- پیاپی 12 (پاییز و زمستان 1395)
- تاریخ انتشار: 1395/11/20
- تعداد عناوین: 11
صفحه 1بخش خدمات یکی از مهم ترین بخش های اقتصادی است که به دلیل فراهم نمودن بستر لازم برای رشد شتابان اقتصادهای ملی، از یک سو موجب توسعه علم و فناوری و از سوی دیگر تجمیع و انباشت مهارت ها و سرمایه های انسانی گردیده است و درنهایت به عنوان موتور رشد سایر بخش های اقتصادی عمل می کند. ازجمله مهم ترین سیاست های کلان اقتصادی که در راستای ایجاد رشد تولید بخش ها اعمال می شوند، سیاست های پولی و مالی هستند. در این مطالعه، تاثیر سیاست های پولی (حجم نقدینگی) و مالی (مخارج دولت) بر تولید بخش خدمات، با استفاده از داده های سالانه طی دوره 1357 تا 1393 بررسی شده است. در این راستا از مدل خودرگرسیونی با وقفه های توزیعی و رهیافت آزمون کرانه ها استفاده شده است. نتایج تحقیق حاکی از آن است که در کوتاه مدت و بلندمدت هر دو سیاست پولی و مالی بر ارزش افزوده بخش خدمات تاثیرگذارند و تاثیر آن ها در بلندمدت بیشتر از کوتاه مدت است.کلیدواژگان: سیاست های پولی و مالی، ارزش افزوده بخش خدمات، مدل خودرگرسیونی با وقفه های توزیعی، رهیافت آزمون کرانه ها
تاثیر معاملات با اشخاص وابسته بر مربوط بودن سود در تعیین ارزش بازار سهام شرکت های پذیرفته شده در بورس اوراق بهادار تهرانصفحه 19معاملات با اشخاص وابسته در رسوایی های مالی بازار بورس به عنوان یکی از کانون های نگرانی است؛ به گونه ای که استفاده هدفمند از این معاملات و عدم افشا یا کافی نبودن افشای آن ها از عوامل سقوط شرکت ها بوده است. هدف این پژوهش بررسی تاثیر معاملات با اشخاص وابسته بر مربوط بودن سود در تعیین ارزش بازار سهام شرکت های پذیرفته شده در بورس اوراق بهادار تهران است. در این پژوهش بر دو نوع معامله با اشخاص وابسته تمرکز شده است: فروش مواد و کالا و فروش دارایی های ثابت به اشخاص وابسته. بدین منظور 164 شرکت پذیرفته شده در بورس اوراق بهادار تهران طی سال های 1388 تا 1393 مورد تجزیه وتحلیل قرار گرفته اند. فرضیه های تحقیق با استفاده از رگرسیون چندگانه آزمون شده اند و روش تخمینی برای تجزیه وتحلیل داده های تحقیق در رگرسیون چندگانه، روش داده های تابلویی با اثرات ثابت است. نتایج پژوهش نشان می دهد مربوط بودن سود در تعیین ارزش بازار سهام در شرکت هایی که دارای معاملات با اشخاص وابسته از نوع فروش موجودی مواد و کالا هستند، کاهش یافته است. همچنین معاملات با اشخاص وابسته از نوع فروش دارایی ثابت تاثیر مشخصی بر مربوط بودن سود در تعیین ارزش بازار سهام شرکت ها ندارد.کلیدواژگان: معاملات با اشخاص وابسته، مربوط بودن سود، ارزش بازار سهام، فروش مواد و کالا، فروش دارایی های ثابت
صفحه 45نرخ تورم در جوامع مختلف بسته به شرایط هر جامعه ای می تواند پدیده ای مثبت و یا منفی تلقی شود، اما درصورتی که شوک های تورمی منجر به نااطمینانی تورمی شوند، این نااطمینانی با ایجاد اختلال در تخصیص بهینه منابع و کارکرد سیستم قیمت ها هزینه های کلانی را بر بنگاه های اقتصادی تحمیل می کند. تحت تاثیر این هزینه ها و رفتار عقلایی عاملان اقتصادی در تعیین تورم انتظاری، نرخ تورم نیز ممکن است افزایش یابد. بر همین اساس، مطالعه حاضر ارتباط بین تورم و نااطمینانی تورمی در ایران را با تاکید بر انتظارات عقلایی طی دوره زمانی 1Q1369-4Q1394 بررسی کرده است. مدلسازی نااطمینانی تورمی با استفاده از مدل EGARCH نشان داد که شوک های مثبت و منفی تورمی نقش نامتقارن در شکل گیری نااطمینانی تورمی دارند. همچنین، آزمون علیت گرنجر و توابع واکنش آنی نشان داد افزایش پیش بینی نشده تورم به نااطمینانی تورمی منجر می شود، افزایش نااطمینانی تورمی نیز افزایش نرخ تورم انتظاری را در پی دارد. بر اساس تجزیه واریانس نیز در بلندمدت بیش از 76 درصد از تغییرات نااطمینانی تورمی با تورم پیش بینی نشده و بیش از 16درصد از تغییرات تورم انتظاری نیز با تغییرات نااطمینانی تورمی توضیح داده می شود.کلیدواژگان: تورم انتظاری، نااطمینانی تورمی، مدل های ARCH، شاخص CPI
صفحه 64در این پژوهش، تاثیر ویژگی های نوع مالکیت سهامداران عمده، شامل سهامداران عمده برون سازمانی، سهامداران عمده درون سازمانی و برخی متغیرهای کنترلی دیگر؛ ازجمله عوامل کیفی حسابرسی (شامل اندازه حسابرس و اظهارنظر حسابرس) همچنین عوامل شرکتی (شامل اندازه شرکت، اهرم و وضعیت سودآوری) بر نوع تغییر حسابرس در بورس اوراق بهادار تهران مورد بررسی قرار گرفته است. در ارتباط با نقش سهامداران بزرگ در تصمیم گیری ها و عملکرد شرکت های سهامی عام، ادبیات تحقیق دو دیدگاه متضاد را نشان می دهد؛ فرضیه نظارت فعال و فرضیه منافع شخصی. برای این امر، نمونه ای مشتمل بر 226 تغییر حسابرس رخ داده در بورس اوراق بهادار تهران طی سال های 1383 الی 1390 انتخاب گردید و فرضیه های پژوهش با استفاده از تحلیل رگرسیون حداقل مربعات مورد آزمون قرار گرفت. نتایج این پژوهش نشان داد که یک رابطه مثبت و معنادار بین مالکیت درون سازمانی و تغییر منفی حسابرس (تغییر از یک موسسه حسابرسی بزرگ به موسسه ای کوچک) وجود دارد. به طور کل، نتایج این تحقیق در حمایت از فرضیه منافع شخصی (فرصت طلبی) برای سهامداران عمده درون سازمانی می باشد؛ درحالی که شواهدی مبنی بر تایید فرضیه نظارت فعال در خصوص سهامداران عمده برون سازمانی فراهم نگردید. شواهد به دست آمده، از این عقیده که پدیده تغییر حسابرس در بازار سرمایه ایران بیشتر تحت تاثیر عوامل غیرمالی می باشد تا متغیرهای حسابداری، پیروی می نماید.کلیدواژگان: سهامداران عمده برون سازمانی، تمرکز مالکیت، تغییر حسابرس، کیفیت حسابرسی
صفحه 91بازارهای پولی و مالی، نقش اصلی در واسطه گری بین پس اندازکنندگان و سرمایه گذاران بازی می کنند. بنابراین تعادل بین عرضه و تقاضای دارایی های مالی در هر کشور از اهمیت ویژه ای برخوردار است؛ بطوری که توانایی یک کشور برای سرعت بخشیدن به فرآیند رشد و توسعه اقتصادی، به صورت نسبی به توانایی آن کشور در زمینه تولید دارایی ها بستگی دارد. کمبود دارایی های مالی می تواند عاملی بازدارنده در مسیر رشد اقتصادی یک کشور باشد. شواهد نشان می دهد، در ایران رشد عرضه دارایی های مالی کمتر از رشد تقاضای دارایی بوده است و یک کمبود دارایی نسبی بر اقتصاد ایران حاکم است. برای بررسی این موضوع، تاثیرگذاری پاره ای از متغیرهای کلان اقتصادی، بر شاخص کمبود دارایی طی دوره زمانی 1389-1370 ارزیابی شده است. مدل تصریحی استفاده شد ه، ARDLمی باشد. نتایج برآوردها حاکی از آن است که در تعادل بلندمدت نرخ رشد اقتصادی ایران و جهان دارای ارتباط معکوس با شاخص کمبود دارایی هستند و از پتانسیل کافی جهت کاهش، اختلاف بین تقاضا و عرضه دارایی ها برخوردارند. ضرایب متغیرهای نرخ تورم، نرخ ارز حقیقی، نرخ بهره اسمی و ترازمالی دولت هم در بلندمدت مثبت می باشد و حاکی از آن است که، هرگونه افزایش در متغیرهای فوق سبب می شود که عرضه دارایی ها رشد کمتری در مقایسه با تقاضای دارایی ها داشته باشد.کلیدواژگان: کمبود دارایی مالی، متغیرهای کلان اقتصادی، مدل خودرگرسیونی با وقفه های توزیعی گسترده
اثر تکانه های مالیاتی بر اقتصاد زیرزمینی و رسمی ایران در چارچوب الگوهای تعادل عمومی پویای تصادفی(DSGE)صفحه 111نیاز به تامین مالی بخش عمومی از طریق مالیات ستانی با محدود شدن درآمدهای نفتی در ایران، افزایش یافته است. در این شرایط، بررسی اقتصاد زیرزمینی و فرار مالیاتی می تواند به سیاست گذاران و مشاوران اقتصادی کشور کمک کند. نرخ های مالیاتی و سهم تامین اجتماعی، دو متغیر اصلی اثرگذار بر حجم اقتصاد زیرزمینی و فرار مالیاتی هستند. این پژوهش از چارچوب الگو های تعادل عمومی برای الگو- سازی اقتصاد زیرزمینی ایران و بررسی اثر تکانه های مالیاتی، تکانه سهم تامین اجتماعی بر اقتصاد رسمی، اقتصاد زیرزمینی و فرار مالیاتی استفاده کرده است. نتایج ارزیابی نشان می دهند که الگوی ارائه شده تقریبا به خوبی رفتار ادواری و نوسانات متغیرها را شبیه سازی می کند. نتایج پژوهش همچنین بیانگر آن است که تکانه مثبت نرخ مالیات شرکتی، مالیات بر درآمد و سهم تامین اجتماعی منجر به کاهش تولید رسمی، افزایش تولید زیرزمینی، افزایش فرار مالیاتی و کاهش درآمد دولت می شود. تفاوت آنها در اندازه تاثیرشان است. تکانه مثبت درآمدهای نفتی نیز باعث افزایش تولید رسمی و کاهش اقتصاد زیرزمینی شده است و به طبع آن فرار مالیاتی را کاهش داده است.کلیدواژگان: اقتصاد زیرزمینی، فرار مالیاتی، الگوهای تعادل عمومی پویای تصادفی(DSGE)، ایران
صفحه 135رابطه میان تورم و نااطمینانی آن می تواند تحت تاثیر رژیم های تورمی مختلف قرار گیرد . تحقیقات انجام شده در ایران، نقش این رژیم ها در ارتباط پویای تورم و نااطمینانی را بررسی نکرده اند. به منظور پرکردن این خلا در ادبیات اقتصاد ایران، این مقاله به مطالعه رابطه میان تورم و نااطمینانی آن با وجود انتقال رژیم و با توجه به رفتار نامتقارن الگو می پردازد. برای دستیابی به این هدف از تبدیل مارکوف در چارچوب یک الگوی تعمیم یافته گارچ نامتقارن استفاده می گردد. به این منظور دو معادله به ترتیب برای تورم و نااطمینانی آن، برای دوره (2013:07-1990:03) برآورد می گردد. معادله اول تحت دو رژیم فشار تورمی فزاینده وکاهنده و معادله دوم رفتار در دو وضعیت نوسانات تورمی زیاد و کم برآورد می شود. برآوردها نشان می دهد که اثر نااطمینانی تورم بر سطح تورم در رژیم فشار تورمی فزاینده، مثبت اما در رژیم فشار تورمی کاهنده، منفی است. همچنین در وضعیت نوسانات تورمی زیاد، افزایش تورم باعث ازدیاد نااطمینانی اما در وضعیت نوسانات تورمی کم، سطح تورم بر نااطمینانی تورم تاثیری ندارد. اثرات تکانه های مثبت قیمتی بر نااطمینانی بیش تر از تکانه های منفی می باشد و احتمال ماندگاری در هر وضعیت تورمی در ایران بالا است. با توجه به نتایج، به نظر می رسد که اتخاذ سیاست-های تثبیت قیمت ها نه تنها در کاهش تورم بلکه در کاهش نااطمینانی تورم نیز نقش مهمی دارند؛ بنابراین، پیشنهاد می گردد که دولت و به ویژه بانک مرکزی از اتخاذ سیاست های اقتصادی که به نااطمینانی تورم دامن می زند، اجتناب نماید. ازجمله نتایج مهم دیگر این تحقیق که باید مورد توجه مسئولین پولی قرار گیرد، اهمیت تشخیص درست و به موقع نوع رژیم تورمی کشور برای اتخاذ سیاست مناسب است.کلیدواژگان: تورم، نااطمینانی تورم، گارچ نامتقارن، انتقال رژیم، ایران
صفحه 161پیش بینی سود حسابداری و تغییرات آن به جهت استفاده در مدل های ارزیابی سهام، توان پرداخت، ریسک، عملکرد واحد اقتصادی و مباشرت مدیریت از دیرباز مورد علاقه سرمایه گذاران، مدیران، تحلیلگران مالی و اعتباردهندگان بوده است. سود هر سهم اغلب برای بررسی سودآوری و ریسک مرتبط با سود و نیز قضاوت در خصوص قیمت سهام استفاده می شود. در این تحقیق، عملکرد سه مدل تخمینگر بردار پشتیبان، تخمینگر حداقل درجه و شبکه عصبی فازی در پیش بینی سود هر سهم مورد ارزیابی قرار گرفته است. در این تحقیق از 9 متغیر مالی، 7 متغیر بنیادی و 4 متغیر کلان استفاده شده است. ابتدا متغیرهای مالی، متغیرهای بنیادی و کلان اقتصادی به صورت جداگانه و سپس به طور همزمان وارد مدل ها شده اند تا توانایی آن ها در هر سه حالت مورد ارزیابی قرار گیرد. نتایج تحقیق نشان می دهد که مدل تخمینگر حداقل درجه در هر سه حالت فوق (متغیرهای مالی، متغیرهای بنیادی و کلان اقتصادی) عملکرد بهتری نسبت به سایر مدل ها داشته است. همچنین استفاده از متغیرهای مالی در مدل تخمینگر حداقل درجه به تنهایی، باعث عملکرد مطلوب تر آن نسبت به سایر حالت ها شده است.کلیدواژگان: بورس اوراق بهادار تهران، پیش بینی سود هر سهم، تخمینگر بردار پشتیبان، تخمینگر حداقل درجه، شبکه عصبی فازی
صفحه 189یکی از موضوعات مهم در خصوص اعطای تسهیلات بانکی، احتمال عدم تعهد تسهیلات گیرنده در بازپرداخت تسهیلات دریافتی است. عوامل متعددی در عدم بازپرداخت بدهی بانک ها دخیل هستند که با شناسایی آن ها می توان زمینه را برای کاهش و کنترل ریسک اعتباری فراهم کرده و در فرآیند اعطای اعتبارات بهبود ایجاد نمود.
در این مطالعه به بررسی عوامل موثر بر نرخ وصول تسهیلات با مطالعه موردی بانک کشاورزی استان خراسان رضوی با استفاده از مدل اقتصادسنجی توبیت پرداخته شد. برای این منظور با استفاده از روش نمونه گیری تصادفی کوکران تعداد 215 مشتری از مشتریان مختلفی که بخشی از تسهیلات دریافتی آن ها از شعب بانک کشاورزی استان خراسان رضوی در سال 1392 با عدم وصول مواجه شده بود، انتخاب شده و اطلاعات مورد نیاز مطالعه گردآوری گردید.
نتایج تخمین مدل توبیت با استفاده از نرم افزار STATA نشان داد که اندازه تسهیلات، دارای اثر مستقیم ضعیفی، نرخ سود بازپرداخت تسهیلات اثر معکوسی و بی معنی، طول دوره بازپرداخت تسهیلات اثر مثبت و قوی، ضمانت از نوع ضمانتی اثر مثبت، ضمانت از نوع وثیقه ای اثر معکوس، وقوع حادثه اثر معکوس و همزمانی سر رسید پرداخت تسهیلات با فصل فروش محصول دارای اثر مستقیم قوی بر نرخ وصول تسهیلات می باشد.کلیدواژگان: نرخ وصول، تسهیلات، بانک کشاورزی، مدل اقتصادسنجی توبیت
صفحه 217پول یکی از مهم ترین ابداعات تاریخ بشر است که نقش بسیار تعیین کننده ای در تسهیل مبادلات و تحولات اقتصادی داشته است و با گسترش و پیچیده شدن جوامع بشری بر نقش و عملکرد آن افزوده شده است. شناخت عوامل تاثیرگذار بر تقاضای پول یکی از موضوعات بسیار مهم در اقتصاد است. برای پاسخ به این مساله، اقتصاددانان سعی کرده اند نظریه های تقاضای پول گوناگونی را مطرح کنند. بامول (1952) و توبین (1956) با استفاده از رویکرد انبارداری به ارائه نظریه تقاضای پول پرداختند. آن ها بیان کردند که افراد در ارتباط با تقاضای پول و نگهداری آن با دو هزینه مواجه هستند: هزینه بهره پول (هزینه نوع اول) و هزینه مراجعه به بانک (هزینه نوع دوم). مهم ترین دستاورد نظریه بامول - توبین این بود که علاوه بر تقاضای سفته بازی پول، تقاضای معاملاتی پول نیز تحت تاثیر نرخ بهره قرار می گیرد. این تحقیق به این نتیجه اساسی دست یافته است که گسترش پول الکترونیکی و بانکداری الکترونیکی، باعث شده است رویکرد این نظریه به تقاضای پول با انتقادات و چالش هایی مواجه شود. در عصر حاضر و با گسترش پول الکترونیکی، هزینه مراجعه به بانک بسیار پایین است و حتی می توان آن را صفر در نظر گرفت. با صفر شدن هزینه مراجعه به بانک، دیگر نمی توان از نظریه انبارداری برای توضیح تقاضای پول استفاده کرد.کلیدواژگان: تقاضای پول، انبارداری، بامول - توبین، پول الکترونیکی، هزینه مراجعه به بانک
صفحه 235هدف این مقاله، بررسی تاثیر متغیرهای کلان اقتصادی بر تقاضای بیمه های اشخاص در ایران است. در این تحقیق، با استفاده از تکنیک و شیوه نمونه گیری، کل عملکرد صنعت بیمه ایران در رشته بیمه های اشخاص در بین سال های1360-1391 بررسی شده است. تحقیق حاضر با استفاده از EVIEWS و اعمال تکنیک های اقتصادسنجی صورت پذیرفته است. در اینجا تاثیر متغیرهای کلان اقتصادی بر تقاضای بیمه های اشخاص و نحوه تاثیر این متغیرها بر تقاضای بیمه های اشخاص بر اساس تعاریف و ساختار این بیمه نامه و سوابق مطالعات صورت گرفته است؛ همچنین نقش مهم بیمه های اشخاص به ویژه بیمه های زندگی، مانند سایر بیمه ها جذب پول های در دست مردم و حرف آن ها در سرمایه گذاری های مولد است، که از این طریق بهبود شاخص های اقتصادی نظیر تولید ناخالص داخلی GDP، درآمد ملی GNI و درنهایت توسعه اقتصادی جامعه است که در مقایسه با دیگر رشته های بیمه، نقش موثرتری دارد. یافته های این تحقیق بیانگر آن است، که تقاضای بیمه های اشخاص با درآمد سرانه، نرخ بیکاری و سرانه خسارت های پرداختی بیمه گر رابطه مستقیم و با شاخص قیمت مصرف کننده رابطه معکوس دارد.کلیدواژگان: حق بیمه، خسارت پرداختنی، حق بیمه عاید شده، ذخیره حق بیمه، ضریب خسارت، نرخ بیکاری، شاخص قیمت، درآمد سرانه خسارت پرداختنی
Exploring the Effects of Monetary and Fiscal Policies on Value Added of Service Sector in Iran's EconomyPage 1IntroductionFor many years¡ developing countries were neglecting the importance of service sector because of this viewpoint that only investment in industrial infrastructures can accelerate development. During the recent centuries¡ investigating share of services in the GDP of developed countries and comparing it with its relevant quantities in the GDP of developing countries¡ showed that progress and development has a direct relationship with growth of service sector (Singh¡ 2006).
In spite of the notable importance of service sector in international economy¡ our country could not yet match itself with changes of this sector to use its advantages. It seems that dominant thought among decision-makers and the public about service sector is equivalent with speculation that damages production (Ministry of Economic and Assets Affairs¡ 2010). Although the importance of service sector is confirmed¡ no studies have been done for recognizing the effects of economic policies on growth of this sector. Monetary and fiscal policies are among economic policies that are widely used for achieving economic growth. There are different views about effectiveness of monetary and fiscal policies in the economic literature¡ so before recommending them¡ we should investigate theirs effect.
Theoretical Framework: Governments persistently make efforts to attain their goals such as increasing employment¡ growth¡ development and welfare¡ or decreasing inflation and poverty¡ through economic policies and instruments (Hashemi Dizaj¡ 2007). Economic policies are usually divided to two categories: the first type is known as «Direct Policies». Direct or demand management policies are generally monetary and fiscal policies. The second type is «Indirect Policies» ¡ they are generally trade and income policies (Ragoobur¡ 2010).
Taxes¡ government expenditures¡ and transfer payments are instruments of a fiscal policy. Monetary policys instruments are: reserve requirement ratio¡ rediscount rate¡ open market operation¡ and qualitative instruments (Hashemi Dizaji¡ 2007).
Changes in policy instruments affect the production of various sectors including service sector¡ so it leads to growth of service sectors production. To illustrate the mechanism through which monetary and fiscal policies affect the production¡ we consider an example of expansionary fiscal policy.
By applying an expansionary fiscal policy¡ the demand for goods and services will increase. This causes moving of IS and AD curve to the right. At previous prices¡ the economic system will face excess demand that pushes prices to enhance. Enhancement of prices has three effects:1) Wealth effect: because of the increase of prices¡ real wealth of consumers declines. Therefore¡ consumption of the public decreases¡ too. So IS curve turns to a little to the left.
2) Real money balances: higher prices decrease real money balances (MS/P) so LM curve moves to the left.
3) In the labor market¡ the demand of firms for labor force increases due to price enhancement of their products. On the other hand¡ supply of labor decreases. Because we assume incomplete money illusion¡ finally employment will rise. It is clear that¡ in the final equilibrium all variables increase including production.MethodologyIn this study¡ the effects of monetary and fiscal policies on production of service sectors were investigated by ARDL model. For examining the existence of long run relationship between variables of the study¡ bounds test procedure introduced by Pesaran et. al. (2001) was used. In this procedure¡ they obtained two critical values. One of them through the assumption that all variables are stationary or in other words¡ are I (0) ¡ and the other one¡ by considering that all variables are stationary By differencing the first order or let''s say¡ are I (1). We estimate an Unrestricted Error Correction Model (UECM) presented in equation (1).
∆L〖SE〗_t=C_0∑_ (i=1) ^ (p-1) ▒C_1i ∆L〖SE〗_ (t-i) ∑_ (i=1) ^ (p-1) ▒C_2i ∆L〖GR〗_ (t-i) ∑_ (i=1) ^ (p-1) ▒C_3i ∆L〖M2R〗_ (t-i) C_4 L〖SE〗_ (t-1) C_5 L〖GR〗_ (t-1) C_6 L〖M2R〗_ (t-1) ∪_t
Where: SE is value added of service sector; GR is government expenditures; M2R is liquidity. We compute a critical value by examining this hypothesis: C4=C5=C6= 0. Then it will be compared with the critical value of Pesaran et al. When the critical value (absolute quantity) is more than that of Pesaran et. al. ¡ we conclude that there is a long run relationship between variables; otherwise¡ the existence of long run relationship will be rejected. We estimate through the following ARDL model:Results And DiscussionsAfter checking stationary of the variables and existence of long run relationship¡ short and long run and short run dynamics (ECM) were estimated. Estimated Results show that¡ there is a long run relationship between the variables of the study. The effect of monetary and fiscal policies on production of service sector is significant in both short and long run. Comparison of short run and long run coefficients reveals that¡ coefficient of monetary policy is more than coefficient of fiscal policy in long and short run. Furthermore¡ results of ECM indicate that any deviation from long run equilibrium is adjusted in 0. 75 of one period.
Conclusions and Suggestions: The results of this research show that monetary and fiscal policies have significant effects on the production of service sector in both short and long run. Therefore¡ we can use these policies for achieving growth of this sector. Furthermore¡ in this regard¡ monetary policy could play a more important role because it is more effective than fiscal policy. Since coefficients of both monetary and fiscal policy in the long run are more than their relevant quantities in the short run¡ policy makers should be patient when they implement these policies. Because these policies need time for revealing their full effects.Keywords: Monetary, fiscal policies, Value added of service sector, Auto regressive distributed lags model, Bounds test procedure
The Impact of Related-Party Transactions on the Value Relevance of Earnings in Determining the Stock Market Value of Companies Listed in Tehran Stock ExchangePage 19Related-party transactions are one of the major concerns in financial market scandals. So that the intended use of these transactions and the non-disclosure or insufficient disclosure has been a deteriorating factor for the enterprises. Recent scandals in the United States¡ such as Adelphia and the Riga family''s corporate group¡ and Hollinger and Conrad Black''s corporate group¡ have brought related-party transactions under the spotlight (Ge¡ Drury¡ Fortin¡ Liu & Tsang¡ 2010). It is alsoa great concern in Iran¡ since accounting standard No.12 is dedicated to related-party transactions. Related-party transactions can be used within these corporate groups in order to optimize internal resource allocation¡ reduce transaction costs¡ and improve return-on-assets. On the other hand¡ these transactions¡ if used opportunistically by management or other stakeholders¡ can produce misleading operating results and adversely affect minority shareholders'' wealth.
The FASBs concerns about the non-arms-length nature of RP transactions raise concern about management and insider opportunism. FASB argues that potential wealth transfers can occur between the firm and the related parties¡ and RP transactions enable the firm to manipulate its financial statements (FASB¡ 1982). FASBs concern about RP transactions clearly focuses on the lack of an arms-length transaction which makes RP transactions inherently susceptible to manipulation by management for their own gain. Furthermore¡ financial statement manipulation can interfere with accounting-based contracting and monitoring. The management opportunism view suggests the market will view RP transactions negatively (Kohlbeck & Mayhew¡ 2009).
Management opportunism was a key driver in the misappropriation of assets and misleading financial reporting in the recent frauds at Enron¡ Healthsouth and other firms. In many of these frauds¡ management allegedly used RP transactions both to enrich themselves and to generate misleading financial statements. For example¡ Enron engaged in a number of large purchases and sales with related entities producing earnings that would not have otherwise been recognized (Swartz & Watkins¡ 2003). At the same time¡ the transactions significantly increased the CFO and other officers wealth. Kalyta and Magnan (2008) document that powerful CEOs extract rents using executive pensions where the disclosures are of lower quality. Erickson et al. (2000) also describe in detail how RP transactions enabled Lincoln Savings and Loan to meet important regulatory capital constraints¡ but later led to its collapse. While RP transactions can be opportunistic¡ they can also potentially fulfill the underlying needs of the company. For instance¡ some companies make strategic investments in joint ventures to obtain and secure access to supplies or markets (e.g. vertical integration) and to manage risk. Transactions between RP and firms also generally involve less information asymmetry between the two parties¡ than is typically the case when the transaction occurs between the firm and a third-party.
Prior research documents that financial statements contain value relevant information. For example¡ Bao and Chow (1999) show that reported earnings and book values are significantly associated with share prices for sample firms issuing shares to foreigners. They also show that the combined explanatory power of earnings and book values has increased over time. Haw¡ Qi¡ and Wu (1999) document a significant association between stock returns and changes in earnings in both long-window and short-window studies. By using both return specifications and price specifications. Chen¡ Chen¡ and Su (2001) provide evidence that accounting information¡ including earnings and book value¡ is value relevant in the Chinese markets. Overall¡ the empirical evidence from prior research suggests that earnings and book values are value relevant to investors. We examine the value relevance of disclosed RPTs in corporations and focus on two types of RPTs: sales of goods and sales of assets.MethodologyThe present study in terms of objective is categorized as an applied research¡ and in terms of the methodology is a descriptive research. And¡ among the descriptive studies¡ this is a correlational research. The analysis and test of the hypotheses were done according to the proposed hypotheses and functional definition of the dependent and independent variables based on the Pierson correlation coefficients and by using multi-variable regressionanalyze at the 5% Significance Level. Also¡ by defining the R2 coefficient¡ the changes of the dependent variables versus independent variables were analyzed. In the present study¡ the Student statistics (t) was used in order to investigate the accuracy of the research hypotheses and the Fischer statistics (f) was used in order to investigate the adequacy (efficiency) of the proposed model. Moreover¡ in order to investigate the normality of the data which is prerequisite of the accuracy test of the hypotheses¡ Kolmogorov-Smirnov test was used¡ and finally in order to analyze the hypotheses and supplementary tests in order to validate the regression model¡ Eviews software was applied. In order to achieve the above mentioned objectives¡ the following hypotheses are proposed:Hypothesis1: Sales of goods to related parties affects the earning relevance in determining the market value of shares.
Hypothesis2: Sales of assets to related parties affects the earning relevance in determining the market value of shares.
The following models were designed on the basis of Ge et al.s 2010 model :Price it = β0 β1 BV it β2 EPS it β3 EPS it*S goods it ε it
Price it = β0 β1 BV it β2 EPS it β3 EPS it*S assets it ε it
where:Price: Stock price in end of year;
BV: book value of equity per share;
EPS: annual earnings per share;
Sgoods : dummy variable¡ coded 1 for firms selling goods to related parties and 0 otherwise;
Sassets : dummy variable¡ coded 1 for firms selling fixed assets to related parties and 0 otherwise.Results And DiscussionHypothesis1
According to the obtained EPS correlation coefficients (sig = 2.2131)¡ it can be concluded that there is a positive and significant relation between the EPS and the stock price of the companies¡ and it decreases to 0.0033 after including the interaction term EPS*Sassets. This represents a reduction of profits in companies that have related party transactions of sales of assets¡ but it is not significant¡ because the p-value of interaction term EPS*Sassets(0.413) is more than .005. As the valuation parameter of EPS in our valuation model is a function of earnings persistence¡ macro-economic and time-specific factors¡ this difference may not be caused by the standard. Our interaction terms distinguish the coefficient of EPS between firms with and without related-party sales during the same time-period¡ and we draw our inferences about the impact of the standard adoption from the coefficient estimates of the interaction terms. Prior research documents that financial statements contain value relevant information. For example¡ Bao and Chow (1999) show that reported earnings and book values are significantly associated with share prices for sample firms issuing shares to foreigners. They also show that the combined explanatory power of earnings and book values have increased over time. Haw¡ Qi¡ and Wu (1999) document a significant association between stock returns and changes in earnings in both long-window and short-window studies. By using both return specifications and price specifications. Chen¡ Chen¡ and Su (2001) provide evidence that accounting information¡ including earnings and book value¡ is value relevant in the Chinese markets. Overall¡ the empirical evidence from prior research suggests that earnings and book values are value relevant to investors.ConclusionsThe purpose of this study was to investigate the effect of related-party transactions on the value relevance of earnings in determining the market value of the shares of the companies listed in the Tehran Stock Exchange. This study focuses on two types of related-party transactions includingsales of goods and materials¡ and sales of fixed assets to related-parties. For achieving this purpose¡ 164 companies listed in Tehran Stock Exchange were analyzed during the years 2009 to 2015. Research hypotheses were tested using multiple regression and panel data methods with fixed effects Estimation method used for the analysis of survey data in multiple regression.
The results indicated that value relevance of earnings in determining the market value has been reduced in the companies that have related-party transactions using sales of goods and materials. Also¡ related-party transactions using sale of fixed assets did not have significant effects on value relevance of earnings in determining the market value of firm.Keywords: Related, party transactions, Value relevance of earnings, Stock market value, Goods, material sales, Fixed asset sales
The Relationship between Inflation and Inflation Uncertainty with an Emphasis on Rational Expectation in IranPage 45Inflation rate in different countries can be considered as a positive or negative phenomenon¡ depending on the circumstances of each society; however¡ if inflationary shocks lead to inflation uncertainty¡ this will impair the optimum allocation of resources and price system function¡ and will in turn impose macro-economic costs on the enterprises. Due to the impact of these costs and rational behavior of economic agents on determining the expected inflation¡ the inflation rate may also be increased. Therefore¡ this study has reviewed the relationship between inflation and inflation uncertainty in Iran with an emphasis on rational expectations during the period of 1990 Q1-2015 Q4. Using EGARCH model¡ inflation uncertainty modeling showed that positive and negative inflationary shocks play an asymmetric role in the formation of inflation uncertainty. Also¡ Granger causality test and impulse response functions showed that an unanticipated inflation increase can lead to inflation uncertainty. The variance analyses also indicated that about more than 76 % of changes in inflation uncertainty can be explained in the long run¡ using unanticipated inflation¡ and also more than 16% of changes in expected inflation explained using inflation uncertainly.MethodologyIn this study¡ the ARCH family models were used for modeling the fluctuation¡ the Granger causality to examine the causality between inflation uncertainty and inflation (unanticipated and anticipated) ¡ and the Vector Auto Regression (VAR) to analyze the revealed causes.
EGARCH model has some advantages over other asymmetric models such as threshold Arch (TGARGH) including 1) logarithmic transformations requires the positive conditional variance; 2) evaluation is not sensitive to outlier observations; 3) this model is not limited to parameters and is sufficient for stability of EGARCH process. In the present study¡ standard Granger causality test (1986) is used to determine if there is any relationship between inflation and inflation uncertainty. This test assumes that important data to predict each variable lies in the time series data related to it. In fact¡ Granger (1969) stated if the current value is predicted using past value ¡ in this case¡ is called the cause of. Granger causality test to investigate the hypothesis¡ «is not the Granger cause of» ¡ or vice versa¡ uses a vector autoregressive model (VAR).
After Granger causality test¡ through the impulse response functions and variance analysis in vector auto regression (VAR) ¡ better evidence of influence in the Granger causality has been obtained. In fact¡ based on the estimation of the VAR¡ also used byGranger causality test¡ the coefficients and the percentage of Explanatory model parameters is not as important as single-equation methods; therefore¡ the impulse response function (impulse response) and the variance analysis have been used in the analyses. Since the impulse response function measures the time path of impulse effect on the future status of a dynamic system¡ the effects of impulse can be seen in VAR patterns. The impulse response on variables assumes that the system is balanced¡ and the balance is in the coordinate system¡ so that all variables are equal to zero in equilibrium. The effect of the impulses once called a temporary variable¡ will return to its previous equilibrium value after several time periods; if this variable does not return to zero and is not settled in different balance amounts¡ it will be called a permanent impact. Variance analysis can measure the relative strength of Granger causality chain or exogenous degree of variables¡ regardless of the measured period¡ so the analysis of variance can be called causality test out of the sample period. This method can determine the role of imported shocks to different variables in explaining the anticipated error variance in short term and long term.Results And DiscussionResults of Granger causality test showed Granger causality is not inflation uncertainty¡ and inflation uncertainty is neither unanticipated inflation Granger causality. On the other hand¡ unanticipated inflation is inflation uncertainty Granger causality¡ and inflation uncertainty is anticipated inflation Granger causality.
The results of this study showed that an unpredicted shock to the size of one standard deviation in inflation will increase inflation uncertainty as much as 0. 27158% in the first chapter¡ this increase reaches its peak in the second season (2. 85 511%) ¡ then the positive effects begin to decline¡ then turn to almost zero in Season XVI. The procedure of the effects of inflationary unanticipated shocks can be used to explain the changes of inflation uncertainty in Iran as much as 2. 82% in the first season¡ and more than 76 % in the long run. Also¡ an unforeseen shock to the size of one standard deviation in inflation will increase the expected inflation volatility from the second season¡ and this additive process will be positive for 20 years. The climax of this impact is in season 4 (0. 48354%). The effects of inflation uncertainty can display the changes of anticipated inflation as 3% in the second season¡ and more than 16 percent in the long term. Therefore¡ the results suggest that if inflation can (not) be predictable¡ then there will (not) be the rational expectations approach based on inflation uncertainty. Due to the rational behavior¡ inflation uncertainty lead to higher inflation rate.
Conclusions and recommendations: The results of this study show that isodiametric positive and negative inflation shocks are contributed to form the inflation uncertainty asymmetrically¡ and positive shocks spread more uncertainty. The results of Granger also show that Friedman hypothesis about inflation uncertainty caused by increasing inflation is not true for nonanticipated inflation in Iran¡ and the expected inflation has rejected this hypothesis. Also¡ Cukierman and Meltzer hypothesis about the causality result of inflation uncertainty has been confirmed in anticipated inflation and rejected in nonanticipated inflation.Keywords: Expected inflation, Inflation uncertainty, ARCH models, CPI index
An Investigation into the Association between Ownership and the Decision to Switch the Auditor in TSEPage 64IntroductionAccording to agency theory¡ structured corporate governance mechanisms should lead to financial reporting with high quality. As ownership concentration is observed as an important factor with in corporate governance (Mashayekh & Abdollahi¡ 2011)¡ it seems that the identity of controlling owners can play a crucial role in audit quality and improvement of information quality. Ownership concentration¡ throughthe increase of supervision and elimination of free riding¡ can create positive switches in the company. On the other hand¡ block holders and managers can use their control rights to achieve personal benefits and this violates the rights of other shareholders (Ebrahimi Kordlor & Erabi¡ 2010). These probabilities and the lack of effect of ownership concentration on different dimensions of company can present different theories regarding the behavior of block holders¡ and contradictory results might be reported by the researchers.
In this study¡ by controlling important factors including qualitative factors of audit (e.g. audit size and auditors opinion) and corporate factors (e.g. firm size¡ leverage and profitability) empirically¡ the relationship between corporate ownership concentration is investigated as one of the external mechanisms of corporate governance with the auditor switch among the companies listed in Tehran Stock exchange.
Theoretical Framework: According to the review of literature¡ the high percent of stock held by block holders is that they have great influence on management. There are two contradictory views about the role of great owners in companies.
Active Supervision Hypothesis: Regarding the relationship between major ownership and audit quality¡ Han et al.¡ (2009) state how institutional ownership affects audit quality of financial statements. They believe that institutional investors can affect corporate policies to apply corporate mechanisms to reduce supervision costs. The evidence showed that the companies mostly appoint auditors when there is high long-term institutional ownership. This shows that long-term institutional investors consider high quality audit as a method to improve corporate governance while their supervisory costs are reduced.
Opportunism Hypothesis: The followers of self-interest hypothesis believe that it is highly probable that big investors use special benefits as access to confidential information to be used for trading goals and achieving personal benefits. Fan and Wong (2002) found that the managers with control benefits reported accounting information for their personal goals and claimed that profit does not have reliability for external investors.MethodologyIn this research¡ the subjects are companies listed in TSE from 2004 to 2011 (8-year period). For the hypothesis test¡ as dependent variables are artificial¡ logistic regression analysis is used. The study data are collected from Rahavard Novin and financial statements of companies from RDIS site¡ and are analyzed using SPSS18 software.Results And DiscussionBased on the obtained results¡ there is a positive and significant relationship between internal organizational ownership and negative switch of auditor and the first hypothesis is supported. In other words¡ by the increase of internal organizational ownership¡ the negative switch of auditor is increased (using low quality auditor). The result is consistent with the report of Lin and Liu (2010). They showed that the increase of ownership of the biggest shareholder in the company was associated with the negative switch of auditor. The results of second hypothesis test showed that external organizational ownership had no significant relationship with positive switch of auditor. In other words¡ external organizational ownership had no effects on the type of auditor switch.
Conclusions and Suggestions: The results of the study showed that major internal organizational ownership had a positive and significant relationship with auditor switch decision (negative) in TSE. Based on the evidence¡ internal owners prefer the negative switching of auditor. In other words¡ internal organizational blockholders are less inclined to high quality auditors. One reason is that major internal organizational shareholders can use low quality auditors and achieve personal benefits. The results of the studies by Ebrahimi Kordlor and Erabi (2009)¡ Osta (2011)¡ Feisali (2011) and Truong and Heaney (2007) supported this hypothesis.Keywords: Outside blockholders, Ownership concentration, Auditor switch, Audit quality
Page 91IntroductionFinancial assets are particularly important in the saving -investment process¡ because investments in financial assets is considered as the engine of production and economic growth in each country. Economic growth and production increase in a country depends on its ability to produce financial assets.
Financial asset shortage certainly creates defects in the market. In this case¡ either the savings are not sensitive to interest rates¡ or supply assets alone are not responsive to interest rates. Also¡ capital markets are inefficient. For example¡ non-competitive markets¡ increase transaction costs¡ asymmetric information and poor performance of property rights. These problems are most severe in emerging markets¡ and prevent the issuance of financial assets. However¡ market efficiency as a result of investment constraints is caused by the imperfect mobility of capital in the world as well as deviations in the valuation of assets.MethodologyAsset shortage index is determined according to the supply and demand for financial assets. The domestic demand for assets is determined by gross domestic savings (i.e. all accessible resources for investment)¡ while the supply of financial assets is shown as published domestic bonds¡ stock loans¡ foreign assets and net domestic assets by foreign investors and changes in short-term deposits. Asset shortage index that shows asset shortage and available financial instruments for investment in the society iscalculated by the following formula:
Where S is the domestic national savings¡ B is the bond issuance in the domestic market¡ E is the equity issuance in the domestic market¡ L is the loan issuance in the domestic market¡ and S.D. is the short-term deposits. NPFA is the net purchase of foreign financial assets by domestic residents¡ which reflects the position of domestic investors holdings of foreign assets (debt¡ equity¡ financial derivatives¡ and other investments) minus the net position of foreign investors holdings of domestic assets. The sum of B¡ E¡ L¡ ΔS.D¡ and NPFA is therefore a reflection of the supply of financial assets.Results And DiscussionIn Iran¡ supply growth in financial assets is less than the demand growth assets¡ and Iran''s economy is dominated by the relative asset shortage. To check this¡ the effectiveness of some of the macroeconomic variables on the asset shortage index is evaluated during the period1991-2010. The used specified model is ARDL.
The results of the estimated equation above show that the long-term coefficients of all variables in the model are statistically significant. The coefficient of variables¡ Iran GDP growth rate and the global GDP growth rate is negative¡ which reflects the fact that economic growth in Iran and global economic growth relative have the potential to reduce the asset shortage index. Also¡ the coefficients of the variables of inflation rate¡ the real exchange rate¡ interest rate fluctuations¡ government and financial balance in the long-term trend have positive signs. These positive coefficients indicate that a stable economic environment¡ stable exchange rate policy (stability of the exchange rate greatly reduces the risk policy)¡ lack of volatility of interest rates¡ and a better financial position encourage the issuance of new financial assets and a decrease in the asset shortage index.ConclusionShort-term and long-term results of the estimations through ARDL method shows that a significant positive relationship exists between changes in interest rates and asset shortage. The results also show that inflation has a significant positive impact on the asset shortage index. According to the results obtained from the estimated long-run equilibrium relationship and the dynamic model¡ an inverse correlation between economic growth and financial assets shortage was confirmed. Therefore¡ higher economic growth can decrease financial asset shortage index both in short run and long run. In addition¡ the direct and significant impact of real exchange rate on asset shortage index was also confirmed. Of course¡ the real exchange rate in the short run with no lags has a negative coefficient and with a lag has a positive coefficient. But the whole result of these two coefficients has a positive value. According to the results¡ the government deficit has a direct impact on reducing the financial asset shortage both in the short run and long run. Finally¡ it should be noted that a significant inverse correlation exists between the growth rate of world GDP and the financial asset shortage in Iran.Keywords: Financial asset shortage, Macroeconomic variables, Autoregressive distributed lag model
Impact of Fiscal Shocks on the Iranian Official and Underground Economy in the Framework of Dynamic Stochastic General Equilibrium Models (DSGE)Page 111IntroductionLimitation of Iran''s oil revenues has increased the need to finance the public sector more ýthrough taxationþ.þý So¡ in such circumstances¡ a study of underground economy and tax ýevasion may help policymakers and economic advisers. Underground economies have a large impact on public finances and distorting effects on production¡ as they create unfair competition among firms. Furthermore¡ it may create additional social costs because the overall tax burden is shared among a smaller number of citizens¡ thus increasing economic inequality¡ and because of the lack of labor protection for the individuals who are working in the underground market. Tax rates and social security ýcontributions are the two main variables affecting the size of an underground economy ýand tax evasion issues.
Many previous studies estimated and examined underground economy of Iran by using different methods such as: monetary¡ fuzzy logic and MIMIC methods. But¡ none of these studies examined the fiscal shocks and its effect on underground production and other macroeconomic variables in dynamic stochastic general equilibrium models framework. This study attempts to do this. Recently¡ with the expansion of DSGE models¡ this approach has been used to study the underground economy in the world.
This study used a DSGE model framework for modelling the Iranian underground economy and impacts of oil revenues shocks¡ fiscal shocks (such as changing tax rates¡ social security contributions)¡ on the official economy¡ tax evasion ýand on the underground economy of Iran.
Model: The main framework is derived from Busato and Chiarini (2004)¡ and Orsi¡ Raggi and Turino (2012) articles. We consider an economy which consists of a continuum of homogeneous goods that are indexed by i ∈ [0¡ 1]¡ each produced by a perfectly competitive producer. Goods are sold by firms to a continuum of measure 1 of identical households for consumption and investment purposes and to the government¡ which collects taxes from households and firms in order to finance public spending. The economy is divided into two sectors¡ the official and the underground sector¡ and none of the transactions occurring in the latter are recorded by the government authorities. Firms¡ therefore¡ provide most of their factors of production from underground markets in order to cash parts of their production for tax evasion purposes. In each period of time¡ however¡ firms face a non-negligible probability of being inspected by the fiscal authorities¡ convicted of tax evasion and forced to pay taxes augmented by a penalty surcharge. Households might also avoid personal income tax by reallocating their labor services from the regular to the underground sector¡ and by supplying capital in the underground market. All of the interactions among firms¡ households and the government occur in a stochastic environment in which the short-run dynamics of the economy are driven by social security contributions¡ oil revenues and fiscal shocks.Results And DiscussionOne of the purposes of the study is investigating the responses of variables to various fiscal and oil shocks. The impulse response function shows the dynamic reaction of variables after receiving a shock. Shock effect of income tax rates and corporate tax rates¡ social security contributions and oil revenues on the official production¡ underground production and tax evasion are investigated.
Results indicate that the present model is suitable to simulate cyclical behavior and volatility of the variables. According the results¡ a positive shock of the corporate tax rate and of income tax rate reduced the official production¡ increased underground production and tax evasion¡ and decreased the government revenues.
Also¡ a positive shock of social security contributions reduced the official production¡ increased underground production and tax evasion. A positive shock of oil revenues increased official production and reduced underground economy¡ and consequently reduced tax evasion and increased government ýrevenue.ýConclusionsPlanning for the economic development and making a decision for the implementation of economic policies¡ one needs to understand the performance of the whole economy¡ including the official and the underground sectors. Understanding the performance of the whole economy requires gaining information on economic system situation and its efficiency. This study used a DSGE model framework for modelling the underground economy and the effect of oil shock and fiscal shocks on the official economy and underground economy. According to the results¡ a ýpositive fiscal shock reduced the official ýproduction¡ increased underground production and tax evasion¡ and decreased government ýrevenues. A positive shock of oil revenues increased official production¡ reduced ýunderground economy¡ consequently reduced tax evasion¡ and increased government ýrevenue.ý
Finally¡ the findings suggest that by reducing bureaucracy and trying to improve the business environment and reducing the rate of corporation tax¡ income tax and social security contributions - in line with the implementation of VAT in the tax system that annually increases at the rate of one per cent - appropriate policies should be implemented to guide the underground to the official production.Keywords: Underground economy, Tax evasion, Dynamic stochastic general equilibrium models (DSGE), Iran
The Effect of Different Inflationary Regimes on the Dynamics of Inflation and Inflation Uncertainty in IranPage 135Inflation dynamics is a subject of numerous theoretical and empirical researches in economic literature. One important economic cost of inflation is the uncertainty that it creates about future inflation rates. This in turn causes an uncertain environment for economic activities. The households and firms decision under inflation uncertainty affects the allocation of resources and the level of consumption¡ investment and economic growth. Therefore¡ the issue of inflation and inflation uncertainty nexus is a hot topic in macroeconomic and monetary economics.
After the seventies many empirical researchers have studied inflation dynamics in different countries. In the last fifteen years many economists have investigated the relation between inflation and its uncertainty in both rich and poor countries. Some researchers argued that there is a positive relationship between inflation and its uncertainty¡ while there are others who find negative relationship between these two variables. More recently¡ Evans and Wachtel (1993) and Chang and He (2010) have shown that the inflation and inflation uncertainty nexus can be influenced by different inflationary regimes. They have shown that effect of inflationary shocks on its uncertainty might not be symmetric. In other words¡ the impact of positive price shocks on inflation uncertainty is different from their negative price shocks. This asymmetric effect has been the subject of recent studies.
The focus of our paper is on inflation dynamics and its relationship with inflation uncertainty in Iran. High inflation rate in recent years has adversely affected the wellbeing of many middle class and poor families in Iran and hence is an important challenge for policymakers in this country. It has become clear that the uncertainty resulted from high inflation have inflicted a heavy cost on the Iranian economy. There are many researchers that have investigated the dynamics of inflation in Iran. Among these studies¡ some have examined the relationship between inflation and inflation uncertainty in Iran. However¡ these researchers have ignored the impacts of regime switching on this relationship. The main goal of this paper is to fill this gap in the economic literature of Iran. More specifically¡ it examines how different inflation regimes can affect inflation and inflation uncertainty nexus in this country.
For this purpose¡ a Markov switching - asymmetric generalized autoregressive conditional heteroskedasticity in mean model is estimated for Iran over the period 1990:03 -2013:07. This makes it possible to change conditional variance of the error term over time and hence allows us to study the behavior of each state variable in various regimes. More specifically¡ the relationship between inflation and inflation uncertainty are examined in two different inflationary regimes¡ namely inflation pressure and inflation volatility regimes. We first study the effect of inflation uncertainty on the level of inflation in the states of increasing and decreasing inflation pressures. Second¡ we investigate the impact of inflation on inflation uncertainty when the economy is either in the state of high inflation volatility or in the state of low inflation volatility.
The estimation results show that in the state of increasing inflation pressure¡ the effect of inflation uncertainty on inflation is positive. This confirms the finding of Cukierman and Meltzer (1986). However¡ in the state of decreasing inflation pressure¡ inflation uncertainty has a negative impact on inflation. This result verifies the outcome of Holland (1995). Furthermore¡ when the economy is in the state of high inflation volatility¡ inflation has a positive effect on inflation uncertainty. This finding is consistent with the hypothesis of Ungar and Zilberfarb (1993). However¡ when the economy is in the regime of low inflation volatility¡ inflation does not affect inflation uncertainty. Moreover¡ we find that the effect of negative price shocks on inflation uncertainty is higher than that of the effect of positive price shocks.
The estimation results of transition matrix show that when the economy is in the state of increasing inflation pressure¡ it will remain in that state with probability of 95 percent and when it is in the state of decreasing inflation pressure¡ it will continue in that state with probability of 89 percent. In addition¡ when the economy is in the state of high inflation volatility¡ it will stay in this regime with probability of 98 percent and when it is in the regime of low inflation volatility¡ it will continue in the same regime with probability of 96 percent. One might infer from these findings that the inflationary regimes in Iran in highly persistence. In other words¡ when the economy enters an inflationary regime¡ the probability of chaining the state or switching the regime is low. These findings might have important policy implications for Iranian economy. Given the presence of high inflation pressure in Iran¡ one might suggest that monetary authorities should conduct price stability policy. This will allow them to curb both inflation and inflation uncertainty. Our results indicate that it is important for monetary authorities and policymakers to be aware of the type of inflationary regimes that the country is in¡ when conducting their monetary policy.Keywords: Inflation, Inflation Uncertainty, Asymmetry GARCH Model, Regime Switching, Iran
Capability of models Support Vector Regression, Least Angle Regression and Adaptive Neuro Fuzzy Inference System for Earning Per Share forecastingPage 161IntroductionEarnings per share is one of the most important financial statistics¡ mostly used in the evaluation of profitability¡ the risk associated with earning¡ and the stock price. In many countries¡ the importance of this measure is to the extent that it is considered as one of the principal scales in determining the stock price and is widely used in stock evaluation models. Thus¡ to predict the earnings per share¡ different algorithms have been used¡ some of which make use of the statistical models and some smart models.
The studies recently conducted on the precision of smart models show that in comparison to the statistical models¡ the smart models have performed better in classification and finding of an efficient solution. Thus¡ those investors using these models will find the investment opportunities much more efficiently. Therefore¡ regarding this necessity¡ this study has compared the errors of such models as Support Vector Estimator¡ Minimum Degree Estimator¡ and Fuzzy Neural Network (which are among the smart models having the lowest error rates) in predicting the earnings per share for the firms enlisted in Tehran Stock Exchange during the years of 2005 to 2012.
ResearchMethodologyIn this research¡ nineteen different independent variables have been used in the three financial¡ fundamental¡ and macro groups. The relationships between the first group of variables and the earnings per share in the paper by Zhang et al. (2004)¡ and the relationship between the second group of variables and the earnings per share in the papers by Lexian et al. (1390¡ 2011) and Brid (2001) have been confirmed. The dependent variable in this research is the annual earnings per share. Therefore¡ the current research tries to find a model¡ which has the highest precision in predicting the earnings per share¡ using the independent variables¡ either individually or in groups.
The selected sample in this research include 171 firms in 27 active industries¡ during the years of 2005 to2012¡ through random sampling and using cluster sampling from among the active firms in Tehran Stock Exchange.
After being collected and standardized¡ the data was classified into training and experimental data¡ using the K-Fold Cross-Validation method. The percentage of training data to the experimental data is assumed as 30-70 or 20-80; in this research¡ the 20-80 composition has been employed. In this research¡ the amount of K has been determined as 10.
Then¡ the main process of modeling is conducted in a way that the prevalent patterns and relations between the data (independent and dependent variables) are extracted¡ using the techniques of Support Vector Estimator¡ Minimum Degree Estimator¡ and Fuzzy Neural Network. In this stage¡ the training data are used for modeling. After extracting the data patterns¡ the precision of the proposed model is estimated¡ using the experimental data¡ and finally¡ to explore the models precision¡ such error measures as mean square error (MSE)¡ Median Absolute Deviation (MAD)¡ and determination coefficient have been used.
Research Findings: The results show that when all the fundamental and financial variables are used simultaneously¡ the precision of the estimator model is highest. When the fundamental variables are used in LARS¡ the MSE and MAD are 3.505 and 306.301 respectively. When the financial variables are used in LARS¡ the MSE and MAD are 0.921 and 206.669 respectively¡ and finally¡ when all the variables are used in LARS¡ the MSE and MAD are 3.414 and 392.081 respectively. The obtained results have been presented in sum in the following table.Conclusionn this research¡ the models have been evaluated annually; the models have been conducted on each year¡ and the results have been compared with each other. Finally¡ the average annual errors have been considered as the basis of determining a more precise model in every state. Exploring the models final error the Minimum Degree Estimator model predict the earnings better than the Fuzzy Neural Network and Support Vector Estimator. Also¡ exploring the average errors for the Minimum Degree Estimator model shows that using the financial variables has resulted in the increase in the predicting capabilities of this model.Keywords: Tehran stock exchange, Earning per share, Support vector regression, Least angel regression, Adaptive neuro Fuzzy Inference system
The Effective Factors on Bank Loan Recovery Rate of Keshavarzi of Khorasan Razavi Province,-Iran (Application of Tobit Econometrics Model)Page 189Credit is an important policy instrument that can facilitate the application of modern technologies and increase the production¡ especially in developing countries. Credit is also a key to poverty reduction¡ livelihood diversification¡ and increasing the business skills of small farmers. Keshavarzi banks¡ with more than seven decades of experience¡ are specialized institutions that provide the majority of credits for the development of the agricultural sector in Iran. These banks aim to enhance agricultural productions and fair distribution of income by granting loans to the farmers.
One of the important issues in bank lending is the probability of loan default. Many factors affects the default of bank loan default which their assessing will reduce the credit risk and improve the process of loan endowment. Agricultural lending involves giving out of credit (in cash and kind) to small- scale farmers for the purpose of farming. There is no doubt about the crucial roles of credit in economic development. Agricultural household models suggest that farm credit is not only necessitated by the limitations of self-finance¡ but also by uncertainty pertaining to the level of output and the time lag between input and output. Recent studies show that the growth rate of investment in agriculture is less than other economic sectors. So¡ financing agriculture is one of the most important factors to develop rural areas in developing countries. Banking system payment is a way of financing. Generally¡ credit accessibility is important for the improvement of quality and quantity of farm products¡ so that it can increase farmers income and reduce the rural migration. The present paper tries to find the effective factors on bank loan recovery rate of Keshavarzi bank of Khorasan Razavi province-Iran through Tobit econometrics model.MethodologyThe Tobit model is a statistical model proposed by James Tobin (1958) to describe the relationship between a non-negative dependent variable and an independent variable (or vector) . The term Tobit was derived from Tobin''s name by truncating and adding -it by analogy with Probit model.The model assumes that there is a latent (i.e. unobservable) variable *. This variable linearly depends on via a parameter (vector) \beta which determines the relationship between the independent variable (or vector) and the latent variable * (just as in a linear model). In addition¡ there is a normally distributed error term to capture random influences on this relationship. The observable variable is defined to be equal to the latent variable whenever the latent variable is above zero and zero otherwise.
Therefore¡ in this research¡ the effective factors on loan recovery rate with the case study of Keshavarzi bank of Khorasan Razavi province-Iran and through Tobit econometric model were studied.
For this purpose¡ using Cochran''s random sampling¡ 215 customers which part of their loan from mentioned bank encountered with default were selected and the required data was gathered.Results And DiscussionResults of the estimated Tobit model using STATA software showed that loan size has the weak direct¡ rate of loan payment has the not significant effect¡ length of loan payment has the strong direct¡ guarantee has the positive¡ assurance has the negative¡ natural accident has the inverse and loan payment deadline coincident with the sale season has the strong direct effect on loan recovery rate.ConclusionEmpirical results of this study highlight the importance of taking into account factors including interest rate¡ loan size¡ type of guarantor¡ extension of the loan and loan payment deadline coincident with the sale season. Therefore¡ it is recommended to the policy makers and agricultural banks to consider a comprehensive credit risk management process to monitor and control credit risks for reducing the risk of delinquencies and defaults. And also try to allocate the lending to the farmers which have off-farm incomes and activities. In addition¡ it seems necessary to ask the loan applicants to provide appropriate collateral and to enforce loan repayment obligations for effective credit delivery to the agricultural sector.
Therefore¡ most of the factors are easily achievable and should be utilized by policy makers in Khorasan Razavi province.Keywords: Loan recovery rate, Keshavarzi Bank, Tobit econometric model, Khorasan Razavi province, Iran
Page 217IntroductionMoney is one of the most important human innovations that has an essential role in facilitating transactions and economic evolution. Which added its performance with the development and complexity of societies. The money market has like all other markets¡ both a demand side and a supply side. In this paper we examine the demand side. Since 1930s¡ economists have developed the theory underlying the demand for money along several different lines¡ each of which provides a different answer to the basic question: If bonds earn interest and money does not¡ why should a person hold money? While the way various theories approach this question differs¡ generally they come down to a demand for money functions.
The issue of effective factors on money demand is one of the most important economic topics. To solve this problem¡ some of the economists try to present several money demand theories. In this paper we will evaluate the inventory approach to transaction demand developed by both Baumol and Tobin. They show that there is a transactional need for money to smooth out the differences between income and expenditure streams and the higher the interest rate the return on holding bonds instead of money the smaller these transactions demand balances should be.
Theoretical Framework: Keynes had designated the transactions demand for money as due to the transactions motive¡ but had not provided a theory for its determination. In particular¡ he had assumed that this demand depended linearly on current income¡ but did not depend on interest rates.
Subsequent contributions by Baumol and Tobin in the 1950s established the theory of the transactions demand for money. These contributions showed that this demand depends not only on income¡ but also on the interest rate on bonds. Further¡ there are economies of scale in money holdings. The transactions demand for money is derived from the assumption of certainty of the yields on bonds¡ as well as of the amounts and time patterns of income and expenditures.
Baumol (1952) and Tobin (1956) presented their money demand theory using inventory approach. Developments since 1950s have extended and broadened BaumolTobin transactions demand analysis¡ without rejecting it. The most significant extension of this analysis has been in the case where there is uncertainty in the timings of the receipts and payments. The demand for money under this type of uncertainty is usually labeled as the precautionary demand for money. This section presents Baumols (1952) version of the inventory analysis of the transactions demand for money. This analysis considers the choice between two assets¡ money and bonds¡ whose discriminating characteristic is that money serves as the medium for payments in the purchase of commodities¡ whereas bonds do not; hence¡ commodities trade against money¡ not against bonds. There is no uncertainty in the model¡ so the yield on bonds is known with certainty. The real-world counterpart of such bonds is interest-paying savings deposits or such riskless short-term financial assets as Treasury bills. Longer-term bonds whose yield is uncertain are not really considered in Baumols analysis. Baumols other assumptions are:1. Money holdings do not pay interest. Bond holdings do so at the nominal rate R. There are no own-service costs of holding money or bonds¡ but there are transfer costs from one to another¡ as outlined later. Bonds can be savings deposits or other financial assets.
2. There is no uncertainty even in the timing or amount of the individuals receipts and expenditures.
3. The individual intends to finance an amount $Y of expenditures¡ which occurs in a steady stream through the given period¡ and already possesses the funds to meet these expenditures. Since money is the medium of payments in the model¡ all payments are made in money.
4. The individual intends to cash bonds in lots of $W spaced evenly through the period. For every withdrawal¡ he incurs a brokerage (bondsmoney transfer) cost that has two components: a fixed cost of $B0¡ and a variable cost of B1 per dollar withdrawn. Examples of such brokerage costs are brokers commission¡ banking charges¡ and own (or personal) costs in terms of time and convenience for withdrawals from bonds. The overall cost per withdrawal of $W is $(B0 ݕ).
They explained that individuals have two costs about money demand: the cost of interest rate of money (first cost)¡ and the cost of referring to bank (second cost). The most important contribution of their theory is that interest rate influences transactions demand of money.Results and DiscussionOur paper led us to this conclusion that development of electronic money and banking¡ causes the Baumol Tobin theory to face essential critical and challenges. In recent age with development of electronic money and banking¡ the cost of referring to the bank is very low.
Conclusion & Suggestion: Hence¡ we can assume that this cost is zero. Assuming that the cost of referring to the bank is zero¡ the inventory theory is not an appropriate approach to demand money.Keywords: Money demand, Inventory, Baumol – Tobin, Electronic money, Cost of refer to the bank
Page 235The purpose of this study is to examine the impact of macroeconomic variables on individuals request of insurance in Iran. In this research the overall performance of Irans insurance industry has been investigated in 1360.1390 therefore the sampling technique has not been used. This research has been done using EVIEWS and applying econometric techniques. In this study the effect of macroeconomic variables on individuals¡ request of insurance based on definitions have been investigated. The structure of this insurance policy study records and the important role of individuals insurance especially life insurance like other insurance s tends to money in peoples hand and their talk in productive investment which in this way causes improving of economic indexes as gross domestic production (GDP) national income (GNI) and finally community economic development¡ and its role is also more effective compared to other fields of insurance. Findings of this study suggest that request of individuals¡ insurance is directly related to per capital income¡ unemployment rate and insurers compensation paid per capital and inversely related to consumer price.
This study is estimated the impact of macroeconomic variables on individuals request of insurance in Iran and in this research the overall performance of Irans insurance industry has been investigated in 1360-1390 and this research has been done using EVIEWS and Appling econometric techniques.
Results and iscussion: Based on results It is difficult to generation on how life insurance products and widen in scopes a life insurance market matures there are an interplay of economic political and cultural and commercial factors at work which vary from country to country . There are two aspects of product development that has been evident in many countries. First one is that life insurance products tend to move from having a primary emphasis on insurance protection towards a greater saving role. Especially saving for retirement purposes second. There a move away from simple products sold .either on an individual and group basis to more compels products sold mainly on an individual basis.
Conclusion and Suggestions: Life insurance has historically been an important method through which individuals with relatively low incomes have been able to save tis and invest effectively for the longer term .this contractual nature of the premium payment system in life insurance has been reinforced by insurance companies developing good marketing strategies in order to encourage individuals to save. Life insurance has historically been an important method which individuals with relatively low incomes have been able to save and invest effectively for the longer term .By designing relatively simple life insurance and savings contracts. Which can be purchased in small amounts on a regular basis. However the relationship between the level of saving generated through life insurance and private pension contracts and the development of a domestic capital market is a two way process .Keywords: Insurance premium paid losses by income insurance premium supply insurance premium loss coefficient unemployment rate price index paid loss per capital income