–backed stocks dual–listed in Hong Kong and New York. Financial review, 37(4), 563-588.
34
ORIGINAL_ARTICLE
Simulating interbank money market interest rate using search models within a Nash-Equilibrium framework
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.
https://ecoj.tabrizu.ac.ir/article_11653_bcd4ab9b7bd72fa0b41d6097da9f7c9d.pdf
2020-11-21
25
50
10.22034/ecoj.2020.11653
Interbank Money Market
nash equilibrium
Search Models
Network Models
Interest rate Corridor
Reza
Raei
raei@ut.ac.ir
1
Faculty of Management - University of Tehran
AUTHOR
AKBAR
KOMIJANI
komijani@ut.ac.ir
2
Faculty of Economics- University if Tehran
AUTHOR
Mortaza
Baky Haskuee
m.baky@isu.ac.ir
3
Faculty of Economics-Imam Sadeq University
AUTHOR
Hamidreza
Jafari
hrjafari@ut.ac.ir
4
Ph.d student in Finance
LEAD_AUTHOR
شمسینژاد، سیدسعید و طالبی، محمد (1395). به کارگیری اسناد خزانه اسلامی در بازار بینبانکی ایران. فصلنامه تحقیقات مالی اسلامی، 6 (1)، 62 - 33.
1
موسویان، سیدعباس و الهی، مهدی (1389). امکان سنجی فقهی تشکیل بازار بینبانکی در بانکداری اسلامی. فصلنامه علمی- پژوهشی اقتصاد اسلامی، 10(38)، 118-89.
2
موسویان، سیدعباس، کاتوزیان، محمدرضا، طالبی، محمد و حاجیان، محمدرضا (1394). توافقنامه بازخرید (ریپو) در بازار بینبانکی اسلامی. فصلنامه علمی-پژوهشی اقتصاد اسلامی، 15 (60)، 111-81.
3
موسویان، سید عباس، و حسین، میثمی (1396). بانکداری اسلامی(2): بانکداری مرکزی اسلامی و سیاست گذاری پولی و ارزی. تهران، پژوهشکده پولی و بانکی.
4
Afonso, G., Kovner, A., & Schoar, A. (2012). The Importance of Trading Relationships in the Fed Funds Market. Mimeo. Federal Reserve Bank of New York.
5
Afonso, G., & Lagos, R. (2012). An Empirical Study of Trade Dynamics in the Fed Funds Market. Mimeo. Federal Reserve Bank of New York.
6
Afonso, G., & Lagos, R. (2015). Trade dynamics in the market for federal funds. Econometrica, 83 (1), 263–313.
7
Armenter, R., & Lester, B. (2017). Excess reserves and monetary policy normalization. Review of Economic Dynamics, 23, 212–235.
8
Bech, M., & Keister, T. (2012). The Liquidity Coverage Ration and Monetary Policy. Mimeo. Bank for International Settlements.
9
Bech, M., & Klee, E. (2011). The mechanics of a graceful exit: interest on reserves and segmentation in the federal funds market. Journal of Monetary Eco-nomics, 58, 415–431.
10
Berentsen, A., Marchesiani, A., & Waller, C. (2011). Floor systems for implementing monetary policy: some unpleasant fiscal arithmetic. Review of Economic.
11
Berentsen, A., & Monnet, C. (2008). Monetary policy in a channel system. Journal of Monetary Economics, 55, 1067–1080.
12
Blasques, F., Bräuning, F., & Lelyveld, I. (2018). A dynamic network model of the unsecured interbank lending market. Journal of Economic Dynamics and Control, 90, 310-342.
13
Boss, M., Elsinger, H., Summer, M., & Thurner 4, S. (2004). Network topology of the interbank market. Quantitative finance, 4(6), 677-684.
14
Craig, B., Fecht, F., & Tümer-Alkan, G. (2015). The role of interbank relationships and liquidity needs. Journal of Banking & Finance, 17 (3), 523–542.
15
Haidar, J.I. (2009). The mark-to-market valuation and executive pay package regulations within the 2009 US (Bailout) Emergency Economic Stabilization Act. Journal of Economic Policy Reform, 12(3), 189–199.
16
Hamilton, J.D. (1996). The daily market for federal funds. Journal of Political Economy, 104, 26–56.
17
Hong, F., & Shanshan, J. (2019). Systemic Risk in the Interbank Market with Overlapping Portfolios. Complexity 2019, 1-12.
18
Jonathan, C., Jens, E., & Cyril, M. (2020). Relationships in the Interbank Market. Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, 35, 170-191.
19
Li, Y., Rocheteau, G., & Weill, P. O. (2012). Liquidity and the threat of fraudulent assets. Journal of Political Economy, 120, 815–846.
20
Liu, A., Mo, C. Y., Paddrik, M. E., & Yang, S. Y. (2017). Interbank market formation through reinforcement learning and risk aversion. Stevens Institute of Technology School of Business Research Paper.
21
Mousaviyan, S. A., & Elahi, M. (2010). Jurisprudential feasibility of forming an interbank market in Islamic banking. Journal of Islamic Economics, 10 (38), 118-89 (In Persian).
22
Mousavian, S. A., Katozian, M. R., Talebi, M., & Hajian, M. R. (2015). Repurchase agreement (repo) in the Islamic interbank market. Journal of Islamic Economics, 15 (60), 111-81 (In Persian).
23
Mousavian, S. A., & Hossein, M. (2017). Islamic Banking (2): Islamic Central Banking and Monetary and Foreign Exchange Policy. Tehran, Monetary and Banking Research Institute (In Persian).
24
Poole, W. (1968). Commercial bank reserve management in a stochastic model: implications for monetary policy. Journal of Finance, 23, 769–791.
25
Shamsinejad, S. S., & Talebi, M. (2016). Using Islamic treasury bonds in the Iranian interbank market. Islamic Financial Research Quarterly, 6 (1), 62 – 33 (In Persian).
26
Xu, T., He, J., & Li, S. (2016). A dynamic network model for interbank market. Physica A: Statistical Mechanics and its Applications, 463, 131-138.
27
ORIGINAL_ARTICLE
The effect of permanent and transitory shocks of productivity on the degree of absorption of technology spillovers
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.
https://ecoj.tabrizu.ac.ir/article_11348_a9d3d740a51d597931352b271c49a770.pdf
2020-11-21
51
70
10.22034/ecoj.2020.11348
Technology Spillovers
Total factor productivity
Transitory and Permanent Shocks
Blanchard-Quah method
Research and Development
sorour
chehrazi
chehrazisoroor@gmail.com
1
department of economy, economy and management faculty, shahid bahonar university, Kerman, Iran
LEAD_AUTHOR
sayed abdolmajid
jalaee
jalaee44@gmail.com
2
shahid bahonar university of kerman
AUTHOR
1. امینی، علیرضا، ریسمانچی، هستی، و فرهادیکیا، علیرضا (1389). تحلیل نقش سرمایهگذاری مستقیم خارجی (FDI) در ارتقای بهرهوری کل عوامل (TFP)، یک تحلیل دادههای تابلویی بین کشوری. فصلنامه پژوهشهای اقتصادی ایران، 2(43)، 55-80.
1
2. بهبودی، داود، و ممیپور، سیاب (1386). تجارت بینالملل، سرریز دانش و بهرهوری کل عوامل تولید در ایران. فصلنامه اقتصاد و تجارت نوین، 2(9)، 33-55.
2
3. رهنمای قراملکی، غلامحسین، متفکرآزاد، محمدعلی، رنجپور، رضا، و صادقی، سیدکمال (1393). بررسی نقش مخارج R&D داخلی، واردات تکنولوژی و تاثیر متقابل سرمایه انسانی و واردات تکنولوژی بر ارزش افزوده در صنایع بزرگ ایران. فصلنامه پژوهشنامه بازرگانی، 3(72)، 25-59.
3
4. زمانیان، غلامرضا، فطرس، محمدحسن، و رضائی، الهام (1393). اثر سرریزهای تحقیق و توسعه بر بهره وری کل عوامل تولید صنایع کارخانه ای ایران. فصلنامه پژوهش های رشد و توسعه اقتصادی، 5(17)، 91-108.
4
5. محمدی، تیمور، و اکبریفرد، حسین (1387). اثر شوکهای بهرهوری بر رشد اقتصادی ایران. فصلنامه پژوهشهای اقتصادی ایران، 2(35)، 177-204.
5
6. مهرگان، نادر، و سلطانی صحت، لیلی (1393). مخارج تحقیق و توسعه و رشد بهره وری کل عوامل تولید بخش صنعت. سیاست های راهبردی و کلان، 2(5)، 1-24.
6
1. Aghion, P., & Howitt, B. (2007). The productivity effects of privatization: The case of Polish cooperatives. International Review of Financial Analysis, 16(4), 354–366.
7
2. Amini, A.R., Rismanchi, H., & Farhadikia, A.R. (2010). Analysis the Role of Foreign Direct Investment (FDI) in Promoting Total Factor Productivity (TFP), An Interagency Panel Data Analysis. Journal of Iranian Economic Research, 2(43), 55-80 (In Persian).
8
3. Behboudi, D., & Mamipour, S. (2007). International trade, knowledge Spillover and total factors productivity in Iran. Journal of New Economics and Business, 2(9), 33-55 (In Persian).
9
4. Blanchard, O., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79, 655-673.
10
5. Borensztein. E. D., & Lee, J.W. (1998). Does Foreign Direct Investment Affect Economic Growth?. Journal of International Economics, 45(1), 115–135.
11
6. Cincera, M. (2001). International R&D spillovers: a survey. Cahiers Economiques de Bruxelles, 169, 1-20.
12
7. Coe D.T., & Moghadam, R. (1993). Capital and trade as engines of growth in France: An application of Johansen's cointegration methodology. IMF Staff Papers, Palgrave Macmillan, 40(3), 542-566.
13
8. Di Giorgio, G., & Nistico, S. (2013). Productivity shocks, stabilization policies and the dynamics of net foreign assets. Journal of Economic Dynamics and Control, 37, 210-230.
14
9. Dulleck, U., & Foster, N. (2008). Imported Equipment, Human Capital and Economic Growth in Developing Countries. Economic Analysis and Policy, 2, 233-250.
15
10. Eden L., Lecitas E., & Martinez, R.J. )1997(. The production, transfer and spillover of technology: Comparing large and small multinationals as technology producers. Small Business Economics, 9(1), 53-66.
16
11. Findlay, R. )1978(. Relative Backwardness, Direct foreign investment and the transfer of Technology: A simple dynamic model. Quarterly of Journal of Economics, 92(1), 1-16.
17
12. Fu, X., & Gong, Y. )2009(.International and intranational technological spillovers and productivity growth in China. Asian Economic Papers, 8(2), 1-24.
18
13. Griliches, Z. (1998). R&D and Productivity: The Econometric Evidence. Cambridge: National Bureau of Economic Research, Inc.
19
14. Grossman, G.M. & Helpman, E. (1991). Innovation and Growth in the Global Economy. Cambridge, MA: The MIT Press.
20
15. Hall, J., & Scobie, G.M. (2006). The Role of R&D in Productivity Growth: The Case of Agriculture in New Zealand: 1927 to 2001. New Zealand Treasury Working Paper, WP/06/01.
21
16. Kokko, A., Tansini, R., & Zejan, M. )1997(. Trade regimes and spillover effects of FDI: Evidence from Uruguay. Working paper, Stockholm School of Economics.
22
17. Kouhkan, E. (2015). The effect of research and development spillovers through foreign trade on total factor productivity in Iran. International Conference on Advanced Research in Management, Economics and Accounting (In Persian).
23
18. Lai, M., Peng, Sh. & BAO, Q. (2006).Technology spillovers, absorptive capacity and economic growth. China Economic Review, 17, 300-320.
24
19. Lai, M., Wang, H., & Zhu, Sh. (2009). Double-edged effects of the technology gap and technology spillovers: Evidence from the Chinese industrial sector. China Economic Review, 20, 414-424.
25
20. Lucas, R.E. (1988). On the mechanics of economic development. Journal of Monetary Economics, 22(1), 3-42.
26
21. Madsen, J.B. (2007). Technology spillover through trade and TFP convergence: 135 years of evidence for the OECD countries. Journal of International Economics, 72, 464-480.
27
22. Mehregan, N., & Soltani Sehat, L. (2014). R&D expenditures and productivity growth of total factors of the manufacturing sector. Journal of Macro Strategic Policies, 2(5), 1-24 (In Persian).
28
23. Mohammadi, T., & Akbari fard, H. (2008). Effect of Productivity Shock on Iran's Economic Growth. Journal of Iranian Economic Research, 2(35), 177-204 (In Persian).
29
24. Parrado, R., & De Cian, E. (2014). Technology spillovers embodied in international trade: Intertemporal, regional and sectoral effects in a global CGE framework. Energy Economics, 41, 76-89.
30
25. Rahnamay Gharamaleki, G.H., Motefakerazad, M.A., Ranjpour, R., & Sadeghi, K. (2014). Investigating the Role of Internal R&D Expenditures, Importing Technology and Interaction of Human Capital and Importing Technology on Value Added in Iran's Great Industries. Journal of Business Research, 3(72), 25-59 (In Persian).
31
26. Romer, D. (2006). Advanced Macroeconomics. McGraw-Hill Companies, Third Edition, USA.
32
27. Romer, P.M. (1990). Endogenous Technological Change. Journal of political Economy, 5, s71-s102.
33
28. Serrano, G., Lopez-Bazo, E., & Garcia-Sanchis, J.R. (2002). Complementarity between Human Capital and Trade in Regional Technological Progress. ERSA conference papers, European Regional Science Association.
34
29. Sims, Ch. (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48.
35
30. Tian, X. (2010). Managing FDI technology spillovers: A challenge to TNCs in emerging markets. Journal of World Business, 45, 276-284.
36
31. Zamanian, Gh., Fotros, M.H., & Rezaei, E. (2014). The effect of research and development spillovers on the total factor productivity of Iran's industrial factories. Journal of Economic Growth and Development Research, 5(17), 91-108. (In Persian)
37
ORIGINAL_ARTICLE
Impact of Innovation on Pollution Emission of Iranian Provinces in the Framework of Environmental Kuznets Curve (Spatial Econometric Approach)
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.
https://ecoj.tabrizu.ac.ir/article_11586_e58fbe6c77c4c8d4891927af60d55411.pdf
2020-11-21
71
98
10.22034/ecoj.2020.11586
Environmental Kuznets Curve
Innovation
Research and development costs
Spatial Durbin model
maryam
darbidi
mdarbidi@yahoo.com
1
Ph.D Student of Economics, Razi University
AUTHOR
sohrab
delangizan
delangizan@razi.ac.ir
2
Associate Professor of Economics, Razi University
LEAD_AUTHOR
Shahram
Fatahi
sh_fatahi@yahoo.com
3
Associate Professor of Economics, Razi University
AUTHOR
Mohammad Sharif
Karimi
sharifkarimi@yahoo.com
4
Assistant Professor of Economics, Razi University
AUTHOR
1- استادزاد، علی حسین؛ بهلولی، پریسا (1394). تاثیر انرژیهای تجدیدپذیر بر منحنی زیست محیطی کوزنتس در ایران. نظریه های کاربردی اقتصاد، (2)2، 154-127.
1
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ORIGINAL_ARTICLE
Granger Causality Analysis of Energy Consumption and Value Added in Industrial Sub-Sectors of Iran: A Bootstrap Panel Approach
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.
https://ecoj.tabrizu.ac.ir/article_11585_47f8a6dbcb4470753c334289547a7409.pdf
2020-11-21
99
130
10.22034/ecoj.2020.11585
Granger causality
Bootstrap Panel Approach
energy consumption
Value added
Industry Sub-sectors
Leila
Eghbali
la.eghbali@gmail.com
1
M.Sc. in Economic Development & Planning, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.
AUTHOR
Reza
Ranjpour
reza.ranjpour@gmail.com
2
Associate Professor of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.
LEAD_AUTHOR
Seyed Kamal
Sadeghi
sk.sadeghi@gmail.com
3
Associate Professor of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.
AUTHOR
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2
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49
ORIGINAL_ARTICLE
Investigating the relationship between social capital, health capital and economic growth in Provinces of Iran
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.
https://ecoj.tabrizu.ac.ir/article_11560_a6e8e1782a1e8871e83197adccad01c2.pdf
2020-11-21
131
156
10.22034/ecoj.2020.11560
Social Capital
Human capital health
Economic growth
Panel Data
mojtaba
ghiasi
m_ghiasi2007@yahoo.com
1
iau-malayer
AUTHOR
Ahmad
sarlak
a-sarlak@iau-arak.ac.ir
2
Assistant Professor of Economics, Islamic Azad University, Arak,
LEAD_AUTHOR
Hadi
ghafari
ghafari@pnu.ac.ir
3
Associate Professor of Economics, Payame Noor University, Arak
AUTHOR
ابوالحسن تنهایی، حسین و حضرتی صومعه، زهرا (1388). بررسی نظری پژوهشهای سرمایه اجتماعی در جامعه ایران. فصلنامه علوم رفتاری، 1(1)، 52-29.
1
تیرگر، آرام و فیروزبخت، مژگان (1396). سرمایه اجتماعی محل کار و سلامت کارکنان: مطالعه مروری سیستماتیک. مجله ارگونومی، 5(1)، 25-18.
2
حیدری، حسن، فعالجو، حمیدرضا، نظریان، علمناز و محمدزاده، یوسف (1392). سرمایه اجتماعی، سرمایه سلامت و رشد اقتصادی در کشورهای خاورمیانه. فصلنامه پژوهشهای رشد و توسعه اقتصادی، 11، 74-57.
3
ربیعی، مهناز، حیدری، سمیه، شریعت بهادری، مینا و کنی، صدیقه (1392). تأثیر شاخصهای سلامت بر رشد اقتصادی کشورهای توسعه یافته و در حال توسعه. مجله اقتصادی، 7 و 8، 88-73.
4
سپهر دوست، حمید، قربان سرشت، مرتضی و باورتی، مهسا (1393). اثر نامتوازن سرمایه انسانی در بخش سلامت و آموزش بر رشد اقتصادی. فصلنامهتحقیقاتتوسعهاقتصادی، 16 ، 102-81.
5
شعبانی، احمد، نخلی، سیدرضا و شیخانی، مصطفی (1392)، اثر سرمایه اجتماعی بر توسعه انسانی مناطق ایران، فصلنامه برنامهریزی و بودجه، 18(2)، 161-127.
6
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64
ORIGINAL_ARTICLE
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)
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.
https://ecoj.tabrizu.ac.ir/article_11432_6d1a240e5592ac2b3188918cd07fc0bd.pdf
2020-11-21
157
184
10.22034/ecoj.2020.11432
Economic Success
Global Competitiveness Index
Goods Market Efficiency
Naghmeh
honarvar
naghmeh_honarvar@yahoo.com
1
Ph.D Student in Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran naghmeh_honarvar@yahoo.com
AUTHOR
homayoun
ranjbar
homayuonr38@gmail.com
2
Associate professor, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran(corresponding author)
LEAD_AUTHOR
sara
ghobadi
s_ghobadi@hotmail.com
3
Assistant professor, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran s_ghobadi@hotmail.com
AUTHOR
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1
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2
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15
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16
Honarvar, N., & Ranjbar, H., & Ghobadi, S. (2018). Examining the long-term relationship between goods market efficiency and labor market efficiency in the f global competitiveness index and variables of economic success (economic growth and unemployment) in selected Asian countries. Economic Modeling Research Quarterly, 31, 245-278. (In Persian)
17
Khodadad Hosseini, H., & Azar, A., & Shah Tahmasebi, I. (2011). Measuring the relative efficiency of Iran's competitive advantage. Journal of Business Management, 13, 91-112. (In Persian)
18
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23
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24
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25
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27
Safarian, S. (2014). Assessing the interrelationships between commodity market inefficiency and financial market development in a global competitive environment. Master Thesis, Faculty of Management, Kharazmi University. (In Persian)
28
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31
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32
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33
Xia, R., & Liang, T., & Zhang, Y .(2012). Is Global Competitive Index a Good Standard to Measure Economic Growth? A Suggestion for Improvement. International Journal of Services and Standards, 45-57.
34
ORIGINAL_ARTICLE
Spatial analysis of the effect of financial decentralization on poverty, study of the country's provinces
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.
https://ecoj.tabrizu.ac.ir/article_12232_4d46db0b6d25a16d7aea43b9e46f1df9.pdf
2020-11-21
185
214
10.22034/ecoj.2020.12232
: financial decentralization
Poverty
Spatial econometrics
Shiva
Alizade
alizade.2015@yahoo.com
1
Lorestan univercity
AUTHOR
Mohammad
Alizadeh
alizadeh_176@yahoo.com
2
Associate Professor of Economics, Lorestan University
LEAD_AUTHOR
vahid
shaghaghi shahri
vahidshaghaghi@yahoo.com
3
Head of the Faculty of Economics, Kharazmi University
AUTHOR
mahboubeh
delfan
m.delfan66@gmail.com
4
Assistant Professor Lorestan University
AUTHOR
بانک جهانی (1381). گزارش توسعه جهانی 2000: مبارزه با فقر. ترجمه: سازمان مدیریت و برنامهریزی، معاونت امور اجتماعی، سازمان مدیریت و برنامهریزی: تهران.
1
خداداد کاشی، فرهاد، باقری، فریده، حیدری، خلیل و خدادادکاشی، امید (1381). اندازهگیری شاخصهای فقر در ایران کاربرد انواع خط فقر، شکاف فقر، شاخص فقر. گروه پژوهشی آمارهای اقتصادی.
2
رضایی، هادی، علیزاده، محمد و نادمی، یونس (1396). بررسی تأثیرات سرریز فضایی شاخص فلاکت بر مخارج سلامت در کشورهای منتخب در حال توسعه. مدیریت بهداشت و درمان، 8(1)، 67-57.
3
سامتی، مرتضی، رنانی، محسن و معلمی، مژگان (1386). تمرکززدایی و منافع تشکیل دولتهای محلی از منظر افزایش کارایی. مجله تحقیقات اقتصادی، 78، 151-123.
4
شکیبایی، علیرضا، احمدینژاد، محمدرضا، کمالالدینی، زهرا، و طالقانی، فاطمه (1394). تأثیر شهرنشینی و سرریزهای آن بر توزیع درآمد استانهای ایران با رهیافت اقتصاد سنجی فضایی. فصلنامه نظریههای کاربردی اقتصاد، 2(3)، 23-1.
5
غفاری، مجتبی (1393). راهکارهای کاهش فقر: رهیافتی در اقتصاد نهادگرایی. فصلنامه علمی پژوهشی برنامهریزی و بودجه، 19(4)، 242-215.
6
گلخندان، ابوالقاسم (1398). تحلیل فضایی تأثیر تمرکززدایی مالی بر نرخ مرگ و میر در استانهای ایران. راهبردهای مدیریت در نظام سلامت، 4(3)، 196-185.
7
Abdillah, K., & Mursinto, D. (2016). The effects of fiscal decentralitation, economic growth and income inequality on poverty rate of Indonesia’s 3 provinces. International Journal of Advanced Research, 4(2), 405-414.
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47
ORIGINAL_ARTICLE
Urbanization and Energy consumption in Iran: Application of STIRPAT Model
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.
https://ecoj.tabrizu.ac.ir/article_12233_0af58f474d110fea70504234d0b00fe7.pdf
2020-11-21
215
240
10.22034/ecoj.2020.12233
Urbanization
Energy Demand
STIRPAT
Hasn
Farazmand
hfrazmand@scu.ac.ir
1
Associate Professor of Economics, Faculty of Economic at the Shahid Chamran University
AUTHOR
Ebrahim
Anvari
ebrahiman@gmail.com
2
Assistant Professor of Economics, Faculty of Economic at the Shahid Chamran University
AUTHOR
baghiatallah
mousavi
bmousavi2008@gmail.com
3
Shahid Chamran University / Faculty of Economics and Social Sciences / Ph.D student
LEAD_AUTHOR
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61
ORIGINAL_ARTICLE
Investigating the effect of institutional quality (corruption) and lack of financial dominance (central bank independence) on optimal monetary policy using DSGE and STAR approaches
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.
https://ecoj.tabrizu.ac.ir/article_12262_3de26d4e5882cbaf7de9b61788156b96.pdf
2020-11-21
241
280
10.22034/ecoj.2020.12262
Keywords: Central Bank Independence (CBI
Smooth Transition Autoregressive (STAR)
Monetary Policy
Corruption
Stochastic Dynamic General Equilibrium Model (DSGE)
maryam
ghadimi
maryamghadimy@yahoo.com
1
Islamic Azad University,Tehran South Branch,Tehran,Iran
LEAD_AUTHOR
mahnaz
rabiei
mahnaz.rabiei@yahoo.com
2
Assistant Professor of Economics and Faculty member of Islamic Azad University,Tehran South Branch.Tehran,Iran
AUTHOR
abdolah
davani
davani90@yahoo.com
3
Assistant Professor of Economics and Faculty member of Islamic Azad University,Tehran South Branch, Tehran,Iran
AUTHOR
Abolfazl
Shahabadi
shahabadia@gmail.com
4
Professor of Economics and Faculty member of Social& Economic Department,Alzahra University,Tehran,Iran
AUTHOR
اکبری، محمد، و شریفزاده، محمدجواد (1396). تعیین قاعده سیاست پولی بهینه با در نظر گرفتن ارجحیت در مصرف کالاهای داخلی: کاربردی از رویکرد بیزین. فصلنامه علمی پژوهشی اقتصاد و الگو سازی، 29(8)، 1-39.
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