نشریه مدلسازی اقتصاد سنجی
سال سوم شماره 3 (پیاپی 10، تابستان 1397)

The main purpose of this paper is to examine the effect of trade openness and government size on macroeconomic volatility. Economic theories do not clearly show the effects of trade openness and government size on macroeconomic volatility. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the effect of trade openness and government size on macroeconomic volatility in Iran over the period of 1352-1395. For this, first, the macroeconomic uncertainty was extracted using stochastic volatility model with leverage effects by technique of principal component analysis. The results showed that in the long run, trade openness and government expenditures have a positive effect on macroeconomic volatility in Iran. In addition, in the short run, there is no significant relationship between the relevant variables and macroeconomic volatility.

Today, rural migration to urban areas, leads to an aggregate fall in welfare due to lack of infrastructure for integrating the newcomers into urban settings. Not only does it lead to reduction of the welfare of rural migrants and creation of social problems in urban areas, but it also undermines the welfare of rural residents through increasing inequality in rural incomes. In this paper, we apply the combined data (panel) method and use the generalized momentum econometric model (GMM), to analyze panel rural data of 30 provinces of Iran for the period 2005 to 2015 to see how rural migration affects rural inequality.  Our research results show that migration at the beginning increases rural income inequality but that it tends to decrease rural income inequality in subsequent periods.

Judicial system as one dimensions of institutional framework have a crucial role in economic performance of societies. Judicial independence is a main key for effective protection of private property rights. Independent and efficient judicial system affect the private property security, investment predictability and thus economic growth through guaranteeing contracts and punish the violation of the law. In this research, the effect of judicial independence on Gross Domestic Production has been examined for 52 selected developed and developing countries during 2008-2015 using panel regression analysis. The findings show that judicial independence has a positive and significant effect on economic growth.

Oil price shock can be the main source of disturbance in the oil - producing economy, such as Iran; therefore, the study of the interaction between oil prices and macroeconomic variables is important. This study examines the Granger causality relationship between oil price, inflation, industrial products and economic growth, based on data from Iran for the period 1980 - 2017 using VAR approach. The results indicate that 1) the economic growth is affected by the oil price and inflation; While, industrial products have not been the cause of Iranian economic growth in the studied period, 2) economic growth positively react to positive oil price shock, but as time goes on its effect fades, 3) in the short-run, the positive inflation shock causes a reduction in economic growth and industrial products, and 4) in the short-run, the positive inflation shock due to the uncertainty in business atmosphere, may reduce the growth  of industrial products, but in the long run, due to adjustments in the industrial sector and an increase in the price of the products, the growth of industrial products becomes positive.

In the banking system, withdrawal deposit and decrease resources can cause shock in liquidity. On the other side, Bank-centered financial system in IRAN will affect on household consumption decisions  and production  and investment decisions of manufacturing companies. In this study, in order to survey the effectiveness of resources shock caused by Bank Runs on consumption and investment, New- Keynesian dynamic stochastic general equilibrium (DSGE) model with regard to the banking sector and relevant features is presented. Through this model the response of the variables mentioned against this shock is evaluated. The results of the simulation and estimation models with data that are made stationary in the period 1981 to 2018 with appropriateness of the proposed model for Iran's economy show that the theoretic model is compatible with the economic realities and banking resources shock will leads to consumption increase and investment decrease.

Stock valuation using valid scientific methods will lead to optimal investment decisions and optimal allocation of capital resources. Therefore, in order to encourage investors to invest more in financial markets, continuous pricing models should be explored and appropriate models identified and introduced. The purpose of the present study is to compare the accuracy of the Piotroski model compared to the Olsen model in explaining the price changes of the stock listed in the Tehran Stock Exchange. The statistical population of this study is all companies accepted in Tehran Stock Exchange from 2010/3 until 2017/3. The data are obtained by referring to the capital market information data bases. The findings of the research indicate that both Olsen and Piotroski's models are able to explain stock price changes in Tehran Stock exchange. By comparing the accuracy of the two models, it was determined that the accuracy of the Piotroski model in explaining stock price changes in the Tehran Stock Exchange is more than the Olsen model. By comparing the accuracy of the two models, we found that the Piotroski model has a better performance than the Olsen model in explaining stock price changes in the Tehran Stock Exchange.