University of Tabriz
Quarterly Journal of Applied Theories of Economics
2423-6586
2
4
2016
02
20
Examining the Persistence of Real Exchange Rate Misalignment in Iran
1
22
FA
Amir Mansoor
Tehranchian
Associated Professor of Economics, Mazandaran University
m.tehranchian@umz.ac.ir
Roozbeh
Balounejad Nouri
Assistance Professor of Economics, Khatam University
roozbeh_noury@yahoo.com
<span style="font-family: Times New Roman;"><span style="font-size: 12pt; mso-bidi-font-family: 'B Nazanin';">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</span><span style="font-size: 12pt; mso-bidi-font-family: 'B Nazanin';"> 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 cointegration</span></span><span style="font-family: Times New Roman;"><span style="font-size: 12pt; mso-bidi-font-family: 'B Nazanin';">method 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. </span><span style="font-size: 12pt; mso-bidi-font-family: 'Times New Roman';">Persistence </span><span style="font-size: 12pt; mso-bidi-font-family: 'B Nazanin';">Test results</span><span style="font-size: 12pt; mso-bidi-font-family: 'B Nazanin';"> 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.</span></span>
Persistence of real exchange rate misalignment,Equilibrium real exchange rate,Autoregressive Fractionally Integrated Moving Average model
https://ecoj.tabrizu.ac.ir/article_4754.html
https://ecoj.tabrizu.ac.ir/article_4754_7b05857bfecf2dd7ffdf52eb2634ac42.pdf
University of Tabriz
Quarterly Journal of Applied Theories of Economics
2423-6586
2
4
2016
02
20
The Effect of Government Size and Good Governance on Energy Consumption Intensity: A Case Study of OPEC Countries
23
48
FA
Kiumars
Shahbazi
Associate Professor of Economics, Urmia University
k.shahbazi@urmia.ac.ir
Samad
Hekmati Farid
Assistant Professor of Economics, Urmia University
s.hekmati@urmia.ac.ir
Hadi
Rezaei
MA Student of Economics, Urmia University
rezaei82@yahoo.com
<span style="font-family: 'Times New Roman','serif'; mso-bidi-language: FA; mso-ascii-theme-font: major-bidi; mso-hansi-theme-font: major-bidi; mso-bidi-theme-font: major-bidi;"><span style="font-size: medium;">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.</span></span>
Energy Consumption Intensity,Government Size,Good Governance,PSTR
https://ecoj.tabrizu.ac.ir/article_4751.html
https://ecoj.tabrizu.ac.ir/article_4751_f8e6c20c5b0ff5ef5acbda1b425d83ca.pdf
University of Tabriz
Quarterly Journal of Applied Theories of Economics
2423-6586
2
4
2016
02
20
Decomposing Influencing Factors of Energy Consumption Changes in the Iranian Industrial Subsectors:
The Comparison of Laspeyres and Divisia Methods
49
70
FA
Mohsen
Pourebadollahan Covich
0000-0002-9148-9133
Associate Professor of Economics, University of Tabriz
mohsen_p51@hotmail.com
Hossein
Panahi
0000-0002-6158-608X
Associate Professor of Economics, University of Tabriz
panahi@tabrizu.ac.ir
Shahriyar
Shahbazy Homonlo
MA of Economics, University of Tabriz
shahbay.sh1989@gmail.com
Khadijeh
Salehi Abar
MA of Economics, University of Tabriz
salehi_kh90@yahoo.com
<span><span style="font-family: 'Times New Roman','serif'; font-size: 12pt; mso-ascii-theme-font: major-bidi; mso-hansi-theme-font: major-bidi; mso-bidi-theme-font: major-bidi;">Due to an impressive increase in energy consumption</span></span><span style="font-family: 'Times New Roman','serif'; font-size: 12pt; mso-ascii-theme-font: major-bidi; mso-hansi-theme-font: major-bidi; mso-bidi-theme-font: major-bidi;">, <span>awareness about energy consumption process and factors influencing it, can help</span> the <span>policies of energy saving and efficient use of it</span>. 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. </span>
Index Decomposition analysis,Laspeyers index,Divisia index,energy consumption,Industrial subsectors,Iran
https://ecoj.tabrizu.ac.ir/article_4767.html
https://ecoj.tabrizu.ac.ir/article_4767_d451eec0e6428d5bcc1276cf8903f85d.pdf
University of Tabriz
Quarterly Journal of Applied Theories of Economics
2423-6586
2
4
2016
02
20
Introducing an Early Warning System of Exchange Rate Volatility in Iranian Exchange Market: Markov Switching GARCH Method
71
92
FA
Mohebalah
Motahari
PhD Student of Economics, Ferdowsi University of Mashhad
moheb_m_2000@yahoo.com
Mohammad Reza
Lotfali Pour
Professor of Economics, Ferdowsi University of Mashhad
lotfalipour@um.ac.ir
Mohammad Taher
Ahmadi Shadmehri
Associate Professor of Economics, Ferdowsi University of Mashhad
shadmhri@um.ac.ir
<span style="font-size: 11pt; mso-bidi-language: FA; mso-bidi-font-family: 'B Mitra';"><span style="font-family: Times New Roman;">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 25<sup>th</sup>Ordibehesht 1385 until 21<sup>th</sup>Tir 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.</span></span>
Early Warning System,Exchange market volatility,Markov Switching GARCH
https://ecoj.tabrizu.ac.ir/article_4760.html
https://ecoj.tabrizu.ac.ir/article_4760_fba3918759ab7e170de252545c5c5af1.pdf
University of Tabriz
Quarterly Journal of Applied Theories of Economics
2423-6586
2
4
2017
02
19
Determining the Stock Optimal Portfolio using Value at Risk
93
118
FA
Hossein
Asgharpur
Associate Professor of Economics, University of Tabriz
asgharpurh@gmail.com
Ali
Rezazadeh
Assistant Professor of Economics, Urmia University
a.rezazadeh@urmia.ac.com
<br /><span style="font-size: medium;"><span style="font-family: Times New Roman;"><span style="mso-bidi-font-family: 'B Nazanin';">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. </span><span style="mso-ansi-language: EN;" lang="EN">Optimization portfolio is done to minimize portfolio VaR determined according to expected returns through non-linear programming.</span><span style="mso-bidi-font-family: 'B Nazanin';">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.</span><span style="mso-ansi-language: EN;"> <span lang="EN">Confidence level increasing only increased portfolio value at risk without changing the optimal portfolio weights.</span></span></span></span> <br />
Stock optimal portfolio,Value at Risk,Food industry companies,Tehran stock market
https://ecoj.tabrizu.ac.ir/article_4738.html
https://ecoj.tabrizu.ac.ir/article_4738_7826523db441a9758a38f35042481b8e.pdf
University of Tabriz
Quarterly Journal of Applied Theories of Economics
2423-6586
2
4
2017
02
19
Design of Early Warning System for Predicting Exposure to Failure Time of Banks
119
144
FA
Azam
Ahmadyan
0000000308238171
Researcher in Monetary and Banking Research Institute of Iran
azam_ahmadyan@yahoo.com
<br /><span style="color: #444444; font-family: 'Times New Roman','serif'; font-size: 12pt; mso-bidi-language: FA; mso-fareast-font-family: 'Times New Roman'; mso-ascii-theme-font: major-bidi; mso-hansi-theme-font: major-bidi; mso-bidi-theme-font: major-bidi;">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</span><span><span style="color: #222222; font-family: 'Times New Roman','serif'; font-size: 12pt; mso-ascii-theme-font: major-bidi; mso-hansi-theme-font: major-bidi; mso-bidi-theme-font: major-bidi; mso-ansi-language: EN;" lang="EN"> leading variable that </span></span><span style="color: #444444; font-family: 'Times New Roman','serif'; font-size: 12pt; mso-bidi-language: FA; mso-fareast-font-family: 'Times New Roman'; mso-ascii-theme-font: major-bidi; mso-hansi-theme-font: major-bidi; mso-bidi-theme-font: major-bidi;">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.</span> <br />
Kaplan-Meier,Cox hazard model,Survival analysis,Insolvency,Early Warning System
https://ecoj.tabrizu.ac.ir/article_4737.html
https://ecoj.tabrizu.ac.ir/article_4737_b04bcb2342fa2763b2cae028071b3e1b.pdf
University of Tabriz
Quarterly Journal of Applied Theories of Economics
2423-6586
2
4
2016
02
20
Determinants of CO2 Emissions in Developing Countries using Bayesian Econometric Approach
145
168
FA
Alireza
Tamizi
Assistant Professor of Economics, Payam Noor University
al_tamizi@yahoo.com
<span style="color: black; font-family: 'Times New Roman','serif'; font-size: 12pt; mso-bidi-font-family: 'B Nazanin'; mso-themecolor: text1;">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.</span>
Pollution,CO2 emissions,Environment,Environmental Kuznets Curve (EKC),Bayesian Model Averaging (BMA)
https://ecoj.tabrizu.ac.ir/article_4755.html
https://ecoj.tabrizu.ac.ir/article_4755_7dc5ddd2e4b14ec88886e3f4a01a01d5.pdf
University of Tabriz
Quarterly Journal of Applied Theories of Economics
2423-6586
2
4
2016
02
20
Coordination of Methodology and Subject in Economics: A Philosophical Approach for Islamic Economics
169
197
FA
Ataollah
Rafiei Atani
Assistant Professor of Economics, Iran University of Science and Technology
rafieiatani@iust.ac.ir
<span style="font-size: medium;"><span style="font-family: Times New Roman;"><span style="color: black; mso-ascii-font-family: 'Times New Roman'; mso-hansi-font-family: 'Times New Roman'; mso-bidi-font-family: 'Times New Roman'; mso-ascii-theme-font: major-bidi; mso-hansi-theme-font: major-bidi; mso-bidi-theme-font: major-bidi; mso-themecolor: text1;">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. </span><span>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.</span></span></span>
Subject of economics,Method of conventional economics,Islamic economics,method of Islamic economics
https://ecoj.tabrizu.ac.ir/article_4750.html
https://ecoj.tabrizu.ac.ir/article_4750_fffa6177cf531ee1f775a988582df6b6.pdf