نشریه مدلسازی اقتصاد سنجی
سال دوم شماره 2 (پیاپی 5، بهار 1396)

This paper using a threshold vector autoregressive examines the asymmetric impacts of monetary policy and banking credits on business cycles in Iran. In this paper the output gap is defined as transmission variable between two regimes and the Hodric-Prescott is estimated and its stationary is confirmed by Dickey-Fuller test. Using the likelihood ratio test the nonlinearity of the model is tested and using grid search method the threshold variable is determined. Base on threshold value (-0.000922) two regimes including upper and low regime are considered. Using R software the threshold vector autoregressive model is estimated and generalized impulse response function are extracted. Results indicate that the impact of monetary policy and banking credits on economic activity in low and upper regimes is completely different and depending on business cycle condition, In other words the paper findings support the asymmetric impact of monetary policy and banking credits in Iran.

In this paper, we investigate volatility transmition between four precious metal (gold, silver, platinum, palladium) using a multivariate GARCH model. We also investigate effect of shocks on precious metals using volatility impulse response function.
The results of the VAR (1) -BEKK (1,1) using weekly data estimated price is four precious metal, showed relatively high correlation between yields and volatility of these metals with each other there. Also, the analysis of the volatility impulse response Function Graphs of four precious metals showed that the gold and silver volatility had almost the same behavior in the face of the impasse of the financial crisis of 2008. The results of this research, especially for investors in global markets, can be very important.

The aim of this paper is modeling the direct effects of sanctions on Iranian exchange market and its overflow impacts on macroeconomic variables including inflation and unemployment during the 1978-2015 period. For this purpose, a diverse range of econometric models such as ARMAX, GARCH and Markov Switching have been applied. The estimation results of the research models have indicated that the sanctions have three direct effects on exchange market including: increasing exchange rate, increasing the gap between official and free market exchange rates and increasing exchange rate volatility. Also, the estimation results of the Markov Switching models have shown that the sanctions have increased both of inflation and unemployment rates as a way of foreign exchange market. In other words, increasing the real exchange rate, increasing the gap between official and free market exchange rates and increasing the exchange rate volatility have a significant positive impact on both of unemployment and inflation rate.

The main objective of this paper is to investigate the positive and negative shocks of government expenditures on economic growth in Iran during the period of 1990:1-2015:4. For achieving this purpose, at first the government expenditures shocks has been extracted by applying Baxter-King filter and then, the effects of gross capital formation, consumer price index and oil income have been tested on economic growth by Markov-Switching non-linear approach. The empirical results of this research reveal that there is a non-linear relationship between government expenditures and positive shocks of government expenditures has negative and positive effects on economic growth in the periods of recession and boom respectively. Moreover, the cyclical nature of government expenditures has been confirmed in Iranian economy over the period of study.

Electricity energy as a production factor due to natural and clean efficiency, plays effective role in the sustainable growth and development each country. This study investigates the effect of electricity consumption on economic growth in provinces of the country and during the period 2004-2016. To achieve this goal is used of panel cointegration analysis and Fully Modified Ordinary Least Squares (FMOLS), Dynamic Least Squares (DOLS) and Pooled Mean Group (PMG) and Mean Group (MG) are used to estimate long-term coefficients and to determine the short and long term causality relationship, are used Panel Vector Error Correction Model (VECM).
The empirical results indicate a significant effect of electricity consumption on economic growth in provinces of the country in all estimated models. Also, in models have been used the variables of labor force, investment, urbanization rate and literacy rate and their results indicate that there are positive and significant effects on economic growth. Also results of panel causality test shows that there is a bilateral relationship and long-term of electricity consumption to economic growth and vice versa. In addition, patterns results without regard to the Tehran indicate that this has dominant role in increasing electricity consumption.

Considering the role and importance of the banking system in the economic growth and development of countries, attention to the stability of the banking system has an undeniable role in economic stability. For this purpose, the deposit insurance system plays a major role.
This article uses Merton’s deposit insurance pricing model to analyze the cost of Iran deposit insurance. For this purpose, 9 private banks were selected during the period of 2010-2015. In order to choose the type of deposit, five-year deposits are used as the longest bank deposits in terms of maturity. A market-value-based maximum likelihood estimation method developed by Duan is employed to compute the inputs needed for Merton’s formula.
Given that in the Merton method, the asset value of a bank and the standard deviation of return on assets are unknown, Therefore, in the Ron and Verma method, based on the stock value and its volatility, and in the MLE method, it is calculated based on the maximum likelihood function.
Considering the high rate of deposit insurance according to the results, it is observed that the risk of banking in Iran is increasing. Also, by comparing the estimates obtained using Ron and Verma method and the maximum likelihood method, the deposit insurance rate is higher based on the MLE method, which is an effective method for calculating the deposit insurance rate.