فصلنامه نظریه های کاربردی اقتصاد
سال پنجم شماره 2 (پیاپی 17، تابستان 1397)

The purpose of this study is the investigation of effective parameters on total Tehran stock exchange index such as industrial index, financial index, M2, Real interest rate and inflation rate, during 2009/8 until 2017/3 based on Central Bank database by using Markov switching approach. Considering the estimation and evaluation of different Markov switching models, Markov switching autoregressive parameters (MSA (3)) model is selected. The results show that real interest rate and inflation with two negative lag have a positive and significant effect on the total stock index. The industrial index and financial index in all three regimes have a positive and significant effect on the total index. The most effective factors are industry index in regime 2 and financial index in regime 0, respectively. Also, industry index in all three regimes has a higher impact on the overall index than the financial index. Moreover, the results of sustainability of regime show that sustainability in regime 1 is more than the other two regimes.

This article mainly aims to investigate the effects of the fundamental and environmental variables on the degree of exchange rate pass-through (ERPT) into the import price during 1990:3 to 2014:1. Therefore, at first, the effect of exchange rate along with the effects of marginal cost in abroad, the degree of openness of economy and gross domestic production on the import price were investigated by using of Markov-Switching model. The experimental findings indicate that there are two regimes for the degree of ERPT into the import price of Iran; i.e. the low price regime and the high price regime and for both regimes the degree of ERPT is more than one unit. In the next stage, the inflation volatility was quantified as one of the most important factors dominating Iran economy by the use of MS-GARCH approach. After that its effect, along with the effect of fundamental variables on the degree of ERPT were evaluated. The findings show that with the emergence of inflation volatility in Iran economy, the degree of ERPT into import price will increase in both regimes.

The main objective of this study is to examine the validity of Purchasing Power Parity (PPP) theory in Iran economy using annual data during 1960-2017. The conventional method for testing PPP is the traditional unit root tests like ADF. But, because of multiple periods of stability and dramatic shocks in Iranian foreign exchange market which consequently results in nonlinear behavior of the exchange rate, these linear tests may cause in inaccurate results. Therefore the traditional linear unit root tests, in such circumstances, should not be used. To overcome this problem we have used Markov Switching Augmented Dickey Fuller Nonlinear unit root test. For comparison purposes, we have also performed linear ADF test. Results of linear ADF test indicate that there is no evidence of PPP. However, MSADF test results show that PPP holds in Iran economy in some periods in our sample. The results of nonlinear test are as expected, because, for years, central bank has tried to peg the exchange rate and just in some periods exchange rate could move freely.

Review of the public budget indicates the necessity of an increase in the share of Tax Revenues in the provision of Public Resources. Increasing taxes influence Public Resources and Expenditures, GNP and Welfare. In this research, while a general equilibrium model for analyzing Iran financial issues has been introduced, by using mentioned CGE model through GAMS effects of increase in three main groups of taxes including: Excises, Tariffs and Income Taxes, and also all these taxes together (in form of three single scenarios and one combined scenario) on the economy, have been investigated. Reviewing results of single scenarios shows that the maximum effects occurred caused by 10 percent increase in effective excise rate, which raise public resources and expenditures 0/88 and 0/79 percent and decline budget deficit and welfare 14/04 and 1/58 percent. But, the best result overally obtained from the combined scenario with 19/74 percent fall in budget deficit due to 1/26 and 1/13 percent potential raise in public resources and expenditures along with only 0/14 percent decrease in welfare, which recommended as the preferred scenario for implementation. While, changes in GNP because of restricted tax bases in all scenarios obtained negative and negligible.

The statistics show that the energy intensity in Iran is very unfavorable and its trend is alarming. There are two basic strategies to reduce energy intensity; the first strategy is to modify the relative prices of energy, especially through the energy taxation. The second strategy is to promote energy-saving technologies through research and development as a non-price strategy. The purpose of this study is simulation of a model for economics of Iran, for comparing the intensity of energy efficiency improvement through the energy taxation policy and the R&D subsidies policy. For this purpose a three-part general equilibrium model has been used. The period of implementation of the model has been considered as a 15-year time span since 2011. At the same time, the effect of policies analyzed on the labor demand as a production factor. The results show that a 40% energy tax improves energy efficiency by 52.74%, while a gentle R&D subsidy (20%), improve energy efficiency by 54.69%. So R&D subsidy policy for technical change is more effective than the tax policy in improving energy efficiency in Iran.

Unnecessary growth in health expenditures of developing countries in recent decades, and also the importance of physicians’ behavior in health market, have made the factors of quality and duration of patient visits on one hand, and the theory of physician induced demand (PID) on the other hand, as two of the most important issues in health economics. Therefore, using data from questionnaires in 2016 and employing theoretical model of Jaegher and Jegers (2000) and hierarchical linear modeling methods (HLM), this study, examines the determinants of time spent in physician’s office and investigates the theory of PID within Obstetricians in the East Azarbayjan province. The results show that physician induced demand (PID) exists in obstetrics. The results also indicate that obstetricians are “doctors tend to profit”. In addition, this study supports the existence of the accessibility effect for those consumers in the higher physician density region. According to these results, it is suggested that in order to reduce competition and eliminate the effects of induced demand, student admission in obstetrics should be reduced, patient information on medical care should be increased, and government monitoring and control over the national health system must be increased.

Inflation is one of the key macroeconomic variables that its precise forecasting is the goal of policy makers and in particular the central bank.VAR model has a long history as a tool for forecasting and policy analysis; but the problem with this method is that it uses a little theoretical information about the relationships between variables. In addition, in VAR models, many parameters need to be estimated, some of them may be meaningless. Following this, the idea of hybrid models was introduced. One of the hybrid models is the DSGE-VAR model. This model combines DSGE, which is a structural model and more reliant on theory, with a VAR that provides better fitting data. In this study at the beginning, the theoretical structure and results of the estimation of the DSGE-VAR model for Iran's Economic Data are presented. Further, the forecasting of this method are compared with other models such as unrestricted VAR and Minnesota VAR. All three models are estimated recursively from the period 1991:1 to 2012:4 and then used to forecast inflation for one to eight-quarters-ahead over an out-of sample from 2011:1 to 2015:4. Comparison of the accuracy of forecasting of the above methods using the RMSE index shows a better performance of the DSGE-VAR approach compared to other models.

Reviewing the literature of inequality decomposition by subgroups shows that between-group inequality (urban and rural areas) often accounts for a small share of total inequality. Therefore, in interpreting the result, researchers give less emphasis on designing appropriate policies for removing inequality across those areas. In this paper, we employed maximum between-group inequality approach for getting a better understanding of the importance and the role of between urban and rural areas inequality in overall inequality in Iran. The analyses have been done using annual data for 2004, 2008, 2012, and 2016 drawn from the Iranian Urban and Rural Household Income and Expenditure Survey. As expected, the results of conventional decomposition method (Theil index) show that inequality between urban and rural areas have a contribution of only 11.25 percent to the overall inequality. However, the results of maximum between-group inequality method show that the between-group inequality plays a more important role in overall inequality. In particular, the results of this technique show that the contribution of between-group inequality to the overall inequality is almost twice that obtained from conventional decomposition method. The important policy implication of the results is that economic policies aiming at reducing inequality should be much more concerned about this component of overall inequality in Iran. Furthermore, the findings of this paper reveal that overall inequality has been reduced after the implementation of Targeted Subsidies Reform in Iran.

Today, air pollution caused by greenhouse gas emissions is one of the most important environmental issues in the world. Carbon dioxide has the greatest share in greenhouse gas emissions. In Iran, the industry sector plays a major role in carbon dioxide emissions, with around average of 16/1 percent, during the 2000s. Some areas like metropolises and industrialized provinces have a great share in air pollution, because of their industry concentration. East Azarbayjan province is one the industrialized and polluted provinces of Iran. In order to reduce the emissions of greenhouse gases such as carbon dioxide, the recognition of influencing factors of emissions of such gases is required. Accordingly, in this study the carbon dioxide emissions of manufacturing industries in East Azerbayjan province is decomposed to activity, structure, energy intensity, fuel mix and emission factors, for the period 2001-2014. The results indicate that the changes in the activity level and emission factors are the major factors of increasing carbon dioxide emissions in East Azarbayjan province, respectively. In contrast, changes in energy intensity, the structure and fuel mix factors played roles in reducing carbon dioxide emissions.

Investigation of changes in the stock price in Tehran Stock Exchange (TSE) has been always one of the most important challenges in the TSE. The importance of this issue is due to its applications in forecasting the stock price volatility in the stock exchange. Hence, this study investigates the impact of the most important macroeconomic variables which affects the stock return volatility in Tehran Stock Exchange in different regimes during the period 1998:1- 2015:4 by applying non-linear Multivariate MS-ARMA-GARCH approach. The results show that the rate of GDP growth has a significant negative impact on the stock return volatility. The inflation rate, money growth rate and exchange rate volatility have a significant positive impact in different regimes but, oil price volatility has different effects on the stock return volatility. In addition, the results show that the stability in the low return regime (bear regime) is more than the high return regime (bull regime). Therefore, the results recommend that planners and economic authorities through the adopting and implementation of appropriate policies to increase economic growth such as optimal allocation of resources, increased competitiveness, as well as focusing on other economic capacities of the country such as knowledge economy, increasing tourism, transportation sector, information and communication technology, using private sector capacities and increasing investment and also unification of the exchange rate to reduce the exchange rate volatility and reducing the supply of money and inflation rate to reduce volatility in the stock market return.