dynamic panel data model

This article models and forecasts the domestic and exports demand  of products of Persian Gulf Petrochemical Industries Company (PGPIC) using a dynamic panel data model. The model is estimated using GMM method and domestic and export price index, the quantity demanded ​​of the company's products, the global price index of alternative products and the income of demandant companies for the PGPIC's products during the period 2004-2017. The price and income elasticity of demand for domestic demand function are -2.13 and 0.20, respectively indicating that domestic demand of the company’s products are elastic and necessary normal goods and there are substitutes for them. For the export demand function, the income elasticity of demand is 2.39 showing that the company's products are normal and luxurious goods for foreigners and there are more substitutes for PGPIC’s products in export markets. In order to maximize the company's revenue, lower prices should be applied to its products in the domestic and export markets. Also, the forecasting results of total domestic and foreign demand of the PGPIC’s petrochemical products indicates an increasing trend in the coming years.Therefore, appropriate planning should be done to provide necessary infrastructure to increase production capacity in the Persian Gulf Petrochemical Company.

Capital goods are the main elements for the creation and diffusion of technology, increasing productivity, and improving technology in both manufacturing and non-manufacturing sectors, but since the production of these goods is cost intensive or unavailable in most developing economies, global knowledge spillover is an appropriate alternative for domestic R&D. Therefore, the import of capital goods from developed countries and these technological spillovers will lead to cost reduction and increase the export competiveness of domestic firms. Accordingly, this article examines the impact of the import of capital goods along with the other effective factors on Iranian manufacturing exports at the 2-digit level of ISIC code (Rev4) by using the dynamic panel data model and the Difference and System GMM (generalized method-of-moments) from 2012 to 2019. The results indicate that the capital goods import has a positive and significant impact on the aggregate manufacturing export with a probability of 0.009% as a 1 percent increase in imports of capital goods leads to a 0.05 percent increase in Iran's industrial exports.

Generally, investment in new technology through foreign direct investment or import of capital goods can lead to decrease energy intensity. Hence, the main purpose of this study is to evaluate and compare the effect of foreign direct investment and import of capital goods on energy intensity of Iranian economic sectors. In this regard, disaggregated data for the sectors of agriculture, transportation, industry, and mine have been used during 1993-2018 and the model has been estimated by Arellano and Bond method. Other than two above mentioned variables, energy price index, value added and its square, trade openness, producer price index and exchange rate have been used as explanatory variables. The results show that the lag of foreign direct investment has significant and negative effect on energy intensity in economic sectors, while import of capital goods has no significant effect and even the lag of this variable has increased it. Moreover, value added, energy price index and trade openness have negative relation with energy intensity. Finally, producer price index and exchange rate have positive relation with energy intensity. Hence, absorption of foreign direct investment than import of capital goods is important to reduce energy intensity in Iranian economic sectors.

In recent years, strengthening the economy and its impact on economic performance has attracted the attention of a group of economic researchers.  On the other hand, for many years, economists have concluded that the quality of institutions and good governance can play important roles in the economic performance of countries. Since economic risks may affect the level of GDP significantly, this paper aims to examine the vulnerability effect of GDP in selected countries of OPEC. It also investigates the ability of good governance in reducing the negative effects of the vulnerability on the GDP. For this purpose, a dynamic panel data model is estimated using generalized method of moments (GMM) over the period 2002 to 2013. The results show that the vulnerability has negative and significant effect on GDP, and good governance can help the countries to reduce these negative effects and may play essential role in strengthening of such economies.

Energy carriers including elasticity play central roles in development of societies. In this paper, we estimate residential electricity demand among the selected counties of Tehran province, i.e., Tehran, Varamin, Firouzkooh, Damavand, using dynamic panel data model over the period 2000- 2014. The most effective variables which explain demand for residential electricity are per capita income, natural gas real price, weather coldness and hotness index and electricity real price. The estimation results of the short run model reveal that demand for electricity decreases by 0.42 percent for one percent increase in electricity real price. The price of substitute energy carrier such as natural gas is of low effect on electricity demand. There is a positive and significant relationship between electricity demand and household's income. The last period electricity demand is the key effective factor in explaining the current electricity demand with a coefficient of 0.65. The estimation results of the long run model show that one percent change in electricity price changes the demand for electricity by -1.2 percent. In addition, demand for electricity increases by 0.1 percent with one percent increase in income.

This paper examines the relationship between financial stability and macroeconomics variables and banking concentration in Iranian banking system for the period 1385-1393 (2006-2014).
In this study, Herfindal-Hirschman index (HHI) as a concenteration index and inverted non-performing loans ratio are used to measure banking concentration and financial stability respectively. In addition, inflation rate, GDP growth rate, bank lending rate and market share are considered as macroeconomics variables. In order to estimate the relationship, a balanced dynamic panel with generalized method of moments (GMM) is used. The result indicates that the banking concentration,inflation, GDP growth rate, interest rate and market share has a statistically significant impact on non-performing loans and therefore on the Bank's financial stability.

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.

Despite the weakness of structural models in determination exchange rate movements, observations show it responds to some fundamental variables. Due to growing foreign sector in most economies, recent studies pay special attention to terms of trade (TOT) effect on exchange rate. This study deals structural model of real exchange rate (RER) between the 70 currencies during the period of 1980-2013 in panel data model. Empirical micro-founded model are based on general equilibrium method. Static and dynamic models have confirmed TOT impact on RER, one percent increases in TOT increase RER by 0.167 percent. Engle-Granger and Sims tests show causality is from TOT to RER. Other variables such as trade balance, real interest rate and technological progress influenced RER. Estimation of Oil and non-oil countries models suggest that exchange rate, against non-oil countries, has a significant impact on RER in oil producing countries. So controlling the supply foreign exchange reserves in oil producing countries, despite lacking the same resources in the non-oil countries, makes it reasonable.

Economists believe that except the commitment of central bank about price stability, this institution should consider some arrangements for financial stability in macro level of economic. However, financial stability leads to smoothly and uniformly performance in different parts of financial system such as financial institutions, markets and system of financial pay off (Cihak, 2007; Oosterloo and De Haan, 2004). Moreover, the major parts of economic literatute have emphasized on central bank independence rather than price stability. Available studies discus that in addition to the price stability, the dependence of central bank leads to financial stability, so that regulatory and supervisory independence are necessary to achieve and maintain stability in financial sector of economic (Klomp and De Haan, 2009; Meade and Crowe, 2007; Cukierman, 2008).This study tries to evaluate the relation between the dependence of central bank and some indices of financial stability using a dynamic panel data model during 1980-2012 in selected emerging market countries (namely are Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Morocco, Peru, Philippine, Russia, South Africa, Thailand, Turkey and Iran). In the paper, different types of financial instability indices have been used which have been divided in three categories. The first category is as banking system indices (including change in ratio of bank liabilities to GDP, change in ratio of bank liquid reserves to bank assets, change in ratio of bank capital to assets, change in domestic credit provided by banking sector (% of GDP) and change in domestic credit to private sector (% of GDP)), the second is as risk and return indices (including change in real interest rate, change in interest rate spread and change in risk premium on lending) and the third is monetary authorities indices (including change of money and quasi money (M2) to GDP and change in net foreign assets to GDP). The macroeconiomic control variables are the inflation rate, the economic growth rate, the change in exchange rate and the shocks of term on trade. Moreover gross domestic product per capita to mesure the differences in development level of countries, the budget deficit as an influent variable on central bank independence, the financial liberalization since of its role on risk of financial instutions and the insurance of deposits have been includeed to model. Also to consider the effect of globalization on financial instability, this variable has been added to model which may have positive or negative sign dependent on quality of golobalization phenomenon. Finally the net financial flows as a represenetive variable for international capital flows phenomena (including bonanza, sudden stop and capital flight) has been added to model which can consider the vulnerability of financial sytem to this outcomes.The estimated results show that the dependence variable of central bank including political, economic and overall dependence variables, lead to decrease the financial instability in selected emerging market countries. Moreover, for other control variables, the theoretical expectations have been confirmed where the relationship between economic growth and financial instability is negative and the movements in term of trade, exchang rate and inflation lead to financial instability. Also the coefficient of budeget deficit shows that there is a direct link between rasie in budget deficit and financial instability via its effects on regularity of central bank. According to results, the insurance of deposit is a way which policy makers can control financial istability. Finally the effects of globalization on financial istability is positive which the phenomenon can arise some difficulties for emertging market economies.As a policy implication for Iranian economy based on estimated results of model: i) the independence of central bank is critical for Iranian economy to stabilize the dynamic financial system, ii) the regular and sytematinc fiscal policies are necessitate for financial stability in Iranian econmy, iii) introducing new financial instruments and derivates such as deposit insurance are vital for financial stability in Islamic Banking and finally, iiii) as a buffering element for unfavorable effects of globalization on financial instability, the independence of central bank is determinant too.

One of the factors affecting foreign direct investment is the ease of doing business. The world bank’s doing business report provides the indices of the ease of doing business. These indices measure the difficulty, costs and time it would take a standardized mid-sized company to start the business, deal with construction permits, register property, get credit, pay taxes, import and export goods, enforce contracts and complete the bankruptcy process. It also measures the level of protection for investors. Inappropriate doing business decrease inflows of FDI because it increases production cost, increases risk of starting a new business, inappropriate size of the company, reduces the interactions between companies and reduces the financial participations. Thus, the aim of this article is to analyze the effects of doing business on foreign direct investment by using Dynamic Panel Data model for 29 countries over the period 2003-2012. The results show that improved political stability, control of corruption, economic globalization, starting a business, protecting minority investors, enforcing contracts, closing a business, paying taxes and gross domestic product increase foreign direct investment flows.

The economic distance refers to the ease or difficulty for goods، services، labor، capital، information، and ideas to traverse space. This variable affects the regional economic growth through influencing location of firms، knowledge spillover and market size. This paper examines the effects of economic distance on regional economic growth by using Dynamic Panel Data model for 28 provinces of Iran over the period 2000-2009. The results show that economic distance has negative effect on regional economic growth.

Emigration is such an important topic that has been attained a lot of interest especially in the last three decades. According to the statistics announced by the United Nations، outbound emigrants in recent years have been far from inbound emigrants in Iran. Therefore، investigating the role of various main determinants in the flow of outbound emigrants is so important and could be considered in order to make a policy for emigration control. In this study، we have made an indicator named quality of life by using factor analysis. Afterwards، the effect of quality of life indicator in addition to the other considered variables which investigate the economic and politic factors on emigrating from Iran to the selected OECD countries have been studied between 2002-2011 by the augmented gravity model and dynamic panel data. The results of this study indicate that quality of life، institutional and political factors have the greatest effects on emigrants respectively. In addition، the lag of emigration has positive and important effect on emigration and with increasing the distance the quantity of the Iranian emigrant will be decreased.