پژوهشنامه اقتصاد کلان
سال دوازدهم شماره 24 (پاییز و زمستان 1396)

Non-performing loans (overdue receivables, deferred and doubtful) is one of the effect of monetary activities. This phenomenon has negative effects on sources and usages of banks. Also, economic actors face with fluctuations of some variables of macroeconomics. This research investigates the impact of fluctuation of some macroeconomic variables on non-performing loans by differentiating overdue receivables, deferred and doubtful. Furthermore, this study used Bank-specific to stability results. In this way, dynamic panel applied for sample of 17 banks for 1384-1394 periods with Generalized Method Moments. In this study, the rate growth of non-oil GDP, the budget deficit, the free market nominal exchange rate, inflation and loan interest rate as independent variables and return on equity, solvency ratio, bank size and ownership of the bank as bank specific factors are used. The results showed that, the investigated bank specific factors include return on equity, debt ratio, bank size and ownership with Non-performing loans. Also, among macroeconomic factors, the loan interest rate of the facility has a positive effect on the increase in overdue receivables. Besides, increasing in the exchange rate has led to an increase in delayed and doubtful debts. Overall, the results indicate that bank-specific variables have a more effective effect on NPL’s than macroeconomic variables.

Given the importance and role of gold as a tool for investing, especially in developing countries, various approaches have been used to predict gold future returns. Hence, the main purpose of the present study is prediction the daily return of gold coin future contract by using multilayer feed-forward neural network and auto-regressive conditional heteroskedasticity (ARCH) models in Iran mercantile exchange. For this purpose, the daily data on 20 the gold coin futures contracts for periods July 2014 to September 2016 which has been continued using the method “back-adjusted”, is used. Also, after investigating results of previous studies, dollar price return, gold coin price return and global gold price return have been used as effecting variables on gold coin future contracts return. In addition, Predictive accuracy the neural network and the ARCH models were evaluated using root mean squared error (RMSE), mean squared error (MSE), mean absolute error (MAE) and coefficient of determination (R2). The results showed that in the period under review, the neural network model performs better than the ARCH model in the prediction out of sample. But based on the results of the paired t-test, the prediction accuracy of the two models hasn’t been the statistically significant difference.

Intense firms’ competition for attracting finance and increasing the market share of production sale, telecommunication and information technology progress in fast transition of money and subscribing the technical and financial information are some important aspects that make the ignorance of open economy profits. In this study, the effect of inflation and financial and trade globalization on income inequality have been examined based on the Stolper–Samuelson, Kuznets and Mandel theories, in countries with high capital intensive and low capital intensive. To do so, data from 2000-2014 and GMM method have been used. The results showed that in both groups of countries, inflation and an increase in financial and trade globalization cause an increase and decrease in income inequality respectively. It also showed that despite this fact that difference in capital intensity does not cause a significant difference in amount and direction of commercial globalization effect on income inequality, but in countries with higher capital intensity, financial globalization has the higher effect on reduction of income inequality

Business cycle literature is focused on the role of variables such as oil and gas incomes, export fluctuations of oil and gas, budget deficit of the government and liquidity on the business cycle. So far, few studies have been done about the impact of business cycles on agricultural sector. Therefore, in this paper, the long-run business cycles components and irregular shocks have been extracted from real GDP and the effect of business cycle on production, employment and investment in agricultural sector of Iran has been studied. Real GDP over the period of 1973 to 2013 were separated using Hodric-Presscott filter and then the cyclical properties of key variables affecting business cycles were calculated and analyzed. The simultaneous equations method is used to evaluate the impact of business cycles on production, employment and investment in agricultural sector. Results showed that business cycles have had a significant and positive effect on agricultural value added, and negative effect on employment and investment in agricultural sector. Therefore, it is recommended that in the years of economic prosperity the government should pay more attention to investment in agriculture, so that the economic sector would be a better helping to reduce the price of oil and gas, which is the main cause of economic recession in the country.

The main purpose of this article is to study the impact of progressive income tax systems on income inequality. In so doing, by using progressive tax data which were developed by Peter and Duncan (2008) three panel data model are estimated for a selected number of countries with natural resource rents and OECD countries. The findings showed that although progressive tax reduced the observed income inequality, it had a smaller impact on the real inequality which was measured by consumption-based Gini coefficient and may even increase the real inequality under specific conditions (e.g.in countries with weak law and order and a large informal nontaxable sector). Also natural resource rents and inflation are the main factors affecting inequality. Based on the result a progressive tax structure and raise the top tax rate will not necessarily reduce inequality, but also in terms of the underground economy and weak institutions, progressive tax systems may even worsen inequality, so to reduce inequality we recommend that government should pay special attention to macroeconomic stabilization and optimal management of oil revenue spending.

Considering the investment importance in the economic sectors and its impact on the macroeconomic variables, including production and employment, and due to limited resources in the economy, the study of the efficiency of capital employed in the society by the private and public sectors have particular importance. Therefore, in this research, the effects of private and public investment on employment in 30 provinces of Iran, during the period of 2005-2015 were investigated using generalized moments method and by three different models: private, government and general employment. The results of private employment model estimation indicate improving labor market caused by increasing private employment, which is a positive relationship not only in the current period but also as a function of past investment. In the estimation of general employment model, public investment effect in the current and past period on employment of this sector has been negative and significant. In other words, investments made by the government have not been able to improve the employment market and solve the unemployment problem. This result is even evident in the total employment model. The simultaneous study of private and public investment and its impact on total employment indicate positive effect of private investment and the negative effect of general investment on total employment.

The traditional view of stock returns suggests that stock prices will change due to systemic changes in the company's fundamental value; but recent research has shown that investor sentiment play an important role in determining prices. The purpose of this study was to investigate the effect of the investor's sentiment index created by the Principle component analysis method on the Fama and French three-factor model; for this purpose, were investigated 77 companies listed in Tehran Stock Exchange during the monthly period from 2009 to 2014. In order to test the hypothesis were use the multivariate regression analysis and combination data method in Eviews 9 software. The findings of this paper show that the effect of the investor's sentiment index on the excess return in all portfolios level is positive and significant; also, the effect of this factor on the excess return in the portfolio of smaller companies is greater than the stocks of the large size companies’ portfolio. Therefore the results are consistent with the literature and show the investor's sentiment has a significant effect beyond the Fama and French (1993) model, and supports the role of investor sentiment in the price formation and surplus returns. These findings are robust when subjected to a series of sensitivity tests.