فصلنامه پژوهش های اقتصادی ایران
پیاپی 82 (بهار 1399)

The IMF reports that, over 60% of foreign trade income and 40% of government revenue of Iran comes from the oil and gas sectors, which has always been a source of volatilities in the economy. The imposed sanctions on the Iranian economy also influence economic activities by reducing currency earnings and restricting access to capital and intermediaries goods. Understanding extent of the shocks’ effects of sanctions and fluctuations in oil revenue, are key factors for the policymakers in foreseeable planning risks. In order to examine the effect of sanctions and oil price(revenue) fluctuations on the country's economy, this paper intends to quantify the effects of sanction by making use of a VARMAX GARCH-in-Mean Asymmetric BEKK model in terms of structural failure of the conditional variance. We use real non-oil GDP, Iranian heavy oil exports, exchange rates, total stock market index and sanctions index data over 1991:Q2 to 2018:Q1. The results show that a shock of oil revenue or sanctions index affects activities in all of three sectors. The increasing sanctions pressure leads to a spillover effect of uncertainty to all sectors under study and a decline in production activities and national currency depreciations; but in turn the relative share of the stock market in the portfolio of investors' choice increases. Strong evidence for asymmetric effects of impulses of sanction and oil revenue on the study sections is observed.

In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used. Different models of multivariate GARCH and various Coppola models have been used in order to estimate the volatility of the portfolio and nonlinear correlation of asset portfolio. Backtesting has been done by Kupiec, Christoffersen, Engle and Manganelli and McNeill and Ferry tests. Results show that the DCC-GARCH model by t-Student distribution compared to other competing models has the best results in estimating volatility of the asset portfolio. Also among all Copula models reviewed in this paper, t-student copula model has shown better results for estimating asset dependence. Finally, the results of backtesting of different models showed that both the DCC-GARCH model with t-Student distribution and DCC-GARCH-Copula with t-Student distribution have acceptable results in estimating VaR and ES. However, the Lopez and Blanco and Ihle tests showed that the DCC-GARCH model with t-Student distribution compared to the DCC-GARCH-Copula model with t-Student distribution gives a more accurate and efficient estimate of the VaR and ES of asset portfolios.

I International relations are full of complexities due to their multifaceted and multilateral nature. To understand decision making processes and the payoffs of their strategies, players are enabled to utilize their capabilities to impact the strategic decision payoffs. As an example of this decision structure we can refer to the international disputes and conflicts including the sanctions. The Islamic Republic of Iran’s interests in international arena have been influenced by the changing interests of the other stakeholders in the coalition of the United States sanction against Iran. In order to analyze and predict the equilibriums of the players positions in the complex international space of the sanctions, game theory, mechanism design, multi-agent systems, and artificial intelligent as new instruments of decision theory are utilized to resolve the transactions and processes influenced by the human decisions. In this research, a policy spectrum is defined according to the strategies of Iran, the United States of America and other stakeholder’s countries. Modeling and simulating the behavior of players on this continuous spectrum which includes two extremes of capitulation and confrontation shows that in the current situation, Iran’s equilibrium and dominated strategy is emphasizing the maintenance of the current agreement in JCPOA, although this position is in the lower range of the spectrum of the current agreement. In these sanctions there is a possibility of a tragedy of the commons. In order to prevent its occurrence, the results of this study imply that the dominant strategy, given that all the players are rational, is to preserve stability, security, and integrity of Iran as a regional power. In order to achieve a stable equilibrium of the game, the stakeholders try to maximize the social welfare function instead of individual participants’ payoff. The rational strategy of Iran is to stay in JCPOA, strengthening political ties with the European players, and to empower its own military and social securities.

Considering the role of creativity, innovation and entrepreneurship in economic growth and development, addressing these issues can be of particular importance. Particularly, the effect of these variables on economic growth is ambiguous and the need for empirical examination of this relationship seems to be necessary. Some studies, including Schumpeter (1947) and Roemer (1986), have highlighted the prominent role of entrepreneurship and innovation in the process of economic growth. The main purpose of this study is to investigate the effect of innovation (patent index) and entrepreneurship on the economic growth of selected countries, using GLS estimation method. For this purpose, data from 20 selected countries during the period 2001-2015 and the panel data approach have been used. The results of the model indicate that these two variables have a positive and significant effect on economic growth in the above countries ؛So that 1 percent increase in the rate of entrepreneurship and innovation (the number of patents registered) resulted in an increase of 13 and 4 percent, in the growth rate of these countries, respectively. Therefore, in the present study, creating an efficient innovation and entrepreneurship system is considered necessary to achieve appropriate economic growth.

In any society, government officials and policymakers must take well-being into consideration as it is one of the main indicators of development and also a key element of social growth and development. Evaluating economic well-being during successive, inevitable periods of boom and recession helps evaluating the effectiveness and efficiency of policies and aids economic policymakers in making better decisions. This study aimed to investigate the effects of business cycles on economic well-being index in Iran for the 1980-2016 period.  To measure well-being, the Osberg index of economic well-being was used and each component fit was assigned a weight using the Delphi method. Then, in a model suited for Iranian economy, the impact of business cycles was estimated using a gravitational search algorithm. The findings of the Delphi method indicate that economic security component has the highest weight among the four components of this index. Model evaluation revealed that business cycles are directly related to the economic well-being index, indicating that the boom and recession periods of business cycles have respectively led to the improvement and decline of economic well-being index in Iran.

Over the past three decades, Internet has been playing a major role in societies, and the rapid increase in its use reflects its impact on all aspects of the economy, including international trade. The present study intends to investigate the effect of Internet influence on Iran's goods and services trade with its largest trading partners. For this purpose, the fuzzy regression method was applied to investigate the relationships between variables from 1995 to 2016. In the present study three experimental models: 1) the effect of Internet influence on all goods trade and services of Iran with trading partners; 2) the effect of Internet influence on the Iranian goods export and services to trading partners; and 3) the effect of Internet influence on the Iranian goods import and services from commercial partners, within the framework of the modified gravity model are estimated. The results show that in all the three models, the variables of Internet diffusion and GDP per capita of Iran and trading partners and the population of Iran have a positive effect on trade in goods and services. Also, according to the results, it was found that the population of Iran's trading partners has a positive effect on the total Iran’s trade and exports to these countries, while it has a negative effect on Iran’s goods import and services. Furthermore, the findings suggest that the effect of the variables the distance and the exchange rate between Iran and trading partners on the total trade of Iran with these countries and export to them and imports from them is negative.

Moving towards a knowledge-based economy, in which growth depends on the quantity, quality, and availability of existing information, is of great importance. The amount of technological knowledge available in a country reflects the level of development. One of the most reliable indicators for measuring the amount of technological knowledge of countries is the Economic Complexity Index. The research attempts to examine the causal relationship between the economic complexity and the components of the knowledge economy. To this end, a panel data model was used. The data consists of 113 countries over the period 2016-2006. For the knowledge economy, we used fourteen variables, which were introduced by the World Bank. By employing Principle Component Analysis, four components were calculated as indicators of the four knowledge economic pillars. Then, the Granger causality relation of these components with the economic complexity was investigated. The result shows that there is a two-way causal relationship between the components of Education, Communication and Information Technology, Economic Institution and economic complexity, and one-way causal relationship from Innovation to Economic complexity. Furthermore, the causal relationship varies among OECD and non-OECD countries.