فصلنامه تحقیقات مدلسازی اقتصادی
سال هشتم شماره 27 (بهار 1396)

The bubble of Asset Price is the deviation of the asset price from its fundamental value. Since the many of the financial crisis arise from bursting bubble of financial assets, the explore of bubble behaviors in these markets and the early detection for the prevention of adverse economic consequences is important. Considering the criticisms of conventional tests for detecting price bubbles and also the importance of the subject, in this study, we have considered the new methods proposed by Phillips, et al. (2011, 2012) based on Right-Tailed Augmented Dickey-Fuller (RTADF) tests. In this regard, in order to testing explosive behavior and multiple bubbles and determining bubble periods in Iranian informal exchange market, we have applied the tests of SADF and GSADF according to monthly data for the nominal exchange rate from 2002:04 to 2016:03. Since the explosive behavior in nominal exchange rate might be driven by the its fundamentals, to comment on the existence of rational bubbles in the exchange market, we have evaluated the ratio of the nominal exchange rate to the relative prices of tradable and non-tradable goods. Based on the obtained results, the Iranian foreign exchange market has been experienced explosive behavior and multiple bubbles in the period of under study. Moreover, the relative prices of traded goods explain some explosiveness in the Iranian exchange market. Our findings suggest that the explosive behavior in nominal exchange rate from 2008:10-2008:12, 2012:01-2012:03 and 2013:09-2013:11 was because of rational bubbles in exchange rate and in other periods was driven by the relative price of tradable goods. Therefore, it is suggested to control the sharp exchange rate movements, in addition to bubbles, fluctuations in prices of traded goods market require more attention. Also, due to the possibility of bubbles repetition, the GSADF test is the better test to detect bubbles.

In this paper to assess the environmental efficiency of electric power companies two-stage approach has been used Which means that the first step is to calculate the environmental efficiency score of electric power companies with Slack-Based Measure during the period (2004-2014). Then, the second step various factors effects have been evaluated on environmental efficiency by using Tobit and Ordinary Least Squares models. The result of first step show that environmental performance of the electricity industry has seen a reduction in performance during the period of 2004 to 2006, While environmental performance had a rising trend between 2007 to 2009 and then it has had a considerable reduction in the period 2010-2014 (after the liberalization of energy prices). Finally, in 2004, the average efficiency of the industry is reached to lowest level (0.65). The result of second step show that factors affecting efficiency namely Size and Liberation dummy variables have negative effects but the proportion of electricity produced by the thermal power plants, the proportion of gas used in the fuel, capacity utilization rate and electricity exports have positive effects. The results show that importing electricity doesn’t have any significance effect on the efficiency. In the end, the results of adding a new variable (variable log of per capita GDP) showed that except for the proportion of gas used in the fuel, the explanatory variables has robust coefficient.

Always new technologies exports have been regarded as a competitive advantage and it implies the dynamism and cohesion of the economy and its special position in the global markets. Lack of innovation is one of the main factors affecting the country's high-tech exports. And until innovation and training to use of knowledge do not improve, efficiency and effectiveness of other production factors will remain low. So, the aim of this paper is to evaluate the effect of innovation on high technology exports in selected developing and developed countries during the period 2007-2013, using panel data approach and simultaneous equations system. Estimates of general model in developing countries expresses that the coefficients of global innovation index, accumulation of FDI inflows and GDP is positive and significant and coefficient of governance index is positive and meaningless. And in developed countries, coefficients of global innovation index, accumulation of FDI inflows, GDP and governance index is positive and significant. Therefore, it is necessary to improve the innovative environment, by changing the policy making in the resource-based economy moving towards knowledge-based economy by the alignment of macro-economic policies with scientific and research policies, in order to strengthen the relationship between industry and academia. So based on the current needs, the productions and technologies of knowledge-based industries will change.

Today one of the basic conditions for economic development in one country, is the high performance of energy sources used in different sections of the country economy. When the efficiency is raised, one of essential requirements is benefit from technologies and equipments with higher technical and performance specifications, and removing economic barriers or improving economic policies, in order to achieve as higher efficiency as possible in energy consumption. Considering that close to half of the our country energy consumption accounted for households and this sector is the largest consumer of energy in the country, and considering the importance of the issue of energy consumption, in this study we decided to analyze and scrutiny the phenomenon of energy efficiency in the household sector, and to achieve accurate and scientific analysis in this area based on expert opinion data, using structural equations modeling technique in LISREL. Based on the result of the model, economic policies (price and none price) has relatively more importance than the technical and technological solutions to the problem of improving energy efficiency in the household sector, as well as important and effective indices of each of these factors are extracted and identified. According to it, "levy a tax on energy consumption" among economic policies, and indicators of "e-government infrastructure development", "development of smart counters and Equipments WARNING energy consumption in homes" and "development of vernacular architecture patterns adapted to climatic conditions in different regions of the country" in connection with Technical foctors, have the greatest impact on energy efficiency in the mentioned sector. However, if the relationship identified for both the economic policies and technical-technological factors with the dependent variable "performance" was not acceptable very good, this matter can indicate this fact that there are other variables and factors that are influencing and can have a great role to play. Among these factors it can be addressed the socio-cultural factors and insights and norms of society which can be a help to aggravate the problem of inefficiency in energy use.

The present article studies the interactive relationships between oil price volatility and industries stocks of basic metals, petroleum and chemical products by using Vector Auto Regressive (VAR) and Multivariate Generalized Autoregressive Conditional Heteroskedastisity (GARCH) models from March 2004 to March 2015 empirically . In this research, the VAR-GARCH model is proposed, which is developed by Ling and McAleer (2003). The model survives the return and volatility problems among the considered series and this is the VAR-GARCH advantage. The results show that there are Average effects between oil market and stocks market of basic metals and petroleum products, But this effects are not true for chemical industry market. The volatility effects between world oil price and chemical and basic metals industry markets is not existed, but between oil market volatility and petroleum products stock volatility, Significant negative relationship is existed. There for, the investors should reduce their portfolios basket dependences on oil price as much as possible.

Efficient portfolio management, has been attractive for financial researchers and was wished for investors from past to now. In this research, a multiperiod portfolio optimization problem for asset liability management of an investor who intends to control the probability of bankrupt is investigated. The proposed portfolio is consisting of number of risky assets, risk free asset and a type of debt. A mean variance model, with constraint of bankrupt controlling in different time horizons is proposed. Lagrangian Multiplier Method with dynamic programming is used for solving proposed model and regarding to its complexity degree, Genetic algorithm was the best selection for reaching numerical results. The proposed model is ran with real data consisting of 10 accepted company in Tehran stock exchange, bonds and bank loan as an investor debt.

Expectation has an important role in oil price fluctuation and it seems which one of the important factors is for changing supply behaviour however oil price changes. Identification of mentioned expectation could help us for partly and continuously control the oil market situation.one of the important factor that could have effects on future oil price expectation is volume of current reserve oil and specifically OPEC members reserves. For OPEC members not only high reserve oil is prestige but also give them chance for having more OPEC production share however after applying market sharing system based on production for OPEC members in early 1980s,volume of reserve oil considered as a main benchmark and after that started increase reserve oil competition among OPEC members. In this paper tried study transition s of Iran’s oil reserves and its effectiveness on the oil producer’s countries’ information and also its accuracy. According to some statement reserve oil extra announcement could create chaos in oil market. Based on this study there is no any relation between increasing of oil reserves and oil production changes in Iran as one of the OPEC member's country and it seems extra reserve oil announcement more than reality is a hidden competition among members for getting more credit.