پژوهشنامه اقتصادی
پیاپی 62 (پاییز 1395)

In the mixed economic and natural resource domain, transactions on commodities, services and natural resources (water and land) are in either visible or invisible (hidden) layers. The prevailing monetary systems of macro and sectoral accounting take into account only market transactions and therefore neglect invisible transactions like intersectoral water consumption. Such a deficiency provides the ground for policymaking and water resource management to focus their attention on the aggregate data, e.g. agriculture consumes directly more than 90 percent of the total water resources. In this paper, on the basis of the extended Input – Output model, we use two approaches; namely: quantity and mixed quantity–value approaches. By using the aggregated quantity-value based Input – Output table and corresponding sectoral consumption of water (billion liters) for the year 1990, we found that sectoral water consumption multipliers and the intersectoral water consumption provide more suitable criteria for policy implications as well as for managing the consumption of water resources of the country. In addition, the agro-based industries have the largest water consumption multipliers. With respect to the hidden layer of intersectoral water consumption we found that agriculture sector supplies 92.5 percent of the total water resources while demanding 58 percent of these resources.

The stateof bankrupcy and losses incurred by many banks in recent global financial crisis has doubled the importance of paying attention to the liquidity of banks as an indicator of health and stability of banking systems. In addition, due to dependence of banking system's performance on economic variables at the macro level, with a consideration on intermediatory function of banks and role of macroeconomic instability in creating financial system instability, which influences bank's performance and activity, studying the stability and health of the banking system has become more important. Therefore the purpose of this study is to evaluate the impact of macroeconomic fluctuations on liquidity risk of bank. Using GARCH and EGARCH models, panel data, the effects of macroeconomic fluctuations on liquidity risk of banks in Iran is studied by using quarterly data of 14 largest banks of the country during 2006:2-2014:1. The results show that fluctuations in GDP, inflation, exchange rate and stock price index as most important macroeconomic variables have significant effects on liquidity risk of banks. Therefore, higher fluctuations in Iranian economy can result in shortages of liquidity in banks and changing composition of bank deposits and eventually exposing banks to higher liquidity risks.

The purpose of this paper is to study the welfare cost of inflation in Iranian economy by using dynamic models. An increase in inflation rate makes individuals to increase their desired level of real balance which in turn leads to an increase in the transaction cost and a decrease in the resources allocated to production of consumption goods. This issue can be analysed as the welfare cost of inflation. To reach that end, we first estimate the money demand function. The estimation is based on cointegration and dynamic least square model (DOLS). The estimation of money demand function is done with the aim of extracting parameters of income and productivity elasticity, parameter of money demand sensitivity to inflation. This estimation has been carried out by applying both static and dynamic models. In the static model, for an inflation rate of 10 percent, the welfare cost of inflation as a portion of income is 36.5 and for a dynamic model, it is 35.4. The results indicate that the central bank policies which have led to a reduction in the rate of inflation have had sufficiently reduced the welfare costs of inflation and this inflation rate is close to its Friedman-Rule value.

The purpose of this study is to investigate the effects of macroeconomic and bank-specific factors on non-performing loans for the period of 2005 to 2013. A dynamic panel data model is used in 18 banks and to assess non-performing loan, the ratio of non-performing loans to all granted loans has been utilized. The results of Generalized Method of Moments (GMM) indicate that among all considered macroeconomic variables, economic growth has a negative effect, the gap between real interest rate in informal market and the real interest rate in formal market and also exchange volatility have positive effect on the ratio of NPLs to all granted loans. The results of bank-specific factors show that capital adequacy ratio, deposit to expenditure ratio, as an indication of economic efficiency, and share of each bank in total loans granted, as a proxy for bank's size, all have a significant negative influence on non-performing loans. The result confirms that “Bad Management hypothesis”, in which the increase of total expenditure efficiency leads to reduction in non-performing loans and “Market Strength and Stability hypothesis”, in which the banks with higher market power has less due date non-performing loans are both confirmed.

Recent decade was undoubtedly a uniqe one for the banking and financial sector in Iranian economy. Stock market index was breaking records now and then, new credit institutions were established one after another, and different banks were competing in raising their interest rates of deposits. Put this story alongside an unprecedented bubble in construction sector in years 2006 and 2007, and we can realize that real sectors of the economy, specially industry and agriculture, were in what circumstances. Whatever is our definition of development and whatever is our index for measuring it, we cannot deny the fact that the reliable development is the one which is balanced and can cause growth in all sectors in a homogeneous and proportional way. One of important factors in analysing the situation of these sectors, is the credit ranking and grading that they have been able to get based on their performance from banking and financial system. Therefore, measuring credit risk in these sectors can make a good impression on their performance for policy-makers in each sector and economist involved with the issue. In this paper, we are going to calculate and analyze credit risk in different sectors of Iranian economy, namely “industry”, “agriculture” and “services and housing” sectors by analysing companies accepted in Stock Exchange and OTC markets. Some of the results of this study are high volatility and declining credit risk in industry sector, high and growing volatility in services and housing sector, and low volatility but very high average and declining trend in agriculture sector.

While the human capital theory introduces higher education as a factor of productivity enhancement of labor force, but, by contrast, the filter theory denies this idea. The former contends that education as a whole phenomenon is an investment in human beings that enhances their productivity. On the other hand, the latter claims that education exclusively in higher levels has no impact on labor productivity because higher education is irrelevant to productive potency. The aim of this paper is to investigate that challenge. Since the industry sector is the most important sector of any economy and its reliance on university graduates is very high, the viewpoint of two opponent theories is tested by using the data on Iranian industries in period 2003-2011. Findings suggest that proportional increase of university graduates leads to higher levels of productivity. This observation is specifically perceived in BA (BS) and MA (MS) levels but not in PhD level.

Generally, transportation costs are one of the important factors on trade flows. This variable is affected by the distance between countries as well as type of traded goods by international transit network. By using a nonlinear gravity model and Poisson-Pseudo maximum likelihood method, this study tries to investigate the effects of these factors as border effects on Iranian trade flows with its 30 major partners during 1992-2014. The results show that except for third group of goods (animal or vegetable fats and oils), import, export and total trade of the other 20 groups of goods have been negatively affected by distance between Iran and its partners and border effects have had an important role in this regard. Twenty-first group (Works of art, collector’s pieces and antiques), first group (live animal and animal products) and seventh group (plastic and rubber) for import flow of goods, first group, tenth group (Pulp of wood or of other fibrous cellulosic material; recovered) and twelfth group (Footwear, headgear, sun umbrellas, walking – sticks, whips, riding - crops) for export flow of goods and finally twenty-first, first and seventh groups for trade flow of goods have respectively been influenced more by distance.