ORIGINAL_ARTICLE
Investigation of Profit-Loss Sharing and Fixed-Return Contracts Recovery Rate Using Game Theory Approach
In loan contracts with profit-loss sharing (PLS), both sides share not only its expected profit but they both have to bear its probable losses as well. But in fixed interest-based loan contracts, the bank is simply risk natural and transfer all contract risks to borrower. Although in Islamic Sharia only the former contracts are accepted, it is not used that much in practice. In words, common loan contracts even in Islamic countries do not comply with the Sharia. This paper, using a game theory model, attempts to compare profit of banks these two sort of contracts based on recovery rate of borrowers when we have not only adverse selection but also costly state verification. We show that Sharia-compliant contracts (e.g. PLS) have significantly higher recovery rate compared to fixed interest-based contracts.
https://ecoj.tabrizu.ac.ir/article_5785_41ae536a092ebcd901fb54f29f156ffc.pdf
2017-01-20
1
20
Profit-loss sharing
Islamic banking
Asymmetric and private information
game theory
Interest-based contracts
Shokoofeh Sadat
Ashrafzadeh
sh.ashrafzadeh@stu.um.ac.ir
1
Ph.D. Candidates in Economics, Ferdowsi University of Mashhad (International Campus)
AUTHOR
Seyyed Mohammad Javad
Razmi
mjrazmi@um.ac.ir
2
Associate Professor of Economics, Ferdowsi University of Mashhad
LEAD_AUTHOR
Mohammad Reza
Lotfalipour
lotfalipour@um.ac.ir
3
Professor of Economics, Ferdowsi University of Mashhad
AUTHOR
Mehdi
Feizi
feizi@um.ac.ir
4
Assistant professor of Economics, Ferdowsi University of Mashhad
AUTHOR
احمدی حاجیآبادی، روحالله، و بهاروندی، احمد (1390). راهکارهای اجرای صحیح عقدهای مشارکتی در نظام بانکی ایران. فصلنامه علمی پژوهشی اقتصاد اسلامی. 10(38)، 146-119.
1
موسویان، عباس (1381). آثار اقتصادی جایگزینی نظام مشارکت بهجای نظام بهره. فصلنامه علمی پژوهشی اقتصاد اسلامی، 2(5)، 86-59.
2
نصرآبادی، داوود (1386). ارزیابی عملکرد عقد مشارکت در بانکداری جمهوری اسلامی ایران. پایاننامه کارشناسی ارشد، دانشگاه امام صادق.
3
hmed, H. (2005). Operational structure for Islamic equity finance: Lessons from venture capital. Research Paper 212, The Islamic Research and Teaching Institute (IRTI).
4
Baele, L., Farooq, M., & Ongena, S. (2014). Of religion and redemption: Evidence from default on Islamic loans. Journal of Banking & Finance, 44, 141-159.
5
Bashir, B. A. (1983). Portfolio management of Islamic banks: A certainty approach. Journal of Banking and Finance, 7(3), 339−354.
6
Beck, T., Demirgüç-Kunt, A., & Merrouche, O. (2013). Islamic vs. conventional banking: Business model, efficiency and stability. Journal of Banking & Finance, 37(2), 433-447.
7
Belanes, A., & Hassiki, S. (2012). Efficiency in Islamic and conventional banks: A comparative analysis in the MENA region. Bankers, Markets & Investors, 120(5), 5-18.
8
Bester, H. (1985). Screening vs rationing in credit markets with imperfect information. American Economic Review, 75(4), 850-855.
9
Bourkhis, K., & Nabi, M. S. (2013). Islamic and conventional bank’s soundness during the 2007-2008 financial crisis. Review of Financial Economics, 22(2), 68-77.
10
Chong, B.S., & Liu, M.H. (2009). Islamic banking: interest-free or interest-based? Pacific-Basin Finance Journal, 17 (1), 125–144.
11
Daly, S., & Frikha, M. (2015). Variety in the rules of Islamic financial institutions. Arabian Journal of Business and Management Review, 5 (1).
12
Daly, S., & Frikha, M. (2016). Banks and economic growth in developing countries:What about Islamic banks? Cogent Economics & Finance, 4(1), 1-26.
13
Dar, H.A., Presley, J.R. (2000). Lack of profit loss sharing in Islamic banking: management and control imbalances. International Journal of Islamic Financial Services, 2 (2), 3–18.
14
El-Komi, M., & Croson, R. (2013). Experiments in Islamic microfinance. Journal of Economic Behavior & Organization, 95, 252– 269.
15
ElGindi, T., Said, M., & Salevurakis, J. W. (2009). Islamic alternatives to purely capitalist modes of finance: A study of Malaysian banks from 1999 to 2006. Review of Radical Political Economics, 41(4), 516-538.
16
Freixas, x, & Rochet, J.C. (2008). Microeconomics of banking.
17
Hasan, M., & Dridi, J. (2010). The effects of the global crisis on Islamic and conventional banks: A comparative study. IMF Working Paper, 1-46.
18
Hiller, B. (1997). The economic of asymmetric information. London, Macmillan Press LTD.
19
Johnson, K. (2013). The role of Islamic banking in economic growth. Journal of Finance Services of Research, 38, 95–113.
20
Khalil, A., Rickwood, C., Murinde, V. (2002). Evidence on agency-contractual problems in Mudaraba financing operations by Islamic banks. Islamic Banking and Finance New Perspectives on Profit-Sharing and Risk, Cheltenham, UK and Northampton, MA, USA: Edward Elgar, 57-92.
21
Khan, F. (2010). How ‘Islamic’ is Islamic banking? Journal of Economic Behavior and Organization, 76(3), 805–820.
22
Nouman,M., & Ullah, K. (2014). Constraints in the application of partnerships in Islamic banks: The present contributions and future directions. Business & Economic Review, 6(2), 47-62.
23
Olson, D., & Zoubi,T.A. (2008). Using accounting ratios to distinguish between Islamic and conventional banks in the GCC region. The International Journal of Accounting, 43(1), 45-65.
24
Sarker, M. A. A. (1999). Islamic business contracts, agency problem and the theory of the Islamic firm. International Journal of Islamic Financial Services, 1(2), 12-28.
25
Schieg, M. (2008). Strategies for avoiding asymmetric information in construction project management, Journal of Business Economics and Management, 9(1), 47-51.
26
Siddiqi, M. N. (1983). Issues in Islamic Banking. Leicester. The Islamic Foundation.
27
Sumarti, N., Fitriyani, V., & Damayanti, M. (2014). A mathematical model of the profit-loss sharing (PLS) scheme, Procedia - Social and Behavioral Sciences, 115, 131 - 137.
28
Tadelis, S. (2013). Game theory: an introduction. Princeton University Press.
29
Udry, C. (1990). Credit markets in northern Nigeria: credit as insurance in a rural economy. The World Bank Economic Review, 4 (3), 251–269.
30
Willison, B. (2009). Technology trends in Islamic investment banking. Islamic Finance News, 6 (19), 22-23.
31
ORIGINAL_ARTICLE
The Desirable Pattern of Deposits in the Banking System of Iran
The issue of resource mobilization and how it led to the efficient investment activities is the basic foundations of any economy is growing and developing. The banking system is considered the most important institution in this area and devoted himself a major part of the community funds. So need to design a comprehensive model bank operating in accordance with the terms of the community, seems essential. This study used dynamic stochastic optimization pattern, to maximize the net present value of bank profits by taking control variables (the share of each type of deposit) and considering three indicating stochastic inclusion of stochastic differential equation of lawyer in debt deposit, fixed contracts and participation contracts. Results collected from optimum levels of control and status variables shows increase efficiency and reduce costs of each type of deposit, leading to the increasing shift the optimal route, upward and through increased deposit, banks profit also increased. In order to improve performance, sharia compliance and transparency in the functioning of banks, the model presented in this study as a good model for Iranian banking system is suggested.
https://ecoj.tabrizu.ac.ir/article_5786_8c6d57f6b402339a20064ebd01453ea7.pdf
2017-01-20
21
46
Deposit
Optimal control
Euler simulations method
Creation of money
Yaqob
Mahmodian
mahmodian61@gmail.com
1
Ph.D. Candidates in Economics, Payam-e-Noor University
LEAD_AUTHOR
Asghar
Abolhasani Hastiani
abolhasani@pnu.ac.ir
2
Associate Professor of Economics, Payam-e-Noor University
AUTHOR
Mohammad Hossein
Pourkazemi
h_pourkazemi@yahoo.com.au
3
Associate Professor of Applied Mathematics, Shahid Beheshti University
AUTHOR
Kamran
Nadri
k.nadri@gmail.com
4
Assistant Professor of Economics, Imam Sadiq University
AUTHOR
پورکاظمی، محمدحسین (1393). بهینهسازی پویا، کنترل بهینه و کاربردهای آن. انتشارات دانشگاه شهید بهشتی.
1
داوودی، پرویز، و محققنیا، محمدجواد (1387). بانکداری محدود. دوفصلنامه علمی- پژوهشی جستارهای اقتصادی، 5(10)، 113-93.
2
کیایی، حسن، ابریشمی، حمید، و سبحانی، حسن (1392). مقایسه عملکرد بهینه در بانکداری اسلامی و بانکداری متعارف: استفاده از فرایند تصادفی پرش- انتشار. دو فصلنامه مطالعات اقتصاد اسلامی، 6(11)، 131-107.
3
محققنیا، محمدجواد (1393). الگوی بانکداری اسلامی. انتشارات مرکز بین المللی ترجمه و نشر المصطفی(صلی الله علیه و آله و سلم).
4
محققنیا، محمد جواد (1392). ساختار بانکداری اسلامی و ارائه الگویی برای بانکداری اسلامی در ایران. انتشارات دانشگاه علامه طباطبایی.
5
مظاهری، طهماسب (1386). الگوی جایگزین برای نظام بانکی کشور. مجموعه مقالات هجدهمین همایش بانکداری اسلامی، مؤسسه عالی بانکداری ایران.
6
موسویان، سیدعباس (1382). انواع بانکهای بدون ربا. فصلنامه اقتصاد اسلامی، 3(11)، 78-49.
7
موسویان، سیدعباس، ابوالحسنیهستیانی، و حسنمقدم، رفیع (1393). تعیین سهم بهینه عقدهای مبادهای و مشارکتی در بانکداری بدون ربا. فصلنامه اقتصاد اسلامی، 14(53)، 98-85.
8
میرجلیلی، سیدحسین (1383). الگویی برای سازماندهی مجدد نظام بانکی. مجله نامه مفید، 12(42)، 92-65.
9
نزار العانی، مضر(٢٠٠٠م). احکام تغّیر قیمه العمله النقدیه و اثرها فی تسدید القرض. دارالنفایس للنشر و التوزیع، الطبعه الاولی: اردن.
10
نظرپور، محمد تقی، کیاء الحسینی، سیدضیاءالدین، و حقیقی، میثم (1392). چگونگی ارتباط بانکها با بازار سرمایه در چارچوب نظام بانکداری بدون ربا. دوفصلنامه جستارهای اقتصادی ایران، 10(19)، 65-41.
11
12
Ahmad, A. (1997). Structure of deposits in selected Islamic banks: Implications for deposit mobilization. Research Paper, (48).
13
Allen, E. (2007). Modeling with Itô stochastic differential equations (Vol. 22). Springer Science & Business Media.
14
Bertsekas, D. P. (2005). Dynamic programming and suboptimal control: A survey from ADP to MPC. European Journal of Control, 11(4), 310-334.
15
Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. The journal of political economy, 637-654.
16
Bossone, B. (2002). Should banks be narrowed? An evaluation of a plan to reduce financial instability (No. 69). Public policy brief//Jerome Levy Economics Institute of Bard College.
17
Chambers, D., & Charnes, A. (1961). Inter-temporal analysis and optimization of bank portfolios. Management Science, 7(4), 393-410.
18
Hanson, F. B. (2007). Applied stochastic processes and control for Jump-diffusions: modeling, analysis, and computation (Vol. 13). Siam.
19
Khan, M. S. (1986). Islamic interest-free banking: a theoretical analysis. Staff Papers, 33(1), 1-27.
20
Khan, M. S., & Mirakhor, A. (1989). The financial system and monetary policy in an Islamic economy. Journal of King Abdulaziz University: Islamic Economics, 1(1), 39-57.
21
Merton, R. C., & Samuelson, P. A. (1992). Continuous-time finance.
22
Kamien, M. I., & Schwartz, N. L. (2012). Dynamic optimization: the calculus of variations and optimal control in economics and management. Courier Corporation.
23
Mukuddem-Petersen, J., & Petersen, M. A. (2006). Bank management via stochastic optimal control. Automatica, 42(8), 1395-1406.
24
Mukuddem-Petersen, J., Petersen, M. A., Schoeman, I. M., & Tau, B. A. (2007). Maximizing banking profit on a random time interval. Journal of Applied Mathematics, 2007.
25
Merton, R. C. (1973). Theory of rational option pricing. The Bell Journal of economics and management science, 141-183.
26
Oguzsoy, C. B., & Gu¨ven, S. (1997). Bank asset and liability management under uncertainty. European Journal of Operational Research, 102(3), 575-600.
27
Selyutin, V., & Rudenko, M. (2013). Mathematical model of banking firm as tool for analysis. Management and Learning. http://ceur-ws. org, 1000.
28
Sigauke, C., Maposa, D., & Chagwiza, W. (2012). Modelling commercial banks liquidity management using stochastic programming. International Journal of Business and Management, 7(9), 49.
29
Tsay, R. S. (2005). Analysis of financial time series (Vol. 543). John Wiley & Sons.
30
ORIGINAL_ARTICLE
The Impact of Economic Variables on Food Security in the Provinces of Iran: Measuring and Comparing
Food security has been a global problem and has attracted the attention of policy-maker and scientific circles. So, the purpose of this study is calculating food security in provinces and identifying variables that strengthen or stopping it. In this regard, first food security situation of the provinces of Iran during 2006-2013 are calculated with multi- sectoral index based on human development index. The result shows that on average provinces of Sistan and Baluchistan, Hormozgan and South Khorasan have worst food security situation and East Azerbaijan, Khorasan and Fars have the highest food security situation. Then examine the impact of economic factors on food security with Dynamic Panel Data method. The result suggests that economic growth index is a positive factor, urbanization and consumption price are negative factors in improving food security index. The result of Sensitivity analysis reinforces the same result.
https://ecoj.tabrizu.ac.ir/article_5787_25a498610274040b8da45854d6eb50c7.pdf
2017-01-20
47
76
Food security
Economic growth
Consumption price
Provinces
Fatemeh
Bagherzadeh Azar
f.bagherzadeh.azar@gmail.com
1
Ph.D. Candidate in Economics, University of Tabriz
AUTHOR
Reza
Ranjpour
reza.ranjpour@gmail.com
2
Associate Professor of Economics, University of Tabriz
LEAD_AUTHOR
Zahra
Karami Takanlou
zahra.karimi.tu@gmail.com
3
Assistant Professor of Economics, University of Tabriz
AUTHOR
Mohammad Ali
Motaffaker Azad
m.motafakker@gmail.com
4
Professor of Economics, University of Tabriz
AUTHOR
Ahmad
Assadzadeh
assadzadeh@gmail.com
5
Associate Professor of Economics, University of Tabriz
AUTHOR
اداره کل تدوین و تنقیح قوانین و مقررات (1383). قانون برنامه چهارم توسعه اقتصادی، اجتماعی و فرهنگی جمهوری اسلامی ایران. تهران.
1
اداره کل تدوین و تنقیح قوانین و مقررات (1383). قانون برنامه پنجم توسعه اقتصادی، اجتماعی و فرهنگی جمهوری اسلامی ایران. تهران.
2
احسانی، مهرزاد، و خالدی، هومن (1381). شناخت و ارتقای بهرهوری آب کشاورزی به منظور تأمین امنیت آبی و غذایی کشور. یازدهمین سمینار کمیته ملی آبیاری و زهکشی.
3
احمدی جاوید، مهری، اکبری، احمد، و ضیایی، محمدباقر (1393). بررسی الگوی مصرف کالاهای خوراکی خانوارهای شهری استان سیستان و بلوچستان با رویکرد امنیت غذایی. تحقیقات اقتصاد کشاورزی، 3، 158- 143.
4
اصغرپور، حسین، سلمانی، بهزاد، فشاری، مجید، و دهقانی، علی (1390). تأثیر فساد اداری بر نرخ پسانداز ملی کشورهای منطقه MENA (رهیافت دادههای تابلویی پویا). فصلنامه تحقیقات مدلسازی اقتصادی، 3، 99- 121.
5
بختیاری، صادق، نصراللهی، خدیجه، و عمادزاده، مصطفی (1380). سیاستهای تعدیل اجراشده در برنامه اول عمرانی و امنیت غذایی در استان اصفهان. پژوهشنامه بازرگانی، 19، 99-134.
6
بختیاری، صادق، و مویدفر، رزیتا (1379). کشاورزی و امنیت غذایی پایدار: فرصتها و چالشها. سومین کنفرانس اقتصاد کشاورزی ایران.
7
برزگر، زهرا (1391). شهرنشینی و تأثیرات آن بر امنیت غذا، آب و انرژی در ایران نمونه موردی: شهر شیراز. فصلنامه برنامهریزی منطقهای، 5 (2)، 64- 53.
8
تنهایی، مریم، زارع، ابراهیم، شیرانی بید آبادی، فرهاد، جولایی، رامتین (1394). بررسی وضعیت امنیت غذایی با استفاده از شاخص تنوع غذایی: مطالعهی موردی مناطق روستایی شهرستان مرودشت، استان فارس. فصلنامهی روستا و توسعه، 4(18)، 35-17.
9
جعفری ثانی، مریم، و بخشوده، محمد (1386). مقایسه فقر و ناامنی غذایی خانوارهای روستایی و شهری استان خراسان. ششمین کنفرانس اقتصاد کشاورزی ایران.
10
حسن قمی، مجید، میرمیران، پروین، امیری، زهره، اصغری، گلاله، صادقیان، سعید، سربازی، نرگس، و عزیزی، فریدون (1391). ارتباط امنیت غذایی با تنوع غذایی در افراد بالای 40 سال در منطقه 13 تهران. مجله غدد درون ریز و متابولیسم ایران، 4 (14)، 367-360.
11
دستگیری، سعید، محبوب، سلطانعلی، توتونچی، هلدا، و استاد رحیمی، علیرضا (1385). عوامل مؤثر بر ناامنی غذایی: یک مطالعه مقطعی در شهر تبریز سال 84- 1383. مجله دانشگاه علوم پزشکی اردبیل، 3 (6)، 239- 233.
12
رنجبر، رحمان (1384). بررسی نحوه تعامل امنیت غذایی با امنیت ملی جمهوری اسلامی ایران. سازمان نظام مهندسی کشاورزی و منابع طبیعی جمهوری اسلامی ایران.
13
سند ملی توسعه فرابخشی امنیت غذا و تغذیه (1383). برنامه چهارم توسعه اقتصادی، اجتماعی و فرهنگی جمهوری اسلامی ایران. تهران.
14
کرم سلطانی، زهرا، درستی، احمد رضا، اشراقیان، محمدرضا، سیاسی، فریدون، و جزایری، ابوالقاسم (1386). چاقی و امنیت غذایی در کودکان دبستانی شهر یزد. مجله دانشکده پزشکی، 7(65)، 76- 68.
15
کریمی تکانلو، زهرا، و رنجپور، رضا (1393). اقتصاد سنجی دادههای تابلویی. سازمان مطالعه و تدوین کتب علوم انسانی و دانشگاهها. تهران.
16
کلاهدوز، فریبا، و نجفی، فریبا (1390). سامانه ملی پایش امنیت غذا و تغذیه در ایران و تدوین اولین نقشه ی وضعیت امنیت غذایی در کشور (پژوهش سمپات). وزارت بهداشت، درمان و آموزش پزشکی، معاونت سلامت، دفتر بهبود تغذیه جامعه.
17
گتک، سابراتا (1380). درآمدی بر اقتصاد توسعه. ترجمه: زهرا افشاری. انتشارات دانشگاه الزهرا، تهران.
18
محمدزاده، آسیه، درستی مطلق، احمدرضا، و اشراقیان، محمدرضا (1389). رابطه امنیت غذایی با عوامل اجتماعی- اقتصادی و وضعیت وزن نوجوانان. مجله علوم تغذیه و صنایع غذایی ایران، 1(5)، 62- 55.
19
محمدی، رضا (1393). تأثیرات قیمت مواد غذایی بر امنیت غذایی در ایران طی دوره 1390- 1360. پایاننامه دولتی دانشگاه پیام نور استان البرز. کارشناسی ارشد. استاد راهنما: غلامرضا یاوری.
20
Applanaidu, S. D., Abu Bakar, N. A., & Baharudin, A. H. (2014). An econometric analysis of food security and related macroeconomic variables In Malaysia: A Vector Autoregressive Approach (VAR). UMK Procedia, 1, 93-103.
21
Arellano, M., & Bond, S. (1991). Some tests of speciation for Panel Data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58, 277-297.
22
Babatunde, R. O., Omotesho, O. A., & Sholotan, O. S. (2007). Factors influencing food security status of rural farming households in North Central Nigeria. Agricultural Journal, 2(3), 351- 357.
23
Bala, B. K., Alias, E. F., Arshad, F. M., Noh, K. M., & Hadi, A. H. A. (2014). Modelling of food security in Malaysia. Simulation Modeling Practice and Theory, 47, 152- 164.
24
Baltagi, B. H. (2005). Econometrics of Panel Data; John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, England.
25
Breisinger, C., & Ecker, O. (2014). Simulating economic growth effects on food and nutrition security in Yemen: A new macro- micro modeling approach. Economic Modelling, 43, 100- 113.
26
Brinkman, H.-J., de Pee, S., Sanogo, I., Subran, L., & Bloem, M. W. (2009). High food prices and the global financial crisis have reduced access to nutritious food and worsened nutritional status and health. Journal of Nutrition, 140(1), 153S–161S.
27
Chen, J. (2007). Rapid urbanization in China: A real challenge to soil protection and food security. Catena, 69(1), 1-15.
28
De Cock, N., D’Haese, M., Vink, N., Van Rooyen, C. J., Staelens, L., Schonfeldt, H. C., & D’Haese, L. (2013). Food security in rural areas of Limpopo Province, South Africa. Food Security, 5 (2), 269- 282.
29
De Muro, P., & Burchi, F. (2007). Education for rural people and food security: A cross country analysis. Food and Agriculture Organization of the United Nations.
30
Diaz- Bonilla, E., & Ron, J. F. (2010). Food security, price volatility and trade: some reflection for developing countries, ICTSD Programme on Agricultural Trade and Sustainable Development. Issue Paper No. 28.
31
Ecker, O. (2012). Agricultural growth is good, but is not enough to improve nutrition, International Food Policy Research Institute, Secure Nutrition Seminar, World Bank, June.
32
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67
ORIGINAL_ARTICLE
An Investigation of Economic Factors Affecting Output Gap in the Iranian Economy
Due to the importance of production in economy, its volatility affect economic sectors and agents significantly. Therefore, understanding the causes of business cycles is very important. Thus, this study extracted business cycles and investigated the effects of aggregate demand variables cycles in business cycle and the size of this effects in Iran’s economy over 1959-2014. For this purpose, first Hodrick-Prescott filter and then Markov-switching model are used to extract and examine the business cycles. The results showed asymmetry in the production cycles in Iran’s economy. The results of the regime of recession and expansion probability also revealed that although with less intensity, cycles of recession are more probable compared to expansion cycles, and have happened in longer period. Then, using the relevant indicators and Hsiao's causality tests, we focused on the relationship of demand side variables cycle with business cycles. The results indicated that the three variables including consumption, investment and government spending were all leading and coincident to business cycles. There was a two-way causality relationship between all three variables and the business cycles. However, balance of trade was found to be lagging and non-coincident to business cycles. It was also found that the causality runs only from balance of trade to business cycles.
https://ecoj.tabrizu.ac.ir/article_5794_c87c900f15cb5a738ef3c7e7eb1fa1f4.pdf
2017-01-20
77
100
Business cycles
Demand side cycles
Hodrick–Prescott filter
Markov switching model
Hsiao's Granger causality test
Seyyed Abdolmajid
Jalaee
jalaee44@gmail.com
1
Professor of Economics, Shahid Bahonar University
AUTHOR
Alireza
Shakibaee
ashakibaee@yahoo.com
2
Associate Professor of Economics, Shahid Bahonar University
AUTHOR
Mehdi
Nejati
mehdi.nejati@gmail.com
3
Assistant Professor of Economics, Shahid Bahonar University
AUTHOR
Moslem
Ansari Nasab
moslem_albu@yahoo.com
4
Ph.D. Candidate in Economics, Shahid Bahonar University
LEAD_AUTHOR
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1
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40
ORIGINAL_ARTICLE
The Impact of Exchange Rate Pass-Through on Implicit Price Index of Iran's Agriculture Sector: An Application of M-GARCH and Threshold Regression Models
The impact of exchange rate changes on prices called "Exchange Rate Pass-Through (ERPT)" is an important issue in economics. Changes in the exchange rate can affect agricultural product prices through the import prices of raw materials. Also, the dependency of the agricultural exports on the exchange rate can accelerate this relationship. Bearing in mind the strategic position of agricultural products, dealing with the above issue should be highly regarded by the agricultural sector policymakers. The purpose of the present paper is to study the impact of ERPT on the implicit price index of Iran's agriculture sector. It also deals with the possibility of any threshold value for the exchange rate from 1971-2014 .To do so, using time series data from the Central Bank of Iran, Multivariate Generalized Autoregressive Conditional Heteroskedasticity (M-GARCH) and Threshold Regression (TR) models have been estimated. The estimation results indicate that the past shocks of nominal exchange rate had a positive impact on the agriculture implicit price index. Also, the findings of the threshold regression estimation show that applying ERPT to implicit price index of agriculture products revealed a threshold value of 9226 Rials. In other words, an increase in the exchange rate higher than the threshold level will cause a much higher increase in the implicit price index of agriculture products in Iran.
https://ecoj.tabrizu.ac.ir/article_5795_00d85775d488c8d5390815eb3c347301.pdf
2017-01-20
101
128
Exchange rate pass-through
Implicit price index
Agriculture sector
M-GARCH
Threshold regression
Mohammad
Abdi Seyyedkolaee
m.abdi.sk@umz.ac.ir
1
Ph.D. Candidate in Economics, University of Mazandaran
AUTHOR
Amirmansour
Tehranchian
m.tehranchian@umz.ac.ir
2
Associate Professor of Economics, University of Mazandaran
LEAD_AUTHOR
Ahmad
Jafari Samimi
jafarisa@umz.ac.ir
3
Professor of Economics, University of Mazandaran
AUTHOR
Seyyed Mojtaba
Mojaverian
mmojaverian@yahoo.com
4
Associate Professor of Agricultural Economic, Sari University of Agricultural Sciences and Natural Resources
AUTHOR
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1
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پدرام، مهدی، شیرینبخش، شمسا...، و رضایی ابیانه، بهاره (1391). بررسی اثرات نامتقارن نوسانات نرخ ارز بر قیمت کالاهای صادراتی. فصلنامه تحقیقات مدلسازی اقتصادی، 3(1)، 166-143.
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حیدری، حسن، و ملابهرامی، احمد (1389). بهینهسازی سبد سرمایهگذاری سهام بر اساس مدلهای چند متغیره GARCH: شواهدی از بورس اوراق بهادار تهران. تحقیقات مالی، 12(30)، 56-35.
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10
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Maodus, V. (2006). Pass-through of exchange rate changes to domestic inflation: The case of Croatia (Master thesis). University of Zagreb, Croatia.
36
Nogueira, R. P., & León-Ledesma, M. A. (2011). Does exchange rate pass-through respond to measures of macroeconomic instability? Journal of Applied Economics, 14(1), 167-180.
37
Obayelu, A. E., & Salau, A. S. (2010). Agricultural response to prices and exchange rate in Nigeria: application of Co-Integration and Vector Error Correction Model (VECM). J Agri Sci, 1(2), 73-81.
38
Posedel, P., & Tica, J. (2009). Threshold model of exchange rate pass- througheffect: The case of Croatia. Eastern European Economics, 47(6), 43-59.
39
Sahminan. (2002). Exchange rate pass-through into import prices: empirical evidences from some Southeast Asian countries. The University of North Carolina at Chapel Hill, Working paper.
40
Sek, S. K., & Kapsalyamova, Z. (2008). Exchange rate pass-through and volatility: Impacts on domestic prices in four Asian countries. MPRA Paper, No. 11130.
41
Silvennoinen, A. & Terasvirta, T. (2008). Multivariate GARCH models. SSE/EFI Working Paper Series in Economics and Finance, No. 669.
42
Smets, F., & Wouters, R. (2002). Openness, imperfect exchange rate pass-through and monetary policy. European Central Bank Working Paper, No. 128.
43
Takhtamanova, Y. (2010). Understanding changes in exchange rate pass-through. Journal of Macroeconomics, 32(4), 1118-1130.
44
World Bank. (2014). Global economic prospects, special topic, Volume 9 Jun 2014.
45
Xu, M., & Orden, D. (2002). Exchange rate effects on Canadian/U.S. agricultural prices. Annual meeting of the American Agricultural Economics Association, Long Beach, California, July 28-31.
46
Yeboah, o. Shaik, S. & Allen, A. (2009). Exchange rates impacts on agricultural inputs prices using VAR. Journal of Agricultural and Applied Economics, 41(2), 511–520.
47
ORIGINAL_ARTICLE
Analyzing of Oil Revenues Shocks Asymmetric Effects on Misery index in Iran Using Vector Error Correction Model
Since the major part of oil revenues are control by government and it forms government’s expenditures; therefore, recognition of oil revenues growth shocks and their impacts intensity on macroeconomic variables such as inflation and unemployment is very important for economic policymakers. This study examines the asymmetric effects of oil revenues shocks on misery index in Iran’s economy by using vector error correction method. For this purpose, we use annual macroeconomic data during 1971-2014 periods. The result shows that both positive and negative shocks have a significant and negative effect on misery index and also long-term trend in oil revenues have a positive and significant relationship with misery index. On the other hand, population growth rate, government expenditure and trade openness index as well as influencing variables on misery index in the model were brought that have a positive and significant relationship with misery index. Also according to the Wald test results, the hypothesis of symmetric effects of positive and negative shocks of oil revenues is rejected.
https://ecoj.tabrizu.ac.ir/article_5796_a9d5b73acbabc52cac710e5e972b471b.pdf
2017-01-20
129
152
Oil revenues shocks
Resource curse
Asymmetric effects
Misery index
Iran
Azad
Khanzadi
azadkhanzadi@gmail.com
1
Assistant Professor of Economics, Razi University
LEAD_AUTHOR
Sara
Moradi
saramoradi070@gmail.com
2
M.A. In Economics, Razi University
AUTHOR
Maryam
Heidarian
maryamheidarian.1368@yahoo.com
3
M.A. in Energy Economics, Razi University
AUTHOR
ابراهیمی، محسن، و سالاریان، محمد (1388). بررسی پدیده نفرین منابع طبیعی در کشورهای صادرکننده نفت و تاثیر حضور در اوپک بر رشد اقتصادی کشورهای عضو آن. اقتصاد مقداری، 6(1)، 100-77.
1
ابریشمی، حمید، و مهرآرا، محسن (1388). اقتصادسنجی کاربردی. انتشارات دانشگاه تهران.
2
ارشدی، علی، و موسوی، حبیب (1393). بررسی تأثیر شوکهای نفتی با تأکید بر اثرات نامتقارن آن بر رشد اقتصادی ایران طی سالهای 1387-1350. فصلنامه پژوهشهای اقتصادی (رشد و توسعه پایدار)، 14(3)، 200-179.
3
جرجرزاده، علیرضا (1390). نفرین منابع، رابطه میان وفور منابع طبیعی و فقر در ایران. رفاه اجتماعی، 12(46)، 27-7.
4
خیرخواهان، جعفر، و برادران شرکاء، حمیدرضا (1382). رونق نفتی و نرخ پسانداز در کشورهای اوپک. پژوهشهای اقتصادی ایران، 16، 132-101.
5
شیرخانی، محمدعلی، پوزش شیرازی، حسین، و بزازی، اباذر، (1389). نظریه نفرین منابع یا نحوه مدیریت درآمدهای نفتی مطالعه موردی ایران: مقایسه ایران و نروژ. فصلنامه سیاست، 40(2)، 144-115.
6
صیادی، محمد، دانشجعفری، داوود، بهرامی، جاوید، و رافعی، میثم (1394). ارائه چارچوبی برای استفاده بهینه از درآمدهای نفتی در ایران: رویکرد تعادل عمومی تصادفی پویا (DSGE). فصلنامه برنامهریزی و بودجه، 20(2)، 58-21.
7
عبادی، جعفر، و نیکونسبتی، علی، (1391). منابع طبیعی، نهادها، رشد اقتصادی. فصلنامه برنامهریزی و بودجه، 17(4)، 144-127.
8
کمیجانی، اکبر، سبحانیان، سید محمد هادی، و بیات، سعید، (1390). اثرات نامتقارن رشد درآمدهای نفتی بر تورم در ایران با استفاده از روش VECM. پژوهشنامه اقتصادی، 12(45)، 226-201.
9
Auty, R. (1993). Sustaining development in mineral economies: the resource curse. Routledge. Business & Economics, 272-286.
10
Barro, R. (1995). Inflation and economic growth. Bank of England Quarterly Bulletin, 35, 166–176.
11
Barro, R. (2008). Macroeconomics: A modern approach. Thomson learning, Business & Economics, 1-512.
12
Collier, P., & Goderis, B. (2007). Commodity prices, growth, and the natural resource curse reconciling a conundrum. CSAEWPS, 27, 1-42.
13
Cunado. J., & de Gracia, F. (2004). Oil prices, economic activity and inflation: evidence for some Asian countries. The Quarterly Review of Economics and Finance, 45(1), 65-83.
14
Dadgar. Y., & Nazari. R. (2012). The impact of economic growth and good governance on misery index in Iranian economy. European Journal of Law and Economics, 1-19.
15
Davis, G. A. (1995). Learning to love the Dutch Disease: evidence from the microeconomics. World Development, 23(10), 1765-1779.
16
Davis, J. M., Ossowski, R., & Fedelino, A. (2003). Fiscal policy formulation and implementation in oil-producing countries. International Monetary Fund, WP/10/28, 1-42.
17
De Long, J. B., & Williamson J. G. (1994). Natural resources and convergence, in the nineteenth and twentieth centuries. Unpublished Paper, HarvardUniversity, 1-40.
18
Faraji Dizaji, S. (2014). The effects of oil shocks on government expenditures and government. Economic Modelling, 40, 299-313.
19
Gylfason, T. (2001). Nature, power, and growth, Scottish Journal of Political Economy, 48(5), 558- 588.
20
Hui, G., & Kliesen, K. L. (2005). Oil price volatility and U.S macroeconomic activity. Federal Reserve Bank of St. Louis Review, 87(6), 669-683.
21
Lwayemi, A., & Fowowe, B. (2011). Impact of oil price shocks on selected macroeconomic variables in Nigeria. Energy Policy, 39, 603-612.
22
Mehrara, M. (2008). The asymmetric relationship between oil revenues and economic activities: the case of oil exporting countries. EnergyPolicy, 36, 1164-1168.
23
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24
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25
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26
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27
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28
Ross, M. (2001). Does oil hinder democracy? World Politics, 53(3), 325-361
29
Rosser, A. (2006). The political economy of the resource curse: A literature survey. Center for the Future State, Institute of Development Studies, 1-34.
30
Sachs, J. D., & Warner, A. M. (1995). Economic convergence and economic policy. Brookings Papers on Economic Activity, 1, 108-118.
31
ORIGINAL_ARTICLE
The Impact of Monetary and Financial Freedom on Monetary Policy Transparency in Low, Middle and High Income Countries
Theoretically speaking, monetary policy transparency refers to the informational symmetry between the central bank and the private sector. High degree of transparency reduces uncertainty, improves the private-sector inference about central bank goals, and increases the effectiveness of monetary policy. This study analyzes the impact of financial and monetary freedom on monetary policy transparency. A set of 102 countries -categorized in low, middle and high income groups have been investigated for the period 1998-2010, since the monetary policy transparency data are not available from 2010 onwards. The panel cointegation test suggests that the long run relationship between variables exists. The empirical findings suggest that while GDP per capita and trade freedom have a positive effect on transparency, the impact of financial freedom on transparency varieties in different income groups. Furthermore the monetary freedom exerts significant positive effect merely on middle income countries. These results imply that the reaction of monetary policy transparency to financial and monetary freedom might be depended to different economic structures.
https://ecoj.tabrizu.ac.ir/article_5805_82d6189eaf0d061f87769ea2d4c8f441.pdf
2017-01-20
153
176
Monetary policy transparency
Panel cointegration
Financial freedom
Monetary freedom
Omid
Sattari
o.sattari@modares.ac.ir
1
Ph.D. Candidate in Economics, Tarbiat Modares University
AUTHOR
Kazem
Yavari
kyavari@modares.ac.ir
2
Associate Professor of Economics , Tarbiat Modares University
LEAD_AUTHOR
Hassan
Heydari
hassan.heydari@modares.ac.ir
3
Assistant Professor of Economics, Tarbiat Modares University
AUTHOR
Mansour
Etesami
m.etesami@modares.ac.ir
4
Assistant Professor of Economics, Tarbiat Modares University
AUTHOR
جلالی نائینی، سید احمدرضا (1394). سیاست پولی: مبانی نظری و ارزیابی عملکرد در ایران. تهران: پژوهشکده پولی و بانکی.
1
شاه آبادی، ابوالفضل، و داوری کیش، راضیه (1394). تأثیر آزادی اقتصادی بر توسعه بخش بانکی ایران. مدلسازی اقتصادی،9(2)، 66-47
2
Barro, R. J., & Gordon, D. B. (1983). Rules, discretion and reputation in a model of monetary policy. Journal of monetary economics, 12(1), 101-121.
3
Beach, W. W., & Kane, T. (2008). Methodology: Measuring the 10 economic freedoms. 2008 Index of Economic Freedom, 39-56.
4
Bernanke, B., & Mishkin, F. (1992). Central bank behavior and the strategy of monetary policy: observations from six industrialized countries. In NBER Macroeconomics Annual 1992, Volume 7 (pp. 183-238). Mit Press.
5
Blinder, A. S. (1999). Central bank credibility: why do we care? How do we build it? (No. w7161). National bureau of economic research.
6
Claessens, S., & Laeven, L. (2004). What drives bank competition? Some international evidence. Journal of Money, Credit, and Banking, 36(3), 563-583.
7
Courtenay, R., & Clare, A. (2001). What can we learn about monetary policy transparency from financial market data? (No. 2001, 06). Deutsche Bundesbank, Research Centre.
8
Chortareas, G. E., Girardone, C., & Ventouri, A. (2013). Financial freedom and bank efficiency: Evidence from the European Union. Journal of Banking & Finance, 37(4), 1223-1231.
9
Chortareas, G., Stasavage, D., & Sterne, G. (2002). Does it pay to be transparent? International evidence from central bank forecasts. Review-Federal Reserve Bank of Saint Louis, 84(4), 99-118.
10
Crowe, C., & Meade, E. E. (2008). Central bank independence and transparency: Evolution and effectiveness. European Journal of Political Economy, 24(4), 763-777.
11
Demertzis, M., & Hallett, A. H. (2007). Central bank transparency in theory and practice. Journal of Macroeconomics, 29(4), 760-789.
12
Eichengreen, B., & Dincer, N. (2009). Central bank transparency: causes, consequences and updates. National Bureau of Economic Research.
13
Eichengreen, B., & Dincer, N. N. (2014). Central bank transparency and independence: Updates and New Measures. International Journal of Central Banking, 10(1), 189-259.
14
Eijffinger, S. C., & Geraats, P. M. (2006). How transparent are central banks?. European Journal of Political Economy, 22(1), 1-21.
15
Fracasso, A., Genberg, H., & Wyplosz, C. (2003). How do central banks write?: An evaluation of inflation reports by inflation targeting central banks (Vol. 2). Centre for Economic Policy Research.
16
Fry, M., Julius, D., Mahadeva, L., Roger, S., & Sterne, G. (2000). Key issues in the choice of monetary policy framework. Monetary policy frameworks in a global context, 1, 1-216.
17
Geraats, P. M. (2001). Why adopt transparency? The publication of central bank forecasts.
18
Geraats, P. M. (2014). Monetary policy transparency. CESifo Working Paper Series No. 4611. Available at SSRN: https://ssrn.com/abstract=2398257
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Geraats, P. M. (2002). Central bank transparency. The Economic Journal, 112(483), F532-F565.
20
Goddard, J., Liu, H., Molyneux, P., & Wilson, J. O. (2011). The persistence of bank profit. Journal of Banking & Finance, 35(11), 2881-2890.
21
Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of econometrics, 115(1), 53-74.
22
Friðriksson, I. (2000). Code of good practices on transparency in monetary and financial policies. International Monetary Fund Standards and Codes Section.
23
Issing, O. (2001). The Euro area and the single monetary policy. International Journal of Finance & Economics, 6(4), 277-288.
24
Kool, C., Middeldorp, M., & Rosenkranz, S. (2011). Central bank transparency and the crowding out of private information in financial markets. Journal of Money, credit and Banking, 43(4), 765-774.
25
Kuttner, K. N. (2001). Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of Monetary Economics, 47(3), 523-544.
26
Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics, 108(1), 1-24.
27
Lin, K. L., Doan, A. T., & Doong, S. C. (2016). Changes in ownership structure and bank efficiency in Asian developing countries: The role of financial freedom. International Review of Economics & Finance, 43, 19-34.
28
Ma, Y., & Li, S. (2015). Bayesian estimation of China's monetary policy transparency: A new Keynesian approach. Economic Modelling, 45, 236-248.
29
Miller, T., Kim, A. B., & Holmes, K. (2015). 2015 Index of economic freedom. Washington DC: The Heritage Foundation.
30
Mishkin, F. S., & Schmidt-Hebbel, K. (2001). One decade of inflation targeting in the world: what do we know and what do we need to know? (No. w8397). National Bureau of Economic Research.
31
Mishkin, F. S., & Schmidt-Hebbel, K. (2007). Does inflation targeting make a difference? (No. w12876). National Bureau of Economic Research.
32
Neumann, M. J. (2002). Transparency in monetary policy. Atlantic Economic Journal, 30(4), 353-365.
33
Papadamou, S. (2013). Market anticipation of monetary policy actions and interest rate transmission to US treasury market rates. Economic Modelling, 33, 545-551.
34
Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and statistics, 61(s 1), 653-670.
35
Pedroni, P. (2004). Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric theory, 20(03), 597-625.
36
Posen, A. S. (2002). Six practical views of central bank transparency. Institute for International Economics Working Paper.
37
Roychoudhury, S., & Lawson, R. A. (2010). Economic freedom and sovereign credit ratings and default risk. Journal of Financial Economic Policy, 2(2), 149-162.
38
Schaling, E., & Nolan, C. (1998). Monetary policy uncertainty and inflation: the role of central bank accountability. De Economist, 146(4), 585-602.
39
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40
Van der Cruijsen, C., & Demertzis, M. (2007). The impact of central bank transparency on inflation expectations. European Journal of Political Economy, 23(1), 51-66.
41
ORIGINAL_ARTICLE
Investigation the Pass-Through of Global Food Prices to Domestic Prices in Iran
This paper investigates whether global food price shocks have been affected consumer price index in Iran. For this purpose, we estimate the pass-through of global food price inflation to domestic consumer price index using Markov Switching Vector Auto-Regressive (MS-VAR) and Vector Auto-Regressive (VAR) models and quarterly data from 1990:2 to 2015:1. With respect to the linearity test results, the MS-VAR model has better fit to data than linear VAR model. According to the information criteria statistics, the MSIAH(2)-VAR(1) specification is the chosen kind of MS-VAR model. The results show that the magnitude of global food prices pass-through to the consumer price index in the first and second regime is 0.05 and 0.35 after a year, respectively. Pass-through effect increases in second year that higher in second regime than first regime. The pass-through magnitude in first and second regime is 0.12 and 0.85 after two years, respectively. Because of substantial amount of agricultural inputs and food imports, the Iranian policymakers can limit the pass-through of global prices to domestic prices by applying the inflation targeting policies.
https://ecoj.tabrizu.ac.ir/article_5806_0417c7724dc89f70dec3158176f15388.pdf
2017-01-20
177
196
Consumer price index
Global food price
Pass-through effect
Iran
Ebrahim
Javdan
ebrahimjavdan@gmail.com
1
Ph. D. Candidate in Agricultural Economics, University of Tabriz
AUTHOR
Jafar
Haghighat
jhaghighat79@gmail.com
2
Professor of Economics, University of Tabriz
LEAD_AUTHOR
Esmaeil
Pishbahar
pishbahar@yahoo.com
3
Associate Professor of Agricultural Economics, University of Tabriz
AUTHOR
Rassul
Mohammadrezaei
rassulmohammadrezaei@yahoo.com
4
Associate Professor of Agricultural Economics, University of Tabriz
AUTHOR
اصغرپور، حسین، و مهدیلو، علی (1393). محیط تورمی و تأثیر درجه عبور نرخ ارز بر قیمت واردات در ایران: رهیافت مارکوف-سوئیچینگ. فصلنامه پژوهشها و سیاستهای اقتصادی، 70، 75-102.
1
پیش بهار، اسماعیل، و باغستانی، مریم (1393). بررسی اثرات اقتصادی شوکهای قیمتی نفت و مواد غذایی بر متغیرهای اقتصاد کلان ایران. فصلنامه پژوهشهای اقتصادی، (3)14، 45-64.
2
پیشبهار، اسماعیل، قهرمانزاده، محمد، و عارف عشقی، طراوت (1392). بررسی تأثیر عبور نرخ ارز به قیمت مواد غذایی در ایران. فصلنامه اقتصاد کشاورزی، (4)7، 1-21.
3
لشکری، محمد، ابوالحسنی، اصغر، اصغرپور، حسین، و تمیزی، علیرضا (1394). تحلیل انتقال نرخ ارز بر شاخص قیمت صادرات و تأثیر تورم و درآمد بر آن در ایران و شرکای تجاری: رویکرد گشتاورهای تعمیم یافته (GMM). فصلنامه پژوهشها و سیاستهای اقتصادی، 73، 111-128.
4
Bekkers, E., Brockmeier, M., Francois, J., & Yang, F. (2013). Pass-through, food prices and food security. Available at:https://www.gtap.agecon.purdue.edu/resources/download/6391.pdf
5
Belke, A., & Awad, J. (2015). On the pass-through of food prices to local inflation in MENA countries. WSEAS Transactions on Business and Economics, 12, 307-316.
6
Belke, A., & Dreger, C. (2013). The transmission of oil and food prices to consumer prices – evidence for the MENA countries. Ruhr Economic Papers, No. 448.
7
Chou, K. W., & Tseng, Y. H. (2011). Pass-through of oil prices to CPI inflation in Taiwan. International Research Journal of Finance and Economics, 69, 73-83.
8
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9
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10
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14
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15
Jaffri A. A., Rooma, A., & Bashir, S. (2013). Pass-through of global inflation to domestic Inflation: an empirical evidence for Pakistan. Journal of Managerial Sciences, 5(1), 105-111.
16
Jalil, M., & Zea, E. T. (2011). Pass-through of international food prices to domestic inflation during and after the great recession: evidence from a set of Latin American economies. Desarrollo y Sociedad Journal, 67, 135-179.
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Krolzig, H. M. (1996). Statistical analysis of cointegrated VAR processes with Markovian regime shifts. SFB 373 discussion paper 25-1996.
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Krolzig, H. M. (1997). Markov switching vector autoregressions modelling: statistical inference and application to business cycle analysis. Berlin: Springer.
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Krolzig, H. M. (1999). Statistical analysis of cointegrated VAR processes with Markovian regime shifts. Computing in Economics and Finance, Society for Computational Economics, Working Paper, No. 1113.
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26