فهرست مطالب

اقتصاد پولی، مالی - پیاپی 14 (پاییز و زمستان 1396)
  • پیاپی 14 (پاییز و زمستان 1396)
  • تاریخ انتشار: 1396/12/25
  • تعداد عناوین: 10
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  • پژوهشی
  • سعید کریمی پتانلار، احمد جعفری صمیمی، جلال منتظری شورکچالی صفحات 1-29
    بحران بدهی سال 2008-2007 و هزینه ناشی از اصلاح سیاست های مالی، بیش از پیش بر اهمیت بحث «پایداری بدهی دولت» در ادبیات اقتصادی افزوده است. بر این اساس، مطالعه حاضر تلاش کرده است با استفاده از روش هم انباشتگی جوهانسن - جوسیلیوس و داده های دوره زمانی 2014-1971 اقتصاد ایران، به بررسی پایداری بدهی دولت در قالب «تابع واکنش مالی» بپردازد. بر اساس تابع واکنش مالی برآورد شده، واکنش دولت به هر سه نوع بدهی(بدهی دولت به بانک مرکزی، بدهی دولت به بانک ها و موسسات اعتباری غیربانکی و بدهی خارجی دولت) به صورت ضعیف و قابل اغماض پایدار بوده است. به عبارت دیگر، دولت نسبت به افزایش در سطح بدهی ها از طریق کاهش کسری (یا افزایش مازاد) بودجه واکنش محسوسی نشان نداده، که این مسئله با توجه به تاثیرپذیری رشد اقتصادی از سطح بدهی دولت از طریق کانال های متعدد، می تواند زنگ هشداری برای تصمیم گیران و سیاست-گذاران کشور باشد. همچنین، نتایج نشان دادکه سیاست های مالی دولت در واکنش به نوسانات رشد تولید ناخالص داخلی رویکرد موافق چرخه ای داشته است. بنابراین توصیه می شود که با هدف تدوین یک چارچوب مشخص و باثبات برای سیاست های مالی دولت، چرخه های تجاری و انباشت بدهی به عنوان دو مولفه اصلی در تابع هدف سیاست های مالی دولت لحاظ شوند.
    کلیدواژگان: پایداری بدهی، تابع واکنش مالی، سیاست مالی، هم انباشتگی، ایران
  • فرزانه احمدیان یزدی، مسعود همایونی فر، محمدحسین مهدوی عادلی، محمدعلی فلاحی، سید محمد حسینی صفحات 30-68
    توسعه مالی از موضوعات بسیار مهم در ارتباط با رشد و توسعه کشورهای غنی از منابع است. چنانچه این کشورها با بهره گیری از کارکردهای اصلی توسعه بخش مالی، موجب هدایت رانت منابع به سرمایه-گذاری های مولد و در نهایت تبدیل آنها به سایر اشکال سرمایه شوند، می توانند رشد و توسعه پایدار در اقتصاد کشورشان ایجاد کنند. از آنجا که رانت منابع طبیعی دارای اثرگذاری متفاوتی بر انباشت اشکال مختلف سرمایه است، ارائه راه کاری در جهت بهبود نحوه این اثرگذاری می تواند برای کشورهای دارنده این منابع مفید باشد. در این مطالعه، نقش توسعه مالی به عنوان یک زیرساختار موثر بر نحوه اثرگذاری رانت منابع بر انباشت سرمایه های خارجی، فیزیکی، انسانی و اجتماعی در قالب یک سیستم معادلات همزمان و با بهره گیری از تکنیک رگرسیون غلتان طی دوره 1970-2014 برای کشور ایران مورد بررسی قرار گرفته است. برآوردکننده SUR در سیستم معادلات همزمان نشان می دهد که رانت منابع طبیعی دارای اثرگذاری منفی بر سرمایه فیزیکی و اثرگذاری مثبت بر سرمایه های خارجی و اجتماعی است. نحوه اثرگذاری رانت منابع بر انباشت سرمایه انسانی مختلف است؛ به طوری که در برخی دوره ها مثبت و برخی دوره ها منفی است. نتایج حاصل از رگرسیون غلتان برای هر کدام از معادلات نشان می دهد که توسعه مالی موجب کاهش اثرگذاری منفی رانت منابع بر سرمایه فیزیکی و افزایش اثرگذاری مثبت آن بر سرمایه اجتماعی است؛ اما در مورد انباشت سرمایه خارجی و انسانی، توسعه مالی نتوانسته در راستای بهبود اثرگذاری رانت منابع بر انباشت این دو شکل سرمایه در ایران عمل کند. در مجموع بر اساس نتایج به دست آمده از این مطالعه می توان گفت که توسعه مالی بخش بانکی در ایران می تواند به عنوان راه کاری در جهت بهره گیری از مواهب حاصل از رانت منابع طبیعی در اقتصاد کشور مورد توجه ویژه سیاست گذاران و محققان قرار گیرد.
    کلیدواژگان: رانت منابع طبیعی، توسعه مالی، سیستم معادلات همزمان، رگرسیون غلتان
  • پروین تشکری صالح، مهدی خداپرست مشهدی، مهدی فیضی صفحات 69-89
    مطالعات تجربی نشان می دهند نرخ ترجیح زمانی افراد برای دوره های دورتر کمتر از زمان های نزدیک است. به بیان دیگر افراد در رفتار بین دوره ای خود به سمت اکنون تورش دارند که باعث می شود سطح پس انداز جامعه در عمل کمتر از سطح بهینه آن شود. با توجه به اینکه سیستم های شناختی ظرفیت انطباق در خلال یادگیری و هم تکاملی دارند، هدف این پژوهش پاسخ به این پرسش است که آیا تجربه های شخصی فرد طی فرایند یادگیری، می توانند ترجیحات زمانی او را تحت تاثیر قرار دهند. برای پاسخ به این پرسش پس از بررسی نظری موضوع، اقدام به بررسی این فرضیه با روش تجربی آزمایش شده است. در این آزمایش 129 دانشجوی رشته اقتصاد از بین دانشجویان اقتصاد دانشگاه فردوسی مشهد شرکت کرده و پارامترهای ترجیح زمانی (پارامتر اکنون گرایی و پارامتر ترجیح زمانی بلندمدت) آن ها، با روش آزمایشگاهی «فهرست قیمتی چندگانه» استخراج شده است. همچنین شرکت کنندگان به پرسشنامه ای پاسخ دادند که تجربه های فردی آن ها در تصمیم گیری بین دوره ای را نشان می دهد. با توجه به نرمال نبودن توزیع داده ها از آزمون ناپارامتری و رگرسیون ناپارامتری برای تحلیل داده ها استفاده شد. نتایج آزمایش نشان می دهد شرکت کنندگان در رفتار بین دوره ای خود ناسازگاری زمانی و تورش به سمت اکنون دارند، اما پارامتر اکنون گرایی بین افراد با تجربه های مختلف متفاوت است. درعین حال نرخ ترجیح زمانی بلندمدت تحت تاثیر تجربه های افراد قرار نگرفته است.
    کلیدواژگان: ترجیح زمان، اکنون گرایی، اقتصاد رفتاری، تجربه، اقتصاد آزمایشی
  • ناهید رجب زاده مغانی، محمد علی فلاحی، مهدی خداپرست مشهدی صفحات 90-114
    توسعه مالی نقش کلیدی در رشد اقتصادی کشورها ایفا می کند؛ بنابراین شناخت عوامل تاثیرگذار بر توسعه مالی ضروری است. فراوانی منابع یکی از عواملی است که می تواند بر توسعه مالی کشورها اثرگذار باشد. بیماری هلندی، کاهش اتکا به درآمدهای مالیاتی، فساد و رانت جویی، کاهش سرمایه اجتماعی و انسانی، عدم شکل گیری احزاب مستقل سیاسی و کاهش سطح دموکراسی مکانیسم هایی هستند که فراوانی منابع از طریق آن ها زمینه را برای تضعیف و کاهش سطح توسعه مالی فراهم می نماید؛ اما با توجه به ادبیات اقتصاد نهادی، فراوانی منابع در کشورهایی سطح توسعه مالی را کاهش می دهد که کیفیت نهادی در آن جامعه ضعیف باشد، در غیر این صورت فراوانی منابع نمی تواند اثر منفی بر توسعه مالی بگذارد؛ چراکه مکانیسم های تعریف شده در کشورهای با کیفیت نهادی بالا کارکرد خود را از دست می دهند. در این مطالعه با استفاده از داده های تابلویی برای 22 کشور منتخب صادرکننده نفت، که براساس شاخص حکمرانی تفکیک شده اند، طی دوره زمانی 1996-2009 به آزمون تجربی فرضیات تحقیق پرداخته شده است. نتایج حاکی از آن است در کشورهایی که از نظر شاخص حکمرانی وضعیت نامطلوبی دارند، ارتباط منفی و معنی داری بین فراوانی منابع و توسعه مالی وجود دارد. درحالی که، در کشورهایی که از نظر شاخص حکمرانی سطح متوسطی دارند، این ارتباط معنی دار نیست و در کشورهایی که از نظر شاخص حکمرانی وضعیت مناسب و مطلوبی دارند، این ارتباط کاملا مثبت و معنی دار است؛ بنابراین بهبود و اصلاح کیفیت نهادی در اقتصادهای نفتی ضروری به نظر می رسد تا بدین وسیله سطح توسعه مالی ارتقا یابد.
    کلیدواژگان: توسعه مالی، حکمرانی، فراوانی منابع، کشورهای صادرکننده نفت
  • علیرضا کازرونی، حسین اصغرپور، مریم نفیسی مقدم صفحات 115-134
    رابطه بین تورم و متغیرهای حقیقی در بررسی اثرات سیاست های پولی و دست یافتن به ثبات اقتصادی و کنترل تورم بسیار با اهمیت است. منحنی فیلیپس یکی از مشهورترین روابط در اقتصاد کلان است که به بررسی ارتباط بین تورم و بیکاری پرداخته است. منحنی فیلیپس کینزی های جدید در دهه 1990، براساس چسبندگی های اسمی و انتظارات عقلایی شکل گرفته و به طور گسترده در مدل های ساختاری پویای تورمی و در بررسی سیاست های پولی مورد استفاده قرار گرفته است. در این پژوهش با استفاده از روش اقتصاد سنجی رگرسیون کوانتایل به برآورد منحنی فیلیپس هایبرید کینزی های جدید در ایران پرداخته می شود. برای این منظور از داده های فصلی، نرخ تورم، شکاف تولید و تغییرات نرخ ارز اسمی در طی سال های93-1369 استفاده شده است. نتایج تحقیق نشان می-دهد که بین متغیرهای مورد بررسی و نرخ تورم یک رابطه متقارن و مثبت وجود دارد؛ به عبارت دیگر در سطوح تورمی بالاتر شدت اثرگذاری متغیرهای تورم با وقفه و تورم انتظاری، بر تورم افزایش می-یابد. بنابراین می توان نتیجه گرفت عاملان اقتصادی در تنظیم قیمت وفعالیت های خود به ترکیبی از مقادیر آینده نگر و گذشته نگر توجه می کنند، اما براساس نتایج بدست آمده سهم مقدار ضریب پارامتر آینده نگر بیشتر است.
    کلیدواژگان: نرخ تورم، منحنی فیلیپس هایبرید کینزی های جدید، رگرسیون چندک
  • حسن حیدری، سولماز صادق پور، مرتضی دهقاندرست صفحات 135-154
    این مقاله به بررسی رابطه بین نوسانات تورم و میزان تسهیلات اعطایی قرض الحسنه بانک های تجاری طی سال های 1393- 1384 با استفاده از داده های ماهیانه می پردازد. به این منظور از روش همبستگی شرطی پویای تصحیح شده (cDCC) الگوی خودرگرسیونی تعمیم یافته مبتنی بر واریانس ناهمسان شرطی (MGARCH) استفاده می شود. نتایج به دست آمده حاکی از این است که بین نااطمینانی تورم و میزان تسهیلات اعطایی قرض الحسنه همبستگی مثبتی وجود دارد. بدین معنی که برخلاف تصور موجود با افزایش نوسانات تورم، افزایش قیمت تمام شده پول برای بانک ها و نیز کاهش قدرت خرید مردم، میزان سپرده های قرض الحسنه و درنتیجه تسهیلات اعطایی از محل این سپرده ها کاهش نمی یابد. این نتیجه گیری می تواند تاثیر مستقیمی بر نحوه سیاست گذاری بانک ها داشته باشد. بانک ها در دوران تورم و برای جلوگیری از کاهش میزان سپرده های مدت دار خود، سیاست هایی را اتخاذ می کنند که سپرده گذاران را تشویق به این نوع سپرده گذاری نمایند. این سیاست بانکی در صورت اثرگذار بودن بایستی باعث کاهش میزان سپرده های جایگزین همانند سپرده های قرض الحسنه گردد. این مساله دقیقا به معنی کاهش میزان تسهیلات قرض الحسنه اعطایی بانک ها در این بازه زمانی است؛ درحالی که نتایج به دست آمده از این پژوهش عکس مساله بالا را نشان می دهد. این بدان معنی است که بانک ها برای حفظ منابع مالی خود در دوران تورم بایستی به فکر اتخاذ سیاست های مناسب دیگری باشند.
    کلیدواژگان: نوسانات، منابع ارزان قیمت بانکی، همبستگی، cDCC، MGARCH
  • کیومرث سهیلی، شهرام فتاحی، مهناز سرخوندی صفحات 155-180
    بحث سیاست گذاری پولی قاعده مند در مقابل سیاست گذاری پولی صلاحدیدی از مهم ترین مباحث سیاست گذاری پولی به حساب می آید. اگر سیاست های پولی به صورت صلاحدیدی اجرا شوند، مقامات بانک مرکزی در شرایط مختلف اقتصادی و با توجه به وضعیت متغیرهای کلان اقتصادی ازجمله نرخ تورم و نرخ رشد اقتصادی، به صلاحدید خود واکنش نشان می دهند؛ اما اگر سیاست های پولی به صورت قاعده مند اجرا شوند، عکس العمل مقامات پولی نسبت به نوسانات اقتصادی بر اساس نظریه های اقتصادی و قواعد پولی منطبق بر آن ها، خواهد بود. بررسی میزان قاعده مند بودن یا صلاحدیدی بودن سیاست های پولی از اهمیت خاصی برخوردار است. به همین دلیل، در این مقاله میزان قاعده مند بودن یا صلاحدیدی بودن سیاست های پولی بانک مرکزی ایران بررسی شده است. یکی از قواعد پولی که در این مقاله به کارگیری آن برای ایران مورد آزمون قرار گرفته است، قاعده پولی تیلور و قاعده پولی تیلور تعمیم یافته است. قاعده پولی تیلور و قاعده پولی تیلور تعمیم یافته معروف ترین تصریح تابع عکس العمل در ادبیات اقتصادی هستند. بر اساس قاعده تیلور و تیلور تعمیم یافته، مقامات پولی نسبت به انحراف تولید از تولید بالقوه و انحراف تورم از تورم هدف، از طریق تغییر در نرخ بهره اسمی، به عنوان نوعی ابزار سیاستی عکس العمل نشان می دهند. شایان ذکر است که در این مقاله به دلیل حاکمیت سیستم بانکداری بدون ربا در ایران و به دلیل اینکه بانک مرکزی ایران پایه پولی را به عنوان هدف میانی سیاست پولی اعلام می کند، به جای استفاده از نرخ بهره از نرخ رشد پایه پولی استفاده شده است.
    دو مدل مختلف با بهره گیری از داده های دوره زمانی 1353-1392 بر اساس روش رگرسیون معمولی برآورد شدند. نتایج به دست آمده از تخمین معادلات مربوط به واکنش بانک مرکزی در مدل ها، نشان داد که واکنش بانک مرکزی نسبت به متغیر شکاف تولید مبتنی بر قاعده ولی نسبت به متغیر انحراف از تورم مبتنی بر صلاحدید است.
    کلیدواژگان: توابع واکنش، بانک مرکزی، قاعده تیلور، هموارسازی، رشد حجم پول
  • مریم دولو، فاطمه بسطامی، محمدحسین میرزا علی طهرانی صفحات 181-204
    هدف پژوهش حاضرآزمون تاثیر مدیریت سرمایه در گردش بر سودآوری در ادوار مختلف تجاری (رونق و رکود) است. جهت آزمون رابطه فوق از روش رگرسیون داده های تابلویی استفاده می گردد. برای این منظور، نمونه ای مشتمل بر 251 شرکت پذیرفته شده در بورس اوراق بهادار تهران طی سال های 1380 تا 1392 مورد بررسی قرار می گیرد. نتایج حاکی از آن است که مادامی که از بازده دارایی ها به عنوان سنجه سودآوری استفاده گردد، رابطه سودآوری با دوره پرداخت تعهدات و دوره وصول مطالبات در دوران رونق، معکوس است و با دوره تبدیل وجه نقد و متوسط گردش موجودی کالا دارای رابطه مثبت و معنادار می باشد. عکس این روابط در دوران رکود برقرار است. حال آن که میان سود ناخالص عملیاتی (معیار دوم سودآوری) با دوره تبدیل وجه نقد، متوسط گردش موجودی کالا و دوره پرداخت تعهدات به تفکیک دوره رونق و رکود رابطه معناداری مشاهده نگردید. سود ناخالص عملیاتی با دوره وصول مطالبات در شرایط رونق دارای رابطه منفی است و عکس رابطه مذکور در شرایط رکود برقرار است. لذا نتایج حاصل از پژوهش تحت تاثیر سنجه سودآوری است. یافته های حاصل از این پژوهش در نمونه متغیر و ثابت همواره برقرار است.
    کلیدواژگان: سرمایه در گردش، ادوار تجاری، سودآوری
  • سیاب ممی پور، عاطفه فعلی صفحات 205-236
    شواهد تجربی نشان داده اند که بازارها از یکدیگر جدا نیستند و نوسانات در بازارهای مختلف با یکدیگر در ارتباط هستند. سرمایه گذاران به منظور اتخاذ تصمیم مناسب در تشکیل سبد سهام باید از روابط بین بازارها آگاهی یابند. یکی از تاثیرگذارترین بازارها بر بازارهای مالی همچون سهام در اقتصاد متکی بر نفت ایران، بازار نفت است. در تحقیق حاضر به بررسی اثرات سرریز نوسانات قیمت نفت بر بازدهی سهام صنایع منتخب (37 صنعت) در بازار بورس اوراق بهادار تهران طی دوره زمانی آذرماه 1387 تا فروردین 1395 با تواتر هفتگی با استفاده از رویکرد تجزیه واریانس ارائه شده توسط (Diebold and Yilmaz، 2012) در چارچوب مدل خودرگرسیون برداری تعمیم یافته پرداخته شده است. به طوری که در این تحقیق ابتدا دوره های رکود و رونق با نوسانات متفاوت بازار نفت با استفاده از مدل مارکوف سوییچینگ تفکیک شده و سپس اثرات سرریز نوسانات بازار نفت به تفکیک دوره های با تلاطم بالا و پایین بر بازار سهام مورد بررسی قرار گرفته است. نتایج برآورد حاصل از مدل تجزیه واریانس نشان می دهد بیش از 90 درصد واریانس خطای پیش بینی هر دو بازار (نفت و سهام) در هر دو رژیم تلاطم پایین (رژیم صفر) و تلاطم بالا (رژیم یک) ناشی از شوک های خود بازار است و آثار سرریز قابل توجهی بین بازارها وجود ندارد. نتایج به دست آمده حاکی از آن است که در حالت کلی اثرات سرریز تلاطم از بازار نفت به سوی بازار سهام در رژیم تلاطم پایین نسبت به رژیم تلاطم بالا، در اکثر صنایع مقدار کمتری است و سرریز نوسانات در رژیم با تلاطم بالا در سطح وسیع تری اتفاق می افتد. همچنین نتایج تحقیق نشان می دهد بیش ترین مقدار سرریز متعلق به سرریز تلاطم از بازار نفت به شاخص صنعت فلزات اساسی است و صنایع شیمیایی، انتشارات و چاپ، سیمان، کانی غیرفلزی، وسایل ارتباطی و لاستیک به ترتیب در رژیم صفر و صنایع کانی فلزی، فنی و مهندسی، محصولات کاغذ، محصولات نفتی، سایر معادن و استخراج به ترتیب در رژیم یک در مراتب بعدی قرار دارند.
    کلیدواژگان: بازدهی بازار نفت، بازدهی بازار سهام، سرریز تلاطم، روش تجزیه واریانس، مارکوف سوییچینگ
  • مصطفی دین محمدی، امیر جباری، فهمیده قربانی صفحات 237-262
    هدف این مطالعه بررسی تاثیر ادوار تجاری بر ترکیب منابع و مصارف بانک های دولتی و خصوصی در ایران، طی دوره زمانی 92-1384 است. منابع اصلی بانک ها شامل: سپرده های دیداری یا حساب جاری، سپرده های کوتاه مدت و بلند مدت و همچنین مصارف اصلی بانک ها تسهیلات اعطایی توسط بانک ها می باشند. به همین منظور، تاثیر متغیرهای کلان اقتصادی و ادوار تجاری بر ترکیب منابع و مصارف 22 بانک دولتی و خصوصی کشور به صورت داده های تابلویی با استفاده از روش GMM، مدل سازی و تحلیل شده است. یافته های تحقیق نشان می دهند که ادوار تجاری طی دوره مورد بررسی، رابطه مثبت و معنی داری با سهم سپرده های دیداری، بلندمدت و تسهیلات اعطایی بانک ها داشته و این رابطه در مدل سهم سپرده های کوتاه مدت منفی و معنی دار است. سرمایه گذاری بخش خصوصی دارای رابطه معنی دار با سهم سپرده های دیداری می باشد، ولی با سهم سپرده های مدت دار و تسهیلات اعطایی رابطه معنی داری ندارد. این در حالی است که سرمایه گذاری بخش خصوصی با یک وقفه در مدل سهم سپرده های بلندمدت معنی دار است. رابطه بین کل تسهیلات اعطایی بانک ها و سرمایه گذاری بخش دولتی از لحاظ آماری معنی دار نمی باشد. رابطه بین نوع مالکیت بانک ها و متغیر وابسته در هر 4 مدل بررسی شد. نتایج حاصل نشان می دهد نوع مالکیت بانک بر ترکیب منابع و مصارف بانک ها تاثیرگذار نیست. در دوره زمانی 92-1384 رابطه بین نرخ تورم و سهم سپرده های بلندمدت مثبت و معنی دار است ولی این رابطه در مورد سهم سپرده های دیداری و کوتاه مدت معنی دار نمی باشد. رابطه بین نرخ تورم و تسهیلات اعطایی بانک ها نیز معنی دار نیست. همچنین نتایج نشان می دهند بخش اعظم تغییرات سهم سپرده های کوتاه مدت توسط عوامل داخلی بانک ها و بخش اعظم تغییرات سهم سپرده های دیداری، بلندمدت و تسهیلات اعطایی بانک ها توسط عوامل خارج از بانک ها توضیح داده می شود. تحلیل ضرایب نشان می دهد که حداکثر توان درونی بانک ها در جذب سپرده ها 61 درصد است که آن هم متعلق به سپرده های کوتاه مدت است و به طور متوسط 40 درصد آن وابسته به عوامل خارج از اختیار بانک ها و متغیرهای بیرونی است. در مورد سهم سپرده های دیداری و بلندمدت شرایط بیرونی بانک تعیین کننده توان بانک ها در جذب منابع است.
    کلیدواژگان: فعالیت بانک ها، نوسانات چرخه های تجاری، داده های تابلویی، روش GMM
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  • Saeed Karimi Potanlar, Ahmad Jafari Samimi, Jalal Montazeri Shoorekchali Pages 1-29
    The financial crisis of 2007-2008 and the cost of fiscal policy reform, increasingly revealed the importance of discussion on "government debt sustainability" in the economic literature. Accordingly, this paper examines government debt sustainability in the form of a Fiscal Reaction Function (FRF). To do so, a fiscal reaction function has been estimated using a Johansen Juselius cointegration method in Iran for the period 1971-2014. The results showed that the government's reaction was sustainable to the three types of debt (i.e., debt to the central bank, debt to domestic banks and non-bank financial institutions, and foreign debt). However, the small regression coefficients indicate a weak sustainability. In other words, as the public debt/GDP ratio increases, government does not respond by improving the primary balance. This problem, due to the impact of public debt on long-run economic growth through various channels can be an alarm for decision and policy makers. Also, findings confirm that fiscal policy in Iran is pro-cyclical. Therefore, it is recommended that, with the aim of creating a sustainable framework for fiscal policy, "debt sustainability" and "Business cycles" be considered as main variables in the objective function of fiscal policies in Iran.
    MethodologyThe issue of “fiscal sustainability” has taken on special importance in the aftermath of the global financial crisis. Although for fiscal sustainability is provided several definitions, almost all of these definitions are associated with fiscal policy. In a comprehensive definition, fiscal sustainability can be considered as a measure of fiscal dependence on the government's recent behaviors, compared to the last fiscal developments and changes in the macro-economic level. To empirically assess fiscal sustainability, the concept of “fiscal reaction function” can be used. Fiscal reaction functions usually specify, for annual data, the reaction of the primary balance/GDP ratio to changes in the one-period lagged public debt/GDP ratio, controlling for other influences. In other words, if the public debt/GDP ratio increases, government should respond by improving the primary balance, to arrest and even reverse the rise in the public debt/GDP ratio (Bohn, 1995, 2007). According to Burger, Stuart, Jooste and Cuevas (2011), the basic fiscal reaction function is in the following form:
    Where:B/Y= Primary Balance/GDP
    D/Y= Government Debt/GDP
    =Output Gap
    Government Debt/GDP is three types:Debt to the central bank/GDP (DCY)
    Debt to domestic banks and non-bank financial institutions/GDP (DOY)
    Foreign debt/GDP (DXY)
    Results and discussionIn this section, we estimate fiscal reaction function using a Johansen Juselius cointegration method in Iran for the period 1971-2014. In the first step, the stationary of variables has been tested using the Ng-Perron and Lumsdaine and Papell tests. The results of stationary tests showed the four variables are non-stationary and only one variable is stationary. So the method of cointegration is a necessity. According to the results of unit root tests, fiscal reaction function has been estimated using a Johansen Juselius cointegration method. Johansen’s procedure builds cointegrated variables directly on maximum likelihood estimation instead of relying on OLS estimation. Finally, fiscal reaction function has been estimated as follows:Based on the estimated equation, it can be said that the government's reaction was sustainable to the three types of debt (debt to the central bank, debt to domestic banks and non-bank financial institutions and foreign debt). However, the small regression coefficients indicate a weak sustainability. Also, the positive coefficient of the output gap showed that fiscal policy in Iran is countercyclical.
    ConclusionThe rapid build-up of government debt in an environment of financial instability and low growth has increased the need for an assessment of government debt sustainability. Accordingly, this paper examines government debt sustainability in the form of a fiscal reaction function (FRF). The results of the estimating Johansen Juselius cointegration method confirmed that fiscal policy was not sensitive to react to the accumulation of the government debt. Therefore, due to the impact of public debt on long-run economic growth through various channels, it is necessary that "debt sustainability" be considered as a main variable in the objective function of fiscal policies in Iran.
    Keywords: Debt Sustainability, Fiscal Reaction Function, Fiscal Policy, Cointegration, Iran
  • Farzaneh Ahmadian Yazdi, Masoud Homayouni Far, Mohammad Hosein Mahdavi Adeli, Mohammad Ali Falahi, Seyyed Mohammad Hoseini Pages 30-68
    IntroductionFinancial system is fundamental for economic growth in most of countries. Based on vast studies done on the determinants of economic growth, financial development leads to economic growth in many countries in long time (Rousseau & Wachtel, 2002). It is worth noting that the importance of financial system in economic growth has been notified for many years (e.g., Bagehot, 1873; Hicks, 1969; McKinnon & Shaw, 1973; King & Levin, 1993; Levin, 1997, 2002; Beck, Demirguc-Kunt & Levine 2000; Aizenman, 2015).
    Although there is a vast literature about the importance of financial development, most of them have investigated the direct impact of financial development on economic growth. In this case it is important to know that there are four main channels that contribute to the relationship between financial development and overall economic output that are foreign capital, physical capital, human capital, and social capital. Based on World Bank’s analysis (2012), these five kinds of capital form national wealth in all economies. Meanwhile natural capital has the main role in resource-rich countries.
    There is an expanding literature that shows the effects on natural resource rents on economic growth in resource-rich countries. Gylfason (2001) introduced four main channels that consist of four kinds of capital mentioned above to show how resource rents affect economic growth.
    One of the important issues that have been neglected in this concept is how resource-rich countries can reverse the negative effects or improve the positive effects of resource rents on capital accumulation. There are few studies that argue financial development is an effective solution for that aim.
    2) Theoretical Framework
    Four kinds of capital that contribute to the relationship between resource rents and economic growth are foreign capital, physical capital, human capital and social capital. In fact natural capital will affect them in all resource-rich countries. Hence, the first step is to investigate the simultaneous effects of natural capital on other kinds of capital.
    The conceptual model of this paper is that financial development is an infrastructure that has potential in improving the positive (or reducing negative) impact of natural resources on all kinds of capital accumulation. Therefore, the second step of this study is investigating the role of financial development on the effects of natural resources on accumulation of this kind of capital.
    In this paper, we will show that financial development could absorb resource rents in order to allocate resources and invest them in most optimal projects. For more details it would be necessary to say that the debate about the influence of financial development on economic growth has been ongoing for more than a century. Since Schumpeter (1912) believed that financial development affects economic activity and hence economic growth. In fact, financial development has emerged as one of the policy levers central banks and governments use to target economic growth.
    In fact, financial development is based on the financial development index which provides a measure for the breadth, depth and efficiency of financial systems. Generally, financial development is the factors, policies and institutions that lead to effective financial intermediation and markets, as well as deep and broad access to capital and financial services. To achieve a coherent view about financial development it would be necessary to know the main financial system functions. These are:Facilitating the trading, hedging, diversifying and pooling of the risks;
    Allocating financial resources;
    Monitoring managers and exerting corporate control;
    Mobilizing savings;
    Facilitating the exchange of goods and services (Levine, 1997).
    Governments in developing resource-rich countries in order to achieve the optimal use of resource rents could stimulate financial development through some macroeconomic policies (Huang, 2010). One of the probable results of financial development is to smooth consumption of below-ground wealth across generations. Other consequence of financial development will be seen in isolating government budgets from volatile resource prices, allowing the budgetary process to be conducted with more certainty.
    MethodologyThis paper provides a model for investigating the simultaneous effects of natural resource rents on four kinds of capital accumulation using SUR model. In second step, for investigating the role of financial development index on the effects of natural resource rents on all kinds of capital, we have utilized Rolling Regression technique. This method is suitable for testing the effects of one variable on two other variables in a model. Also, it is worth noting that the multi-dimension financial development index that consists of 8 main financial indices in banking sector is made by PCA method.
    Results and DiscussionBased on the results of SUR estimator, resource rent has positive effect on foreign and social capital but it has negative effect on physical capital. There are various effects from resource rents on human capital accumulation; sometimes, it has positive and sometimes it has negative effect. It shows that natural resource rents have different effect on each kinds of capital accumulation in Iran during 15 rolling regression (fixed) windows that have 30 observations for each variable in one window. As is evident in this paper, the total natural resource rents itself is not a curse for the economy, but it could be a blessing. One of the important reasons for the negative effect of resources on physical capital is more governmental investments in this sector and there are some rent-seeking activities that prevent resources from mobilizing to productive projects.
    The results of rolling regression show that the development of financial banking system can improve the effects of resource rents on physical and social capital in Iran. But we do not get the same results for foreign capital and human capital. In foreign capital sector, ignoring the development of external dimension of financial banking system that may be seen as financial liberalization is one of the main reasons for this event.
    The reason for undesirable effect of financial development in human capital sector relates to low level of financial innovation in banking sector and high level of risks that banks are faced with. Consequently, many innovative projects from people who have high level of human capital accumulation will not be considered in Iran.
    Conclusion and SuggestionsNatural resource management is one of the important issues in resource-rich countries. Based on the results, financial development can mitigate the negative effect or improve the positive effects of these rents on capital accumulation. The results show that financial development would be beneficial for this aim in physical and social capital sector in Iran. But it cannot improve the effects of resource rents on foreign and human capital accumulation.
    Based on the results, we could suggest that considering development of financial system is a necessity in resource-rich countries such as Iran. Meanwhile the important issue is focusing on all financial development channels that lead to balanced development in financial system. Also, it is worth noting that policy makers should avoid financial repression because this would prevent it from imposing positive effects on the economy. At the end, we could say that paying attention to all kinds of capital would lead to sustainable economic growth when it is accompanied by stable financial development.
    Keywords: Natural Resource Rent, Financial Development, Simultaneous equation system, Rolling Regression
  • Parvin Tashakori Saleh, Mahdi Khoda Parast Mashhadi, Mahdi Feizi Pages 69-89
    IntroductionEstimating time preferences is of great importance to economists, and policy makers who seek to understand the process of consumers’ decision-making about savings, education, life insurance and so on. The standard model of intertemporal choice in economics is time-separable utility with exponential discounting. However, people often seem to deviate systematically from these implications of the exponential discounting model. Empirical and experimental studies show that time preferences for long runs are smaller than for short runs. In other words, people are present bias. Hence, the saving level becomes less than its optimal level. Because people procrastinate and postpone saving to the future period. Cognitive science investigates evolution of cognitive systems. These systems have the capacity of adaptation and coevolution. We elicit individual time preferences with incentivized choice experiments, and match resulting time preference measures to individual’s experiences.
    Theoretical FrameworkA convenient functional form for representing such time preferences that value declines rapidly over the short run but at a slower rate over the long run is the quasi hyperbolic discount function (Laibson, 1997) according to which the present value of a stream of consumptions (c1, c2, …) is as follows:Where u is the utility function, and discount parameters β and δ are bounded between 0 and 1. Hyperbolic discounting is a particular mathematical model devised as an improvement over exponential discounting in the sense that it better fits the experimental data about actual behavior. But note the time inconsistency of this behavior has some quite perverse consequences. Hyperbolic discounting has been observed in humans and animals.
    In hyperbolic discounting, valuations fall very rapidly for small delay periods, but then fall slowly for longer delay periods. This contrasts with exponential discounting, in which evaluation falls by a constant factor per unit delay, regardless of the total length of the delay. The standard experiment used to reveal a test subject's hyperbolic discounting curve is to compare short-term preferences with long-term preferences. For instance: "Would you prefer a dollar today or three dollars tomorrow?" or "Would you prefer a dollar in one year or three dollars in one year and one day?" For certain range of offerings, a significant fraction of subjects will take the lesser amount today, but will gladly wait one extra day in a year in order to receive the higher amount instead. Individuals with such preferences are described as "present-biased".
    Individuals using hyperbolic discounting reveal a strong tendency to make choices that are inconsistent over time. This dynamic inconsistency happens because the value of future rewards is much lower under hyperbolic discounting than under exponential discounting. The degree of discounting is vitally important in describing hyperbolic discounting, especially in the discounting of specific rewards such as money. The discounting of monetary rewards varies across age groups due to the varying discount rate. The rate depends on a variety of factors including the species being observed, age, experience, and the amount of time needed to consume the reward.
    MethodologyTime preferences are fundamental to theoretical and applied studies of decision-making, and are a critical element of much of economic analysis. At both aggregate and individual levels, accurate measures of discounting parameters can provide helpful guidance on the potential impacts of policy and provide useful diagnostics for effective policy targeting. Though efforts have been made to identify time preferences from naturally occurring field data, the majority of research has relied on laboratory samples using variation in monetary payments. Most of estimating time preferences studies have favored in laboratory environments while some have used aggregate consumption data. Among the many laboratory techniques, recent studies have employed multiple price lists (MPL) with monetary payments. With MPLs, in the two different time frames, individuals are asked to choose between sooner-smaller payments (SS) and later-larger (LL) for multiple times. The interest rate increases monotonically in a price list such that the point where an individual switches from preferring sooner payments to later payments carries interval information about their time preferences. Assuming time-separable stationary preferences and linear utility, individual discount rates can be bounded and potentially calculated from MPL switching points. Using information from both price lists allows us to measure discount factors and to identify present and future bias.
    Experimental DesignIn this paper we have examined this hypothesis that leaning process could affect time preferences. In our experiment, 129 students participated and they answered the "MPL" tests and completed our experience questionnaire. Our experiment was conducted at Ferdowsi University of Mashhad, in May 2016. In a paper-pencil experiment, subjects faced 24 convex budget decisions. These 24 budgets involved four combinations of starting times, t, and delay lengths, k, with annual interest rates that varied from zero to over 1000 percent per year.
    A (2*2) design was implemented with two sooner payments date, t= (0, 35) days from the experiment date, crossed with two delay lengths, k= (35,63) days. Thus, there are 4 (t, k) cells and within each cell are six MPL questions.
    In a "MPL", subjects are given the choice of ($X, $0), ($0, $Y) that Pxt x t = Y , where P represents the gross interest rate. Subjects faced four intertemporal MPLs. For the intertemporal decisions, variables are the start dates, t, delay lengths, k, and gross interest rates, P. The experimental budget was always $120 such that the intertemporal budget constraint in each decision was Pxt xt = 120.
    We have randomly selected one of the decisions as the decision that counts. We have used the decision-that-counts to determine their actual earnings. All payments they receive were sent to their credit card. That includes payments that they receive today as well as payments they may receive at later dates.
    Results and DiscussionThe findings showed time inconsistent behavior in average. Because distribution of data is not normal, nonparametric regression was used. The results of this study show that the present bias parameter was different for individuals with different experiences. But the parameter of long run time preference has not been affected by experiences. Our observation of an association of intertemporal decision making with choices between an immediate and delayed reward and an association of subjects experiences are consistent with existing theory regarding the cognitive science and functions of brain neural systems.
    Conclusions and SuggestionsThis, in turn, provides a framework within which quantitative predictions about the dynamics of the neural mechanisms underlying intertemporal choice can be generated. Such studies that join economic theory with hypotheses about and measurements of mechanism from neuroscience remain a priority for future works.
    Keywords: time preference, Present Bias, behavioral economics, Experience, Experimental economic
  • Nahid Rajabzadeh Moghani, Mohammad Ali Falahi, Mehdi Khodaparast Mashhadi Pages 90-114
    One of the effective factors on economic growth and development is financial development. Indeed, today the level of economic development is determined by the level of financial development in the countries. Hence, many studies try to identify effective factors in financial development. Natural resource abundance is one of the factors that has effect on financial development of countries. From the 1980s, most studies have only investigated the relationship between natural resource abundance and economic growth. They only try to explain the reason of the resource curse. In these studies the effect of resource abundance on financial development is neglected. But it is claimed that one of the reasons of slow economic growth in resource abundant countries is the low level of financial development.
    There are five mechanisms through which resource abundance can impact financial development. The first mechanism is the Dutch disease. The exploitation of natural resources tends to shift factors of production away from the manufacturing sector. Thus, resource abundance tends to shrink the traded sector. But trade is found to play an important role in financial development. Therefore, resource abundance which weakens the traded sector may have a negative impact on financial development. Second, governments’ access to huge amounts of oil rents reduces the government's need for financing through taxes. In these circumstances a government has no obligation against people and the people have also less demand for accountability in order to define and guarantee property rights and economic security. Weak property rights leads to poor business environment. As a result, investment incentives are reduced. Secure property rights increase the incentives of innovations and creativity. Since entrepreneurs are the main demanders of credit in financial markets, undermining property rights leads to weaken financial markets. Third, economic rent of resource abundance increase opportunities for rent-seeking and corruption. Rent seeking can cause corruption in government, business of people and distortion in allocation of recourse. Corruption may induce a lack of confidence in the government and hence undermine its policy credibility. Because of low policy credibility, it will be difficult for the government to implement some financial reforms. In addition, rent seeking leads to reduced incentives of creativity and innovations. In these conditions, economic creators prefer to gain high rent by abusing weak institutions. Since entrepreneurs are potential promoters of financial development, if the number of entrepreneurs is reduced by resource booms, financial development may also slow down because the demand for it is weakened. Forth, resource abundance tends to weaken private and public incentives to accumulate human capital. Empirical studies show that there is a negative link between human capital and natural resource abundance. Since human and physical capital complement each other in firms, weakening human capital reduce physical capital and investment. In addition, resource abundance reduces social capital. Since social capital determines the level of trust in society and trust is the basis of the financial contracts, resource abundance reduces the level of financial development. Fifth, establishment of democracy is not easily possible in resource abundant countries and power is only in the hands of particular groups and rent seekers. There are lots of scholars like Clague, Keefer, Knack and Olson (1996) and Olsson (1993) that examined the relationship between democracy and financial development. They show that democratic regimes provide better field of protection of property rights, contract enforcement and encourage more investment than authoritarian regimes. Thus, democracy promotes financial developments.
    Beside above mechanisms it should be emphasized that environmental factors can have impact on the relationship between natural resource abundance and financial development. It is expected that resource abundance reduce financial development in the countries with weak institutional quality. In contrast, mentioned mechanisms do not work in the countries with high level of institutional quality. In other words, resource abundance cannot have a negative impact on financial development in the countries with good institutional quality. World Bank introduces governance indicators to show institutional quality of countries. Three researchers named Kufmann, Kraay and Lobaton (1999) create these indicators. They combined the results of various international institutions such as EIU, ICRG, Heritage Foundation and Freedom House about economic, political and social situations and then introduced new indicators as governance indicators. These indicators include voice and accountability, political stability, control of corruption, regulatory quality, government effectiveness and rule of law.
    In this paper, countries with respect to good governance indicators are categorized into three groups. They include countries with high, medium, and low institutional quality. In this study, using the panel data method for 22 selected oil exporting countries over 1996-2009, the effect of resource abundance on two financial development index (i.e., private credit by deposit money banks and other financial institutions/ GDP and M2/GDP) is examined. Among 22 countries, 5 of them have weak institutional quality, 8 of them have medium institutional quality, and 9 of them have high institutional quality.
    The results indicate that the relationship between resource abundance and two financial development indices is positive and significant in countries with high governance, but negative in countries with low and weak governance. The results also indicate that there is no significant relationship between resource abundance and financial development in countries with the average level of governance. Therefore improving institutional quality seems necessary to enhance financial development in oil economies.
    Keywords: Financial Development, Governance, Resource abundance, Oil Exporting Countries
  • Alireza Kazerooni, Hossein Asgharpuor, Maryam Nafisi Moghadam Pages 115-134
    IntroductionIn investigating effectiveness of monetary policy on the economic stability and control of inflation, the relationship between inflation and real variables is highly important. The Philips curve is one of the most popular relationships in macroeconomic which considers the linkage between inflation and unemployment. It was suggested by Phillips (1958) and expanded by Friedman (1968), Phelps (1968), and Lucas (1973). In the 1990s, New Keynesian Philips Curve was formulated based on nominal rigidity and rational expansions and was widely used in structural models of inflation dynamics and analysis of monetary policy. Despite having a conmonly accepted theoretical background, there have been contradictory results regarding its empirical validity.
    High inflation rate has been adversely affected, so it is important to investigate the main determinants of inflation. There are some studies that have investigated dynamics of inflation in Iran. Among them, some have examined the NKPC or hybrid NKPC in Iran. However, these researchers have ignored the utilization of quantile regression method. Quantile regression, proposed by Koenker and Bassett (1978), is an effective tool to overcome the weaknesses in mean regression. In comparison with traditional approaches to estimate HNKPC, quantile regression has two advantages. Firstly, the effects of symmetry and asymmetry of the Phillips curve are studied across quantiles. For example, the effects of explanatory variables may be the different between upper and lower quantiles, which is so important for dynamic monetary policy in different economic circumstances. Secondly, the quantile regression can provide more information than the conditional mean of inflation. Hence, it seems to be able to define the effect of explanatory variables on inflation across quantiles considering the circumstances of frequent inflation in Iran.
    MethodologyThe relationship between inflation rate and the economic activity such as the output gap described by a Phillips curve. The most commonly used model Philps curve in macroeconomics is the Hybrid New Keynesian Philips Curve(HNKPC) as developed by Garli ande Gertler(1999) The HNKPC is generally used to investigate the effect of looking forward and looking backward components, which can be expressed as:(1) π_t=γ_f E_t π_(t)γ_b π_(t-1)χGAPϵ_t
    Where π_t is the rate of inflation, π_(t) is expected inflation for t at time t, GAP is output gap (i.e., a proxy for marginal cost of production) Whereas Iran is a small country and has open economy, exchange rate also has an impact on inflation rate, so we used the change of the exchange rate on Eq.1. In recent years, quantile regression has been used to estimate Philips Curve (e.g., Boz, 2013; Chorteas, Magonis and Panagiotidis, 2012; Xu, Niu, Jiang, and Huang, 2015).
    In recent years, quantile regression has been widely used in many important areas such as economic analysis, financial risk management, and environment modeling (Xu, 2015). Estimation methods of conditional quantile functions were discussed in Koenker and Bassett (1978), where a simple asymmetric version of the sum of absolute errors was minimized. (2) min_(βϵR^k ) [∑_(i∈{i:y_i≥x_i β})▒τ|y_i-x ́_i β_i | ∑_(i∈{i:y_i
    Keywords: Inflation rate, Hybrid New Keynsian Philips Curve, Quantile regression
  • Hassan Heidari, Solmaz Sadeghpour, Morteza Dehghandorost Pages 135-154
    Undoubtedly, the financing structure in each country's economy is considered to be the main element of the economic system of that country, because the life of an economy depends on its production and growth in its various fields, and its production and growth will not be realized without the required financial resources. The task entrusted to the economic system of the country is within the framework of its financing structure.
    According to some economic experts, in Iran, the state budget, private sector savings and external resources are three determinants of financing sources. This means that active enterprises in various fields of production can pay for these resources to cover their needs. The government budget as one of the sources of financing firms due to dependence on oil revenues, can not be a powerful stimulus to sustain economic growth in the country. With regard to foreign sources, because of the sanctions, there can be no special account on them to finance various production sectors. Thus, it can be concluded that in the current economic conditions, the only possible option for financing firms is private sector savings; which can be equipped with the capital market and the money market (i.e., banks). Therefore, given that turbulence or fluctuations in inflation is one of the challenges in the banking system, what is highlighted in this paper is the uncertainty associated with inflation, and with the amount of bank loan facilities, and the facilities that most small and medium-sized enterprises have need to survive in the current state of the economy. Specifically, cheap bank facilities are referred to as facilities that are used by low-cost bank's resources for applicants.
    Considering the importance of the banking system in the financing structure of firms and also need of small and medium firms for cheap banking facilities, and the bank's actions in the face of fluctuations of economic variables such as inflation, in order to maintain bank's financial strength, it seems that the study of the effect of macroeconomic variables on the performance of the banking system of the country has great importance.
    Since developing countries, including Iran, have a high degree of uncertainty in macroeconomic variables. And this uncertainty also affects the decisions of bank officials, this paper examines the relationship between the uncertainty of inflation and Gharz-al-hassane facilities paid by commercial banks, in the form of a two-variable GARCH model using monthly data for the period of 2005-2014.
    There are several methods to assess uncertainty and volatility in variables, but the most commonly used method in most econometric studies is the use of GARCH patterns. This method, proposed by Bollerslev (1986) is a modeling based on variance of variables over time.
    GARCH patterns are categorized in a general classification based on the number of variables in the pattern, into univariate patterns and multivariate patterns. Single-GARCH patterns have limitations that make them difficult to use; one assumes that the conditional variance of each series is independent of all other series. In addition, in this type of models, covariance between series is not considered as an important factor of volatility of variables. These limitations make these patterns in many cases unrecognizable. The multivariate GARCH patterns can potentially overcome the deficiencies and defects of single-variable patterns. Multivariate patterns are very similar to single-variable models, and hence their estimates are similar to simple GARCH-single-variable patterns. However, in addition to the previous equations, there are certain equations for expressing how covariance moves over time (Heidari & Bashiri, 2011).
    The first type of GARCH multivariate patterns is the Vech (q, p) pattern introduced by Bollerslev, Engle and Woldrige (1988). In 1991, another class of Vech (q, p) was introduced by Baba, Engle, Kraft and Kroner (1991) which became known as BEKK. This pattern has an interesting feature that, by applying several constraints, the variance-covariance matrix is a positive and definite condition. The problem with previous GARCH multi-variable protocols, including DCCs, is that they are not compatible; therefore, in order to avoid inappropriate results for estimating the conditional mean, variance, and variance of variables of inflation and facilities of the borrower, we use the cDCC model of MGARCH (1,1).
    The results from the cDCC model estimation show that the uncertainty of inflation on the amount of Gharz-al-hassane facilities had a positive effect; which was not statistically significant at 5% level. On this basis, it can be concluded that with the increase of inflation, which is a depreciation of the money value and consequently a decline in the purchaser's purchasing power, the amount of Gharz-al-hassane loans has also increased. This is while expected in inflationary conditions, people withdraw these deposits or convert into long-term deposits. In the case of banks, it is also expected that by increasing inflation and rising money prices, and applying incentive policies to attract more long-term deposits instead of Gharz-al-hassane deposits, as a result, the amount of Gharz-al-hassane funds will be reduced and the amount of bank facilities will be lowered from these sources. However, the results indicate inverse of this issue in the selected time frame. It is a result that can prevent the adoption of false policies by the banking authorities. Thus, the banks are aware of the positive correlation between the inflationary fluctuations, that are increasing in inflation in the Iranian economy, and the commercial loans granted by commercial banks, withdrew its previous policies and put new policies in place to keep their capital under inflationary conditions.
    As a suggested strategy, banks can use this in the context of the inflationary period in which some firms and households suffer from a drop in supply and demand due to rising prices, in order to adjust the business cycles; Thus, during this period, the resources of its Gharz-al-hassane deposits, which have not been reduced due to inflationary fluctuations, will be provided to this sector of enterprises and households. In this way, firms can continue to produce, and households are also buying power, both of which are a step towards more production and prosperity. On the other hand, the banks themselves have received a fee from the facility, and have also made a contribution to the investments made and can partly offset the depreciation of their finances during the inflationary period.
    Keywords: Volatility, Cheap sources of bank, Correlation, cDCC, MGARCH
  • Kiomars Sohaili, Shahram Fattahi, Mahnaz Sorkhvandi Pages 155-180
    IntroductionMonetary policies are one category of economic policies. Central banks use monetary policies for reducing inflation and for increasing production, employment and economic rate growth. Implementation of monetary policies can be done as a rule based monetary policy or as a discretionary monetary policy by central banks. Discussion of rule based monetary policy and discretionary monetary policy is of the most important issues of monetary policy making. In the case of discretionary monetary policies, central bank authorities react to their discretion in various economic conditions and based on the various situations of macroeconomic variables such as inflation and economic growth rates. But in the case of systematic monetary policies, central bank authorities will react to fluctuations in the economy, based on economic theory and monetary rules. Estimation of the amount of regulation or discretion of monetary policy is of special importance. Hence, in this study, the issue of rules versus discretion in monetary policies of Iran’s central bank will be examined.
    Theoretical Frame workFriedman's (1969) monetary rule is one of the monetary rules based on which regulatory based monetary policies are executed. Friedman's monetary rule was known as the main monetary rule for many years. Friedman believes that in situations where there is uncertainty about the duration of the effectiveness of monetary policy, the discretionary management of the supply of money can increase economic volatility, so he has proposed constant growth monetary rule. Other monetary rules whose application in Iran is investigated in this paper, are Taylor rule and the augmented Taylor rule. Taylor rule and the augmented Taylor rule are the most famous specified reaction function in the economic literature. According to the Taylor rule and the augmented Taylor rule, monetary policymakers react to deviations of output from the potential output and deviations of inflation from target inflation through change in the interest rate as a policy instrument. It is worth noting that due to the rule of interestfree banking system in Iran and due to Iran's central bank’s use of monetary based policies as an intermediate target in monetary policy, in this study, the growth rate of monetary base has been used instead of the interest rate.
    MethodologyIn order to examine the amount of regulation of the monetary policies of Iran Central Bank, the following two models were designed
    The first model is specification of model for augmented Taylor rule under the first scenario for target inflation:BM = C(1) C(2)*BM(-1) C(3)*GDPGAP C(4)*INFGAP
    The second model is specification of model for augmented Taylor rule under the second scenario for target inflation
    BM = C(1) C(2)* BM (1-) C(3)*GDPGAP C(4)*INFGAPT
    In the above models, BM, BM (-1), GDPGAP and INFGAP are monetary base, the first lag of monetary base, deviations of the actual GDP from potential GDP and deviations of the inflation from target Inflation, respectively. Also, C(1), C(2), C(3) and C(4) are variable coefficients. The above models are estimated using the least squares regression during the period 1974-2013. The results of estimated models are reflected in the results and discussion part.
    Results and DiscussionThe results obtained from the estimated equations for central bank's response showed that the coefficient of policy variable of deviations of the actual GDP from potential GDP is significant. But the coefficient of deviations of the inflation from target inflation is not significant. Hence, findings of this research indicate that the behavior of the central bank of Iran with respect to deviations of the actual GDP from its potential is systematic and is based on rule than discretion. But the behavior of the central bank of Iran with respect to deviations of the inflation from target inflation was based on discretion and has not been systematic or rule based during the study period
    Conclusion and SuggestionsDetermination of monetary policies based on the discretion instead of determination of them based on rule, often cause inflation and economic instability in Iran. Therefore, in order to reduce social loss of intensifying inflation such as class discrimination and creating appropriate atmosphere for economic growth, the reaction functions of central bank of Iran in response to inflation deviations from its target and deviations of the actual GDP from its potential, is defined. Since lack of central bank’s independence leads to the discretionary behavior, reducing dependency of the central bank to the government is suggested for establishing a systematic behavior in the monetary policies of central banks.
    Keywords: Reaction Functions, Central Bank, Taylor's Rule, Smoothing, Monetary Growth
  • Maryam Davallou, Fatemeh Bastami, Mohammad Hossein Mirzaali Tehrani Pages 181-204
    IntroductionThis study is aimed to investigate the effect of working capital management on profitability during business cycles (boom and bust). If capital structure and long-term investment decisions are foundation of firm, proper management of working capital likes blood in the firms’ veins provides financial health and continuity possibility. One of the most important functions of every organization is the efficient management of working capital. Obviously, the uncertainty associated with macro-economic factors plays an important role in changing the product demand and firms financing. So that Kvrazyk & Levi (2003) believe firms determine the timing for debt issuing based on economic conditions. The main source of working capital financing, is retained earnings so it can be argued that business cycles affect the firm financing through its impact on economic growth, product demand and subsequently sales. For example, when sales of firm decline its profit is reduced and an important source of working capital financing is affected. In this situation, management will have to use external funds that are expensive. Regardless of the kind of industry in which the firm operates, the macroeconomic conditions affect all industries. For example, the recession declines the general level of demand, decreases sales and liquidity and imposes increasingly pressures on firms business. Lending limitations of financial institutions have led to cash becomes the scarce resource. Hence, the importance of working capital management is more than ever before. Therefore, this study investigated the effects of working capital management on profitability in different business cycles. In this study, for the first time, the effects of working capital and the profitability are examined taking into account the business cycles in both fixed and variable sample. Fixed sample includes companies that listed in the stock exchange continuously for the whole sample period. However variable sample includes companies that also have been listed during the research period (every year new companies listed in Tehran Stock Exchange). This study is aimed to investigate the relationship between business cycles, working capital management and profitability.
    The study hypothesis includes:Hypothesis 1: There is a relationship between profitability and cash conversion cycle (separated by boom and bust).
    Hypothesis 2: There is a relationship between profitability and commitment payment period (separated by boom and bust).
    Hypothesis 3: There is a relationship between profitability and average collection period (separated by boom and bust).
    Hypothesis 4: There is a relationship between profitability and average inventory turnover period (separated by boom and bust).
    MethodologyThe effect of working capital management on the profitability during business cycles is examined by panel data regression using annual data. The diagnosis tests to determine the model (panel or pool regression) including F Limer and Hausman tests are fitted. It should be mentioned that profitability is calculated through two measures including return on assets (ROA) and gross operating profit. To evaluate the effect of business cycles on the relationship between working capital management and profitability, we must first identify business cycles. For this purpose the filter Hodrick –Perescot is used. The study consisted of both fixed and variable samples with 143 and 251 companies in Tehran Stock Exchange for 2001 to 2013 respectively.
    Results & DiscussionThe results of the two fixed and variable samples are shown in the below table.
    Business cycles Variable Expected Sign ROA (dependent variable) GOI (dependent variable)
    Example(251) Example(143) Example(251) Example(143)
    Boom Ccc1 - Negative and insignificant positive and insignificant Negative and insignificant positive and insignificant
    Ccc*D1 positive and significant positive and insignificant positive and insignificant Negative and insignificant
    Bust Ccc - positive and insignificant positive and insignificant positive and insignificant Negative and insignificant
    Ccc*D2 - negative and significant Negative and insignificant Negative and insignificant positive and insignificant
    Boom AP negative and significant negative and significant negative and significant negative and significant
    AP*D1 - negative and significant negative and significant Negative and insignificant Negative and insignificant
    Bust AP negative and significant negative and significant negative and significant Negative and insignificant
    AP*D2 positive and significant positive and significant positive and insignificant positive and insignificant
    Boom AR - negative and significant negative and significant negative and significant negative and significant
    AR*D1 negative and significant Negative and insignificant negative and significant Negative and insignificant
    Bust AR - negative and significant negative and significant negative and significant negative and significant
    AR*D2 - positive and significant positive and insignificant positive and significant positive and insignificant
    Boom INV - negative and significant Negative and insignificant Negative and insignificant Negative and insignificant
    INV*D1 positive and significant positive and insignificant positive and insignificant positive and insignificant
    Bust INV - positive and insignificant Negative and insignificant Negative and insignificant Negative and insignificant
    INV*D2 - negative and significant Negative and insignificant Negative and insignificant positive and insignificant
    CCC: Cash Conversion Cycle, AP: Accounts Payable, AR: Accounts Receivable, INV: Inventory Conversion Period
    As it can be seen there is a significant negative relationship between the profitability and collection period and this finding is supported by the expectations. In other words, this result has not been changed despite of balanced and unbalanced sample. There is negative relation between collection period and profitability during the boom that is reversed during the recession relative to the boom. The results indicated significant negative relationship between the profitability and commitment payment period. According to the results, as long as the economic downturn prevails, the commitment period has a positive relationship with profitability while the mentioned relationship is reversed in the boom period. Sensitivity analysis indicates that no change in the findings has been achieved with balanced sample.
    Conclusions & SuggestionsThe results indicate that as long as the return on assets (ROA) is used as a profitability measure, the relationship between profitability with the commitment payment period and the collection period is negative during the boom and there is a positive significant relationship between profitability and the cash conversion period and average inventory turnover. These relationships are reverse in recession. While if the gross operating earnings is used as second measure of profitability, it cannot find any significant relationship between profitability with the cash conversion period, average inventory turnover and commitment payment period neither during boom nor bust. There is negative (positive) significant relationship between gross operating profit and the average collection period in boom (recession). So, the results of this research are affected by the profitability measures. The results of the study are always true in variable and constant samples. Findings sensitivity analysis shows that the main results of this research are not influenced by variable sample and is established also for constant sample.
    Keywords: Working capital, Business cycle, Profitability
  • Siab Mamipour, Atefeh Feli Pages 205-236
    IntroductionThe empirical evidence has shown that markets are not isolated from each other and volatilities of markets are associated with each other. Stock Exchange market is a market to trade stocks based on specific rules and regulations. Many factors affect shaping the information and the views of market parties and the stock price. Some of these factors are internal and some are external factors with regards to state of the domestic economy. In the meantime, fluctuations in world oil price, as a powerful exogenous variable, can affect many macroeconomic variables espacilly stock prices indices in Iran. The oil market is one of the most important markets which affect financial markets in Iran as a country that has been relied on oil resurce. In order to make appropriate decisions in making a portfolio, investors should be aware of the relationships between markets.
    MethodologyIn this regard, this study investigates spillover effects of oil price volatility on stock return of selected (37) industries in the Tehran Stock Exchange during December 2008 to March 2016 with weekly frequency. We used Markov switching model to identify and decompose sataes of oil price with different regims and then the spillover effect of oil price on stock market is analyzed using forecast-error variance decomposition method introduced by Diebold and Yilmaz (2012) in the framework of a Generalized VAR. Thus, first, oil price decompose to different sataes like high and low volatility by using a Markov switching model and OX Metrix software. Then, we studied spillover effects of volatilities in the oil market with different states on the stock market using RATS software.
    Results and DiscussionResults of the unit root test (ADF, PP & KPSS) implies that all variables reject the existence unit root and all variables are stationary at level, then, LR test is used to be sure of the non-linearity relation of the variables. The LR test shows that using non-linear model is suitable. To do Markov switching model, we must select the optimal model between different switching paprameters and diffrernt lags. Finally, MSIH(2, 3) is selected as the optimal model by minimizing Akaike information criterion. The MSIH(2, 3) model is an auto-regressive model that has two regimes and three autoregressive coefficient, and variance and intercept are regime switching dependent. The estimated coefficients of the model are statistically significant. Since there is a very high probability of transition from regime 1 to itself, hence, regime 1 is the most stable regime. Since transition probability from each regime to itself is very high and is about 96% percent, on the other hand, if the market in period t is in regime zero (or one), we expect it will stay at the same regime in the period t 1 with 96% probability and shift to the other regime in period t 1 with %4 probability. The average durability in both regimes lasts almost 31 weeks. This means that every time that oil price is in the regime zero (or one) it is expected to stay by 31 weeks in this regime.
    The results of variance decomposition model (generalized VAR) shows that more than 90% of the forecast-error variance of both markets (oil and stock) are the low volatility regime (regime 0).
    The results show the volatility spillover effects of the oil price on the stock market in the low volatility regime (regime zero) is less than the high volatility regime (regime 1) and volatility spillover in the high volatility regime is more extensive. The transmission of oil shocks in regim 1 is high compared to regime 0. The paper results also show that the highest amount of volatility spillover of the oil market relates to index of "basic metals industry"; "Chemical", "Publish and print", "Cement", "Non-metallic minerals", "Communications equipment" and "Rubber" industry in regime 0, and "Metal minerals", "Engineering", "Paper products", "Petroleum products", "Other mines" and "Extraction" industries in the regime1 are next levels.
    Conclusions and SuggestionsNumerous studies have been done on the possible relationship between domestic financial markets and international variables like oil price, but most of the studies have used methods such as multivariate GARCH models that can only answer the questions like if there is volatility between the markets or not. A similar approach can be used to evaluate and quantify spillovers between different indicators of stock markets and commodity markets. It is also possible to study the causative factors of spillovers among different markets, to be able to fully manage and forecast them. Investors should consider the relationship and spillover between financial markets and how the stock market indices are affected by the oil volatilities in the portfolio selection. With regard to industries that are less affected by the spillover shocks, they can reduce their investment risk. They can use the results of this research in their stock portfolio.
    Keywords: Volatility Spillover, Stock Market, oil return, Markov Switching, variance decomposition method
  • Mostafa Dinmohammadi, Amir Jabbari, Fahmideh Ghorbani Pages 237-262
    IntroductionIn developing countries with less developed financial markets, banks are important institutions that act as financial intermediary and by providing a variety of ways reduce investment risk because one of the major obstacles to economic growth in developing countries is lack of capital resources and non-desirable use of existing ones. On the other hand, each dynamic economy requires steady flow of investment for continuity of its growth and development. The main responsibility of banks are absorption of resources to transfer them to the owner of business and economic activities.
    Any shocks to economic system directly affect bank's activities; for example, high inflation and extreme price fluctuations directly or indirectly affect operation costs and cost of money as well as ultimate bank profits. This paper studies the relationship between resource consumption and combination of and business cycle and other macroeconomic variables.
    MethodologyBy combining time-series and cross-sectional data, panel data are created to obtain more information, more variability, less co-linearity among variables, more degree of freedom, and more efficiency.
    According to purpose of this study (i.e., investigating the effect of exogenous variables on resource consumption and combination in active Iranian banks during 2005-2013) dynamic panel data is used. In this model, the effect of internal variables of banks appears as the performance variable of the previous cycle, and the effects of macroeconomic variables, as exogenous variables, are analyzed.
    Many economic relationships are dynamic in nature and one of the advantages of panel data is to allow researchers to identify the dynamics between variables.
    Also, for business cycles, Dummy variables are used where boom cycles are equal to 1 and recession cycles are equal to 0.
    This study has employed four models; three models are related to resources combination and one model is related to resource combination. Each of these models is estimated by Dynamic Panel Method, separately.
    Results and DiscussionThe model presented in this study for the cycles 2005-2013 and with significance level of 5% has the following
    Results
    The results of combination of bank resources models
    The lagged dependent variables have positive and significant relationship with dependent variables in all models.
    The business cycle variable has negative and significant relationship with short - term deposits and this relationship for flow and long-term deposits is positive and significant.
    To examine the ownership type, Dummy variables is used (private=0, public=1); results show this variable is not significant in three models.
    Inflation rate has positive and significant relationship with long - term deposits but this relationship isnt significant for flow and short - term deposits.
    The relationship between share of private sector investment and short - term deposits is not significant. This relationship for flow and long - term deposits is negative and significant.
    The results of usage model
    The lagged dependent variable has positive and significant relationship with dependent variable.
    The relationship between business cycle and usage of banks is positive and significant.
    The Dummy variable ownership type does not have significant relationship with usage of banks.
    The relationship between inflation rate and usage of banks is not significant.
    The relationship between share of private sector investment and usage of banks is not significant.
    Also, shares of public sector investment and usage of bank do not have significant relationship.
    ConclusionResults show that the most effective factors in terms of short-term deposits are internal factors of banks. Regarding external factors, the most effective factors on banks’ consumption are long-term and flow deposits.
    During the boom cycles, with business and production growth, real income increases. People become two groups: producers and consumers. During boom cycles, the first group needs high liquidity and working capital, hence, the share flow deposits increase in order to obviate trading requirements. During boom cycles, real income increases, and results in higher social consumption and welfare increase as well. Because Iranian people encounter with many uncertainties and risks, people prefer saving their money as long - term deposits so as to reduce risk and uncertainty and gain profits, too. However, share of short - term deposits decreases in favor of current and long - term deposits.
    The relationship between business cycles and bank consumption is positive. That is, during boom cycles bank loans increase as a result of economic activities and increasing demand for capital.
    In conclusion, the relationship between business cycle and long – term deposits is positive which means increased long – term deposits share during boom cycles; thus, banks take the advantage of this situation and increase their profit.
    Keywords: banks activities, business cycle fluctuation, Panel data Model, GMM method