فصلنامه پژوهش های اقتصادی ایران
پیاپی 58 (بهار 1393)

Using a New Keynesian dynamic stochastic general equilibrium of Iran with price rigidity and imperfect markets, this paper shows how different stochastic shocks affect main macroeconomic variables in presence of variety of reaction functions. In this way, we compare the response of those variables to the shocks in baseline scenario (which the government does not perform any reaction) with an alternative; when government reacts counter-cyclically through back ward looking fiscal rules. Our findings was in favor of active counter-cyclical fiscal policy, by showing that the deviations from target values decrease when government reacts actively.

The objective of this paper is to estimate and analyze market power and degree of concentration in Iran's Manufacturing industries. The paper employs Inter-industry Variability function of profit margin approach and U-Davies in order to evaluate degree of industrial concentration. The finding indicates that elasticity of inequality distribution for market share in the industries is less than 0.5 and therefore it is understood that the market share of the industry is almost sensitive relative to the new entry firms. The results also demonstrate that the average value of the U-Davies concentration index for the manufacturing industries is 0.038, so that the manufacturing of tobacco products with 0.616 and manufacturing of plastic products along with manufacturing of other non-metallic mineral products have had the highest and lowest levels of concentration index respectively.

In the area of monetary policy, interest rate is regarded as a direct monetary instrument and required reserve ratio is as an indirect monetary instrument which in Iran, they are enforced by the monetary authorities to the banking system and will affect its behavior. In this paper, we study the balance sheet effects of the two policies using financial statements data of banking system, System of National Accounts and New Keynesian Stochastic Dynamic General Equilibrium model taking advantage of the statistics for the period 1981-2012. Calibration methodology is used to compute the parameters of DSGE model. We analysis Impulse Response functions and the first and second moments. Results show that an interest rate positive shock by one standard deviation causes the deposits and loans to be, respectively, about 8 and 25 percent higher than the steady state. On the other hand, a positive shock of required reserve ratio by one standard deviation has an impact opposite to the effect of an increase in banking interest rate on the balance sheet. Hence, the consequence of a positive interest rate shock is an increase in output and reduction in inflation and the consequence of shock relative to the required reserve ratio is a decrease in output and an increase in inflation.

There are several methods of updating input-output coefficient matrix in last six decades, but there are still issues about RAS and adjusted RAS methods which have been focus of input-output analysts in recent years. One challenging issue is the relationship between more exogenous, superior or additional information of target year in adjusted RAS method and its statistical reduction error relative to conventional RAS method in updating the input-output coefficient matrix. Some analysts observe the positive relationship, whereas others by focusing on the nature and criteria of exogenous information opine that using more exogenous information in the adjusted RAS will not necessarily reduce the statistical errors compared to conventional RAS method. The existing evidence in Iran is around the findings of the positive relationship which has in fact lead to the common belief between compilers and also users of table in Iran. In this article we attempt to examine this issue by means of two symmetric input-output tables of the years 1996 & 2001 by posing two main questions. The first question: Is there any relationship between more exogenous information in adjusted RAS method compared to conventional RAS method in reducing statistical errors? Second question: Do the nature and criteria of more exogenous information, irrespective of more or less cells; have an influence on increase or reduction of statistical errors in updating coefficients? Our findings do not support the existing common belief among the compilers and users of Input-Output Table in Iran and reveal the followings: 1- The adjusted RAS method, in some of exogenous information, is not preferable to conventional RAS method. 2: Measurement of credibility of updated coefficients depends on choice of the nature and criteria of exogenous information, and 3: Using more exogenous information of the target year would not necessarily lead to decrease of statistical errors in the updated coefficients.

The main objective of this paper is to study the effect of government size and good governance on human development in different countries in 2000, 2005 and 2010. For this purpose, geographical weighted regression (adaptive spatial kernels) was used for data analysis considering significance of Moran statistic and spatial correlation of Human Development Index. Results (obtained utilizing ArcGis 9.3 software) indicate that on average, government size and good governance have an overall positive impact on human development index. Specifically, the effect of government size shows a decline between 2000, 2005 and 2010, whereas, the effect of good governance shows an increase from 2000 to 2005 and a decline from 2005 to 2010 respectively. In the case of Iran, findings indicate that regional impact coefficient of government size is positive in 2000 and 2005, while it is negative in 2010. The effect of good governance in Iran is positive with an increase in effect intensity. We also analyzed the effects of government size and good governance specifically on four groups of countries in terms of the level of development.

In this paper, the effect of trade volume on TEPIX index is investigated based on bull and bear cycles of Tehran stock Exchange (TSE) using nonlinear Markov-Switching model. In this regards, monthly data of TEPIX and trade volume of TSE is used for the period of the first month of 1381 to the ninth month of 1391. The results show that, there is significant nonlinear relationship between trade volume and TEPIX index. Trade volume has positive and significant impacts on TEPIX in both bull and bear regimes but these effects is higher in bull regime. Based on the results, it is expected that increase in trade volume leads to growth in TEPIX index in both bull and bear regimes. However, comparing results with historical evidences shows that Markov-switching model properly fits the bull and bear cycles of TSE. On the other hand, the results of Robustness tests emphasis adequacy and good performance of Markov-Switching model. Based on MAE criterion, the Markov-Switching model has more accurate performance for in-sample fitting and out-of-sample forecasting than ARIMA and VAR models.

Undoubtedly, new developments in information and trading technologies have increased the integration of international financial markets in the world. This in turn has generated interest in examining the volatility transmission of financial market across markets. In this paper, we investigate the co-movements and volatility transmission among the three important oil, gold and US dollar/euro exchange rate markets. Using weekly data from 1995 to 2012, we estimate a VAR-ABEKK-Mean model and find the evidence of return and volatility spillovers among the three markets. More specifically, we find strong evidence of significant transmission volatility from the oil market to the two other markets. We also show that the transmission of information is asymmetric among the three markets. In this regard, the bad news of an increase in oil prices appears to be more influential than news of a decline in its value for investors in gold and exchange rate markets.