فهرست مطالب

  • Volume:24 Issue: 59, 2020
  • تاریخ انتشار: 1399/02/27
  • تعداد عناوین: 12
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  • Sanaz Khatabi *, Akbar Komijani, Teymoor Mohammadi, Abbas Memarnejad Pages 313-331
    T he purpose of the current research was to empirically examine the relationship between six independent variables and foreign direct investment (FDI) inflows (dependent variable) to countries in the Middle East and North Africa (MENA) region for the period of 2002-2016. The independent variables studied in this research were foreign exchange systems, good governance, inflation, gross domestic product, market openness, and doing business. To test the research hypotheses, a two-stage least squares (2SLS) regression was used to analyze the imbalanced pooled data for the years 2002-2016. The hypotheses were tested at 95% confidence level and Eviews produced two-tailed probability T statistics.  Based on the results of the analysis, none of the six hypotheses could be rejected. This result show that good governance, gross domestic product, openness and doing business had a positive relationship in spite of inflation by the negative effect on FDI inflows.  As for foreign exchange region, the result showed that countries with fixed exchange rate system attracted more FDI inflows as compared to the countries with the two-tiered system.
    Keywords: Foreign Direct Investment (FDI), MENA Region, Foreign Exchange Rate System, Good Governance. JEL Classification: F, F2, F21
  • Chadi Azmeh * Pages 333-352

    T his study investigates the impact of bank regulation on financial development in the MENA countries for the period 1995-2014. Restrictions on activity, foreign banks, and capital were used as proxies for bank regulation. Also, bank supervisory power, independence, private monitoring, and moral hazard were used as proxies for bank supervision. Liquid liabilities, private credit, and z-score were chosen as proxies for financial development. They represent, consecutively, size, activity, and stability of the financial sector. A positive and significant impact of bank regulation was observed on all measures of financial development. The most important contribution of the present study is that, it gives evidence of an important supporting role of supervision on bank regulation, to realize its desired impact on financial development. This final result is important for the MENA countries, since data analysis shows that financial sector reform is more concentrated on regulation than supervision. Policy makers in the MENA countries need to focus more, in their financial sector reform, on bank supervision to realize the expected impact of bank regulation on financial development.

    Keywords: Bank Regulation, Supervision, Financial Development, Financial Stability, Banking Reform, MENA Countries. JEL Classification: B26, F65, G18
  • Zahra Sheidaei *, Saeed Rasekhi Pages 353-370

    T his paper investigates the heterogeneous reaction of Iranian exporters to the tariff rate changes, how export prices are influenced differently by the increase or decrease in foreign importers’ tariff rate. Using the Iranian transaction level export data and firm level data during the period 2002-2015, we find that tariff pass through for Iranian firms are incomplete and exporters absorb part of the increase in tariff rate in their markups. The results also reveal that there is an inverse relationship between the tariff absorption elasticity and firm productivity, as higher productivity firms absorb less tariff changes in their markups and pass most of it into their prices than lower productive firms. There is the same finding on the relationship between export volume elasticity relative to tariff changes and firm’s productivity.

    Keywords: Tariff Pass-through, Firm’s Productivity, Heterogeneity, Fixed Effect, Markup. JEL Classification: F00, D22, F1
  • Arash Hadizadeh * Pages 371-392

    T his paper is to examine the mean reverting properties of inflation rates for Iran’s 25 provinces over the period from 1990:4 to 2017:7. To the end, we use various conventional univariate linear and non-linear unit root tests, as well as quantile unit root test by Koenker and Xiao (2004). Results of conventional unit root tests indicate that the null hypothesis of the unit root test is accepted for most of the inflation rate series. Using the quantile unit root test, we found that the null hypothesis of the unit root test is rejected for all inflation rate series, globally. But the mean-reverting properties are rejected at low quantiles. The empirical results have important policy implications.

    Keywords: Inflation Rate, Iran’s Provinces, Quantile Unit Root, Mean Reversion. JEL Classification: C22, E31
  • Khalid Zafar * Pages 393-414
    T his paper empirically examines the relationship among exports, foreign direct investment, current account deficit and economic growth in Pakistan during the period 1975-2016.We adopted the autoregressive distributed lag (ARDL) approach to co-integration together with ECM techniques to trace the long-run as well as the short-run relationships. The results demonstrate the existence of a positive and significant relationship among exports, foreign direct investment and economic growth both in the long-run and short-run in Pakistan. While, results depict that current account deficit is negatively and significantly correlated to economic growth in the long-run and short-run. Furthermore, the Granger causality test reports the unidirectional causality running from exports to economic growth.
    Keywords: Economic Growth, Exports, ARDL, ECM, causality, Pakistan. JEL Classification: F13, E22, F32
  • NourMohammad Yaghoubi, Ramezan Hosseinzadeh * Pages 415-429

    In this study, the Regional Input- Output Structural Decomposition Analysis (I-O SDA) is used to investigate the effects of technological changes on employment in Sistan and Baluchestan Province of Iran during 2006-2011. This paper develops the SDA method to decompose the technological change from two viewpoints of supply and demand for intermediate inputs in each sector. These changes from demand perspective is decomposed into changes in share of each sector in total intermediate inputs that are used by specific sector (input substitution effect) and backward linkage. From supply perspective these change is decomposed to share of each sector in total intermediate demand that is supplied by specific sector (selling structure) and forward linkage. The results show that changes in forward linkages of sectors caused to decrease of 127351 jobs in total employment. The effect of changes in backward linkages is negative in all sectors of economy and caused to decrease of 75581 jobs in regional economy.

    Keywords: Input-Output, Technological Changes, Structural Decomposition Analysis. JEL Classification: I25, I21, Q56
  • Ali Sardar Shahraki *, Samira Amirzadeh, Majid Dahmardeh, Nasim Safari Pages 431-447

    T his research is an attempt to determine the agronomic plan, shadow price and final value with an emphasis on optimization of water use in five main agricultural regions of Kerman province (Kerman, Baft, Bardsir, Bam, and Jiroft) and five crops (wheat, barley, potato, onion, and tomato). Analysis was based on three scenarios: (i) current planting conditions, (ii) profit maximization considering the constraints of required water and land, and (iii) profit maximization considering the constraints including land and local consumption constraint. The results revealed that when water and land constraints are applied (Scenario 2), wheat and barley are eliminated from the planting pattern, but other crops gain more planting area. Under the application of all constraints (Scenario 3), barley is eliminated from the planting pattern, but other crops will not have changes in cultivation area.

    Keywords: Final Value, Crop Pattern, Shadow Price, Agricultural Crops, Kerman. JEL Classification: Q10, N5
  • Hadi Keshavarz * Pages 449-469

    T his study investigated the effect of international labor migration on Iran’s economy using a neo-classical growth model with the assumption of labor heterogeneity within the framework of dynamic stochastic general equilibrium model. After solving the model, the obtained equations were linearized and different values were assigned to the parameters according to Iran’s economy information. The results indicated that emigration of skilled labor force reduced production, investment, and per capita consumption, increased skilled individuals’ wages, and decreases wages for unskilled individuals; however, immigration enhanced labor force and population and reduced production, investment and per capita consumption. On the other hand, the labor force’s wages also declined with an increase in unskilled labor force. Furthermore, a variation in the degree of substitution between unskilled labor and capital only changed the impact of the immigration momentum and had no impact on the type of relationship. If emigration consists of a combination of skilled and unskilled labor force, its effectiveness only changes.

    Keywords: Migration, Brain Drain, Labor Market Heterogeneity, Dynamic Stochastic General Equilibrium. JEL Classification: C60, J61, J01
  • Samira Sadeghi Goghari *, Ali Souri, Hossein Abbasinejad, Mohsen Mehrara Pages 471-487

    T he main purpose of this paper is to analyze the performance of mutual funds in Iran by using Fama decomposition model (1972). Thus, daily data of 55 mutual funds during a four-year period from 21/3/2014 to 21/3/2018 were investigated. To achieve this goal, firstly, the performance of mutual funds was broken down into Fama components, and it was shown that the diversification performance and risk performance of mutual funds were negative, but net selectivity performance was positive. Finally, the panel method was used to investigate the effect of Fama's components on the performance of mutual funds. The results indicated that the effect of Fama's components on the performance of mutual funds is positive, and the effects of the net selectivity and risk are more than diversification.

    Keywords: Fama Decomposition Model, Mutual Funds, Net Selectivity, diversification, Risk. JEL Classification: G11, G23
  • Farkhondeh Jabalameli, Pouria Ghorbani *, Majid Ahmadian Pages 489-513

    H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence structure between OPEC oil and WTI future contract with different maturities and estimating hedging ratio for OPEC oil by using WTI future contracts. The results of this study show that dependence structure between OPEC oil and WTI future contract in three maturities is asymmetric. In addition, results indicate that during the studied period (2003-2017), Copula-based models have more efficiency in applying the hedging policy than multivariate GARCH models. With an increase in the maturity of contracts, the average optimal hedge ratio increases. On the other hand, the highest performance of hedging strategies achieved by using WTI futures contract with six months maturity.

    Keywords: Asymmetric Dependence, Optimal Hedge Ratio, Copula-based Models, OPEC Oil. JEL Classification: G32, C32
  • Sajjad Faraji Dizaji, Mohammad Alizadeh* Pages 515-544

    L ow tax incomes and the large size of the government in Iran lead into budget deficit, which increases the inflation rate. It also causes economic instability and fluctuations in inflation, leading to tax non-compliance and the transfer of people to the informal economy. Therefore, considering the variables of financial discipline and behavioral factors, this research examines the effect of these variables on the size of the shadow economy and tax evasion caused by it in Iran during the period of 1967-2015. For this purpose, first, we select eight models, and the final model is selected with Multiple Indicators and Multiple Causes (MIMIC) approach among them. Then, using the side information and calibration of the time series, the relative and absolute sizes of the shadow economy and the tax evasion resulting from it are calculated. The results indicate that the tax morale and tax burden on imports and unemployment rates are the main causes involved in creation of shadow economy. Moreover, the results indicate that the effect of behavioral factors on increasing the size of the shadow economy and tax evasion resulting from it is more than that of variables of financial discipline in Iran.

    Keywords: Shadow Economy, tax evasion, Government Financial Discipline, Behavioral Factors, Multiple Causes, Multiple Indicators. JEL Classification: E17, E26, H26
  • Shamsedin Hosseini, Nasim Dargazani * Pages 545-565
    A long with the development of electronic banking as a result of rapid growth of information technology, many banking indices including concentration are affected. This influence is made among different variables of which the amount of banks’ deposits and the level of deposit attraction are the most important. This study the influence of electronic banking on concentration in Iran’s banking industry, considering each bank’s portion of total deposit. In order to do this, using the annual data of the years 2006 to 2016 and in panel data form, along with descriptive-statistical analysis, bank concentration was studied under impression of E-banking development. Concentration is measured using Herfindahl-Hirschman index based on deposit portion. Results indicate that small banks’ portion of deposits has flourished and the concentration has decreased. The reason is that small banks use more electronic banking services than the larger ones. Results also show that there is a positive, logical relationship between each bank’s portion of total deposits and development of Electronic banking.
    Keywords: Electronic Banking, Panel data, Market Concentration, Bank Deposit. JEL Classification: C87, L22, G21