جستجوی مقالات مرتبط با کلیدواژه « Panel VAR » در نشریات گروه « اقتصاد »

The status of income distribution is economically important because other macroeconomic variables, especially savings rates, affect the amount of investment and aggregate demand in different markets, and are politically a measure of government efficiency in attracting voters. The present study aims to investigate the macroeconomic variables affecting inequality in income distribution in the two groups of middle-income countries and high-income countries based on the International Monetary Fund classification. For this purpose, the annual data of economic complexity, scientific productivity, political risk, economic risk, and financial risk and the period 2019-2000 and the panel method have been used. The results show that in high-income countries, increasing economic complexity and scientific productivity reduces income inequality, while in middle-income countries, increasing scientific productivity reduces income inequality, but increasing economic complexity increases income inequality. Reducing political risk in both groups reduces income inequality; While reducing financial risk reduces income inequality in high-income countries, it increases income inequality in middle-income countries. The impact of economic risk on income inequality is also negligible in high-income countries, while in middle-income countries the impact of economic risk on income inequality is very strong, and reducing economic risk in this group of countries strongly reduces income inequality.

The value added of manufacturing activities has positive effects and side effects on the national economy. Improving productivity, increasing the complexity of economy and strengthening capital accumulation are among these consequences. Therefore, in some studies, the role of manufacturing has been interpreted as a growth engine. In addition, improving the economic conditions and per capita incomes usually increase the share of household expenditures in high-tech industrial products. This will increase the demand for factory products and possibly increase the activity of manufactures. The main purpose of this study is to investigate the relationship between the value added induced by the activity of manufacturing industries and economic growth among different countries using PVAR model. The limitation of having a consistent set of data has reduced the number of sample countries to 21. The data belongs to the years 1990-2020. The average share of manufacturing in the total production of the selected countries is 15% and the average economic growth in these countries is about 2%. The result of the study, the stability of which has also been confirmed, does not rule out the existence of a simultaneous and reciprocal relationship between the two main variables of the research. In case of a positive 10% shock in the value added of manufacturing, the economic growth of the selected countries of this study will increase by 1% after 7 years and in case of a positive 10% shock in the economic growth, the activity of manufacturing will increase by about 0.5% after 7 years. In other words, the effect of manufacturing on the economic growth is greater than the effect of the economic growth on factory activity.

The role and importance of human capital as one of the factors and resources of accelerating economic development has been considered by economic researchers for a long time and is still a challengeable subject. Many economic policies and variables affect the accumulation and level of human capital. According to the empirical researches, trade openness and structural changes are important variables affecting the human capital. However, considering the existing literature, the type of relationship among these variables may vary under different conditions and in different countries. Thus, these relationships need to be examined more precisely. Therefore, given the importance of this issue, the current study sought to examine the relations between human capital, trade openness and structural changes in the selected OPEC countries. To achieve this goal, panel vector auto-regressive approach was used in the period 1990-2019. The findings of this study and the analysis of impulse-response functions showed that the shock of structural changes on human capital was positive in the model with the average years of schooling, while the shock of trade openness on human capital was negative. Moreover, the results of variance decomposition indicated that trade openness do not play a significant role in explaining the changes of human capital in the OPEC countries even in the long run. It seems that trade openness increases the demand of primary sectors which use low-skilled labor and therefore decreases the demand for human capital.

This study aims at examining factors effective on corruption in oil producer countries using the Panel VAR method in the 1996 - 2019 period. For this, these countries have been divided into two groups of countries with high annual income and ones with low annual income. Based on the research background and reviewing theoretical bases, three factors were considered effective on the corruption index, including economical factors (economical growth and government costs to GDP ratio), social factors (Gini coefficient), and factors (democracy and bureaucracy). Results indicated that in countries with low annual income, the government costs to GDP ratio, bureaucracy, and Gini coefficient lead to increase corruption index. In contrast, in oil producer countries, with high annual income, the economic growth rate, Government costs to GDP ratio ، improving democracy and bureaucracy lead to corruption index and increasing Gini coefficient leads to increase corruption index in these countries.

Theoretical increase in the use of information technology has led to economic growth, and a strong network is a prerequisite for increasing economic growth, and also in recent years, the transformation of has played an important role in the country's economic growth and development. This paper examines the linkages between the development of telecommunications infrastructure, economic growth.

To investigate the matter, used four key indicators of operation of a macroeconomy variables: gross capital formation, foreign direct investment inflows, urbanization rates, and trade openness. By studying the MENA countries over the period 1990–2016 and employing a panel vector auto-regressive model for estimating.

Findings:

 Unexpectedly it finds the results indicate that the development of telecommunication infrastructure has a negative effect on economic growth, and economic growth has a positive and significant effect on the development of telecommunication infrastructure.

The impact of developing telecommunications infrastructure on economic growth is not significant, so policy changes need to be made. If we want to develop telecommunications infrastructure to economic growth, we need to change the relevant policies in this area.

Oil price shocks have direct and indirect impacts on the economies of oil-exporting and oil-importing countries. The direct impacts are through demand and supply channels and the indirect (spillover) impacts are through interaction between the countries. Most studies have focused on the direct effects of the oil price shocks in a specific country or a region and research works on indirect impacts are limited. In this research, the direct and indirect effects (spillover) of oil shocks on both groups of oil-exporting and oil-importing countries are estimated using a dynamic system model. The spillover effects are defined and measured by the “Trade Ratio” and “Weighted Average Economic Growth” indicators. The sample includes 30 oil-exporting and oil-importing countries with a share of 73 percent of the world’s economy. The results show that a positive oil price shock reduces economic growth in oil-importing countries and increases it in oil-exporting countries, but international trade between the oil- exporting and oil-importing countries mitigates the impact of oil shocks on economic growth of both groups.

The performance of the fiscal policy has always been one of the topics discussed in macroeconomics. The main purpose of this paper is to investigate the effect of government expenditures on the current account and the real effective exchange rate in two groups of oil and non-oil developing countries. In this regard, we used Panel VAR method and annual data during 2001-2015. Empirical findings show that the government expenditures shocks on the current account in the two groups of oil and non-oil countries is negative, leading to current account deficits, but in the long run, the current account deficit in oil countries is increasing and in non-oil countries is decreasing. The results also showed that the impact of government expenditures shocks on the real effective exchange rate in the two groups of oil and non-oil countries is different. So that the impact of government expenditures in non-oil countries in the short term will increase real effective exchange rate and in the mid and long term it will decrease, but in oil countries, the government expenditures shocks will increase the real effective exchange rate.

Interest rate is one of the most important policy variabels in macroeconomic. Global financial crises and big debt in some countries around the world, make the importance interest rate more explicitly. In the carrent study, the effect of interest rate, inflation, government investment and expenditure on GDP capita per was investigated using panel data approach. Forthermore panel VAR method was used to consider the effects of each mentioned variables on each other and investigating causality relationships between these variabls. 20 Islamic and 19 Non-Islamic countries during 1990-2014 were selected for this study. The results show that in both Islamic and Non-Islamic countries, interest and inflation rate have a significant negative effect on GDP per capita. Government investment in both groups of countries have a significant positive effect on GDP per capita. These results are inline with economic theories. Finally, government expenditures in these groups of countries have different effect on GDP per capita. also lowering interest rate Non-Islamic countries has a considerable effect on other variables.

The main objective of this study is to investigate the effects of oil prices and its volatility on economic growth in oil-exporting countries over the period 1980 to 2014 by using Panel VAR approach. The sample is divided into two groups: OPEC and non-OPEC oil-producing countries. In this study, the oil price volatility index is derived by using GARCH(1,0) model and then Its relationship with variables of inflation, real exchange rate and oil prices on economic growth in the framework of Panel VAR was investigated. The results showed that the responses of GDP growth to the shocks of oil prices and its volatility in OPEC countries had intensified, while the non-OPEC economies did not show a significant response against oil shocks. Analysis of variance decomposition also confirmed these findings. Finally, the causality test between variables showed that the existence of causality from the oil prices volatility to economic growth cannot be rejected in OPEC countries, although such a relationship in non-OPEC countries is not statistically significant.

The purpose of this study is to investigate asymmetric effects of house prices shocks on urban household consumption in Iran during the period of 1385-1393. For this purpose, by estimating the two models, effects of house price shocks on household consumption have been studied in urban households and investigating asymmetric effects with using the approach of Panel Vector Auto Regression (Panel VAR). The results of this study suggest that the effect of changes in house price on household's consumption of urban is negative and significant in provinces of Iran during the period under study. Then, the effects of asymmetric shocks of house price have shown that the positive shocks have negative and significant effect and negative shocks have positive and significant effect on household consumption. Orthogonalized Impulse response functions (OIRF) suggest that the positive impact of price shocks on consumption is more effective than negative price shocks. Generally, urban households will change saving behavior in the facing the potential gains and losses of capital. The results indicate that the saving tendency and uncertainty has been increased in urban households during this period.
Panel VAR is composed of traditional VAR, which endogenously defines all the variables in the pattern and panel data method, which imports unobservable factors in the pattern.
In this study, after examining the stationary of the pattern variables and determining the optimal lag, the stability is checked in the desired pattern. The results of the table and the study of statistics values show that the null hypothesis based on the lack of stationary of variables like consumption, housing price, positive and negative changes in housing price and urban household's income are rejected in all three tests, in the sense that all variables in the model are static.
In the case of the lag order of the tests, the minimum value in MBIC, MAIC, and MQIC standards is the first lag order. In both studied patterns, eigenvalues are inside the unit circle which represents the stability of the pattern.
In this study, the coefficients are estimated using panel vector autoregressive pattern and based on GMM method. Some New software called Love (2015) and Abrigo and STATA12 have been used to estimate the coefficients.
The effect of housing price shock on urban household's consumption, housing price, urban inflation and urban household's income are shown in diagram 1. As can be seen, the positive housing price shock as large as one standard deviation will cause negative consumption response and the negative response will reach its peak in the second year, then it will be gradually converged to its initial level. According to the theory, a demand shock in housing price will lead to increase in housing price through an initial increase in mortgage rates. Therefore, the increase in real prices of estate caused increased household wealth and thereby increased demand for the goods. The increased household consumption expenditure will lead to inflationary pressure.
According to the results of the analysis in this study, the proposed theory has been violated, which could be due to various factors, including uncertainty in housing price changes, assuming it as a temporary matter by households, increased precautionary savings and retirement savings in order to deal with disability and disease and increased liquidity constraints in the collateral role and increased housing price.
diagram 1: Orthogonalized Impulse Response Function: The effect of housing price shock on models variables.
The effects of impulse response functions of positive price shock (hpp) on consumption are a little more than negative price shock (hpn). After positive housing price shock, urban household's consumption will be decreased in provinces and it will reach its lowest value in the first period. Then the behavior will be fluctuating and finally, it will be converged to its first route after 10 periods. In other words, by increasing the housing price, homeowners feel getting richer because of increased possible benefits of their wealth, and they will increase their consumption. Tenants and those who want to buy a house, feel getting poorer and therefore consumption reduction and increased savings will occur. According to diagram 2, the effect of reducing consumption will be higher than the effect of increasing consumption; therefore, the positive housing price shock will decrease the consumption.
diagram 2: Orthogonalized Impulse Response Function: The asymmetric effect of housing price shock
This study aimed to investigate the asymmetric effects of housing prices on urban household's consumption in provinces of Iran during 1393-1385. For this purpose, the effects of housing price shock on urban household's consumption are studied using two patterns then its asymmetric effects are examined using Panel vector autoregressive approach (Panel VAR).
According to the literature about the discussed issue, theoretically, the effect of increased housing price on total consumption expenditure looks ambiguous. In most studies, this relationship has been positive. The results of the study obtained from the estimation of the pattern and examination of orthogonalized Impulse response function show that the effect of housing price changes on urban household's consumption during the studied period is negative and significant in the provinces of Iran. In addition, the asymmetric effects of housing price shock have a negative and significant effect on positive housing price shock and also have a positive effect on negative housing price shock. Orthogonalized Impulse response function indicates that the effect of positive price shock on consumption is more effective and higher than negative price shock. Therefore, the asymmetric effect of housing shock on urban household's consumption has been approved.

On the theoretical front the literature on the linkage between FDI and domestic investment is ambiguous. This paper investigates whether foreign direct investment crowds in or crowds out domestic investment in the world. Our data analysis covers 136 of the world countries for the period 2000-2013. This paper uses panel VAR model and we have four samples of countries: 1- total sample (136 countries) 2- OECD member (31 countries) 3- low income (20 countries) 4- OPEC member (10 countries). In addition, the same link in Iran in the period 1990-2014 were analyzed separately. Our main conclusion is that FDI has positive impact on domestic investment in OECD member and OPEC member states but has negetive impact on domestic investment in low income contries. Also, domestic investment has positive impact on FDI in OECD, Low income and total countries and negetive impact in OPEC members.

In the export promotion strategy one can reach to this idea that devaluation has a positive impact on export, and this can lead to GDP growth. Given the current situation of world economy in which many countries find themselves in the financial crises and U.S. economy go to a recurrent crises and stagnation, and given the especial situation of Iran which is far away from domestic and foreign equilibrium, this idea is gaining attention of policy makers in Iran. But at the same time this has many proponents and opponents, for example, manufacturers is concerned with the inflation of imported raw material and capital equipment which increase the cost of production, while proponents argue that devaluation has positive effects on export and GDP.
Also policy makers have other concerns about tuning the export promotion strategy. They most promote export and at the same time must be careful about keeping the internal equilibrium (mild inflation), the equilibrium of internal supply and demand, external balance (the equilibrium of balance of payment) and increasing employment. Therefore they most execute a mixture of monetary, fiscal and exchange rate policy for doing those tasks to reduce domestic absorption, attain balance of payment equilibrium, government budget equilibrium and taming inflation. For this purpose it is necessary to have a large scale econometric model for executing these programs. But with smaller model can attain this goal, as we done in this paper.
Here we pose this question that if devaluation has a positive effect on export and growth using a Panel VAR model to build a dynamic system to construct impulse response functions for panel VAR model and show positive effect of devaluation. Results show that devaluation has a positive impact on export and with reducing government consumption, inflation is reduced and the economy can reach to higher level of private sector investment.