پژوهشنامه اقتصادی
پیاپی 53 (تابستان 1393)

The present article discusses the impacts of selecting between different common auctions in electricity markets (system marginal price auction and pay as bid auction) on production efficiency, total efficiency and average expected price in an asymmetric information situation, where each player’s information about the marginal cost of the competitor is incomplete. A simple model is designed to conduct the comparative study of alternative auction mechanisms. The model is based on two profit maximizing players, with full information about their own marginal cost and incomplete information about their competitor. Assumptions which have been used to construct the model are based on Iran’s electricity market structure. The outcome indicates that although players bid functions in alternative auction mechanism differ from each other, the production efficiency, total efficiency and the average expected price are equivalent.

The long time passed since the commencement of globalization process has caused those countries who were not seeking achievement of a free market within the framework globalization to take benefit from regional-orientation as a solution for their foreign trade, as regional-oriented free market, is both cheaper and more accessible than globalization. This study tries to analyze the factors affecting the Iran economic convergence with the EU, D8, OIC, ECO, GCC, and ASEAN by using data over the period 1995-2009 based on the dynamic panel approach and the GMM method. In order to explain the bilateral trade between Iran and its trading partners, a gravity model has been used through revising the recent studies with a new emphasis. Based on the study findings, the Iran’s trade flow follows the Linder theory based on existence of a positive relationship between bilateral trade and income convergence. Meanwhile, the model estimations indicate that the economic size, income per capita and direct foreign investment have significantly direct effects on Iran’s bilateral trade flows with the selected regional blocks, while the distance has significantly affected such trade relations reversely.

As economic integration in East Asia progresses, trade patterns within region are displaying an ever–greater complexity. Although inter–industry trade still accounts for the majority, its share in overall trade is declining. Instead, intra–industry trade (IIT), which can be further divided into horizontal IIT (HIIT) and vertical IIT (VIIT) is growing in importance. In this paper, we set out and examine different kinds of intra-industry trade between Iran and G-8 member states by comparing the Greenway, Hine and Milner (1994) and Fontagne and Freudenberg (1997) approaches to disentangling vertical and horizontal intra–industry trade. Then we introduce and examine a new index from Azhar and Elliott to define product quality types between Iran and G-8 members for the time of 2001-2009. Result shows that a significant share of Iran’s industry trade with G-8 state members has been assigned to vertical intra industry trade. With regarded to Azhar and Elliott index, the main share of intra-industry trade consists of low quality goods.

The budget deficit policy is one of the fiscal policy instruments for eliminating the shortage of government revenues and achieving targeted economic growth in many countries. In recent years, for various economic problems in Iran, governments get some parts of the budget deficit from different sources. Foreign borrowing is one of the sources of deficit financing and the ways of using it may have positive and negative effects on economic growth. In this paper the empirical relationship between budget deficit and economic growth of Iran in the period 1980-2011 is analyzed in long and short run applying Johansen and Juselius co-integration method and vector error correction model (VECM). Results suggest that the impact of external debt on economic growth is negative and significant in the long run and short run. Thus, the optimal foreign borrowing and the other sources of deficit financing should be used for increasing employment and the high efficiency projects and the ability to pay foreign and domestic debts are necessary for achieving the targeted growth.

This study explores the effects of liquidity, government expenditure and market structure on the financial development of stock market. Analysis on seasonal data (2001/2-2011/4) is performed by using Vector Autoregressive model. Results of Granger Causality test show a strong causal relationship from government expenditures, liquidity and market structure on financial development of stock market. Also, the analysis of Impulse-Response function indicates a statistically positive and significant effect of market structure shock on financial development index for 5 terms. However, government expenditures and liquidity growth shock don’t have any statistically significant effect on it. Also, results of variance decomposition show that market structure shocks explain 48 percent of variance in financial development index, and 34 percent of variance of itself, in the long-run. However, liquidity and government expenditures growth don’t show any statistically significant effect.

In this study, overall index of Tehran Stock Exchange is modeled by Heston stochastic differential equations and its performance is measured. To do this, after a brief introduction of stochastic differential equations, Heston model is explained in more detail and parameters of this model based on the data of Tehran Stock Exchange overall index is estimated. In this way, Fokker-Plank theorem is used to find probability distribution function of Heston model and Gauss-Hermit method is used to estimate an indefinite integral. Finally we calculate value at risk of Tehran Stock Exchange overall index by Monte Carlo methods based on Heston model and we compare this with Geometric Brownian model as a widely used model by means of back test approach. These tests show superior performance of Heston model.

An appropriate solution to resolve trade deficit is national currency devaluation. This policy is, at least in the long term, useful. It is based on the logic that any devaluation of national currency in the form of market mechanism reduces the trade deficit. On the other hand the trade balance of countries are affected by several factors including the international financial conditions that change the volume of international transactions and in this way affect the economy as a whole and trade balance in particular. The purpose of this paper is to study the factors affecting trade balance between Iran and her ten trading partners with considerations of the financial crisis index as a symbol of the international financial conditions. For this purpose, a time series is specified and then estimated by ARDL and error correction model (ECM) for the period of 1981-2009. Also the effects of the financial crisis on trade balance using Impulse Response Functions are considered.The results show that J curve is only confirmed for the bilateral trade of Iran with China and Italy and for the other countries, with consideration of the financial crisis, this hypothesis is rejected. It should be noted that all coefficients are stable with respect to the CUSUM and CUSUMQ tests.