فهرست مطالب

Iranian Economic Review - Volume:24 Issue:58, 2020
  • Volume:24 Issue:58, 2020
  • تاریخ انتشار: 1398/10/29
  • تعداد عناوین: 12
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  • I Made Suidarma *, Wayan Sri Maitri, I Made Darta, I Gusti Nengah Darma Diatmika Pages 1-18

    The purpose of this study is to analyze the effect of foreign direct investment and portfolio investment on the convergence occurrence of economic growth of countries in the ASEAN + 3 region and to determine the time or speed required to achieve convergence. The type of data used in this research is secondary data panel which is combination between time series data and cross-section data with annual time period 2001-2015 and number of ASEAN member country that is Brunei Darussalam, Cambodia, Indonesia, Lao PDR, Malaysia, Myanmar, Philippines, Singapore, Thailand, Viet Nam and plus three countries namely China, Korea and Japan. So the total observation is 195. The analytical method used is the Arellano Bond dynamic panel. The results of the study show that the first lag variable of economic growth, Foreign Direct Investment (FDI) and portfolio investment have a significant influence on economic growth in ASEAN + 3, but not on ASEAN without China, Japan, and Republic Korea. Foreign Direct Investment (FDI) has a greater influence on changes in economic growth than portfolio investment. Half-life conditional convergence shows a value of 10.63 years which means the time required achieving steady-state conditions of the convergence process or the time required to achieve half of the convergence at convergence rates reaches 0.065% / year. Meanwhile, the influence of portfolio investment provides a greater speed of adjustment to the convergence process than foreign direct investment, but in a half-life of convergence, foreign direct investment is faster than the influence of portfolio investment.

    Keywords: Foreign Direct Investment, Portfolio Investment, economic growth, convergence, Dynamic Panel. JEL Classification: F23, F21, O40, O47, C51
  • Amin Mansouri *, Abdolmajid Ahangari Pages 19-39
    he main purpose of this research is to answer the question that "How neighborhood of Iran's trading partners will have an effect on Iran intra-industry trade? For this purpose, the impact of spatial neighborhood effects of 23 major trade partners on Iran’s intra-industry trade for the period of 1995-2014, has been investigated through Spatial Panel Econometric and Maximum Likelihood Estimator (ML). By using the Spatial Autoregressive (SAR) Model and Geographic Distance Matrix, neighborhood effects have been investigated. The results gained from spatial neighborhood effects estimates showed that the neighborhood of Iran trade partner countries had a negative effect on Iran’s intra-industry trade. It was also found that differences in market size, exchange rate volatility, trade orientation, and geographical concentration had a negative effect and economic growth, Linder Effect, exchange rate, and volume per capita trade had a positive effect on intra-industry trade. Accordingly, it is recommended that Iran has more trade with Belgium, India, Korea, Netherlands, Iraq, Saudi Arabia, and Singapore.
    Keywords: Intra-industry Trade, Geographic Neighborhood, Spatial Panel Econometric, Iran. JEL Classification: F12, F14, C21, C33
  • Abdul Rafay *, Saqib Farid, Farah Yasser, Shahid Safdar Pages 41-74

    In this study we designed to test the remarkable repayment performance of Akhuwat in Pakistan; the most successful Islamic Microfinance Institution (IMFI), which offers interest-free loans in order to improve the quality of life and alleviate poverty. The model of Akhuwat is based on Muakhaat (brotherhood) and Qard-e-Hasan (offering financial assistance to somebody in need without interest). The primary objective of this study was to investigate the determinants of microfinance repayment performance. The study examined the borrowers’ characteristics, loan attributes, lender/institutional characteristics and the social collateral characteristics related to the Akhuwat and the data of 387 borrowers is obtained from microfinance programs carried out on a continuous basis by Akhuwat. The findings depicted that among the socio-demographic factors like gender, marital status, number of dependents and numbers of previous loans are significantly and positively associated with loan repayment performance. However, previous loan default and religion are significantly and inversely associated with the loan repayment performance. The findings of the study supported the role of social ties in improving repayment performance and hold key insights and directions about microfinance policymaking in Pakistan.

    Keywords: Islamic Microfinance, Repayments, Pakistan, Social Collateral. JEL Classification: G20, G21, G29
  • Seyed Ehsan Alavi, Mohammad Lotfalipour *, Mohammad Ali Falahi, Sohrab Effati Pages 75-98

    The optimal allocation of natural gas resources to various uses such as final and intermediate consumption, injection into oil fields, and exports can help policymakers to use this kind of resources efficiently. Empirical evidence support using hyperbolic discount rates instead of fixed discount rates in the economic literature. The purpose of this study is to maximize the social welfare function and analyze the optimal paths of different uses of natural gas over the next three decades based on a nonlinear dynamic programming model using a hyperbolic discount rate. The results show that in the current situation, gas exports do not maximize social welfare, but by expanding Iran's natural gas production, exports will lead to maximizing social welfare.

    Keywords: Natural Gas, Optimal Allocation, Hyperbolic Discounting, Iran. JEL Classifications: Q34, Q48, C61
  • Masoud Shirazi *, Ali Emami Meibodi Pages 99-128
    T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive and negative shocks occurring in oil price, industrial production and lending rate. In particular, Unanticipated short-run and long-run positive (negative) oil price shocks trigger an addition (reduction) in the stock market index. Moreover, both short-run and long-run results present that the stock market index is more affected by positive changes in oil prices than the negative ones. Furthermore, the cumulative dynamic multipliers point out a significant asymmetric reaction of the stock market index to oil price shocks and other macroeconomic determinants. The aforementioned multipliers also show that the speed of response and time required to reach a new equilibrium state are sensitive to the direction of changes in the macroeconomic fundamentals. Consequently, the results prescribe that financial participants, energy policymakers and the government should adjust their respective strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.
    Keywords: Oil Price Shocks, Stock Market Index, Nonlinear Autoregressive Distributed Lag Model, Dynamic Multiplier. JEL Classification: E32, G17, Q43
  • Yadollah Dadgar *, Zeinab Orooji Pages 129-157

    Owning Natural resources has been beneficial for some Countries, but hurtful for some others. Optimum management of natural resources in the former group has enhanced economic growth, bad governance, however, has led to Dutch Disease in the latter group. Bad governance in Iran has created Dutch Disease, Rentier State, and Resource Curse, DRR as a characteristic triangle. As the Iranian annual budget is financed by oil revenue, it is involved in a rentier state case. By applying analytical and statistical tools, this article is highlighting the different dimensions of a characteristic triangle in the Iranian economy. Positing DRR, as the number one challenge in the Iranian economy, is another mission of this article. A first specific feature of DRR is that its 3angles connect closely to each other. Secondly, DRR has led to weaken the Iranian taxing system. Thirdly, DRR has been in charge of the current less developed private sector. Some policy implications of this article include standardizing the Iranian taxing system, improving the Iranian "National Development Fund" and supporting the private sector to become a well-developed one. Disregarding DRR in Iran would deepen economic hardships. Curing DRR is the most urgent in the Iranian economy. Settling the DRR in Iran is a prerequisite of sorting out other challenges.

    Keywords: Dutch Diseases, Rentier State, Resource Curse, Iranian economy. JEL Classification: Q38, Q30, F20
  • Mohammad Alizadeh * Pages 159-180

    The main purpose of this paper is to investigate and compare the impact of tourism on air pollution in selected developed and developing countries during the period of 1995-2014. To this end, at first, the model was designed based on the Environmental Kuznets Curve (EKC) assumptions and with the presence of the major influencing factors on air pollution along with the international tourism variable. Then, the long-run relationship between these variables was estimated by the Continuously-updated and Fully-Modified (CUP-FM) method, considering the existence of a cross-sectional dependence between the model variables in both groups of studied countries. The results of this study indicate the positive impact of international tourism on air pollution in selected developing countries; while the expansion of international tourism reduces air pollution in studied developed countries.

    Keywords: Air Pollution, Tourism Development, Cross-Sectional Dependent, Continuously-updated, Fully-Modified (CUP-FM). JEL Classification: C23, Q56, J51, F12
  • Ali Emami Meibodi *, Atefeh Taklif, Hamidreza Arbab, Hassan Bovairi Monji Pages 181-223

    Development of oil and gas fields is facing many risks, which are mainly due to uncertainties about the existence of commercial reserves, natural and economic environment, political conditions of host countries, legal and infrastructure issues and a market for petroleum products. In such an environment, investors are often engaged as contractors to develop and operate petroleum projects, constantly seeking to recover their capital and operating expenditures quickly, through increasing production levels. But some geological and geophysical factors, hydrocarbon structure, technological and scientific constraints, as well as some of the contractual arrangements, such as cost recovery ceiling, virtually prevent the investor from gaining access to high economic benefits and quick recovery. The purpose of this study is to investigate the effects of contractual factors and arrangements on the optimal production levels of petroleum projects. To this end, information on the South Pars phases 17 and 18 projects were collected as a case and the optimal level of rich-gas production in this project was simulated in form of a nonlinear dynamic optimization model under the Iranian Petroleum Contract and Engineering, Procurement, Construction arrangements. The production levels and scenario analysis indicated that contractual factors and arrangements could affect the optimum level of petroleum production, significantly. Given that the production paths obtained for this project are different from that drawn by the Management and Consolidated Planning department in National Iranian Oil Company, the current production profile for the Phases 17 and 18 is not optimal, in which the executive suggestions are presented. These findings would be applicable to the formulation of Master Development Plans.

    Keywords: Optimal Production, Petroleum Projects, Petroleum Contracts, IPC, EPC, South Pars Gas Field. JEL Classification: C61, Q35, K32
  • Oluyemi Okunlola *, Emilomo Masade, Adewale Folaranmi Lukman, Samuel Ajayi Abiodun Pages 225-246

    The Causal relationship between financial development and economic growth has received divergent views in the literature under the traditional Granger approach to causality using data from various countries. The more recent Toda and Yamamoto and Dolado and Lütkepohl (TYDL) approach to causality were used to investigate the causal relationship between financial development and economic growth in Nigeria for the period 1985 to 2015. TYDL is based on an augmented VAR modeling and it is adjudged more robust to order of integration of the variables when compared with Granger framework. The maximum order of integration was two while the optimal lag length of three was selected by FPE, AIC and HQ criteria. Bi-directional causality was found between financial markets indicators and economic growth while unilateral causality running from stock market indicators to GDP was established. The findings support existing studies that agree with the fact that a well-structured financial sector breeds economic growth and this by implication suggests, it is imperative for the government of Nigeria and other developing countries to create an atmosphere for a thriving financial sector and engage in reforms that will stimulate the economy.

    Keywords: Causality, Financial Development, Granger, Economy, Toda, Yamamoto. JEL Classification: C01, C18, D3, E44
  • Mahshid Shahchera * Pages 247-266

    The cyclical banks have different behavior than other banks. The structure of the balance sheet in cyclical banks is different from anti-cyclical banks. The cyclical banks have a relationship between leverage growth and asset growth while the other banks have no relationship between asset growth and leverage growth in the banking system. This relationship depends on the structure of the balance sheet and explains how banks behave in the business environment. Banks decide based on economic conditions and their leverage introduces the structure of balance sheet and banking models. This research surveys the behavior of cyclical banks in the Iranian banking system during the period of 2005-2015. According to the results, the Positive relationship between asset growth and leverage growth approves cyclical behavior of leverage. The structure of the balance sheet and a variety of banks is more important to leverage behavior. This paper uses the type of banks and size as the main variable in the Iranian banking system.The bank should be adjusting its balance sheets based on economic conditions and business. Banks that influence cyclical leverage behavior have a higher share of credits in balance sheets. A higher share of credits explains tending banks for short-term credits.

    Keywords: Banking System, Cyclicality, Banking Regulation, Leverage. JEL Classification: G21, G32, G28, C23
  • Mahdi Khosravi *, Hossein Mehrabi Boshrabadi Pages 267-297

    Iran’s economy is suffering from sharp and persistent economic shocks and agriculture plays an undeniable role in its economic growth and development. The aim of this paper is to study the relative contributions of various macroeconomic shocks to generating fluctuations in Iran’s agriculture sector. To do so, a Dynamic Stochastic General Equilibrium (DSGE) model, emphasizing on the agricultural sector, is developed. The model is estimated with Bayesian techniques using 9 macroeconomic variables. The findings indicate that agricultural productivity shock is the main driver of the economic fluctuations in the sector. Monetary shock and, to a lesser extent, government spending, preference and labor supply shocks, however, play an important role in agricultural dynamics. The two other shocks considered (oil revenue and money demand) are of less importance relatively. The historical decomposition shows after 2009, when imposed economic sanctions against Iran increase, the monetary shock becomes one of the main sources in explaining agricultural fluctuations. The results further confirm the symptoms of Dutch Disease (DD) in Iran’s agriculture.

    Keywords: Agricultural Sector, Macroeconomic Shocks, DSGE Model, Bayesian Techniques, Iran. JEL Classification: C69, N5
  • Esmaiel Abounoori *, Mohammad Zabol Pages 299-311

    Forecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Realized GARCH (RGARCH) that considers a simultaneous model for both realized volatility and conditional variance at the same time. In this article, we estimate conditional variance with GARCH, EGARCH, GIR-GARCH, and RGARCH with two realized volatility estimators using gold intraday data. We compared models, for in-sample fitting; by the log-likelihood value and used MSE and QLIKE lose functions to evaluate predicting accuracy. The results show that the RGARCH method for GOLD outperforms the other methods in both ways. So, using the RGARCH model in practical situations, like pricing and risk management would tend to better results.

    Keywords: Realized GARCH, Gold, GARCH Models, Volatility. JEL Classification: G10, G15, G17