mohammad reza monjazeb

One of the consequences of the uneven growth of housing in big cities is the effects of housing overflow to neighboring provinces and regions. With the increasing growth of housing in megacities and areas where there is a concentration of wealth and capital, it causes many complications in those areas. These effects make measures and laws to be established through the government to repair the negative effects of development. In general, the creation of new laws to prevent social and environmental damage, as well as the unconventional growth of housing prices, provides the basis for the overflow of housing to the neighboring provinces. Apart from housing, all industries related to housing are also affected and these industries are also forced to move their companies to neighboring provinces. These factors are the indirect effects of the uneven development of housing in the centers of power and wealth, which sometimes creates rapid growth in neighboring areas. Therefore, in this research, an attempt has been made to calculate the overflow of housing supply in selected provinces. For this purpose, the variables of housing supply, used housing right-of-way, housing price and gross domestic product have been used. The studied period is from 1386-1400 and includes the rich provinces (Tehran, Isfahan, Razavi Khorasan, East Azerbaijan, West Azerbaijan, Fars, Mazandaran, Gilan, Alborz and Khuzestan) and non-rich provinces (South Khorasan, Ilam, Kohgiluyeh and Boyer Ahmad, Chaharmahal and Bakhtiari, North Khorasan). Semnan, Sistan and Baluchestan, Kurdistan, Lorestan and Yazd). The data analysis method is spatial panel.

Military expenditure is a key variable in various economic growth models, and its effects can vary depending on different conditions. However, there is no general consensus regarding the relationship between defense spending, economic growth, and other macroeconomic variables. Considering the significance role of defense expenditures for ensuring of a nation's security, it is essential to examine its impact on various economic sectors. This study aims to explore the relationship between defense expenditures and macroeconomic variables in Iran over the period 1980-2022, using the vector autoregression (VAR) technique and the Toda-Yamamoto causality test. The analysis examines the relationship between defense spending and several key economic variables, including economic growth, inflation, trade balance, employment, and imports. The results obtained from the causality test point towards a bi-directional causality between defense spending and economic growth, whilst, on the other hand, a uni-directional causality exists from defense spending to employment. The study did not find a causal relationship between defense expenditure and trade balance, inflation, or imports. Additionally, the reaction functions indicate that a positive shock in military spending can lead to an increase in economic growth, imports, and employment, whilst causing a decrease in inflation and trade balance in subsequent periods.

Housing price fluctuations in Iran during the last two decades have been one of the main challenges of the housing market. In one period, there has been a significant increase in housing prices, and in another period, housing prices have been reduced or very stable. Fluctuations have caused many changes in the housing sector and in the entire economy. Therefore, it is necessary to identify the shocks affecting the Iranian housing market and compare the amount of the existing bubble compared to the global housing bubble. In this research, an attempt has been made to calculate the real housing price bubble. For this purpose, real housing price index variables, inflation rate, real GDP per capita, unemployment rate, population and real exchange rate have been used. The studied period is annually from 2005-2022 and the sections include 42 selected countries. The data analysis method is spatial panel and Stata, Eviuse and Geoda software were used. The research results confirm the existence of a housing price bubble in Iran and 12 other countries. The amount of housing bubble in Iran is reported to be lower than other bubble countries

This research is carried out to the GARCH-MIDAS model which is used with the aim of compensating for the shortcoming of conventional GARCH models; i.e., relying on symmetry in data frequency. Therefore, the advantage of GARCH-MIDAS model to GARCH models and of course other time series models is the combination of data that have different frequencies. For this purpose, stock returns are modeled based on a combination of daily and weekly volatility. Besides, the Quantile model is also one of the new models that focuses on the entire distribution instead of different frequencies, thereby does regression based on the distribution of the entire data and is not based on the characteristic of the normal distribution. The problem of the current research was formed from this difference between Garch-Midas and Quantile model, and the organization of the research was formed based on it. After describing the problem and assumptions in the first chapter, a review of the theoretical and empirical literature of the research was carried out, and in the third and fourth chapters, the research model, its description and regression were estimated. The findings of the research showed that the Garch-Midas model has a better fit than the quantile model and has a better modeling and forecast capability for the fluctuation in stock returns.

The purpose of this study is to investigate the effect of central bank interventions in the foreign exchange market on exchange rate instability in Iran. Multiple regression method has been used to estimate the research model. The GARCH model (1, 1) has also been used to estimate exchange rate volatility. The Stavarek index was used to calculate the central bank intervention index. The closer the index is to zero, the more flexible the exchange rate is and the closer the exchange rate regime is to floating. If it is one, it indicates that the currency system is completely stable, and if it is between zero and one, it indicates managed and moderate currency regimes. Finally, the closer this index is to one, the greater the degree of market intervention.The time period studied in this research is 1353 to 1396. The results show that firstly in the higher deciles there is a significant relationship between the two indicators of central bank intervention and exchange rate instability; So that from the fifth decile, the intensity increases significantly. Also, in the higher deciles, the rate of exchange rate instability is less effective than the central bank intervention index. In fact, per unit increase in central bank intervention, exchange rate volatility increases in the lower deciles less than in the lower deciles. In general, the central bank intervention index with a coefficient of 0.004 has a positive and significant effect on exchange rate instability. Given the positive effect of central bank interventions on exchange rate volatility, it is suggested that central bank intervention in the foreign exchange market be reduced and the exchange rate system should be changed from floating management to floating mode in order to determine the exchange rate according to its supply and demand by reducing inappropriate policies such as exchange rate pricing.

Certainly any investor in the housing sector will turn their attention to geographically densely populated areas. In contrast to the behavior of private housing investors, the government and the central bank, as the most effective policy-making institutions in the field of finance and monetary affairs, have a duty to balance the comprehensive development of housing between the provinces of the country. According to studies, the action of the Housing Bank in the distribution of housing priority bonds is fully consistent with population density and housing. In other words, the facilities have shifted to the principles of wealth and capital، which are considered as inappropriate policies to create a comprehensive balance in the provinces and have caused a gap in the provinces that do not have housing in the field of housing supply. In this study, an attempt has been made to calculate the housing supply gap in disadvantaged provinces. The study period is from 2007-2020 and the sections include disadvantaged provinces (South Khorasan, Ilam, Kohgiluyeh and Boyer-Ahmad, Chaharmahal and Bakhtiari, North Khorasan, Semnan, Sistan and Baluchestan, Kurdistan, Lorestan and Yazd). The method of data analysis is spatial panel. The results of the research confirm the existence of housing supply gap in disadvantaged provinces. According to these results, to compensate for the shortage of housing supply in disadvantaged provinces, the supply of housing priority bonds should increase between 73% and 304%.

This study seeks to investigate the asymmetric effect of oil price volatility on Iranian stock market returns using seasonal data from autumn 2008 to autumn 2021. For this purpose, the quantile regression model was examined in the quantiles of 0.10 (lower), 0.50 (middle), and 0.90 (higher) quantails which refer to Bearish, Normal and Bullish conditions in the stock market, respectively. The results show that the quantile estimation is not symmetrical and the positive fluctuations of oil prices in the bearish and bullish situations of the stock market have a negative and significant effect on the stock returns, and in the normal state, it does not have a significant effect on the stock returns. The effect of negative oil price fluctuations is positive and significant in all three situations of the stock market, but in the bullish situation, it has a greater effect on the stock returns than in the bearish situation. In the normal state of the stock market, oil price fluctuations should be considered symmetrically; This means that the effect of reducing oil price fluctuations is the same as the effect of its increase on the return of the Iranian stock market. Due to the fluctuating nature of oil prices in the world markets, some economic indicators of oil exporting countries, including the capital market, are subject to instability, and to predict the behavior of capital market investors, different market conditions must be analyzed differently from each other.

This study seeks to measure the degree of housing speculation in selected provinces of Iran with a spatial econometric approach, and for that porpuse, the real value time series data on land prices, housing prices, GDP and rents in 20 provinces during the period (1385-1396) is used. After examining the effects of these variables on the housing prices of the selected provinces, a fixed-effect spatial autoregression model was estimated and the degree of housing speculation in the provinces was calculated based on the gap between the average actual and the estimated prices (intrinsic value). The results indicate that housing rent and land prices have a positive effect while GDP has a negative effect on housing prices. The housing prices gap was significant for all provinces which based on that, then, the degree of speculation of the provinces was calculated. The spatial and contiguity effects of provinces on their neighbors were estimated as well, based on provinces' neighborhoods and their degree of speculation.

Nowadays with increasing environmental pollution government's attention to the concept of the green supply chain has increased. The green supply chain produces a green product that is highly environmentally friendly. The purpose is to examine the impact of government intervention on competition between chains, the environment and social welfare. This article presents three different models. In the first model the two green and non-green supply chains are competing with each other and the government is not present. In the second model, the government creates a culture to use the green supply chain and in the third model, is taxing the non-green supply chain. The objective of government is social welfare. In both models of government intervention, the game is in the form of a Stackelberg. Backward analysis method is used to solve the model. This method is a backward inference process in problems with limited steps, with the aim of obtaining optimal action in each step. MATLAB and Maple software are used for mathematical calculations and obtaining decision variables. The results show that if the government intervenes in a cultural way, environmental damage will decrease. Another result is that the conditions for increasing social welfare in the state of culture are determined. It is also possible for the green supply chain to increase its price if certain relationships are established between the parameters. In the tax collection model, if the government aims to maximize social welfare, social welfare will increase under any circumstances compared to the absence of the government.

Regional development and deprivation is one of the priorities of development programs and has been emphasized in various economic development plans of the IRAN. One of the prominent examples of this type of development is the establishment and formation of industrial companies and factories in different regions of the country. From this point of view, evaluating the experience of banks Ownership and shareholding can be useful and can be applied under conditions for some regions of the country and with a development perspective. The present paper examines the role of banks in specific companies such as cement, pharmaceuticals and chemicals and offers suggestions regarding different industries and some experiences. The purpose of study was to investigate the effect of bank equity on the performance of enterprises. this study is based on econometric analysis and using the data of 26 listed companies in the period 2009 to 2013. results shows that Bank’s shareholding have a significant and positive impact on the performance of companies, as well as the type of bank shareholders, type of industry and sanctions have different and significant impact on performance.

How many years have passed since the creation of a base volume basis in the capital market. A rule that inevitably makes pricing in place of value and determines the real price on the market. Determining the size of the base and the price of the price to prevent price fluctuations is known as one of the most important control policies of the supervisory entity in the stock market of Iran, which has been developing for several years. This policy does not provide a clear scientific basis, but in order to prevent fluctuations in stock prices, it has been widely accepted in the market every day. Of course, there are scattered criticisms. For some stocks, when creating long sales queues, for systematic reasons and excitement such as a boycott, the stock price is reduced, and this is sometimes reduced to 10 working days or more without many of the people in the queue succeeding in selling their share. . The mismatch of the fluctuating range for the daily transient price of securities transactions has created problems for reducing the stock market value of corporations, which is affected by the volatility of macroeconomic policies. Given the impossibility of short-term and medium-term policies, the fluctuation of the monetary and fiscal policies of the central bank can prevent further depreciation of the securities.

The continuous growth of the price level in Iran indicates the prices trend is rising. Short-term inflation dynamics and cyclical interaction with actual economic variables are central in macroeconomics, especially monetary policy analysis.

 METHODOLOGY

Given the importance of inflation expectations, this study examines how it is formed by considering comparative and rational inflation expectations. Since the relationship between inflation expectations and consumption has an actual application in determining economic policies, this relationship is examined during the period 1367: 1 to 1395: 4 by considering the logarithm of consumption, logarithm of income, and logarithm of inflation as the research variables. All data sets used in this study are first-order, meaning that they only need to be differentiated once to be stationary. Because among the various consumption models, Friedman has played an essential role in introducing expectations into consumption theory and has talked about hot money. His approach has been used in the model. To model invisible variables such as rational inflation expectations, space-state models that allow unobservable variables to be used both in estimating the model and estimating them in the models are used. In this regard, the Kalman-filter algorithm was used, a powerful recursive method for optimal predictions of invisible variables and efficient estimates of the parameters of space-state models based on mathematical hope. The partial adjustment method has been used to model adaptive inflation expectations. For consistent estimation, methods that consider the endogeneity of variables should be used. Also, because the variables of collaborative research are of the same order, if there is no co-integration relationship between them, their differential form should be used. According to Granger's theorem, there will be an error correction if there is a co-integration relationship between the variables. Proving the endogeneity of associations related to expectations in the economic framework and therefore due to the existence, we estimate the error correction model with the GMM method. 

The results show that the effect of rational inflation expectations on long-run consumption in the Iranian economy is positive and significant. Thus, with a one percent increase in expected inflation, consumption will increase about 6 percent, but there is no significant relationship between rational expectations and consumption in the short term. The effect of comparative inflation expectations on consumption is also positive and significant. Thus, a one percent increase in comparative expected inflation will lead to an increase in consumption of 2 percent. Because in the case of comparative expected inflation, a positive relationship between expected inflation and consumption is confirmed, so that the elasticity of consumption to expected inflation is 2%. In other words, a 1% increase in comparative expected inflation will lead to a 2% increase in consumption.  

In the practical aspect of this research, it can be said that since Iran's economy is in a state of stagflation, (1) Managing inflation expectations through an efficient communication framework with economic factors can transform the retrospective pricing system into a futuristic one and reduce the actual costs of deflation. (2) The policymaker should take measures so that the inflation expectations of the society are not intensified because this issue can stimulate inflation by intensifying consumption and increasing its total demand. Then inflation expectations spread in this direction which has happened regularly in recent years. (3) Also, due to the impact of consumption changes on aggregate demand and aggregate demand on corporate investment decisions, the attention of monetary policymakers and the central bank on controlling inflation expectations is needed more than ever due to its direct impact on consumption. In this regard, policymakers should be careful in implementing their policies not to exacerbate inflation expectations. For example, what policies to enforce (or not) and what policies to implement (or not) play a role in forming positive or negative policies destructive inflation expectations. However, in this regard, expert economic advisors should be consulted on any policy. 4- Also, anti-inflation policies that control inflation have a favorable effect on inflation expectations and are therefore recommended.

The optimization of water use will be an important issue for Iran in the coming years.  In this paper, the gap between current and optimal water use has been estimated using Spatial Durbin Model (SDM), as special case of Spatial Panel Data, for 18 selected provinces during 2003-2015.  Notable characteristic of this model in comparison with other spatial models (including SEM and SAR) is to enter spatial lags of dependent and explanatory variables in the model simultaneously. This model has been selected by Wald Test. Results show that population and income have positive effects on residential water consumption, but water tariff has negative impact on domestic water use. According to the findings, water tariff can be applied as an instrument for controlling the level of water consumption. Especially in high-consumption provinces, water pricing can be more effective in reducing water use.

Providing Optimized Banks Resource Allocation by Emphasizing on the Role of Risk management (Total Criteria Approach and Sequential Unconstrained Optimization Technique) Most important activities of banking system is capital and storage attract and then its distribution in form of loans and facilities at micro and macro- economic level. If this activity done on the base of correct plan and macroeconomic object framework, could cause different economic activity improvement and economic development. Between these issues mustn’t forget the role of risk in facilities and loans. So in this research we try to providing multi objective resource allocation model that emphasize on risk management. We present mathematical model with minimizing two objects: minimizing cost of deposits and maximizing facilities profit. For solving this model we use total criteria method by degree 2 that minimized sum squared variance. Finally we use from Sequential Unconstrained optimization Technique because of nonlinear characteristic that exist in degree 2 of total criteria method.

In recent years, the role of stock market in the economy of Iran is growing. Therefore, it is important to recognize the factors affecting to this market. Changes in the money supply can be one of this factors, so this study investigates long run Neutrality of money in the stock market of Iran. In this regard, quarterly data of monetary aggregates M1, M2 and the real stock indexes that is total index, industrial index and financial index are employed in this study over the period 1380 to 1394. Then, Hegy test was used for unit root test of seasonal data. The Fisher-Seater (FS) methodology is used to do the Neutrality test in this research. The empirical results indicated that there was long-run neutrality of money (defined as M1) with respect to all real stock indexes. Similar results were also obtained for money defined as M2. In general, the results support that money is neutral in the stock market of Iran.

Life insurance is one of the most important economic instruments. Considering the important role of life insurance, this study investigates the life insurance capability in Iran. For this purpose, the Panel ARDL model has been used. Then, for the period 1990-2016, suitable models for the first group (Iran with the leading countries in the industry), the second group (Iran with the countries that were close to Iran in premiums) and the group Third (countries in two groups) were estimated. Based on models, the fitted value of life insurance premiums per capita in Iran is analyzed and compared as the potential or optimal level in each groups. The results showed that in each group, the actual life insurance premiums per capita in Iran are significantly lower than the optimal level. The capacity level of life insurance in Iran compared with first group is 46%, and compared with second group is about 42% and compared with third group is about 44%. The results indicate that Life insurance in our country has a high potential, and a large part of the insurance capacity in our country has not yet been fully acquired.

In this research, the factors affecting on electricity gap were examined in the electricity industry in Iran using the system dynamics approach compared to the econometric method. In the framework of the electricity gap prediction model, simulation of energy demand were investigated as well as its supply and effective factors. Analysis of the problems with these systems was very complicated because it is a simulated model based on many variables, relationships, and delays between these variables. In this study, the electricity gap was analyzed in light of the supply and demand of energy and considering the market equilibrium price, and the gap value was investigated using a dynamic system model. Also, using a regression analysis and using econometric methods (ARMA and ARIMA modeling), the gap was estimated. The data were used for the years since 1383 to 1393, which was adapted from Iran Energy Balance Sheet. Simulation for a 25-year period for dynamic systems and a 35-year period for a structural model was considered. In these study, the result was that the RMSE criterio for the structural model was 0.015 and for the dynamic model 0.057, and showed that estimating the structural model is more accurate than simulation by dynamic systems. Regarding the results, dynamic modeling was with more error for data estimation and was more suitable for showing the relationship between variables (causal and causal relationships) as well as the effect of each variable on another. Therefore, in order to more accurately estimation the data, structural modeling is more appropriate with regard to the information obtained.

The main objective of this study is: investigate the effect of government size on inflation rate in the 34 countries of the developing countries during the years 1998 to 2013. For this purpose, the index of total government spending as a percentage of GDP, used as government size and then the model of this study has been estimated by using the panel data technique.
The results of this study imply that the government size has had significant negative effect on the inflation rate and also the variables: liquidity growth rate, growth rate of import price and interest rate have had positive effect on the inflation. Furthermore, the growth rate of GDP, with a difference of degree has significant negative effect on inflation. Hence, the most important result of this study is the majority of the general government- spending in Developing countries has led to the Construction costs and investment in infrastructures that has strengthened. The supply side of the economy of these Countries that The origin of this effect can be the retarded economic structures of these countries.

Stock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. This study investigates the effect of exchange rate Volatility on the stock exchange Returns of D8 countries. It takes monthly data during the period (2008:1-2015:6) constituting 90 observations. At first we used Panel-GARCH model to estimate Exchange Rate Volatility Index, and then we used Panel data method to investigate the effect of index on the stock exchange return of D8 countries. Simulation results show that exchange rate volatility affects positively and significantly on stock exchange return in four countries, namely Iran, Pakistan, Indonesia and Bangladesh. The variables of oil price, real interest rate, inflation rate, real exchange rate and gold price have been utilized for model analysis. Results show that the variables of real exchange rate and inflation rate have negative effects but oil price has positive effect on stock returns, while interest rate and gold price do not have any significant effect.

The natural gas consumption in Iran has been continuously increasing due to several reasons including low prices of natural gas, development of gas supply networks, people’s salary increase, incorrect consumption culture and the increase of national economy growth. Although, the global natural gas consumption has increased by 38% since 2001, the national consumption in Iran has increased by 118% (IEA, 2013). The subsidy paid by the Iranian government for natural gas is worth 25.5 billion dollars which is the highest in the world according to IEA reports. With regard to the social and economical benefits and drawbacks of subsidy reform plan, it was implemented in Iran in December 2010. Since the residential and commercial sectors are considered as the major natural gas consumers in the final consumption (over 46% in 2012), reducing the consumption in these sectors can play a key role in the total consumption. Thus, in this research the impacts of the subsidy reform plan on the natural gas consumption in residential and commercial sectors are examined and compared. For this purpose, a panel data is used for all Iranian provinces to examine and compare the impacts of the plan on different provinces. To examine the impact of the subsidy reform plan, a dummy variable is added, which equals zero for the seasons before implementation of the plan and equals 1 for the seasons after the implementation. The consistency of this variable in the residential sector indicates that the plan affects the household natural gas consumption.

The main objective of this study was to examine the relationship between Value at Risk (VaR) and expected returns from 2002 to 2013 in Tehran’s Stock Exchange. In this study parametric value at risk, which considers the distribution of returns as normal and the historical value at risk as abnormal, was used to test the presence of the volatility anomaly in the companies listed in Tehran’s Stock Exchange. Also, this study controlled the impact of the variables (Firm size, Book value to Market value) and the relationship between Value at Risk and expected return.
The results of the analysis of the panel data showed a significant positive relationship between the parametric VaR , historical VaR and expected returns during the period under review .The results showed that the control variables didn’t have an effect on the relationship between Value at Risk and expected returns.

The investigation of electricity consumption is one of the main issues in the energy economics literature and has been considered empiricaly in recent years. So the main aim of this paper is to estimate the optimal electricity consumption in Iranian household sector during the period of 1990-2009. For achieving this, the empirical model has been estimated by panel data for three gropus of countries including developed, developing and total countries. The results of this paper reveal that there is not a significant difference between the electricity consumption in Iran and developing countries. Moreover, the electricity consumption in Iran less than of other developed countries.

The tax capacity is one of the main concepts in public finance and provides the required information on state economic power in mobilizing the tax resources for responding the financial problems and execution of economic policies. For this purpose, the main objective of this paper is to estimate the tax capacity for oil exporting countries over the period of 1995-2008 by applying panel data approach. The summary of results indicates that the GDP per capita and trade openness are the main factors affecting the ratio of tax revenue to GDP. Also, the empirical findings of this study reveal that countries with a low share of oil exports have more Potential tax capacities. Moreover, the potential tax capacity of Iran is the same as its actual tax during the period of study.

This study investigates the association of free float and liquidity of the stock. In addition to considering any reasonable investor in making an investment return and risk criteria should also consider liquidity to be able to determine the relationship between liquidity indicators (turnover, value of transactions, number of transactions, number of days of trading and turnover trading stock) Tehran Stock Exchange with a free float of 164 companies were investigated. For this purpose, trimester data were collected from the 1391- 1385 companies. Using the combined data (panel) regression models were estimated. The results showed that all of the free float and liquidity indicators, there is a significant relationship. Given the values ​​of the estimated coefficients, in order of most to least about trading stock turnover, number of days traded, turnover, number of trades, the trades are free float variable.

Despite the implementation of the first phase of fuel subsidy targeting in December 2010, there are still debates over the economic impact of the project in Iran. A CGE model is used to analyze the impact of fuel subsidy targeting in Iran in four different scenarios. The data are used in the framework of SAM for the year 2001. In all scenarios, indirect subsidies are removed completely and replared with direct subsidies to households, manufacturing and service sectors and government institutions.­­ The findings of this paper show that the effect of fuel subsidy targeting on economic variables depends on the way this policy is implemented. We find that an increase in the income of low-income household results in an increase in the production level of basic goods. Moreover, the result shows that the mining industry, glass and other non-metallic minerals and other service sectors have comparative advantages. In all senatrios, the elimination of in direct subsidies results in stagflation. The inflation rate resulted from this policy is predicted to be between 16.1 to 21.1 percent. Furthermore, in all senariors, higher direct payments of subsidies to households are associated with higher growth and inflation rates and lower balance of payments.