پژوهشنامه اقتصاد کلان
سال چهاردهم شماره 28 (پاییز و زمستان 1398)

The lack of attention to the stock market and the increase in fluctuations in this market will undermine the movement of the financial system of the countries, and will negatively affect various methods such as the effect of wealth and investment on performance and economic growth. Therefore, paying attention to stock market fluctuation and controlling these fluctuations is especially important for creating financial flows between different sectors of the economy. Therefore, in this research, in order to investigate the monetary policy response to stock market fluctuations with a focus on the effect of wealth, a dynamic stochastic general equilibrium model in open economy conditions is designed to fit the structure of Iran's economy. The parameters of the proposed model are estimated by using the Bayesian method and using quarterly data during the period of 1991-2015. The results of model simulation indicate that due to the occurrence of a shock to the monetary and stock the stock index is diverted from its fundamental level and the central bank, in order to prevent fluctuations in the stock market, decreases the monetary base growth. Also, the interest rate shock causes stock index, consumption, total output, and imports to drop. Reducing the interest rate by the central bank will cause the stock index to return to equilibrium level after 10 periods.

The purpose of this study is to test the real exchange rate symmetry impact of the real exchange rate ‎on the value-added of the agriculture sector in Iran from 1974-2015. Markov switching model was used for this purpose. ‎Also, using the Hodrick-Prescott method, positive impulses (real ‎exchange rate increase) and negative impacts (real exchange rate cuts) ‎were obtained. According to the research findings, the increase in the real ‎exchange rate in regime 1 has had a positive and significant effect on ‎the agricultural sector added value. It seems that the effect of the exchange ‎rate on the demand side has been more than the supply route and ‎increased costs. Also, the effect of the exchange rate on the zero ‎regimes was greater than the coast path, which reduced the production ‎of the agricultural sector. According to Wald's results, impulse effects are ‎asymmetric and confirm the results of the Markov shifting pattern. ‎According to the findings, the effects of the real exchange rate ‎increases and decreases in production agriculture are asymmetric. It is ‎suggested that the policymaker of the currency should avoid linear ‎policies. Since the effect of the real exchange rate is being examined, ‎there must be a synchronization between monetary and currency ‎policies.‎

The comperehensive analysis of economy should consider three main macreconoomics varibales such as; Inflation Rate, Unemployment Rate and Economics Growth Rate that Okun 's Law could be accompolish this important issue, by using Actual and NAIRU Unemployment. In this paper, Unemployment Rate following with the Non Accelerating Inflation Rate in Iran's provinces is estimated by using Space –State and Filtering Methods (Kalman Filter); then the relationship between Economic Growth rate and Unemployment Rate (Natural and Rael) in Iran's provinces is investigated seasonally during the period 2006-17 by using Generalized Method of Moments (GMM). The results indicate that an irregular gap between the Real Unemployment Rate and NAIRU in Iran's provinces and in the entire country. Moreover, according to the results of this paper, increasing economic growth with oil in the provinces does not have a significat effect on employment, but economic growth without oil will lead to reduction in unemployment in Iran's provinces and confirmation of the Okan's law.These result indicate that oil sector in Iran's economy is not indogenous and no effects on Labour Market in provinces.

In this paper, the financial market cycles in Iran's economy has been investigated and using the seasonal observations during the period of 1385 to 1396, the financial cycle of Iran has been extracted. For this purpose, the structural time series models with invisible components and the Kalman filter algorithm are used, and the unknown parameters are estimated using the maximum likelihood method. The new aspect of the approach is that the exchange rate has been studied as an effective variable on the financial cycles, and for this purpose, the variable of exchange rate fluctuations is extracted by the TGARCH method and is introduced in the model. The results of the study show that, firstly, the index in financial markets during the study period has many fluctuations and the prolongation and deepening of the periods of boom and recession in these cycles is one of the causes of financial crisis. Secondly, the financial cycle resulting from the normalization of the financial market cycle of the model estimates the fluctuations in the years studied. Third, the vector autoregressive model shows the relationship between the granger causality of the exchange rate fluctuations towards the financial cycle, which suggests that exchange rate fluctuations lead to instability in the financial cycle.

Vajholtezam-e-Banki is the amount of money more than the amount of the loan which is defined in Islamic Banking as the fine for defaulting on a loan payment. The purpose of this study is to analyze the effect of delay fine on the probability of delay in repayment of loans. In order to do so, 19999 costumer in Melat Bank’s branches in the Mazandaran province between 2012 and 2018 were studied. The number of branches amounts to 68. The model devised in this study is a one way Panel – Probit. One dimension of the data will be the individuals and the other dimension will be the branches and the time dimension is not included in the model. The results suggest that there is a significant negative relationship between the fine and delay in repayment. Also, the estimations suggest the decreasing effect of income, salary reduction, dividend of payments, and history of delay on repayment. The results of this study are suitable to be devised as a policy complement in other banks and branches in order to take appropriate policy measures for the purpose of decreasing delay in repayment of loans. Also, the findings of the study indicate that this banking concept is in line with Islamic teachings.

In the current study, the effect of international spillovers of research and development on total factor productivity in developing countries has been investigated with considering the threshold effects of absorption capacity. The period the present study is 1995-2015, and the Panel smooth transition regression method has been used to investigate the issue. The results show that developing countries should reach certain levels of domestic absorption capacity so that international R & D inflows can improve the overall productivity of production factors. The coefficients show that bypassing the developing countries on the threshold of absorption capacity, the impact of international research and development overflows will increase on total factor productivity. In developing countries, with average per capita income exceeding capacity capping thresholds, the impact of overflows has increased dramatically and has had a greater impact on total factor productivity. However, in low-per capita countries that do not have adequate levels of absorption capacity, the impact of research and development overflows on total factor productivity has been reported to be negligible.

The assessment of the economies of different countries of the world indicates that banks play the role of economic arteries of countries and Iran's economy is not only an exception to this rule, but Iran's economy is a bank-oriented economy; therefore, the study of the performance of Iranian banks plays a very important role in future policies. This research was done by aim investigating the performance of a set of commercial banks in Iran during the period of 1394-1380. The findings of the research indicate that the type of return to scale of the commercial banks of Iran during the mentioned period is constant and the Bootstrap algorithm has caused a decrease in the average efficiency over the mentioned time period so that by applying the Bootstrap algorithm, set of  Iranian commercial banks has been inefficient for all years. The Bootstrap has reduced the average performance by 4%, and has also reduced bias and has caused more realistic performance scores. The best performance of commercial banks was in 1387 and the worst performance was in the year 1380. The Bootstrap algorithm makes it possible to rank the performance scores, which was not possible in the absence of the algorithm. A exact assessment of banking performance can lead to bank reform.

This paper investigates the effects of the asymmetric threshold of real exchange rate on poverty through the remittances channel in the 12 selected developing countries during the period of 1980-2017, using Panel Smooth Transition Regression (PSTR) model. The linearity test results indicate strongly nonlinear relationship among variables under consideration. Moreover, considering one transition function and one threshold parameter, as a two regime model, is sufficient to specification of nonlinear relationship among variables. The results indicate that threshold value for studying countries is 5.87 and the estimated slope parameter is 1.76. Based on the results of model estimation, remittances, GDP per capita and real exchange rate in both the first and second regimes have inconsistent effects on poverty. Remittances and logarithm of exchange rate have positive effect on poverty in first regime and have negative effect in second regime. Also the GDP per capita has negative effect on poverty in both of the regimes, but its effect was less in the second regime.

This paper investigates the effect of different financial development indicators on life expectancy of men and women in developing countries using GMM method during 2000-2016. According to the results , the estimation of the effect of private sector lending facilities (as a percentage of GDP) , as one of the indicators of financial development , on the life expectancy of men and women in developing countries is positive and significant . The effect of money-to-GDP ratios , given its devastating inflationary impact on people's nutrition and health, has a negative impact on the life expectancy of men and women . The degree of openness of the economy in both models is positive and significant, indicating a positive effect of this variable on the life expectancy of men and women in developing countries . The coefficient of educational expenditure was not statistically significant in any of the models , so it cannot be stated that this variable affects the life expectancy status . The effect of health expenditures on life expectancy for men and women is positive and significant and indicates the positive impact of this variable through healthier workforce and improved productivity and thus economic growth on life expectancy .

Since the birth of business cycle theory, economists have always been struggling to examine the nature of the market imperfection. In macroeconomic literature, economists have been looking at whether friction causes the short-run aggregate supply curve to be upward sloping rather than vertical. To illustrate this subject in this paper, we discuss the micro-foundations for two classes of imperfect information models: models with partial information, where agents observe economic conditions with noise, and models with delayed information, where they observe economic conditions with a lag. This paper surveys the research in the past decade on imperfect information models of aggregate supply and the Phillips curve. The data in this article are related to the fixed prices in the year 2011 and run annually from 1966 to 2017 on a per capita basis. Having logarithms taken, the variables are de-traded through Hodrick- Prescott filter. Finally, the calibration of parameters are assessed, variables are simulated and compared with real data. The results show that the introduced model can simulate the impact of shocks on macroeconomic variables. We derive the results of these two classes of models for the existence of non-vertical aggregate supply, a positive aggregate demand shock still leads to an increase in both prices and output, and stronger real and informational rigidities still enhance the response of output and attenuate the response of prices.

The enforcement of targeted subsidies Law as the most sensitive economic reform program, has had very different and unknown effects on various economic dimensions and it continues. this research evaluate the effects of this law enforcement on the changes of the economic structure of production in Iran. To achieve this purpose in this research, used the time series data during the period of 1996-2017, and econometric models with DVRM approach. In this approach is examined the effects of the enforcement of targeted subsidies Law on the economic structure of production, and share of different sectors included agriculture, industry & mine, services and oil sectors in gross domestic product. The results is indicated that, before the enforcement of targeted subsidies Law (1996-2009), the average share of production of agriculture, industry & mine, services and oil sectors was about 12, 22, 52, and 14 percentage respectively. Basically on this results, after the enforcement of this law (2010-2017), the share of production from GDP in agriculture and industry & mine sectors has decreased to 5 and 0.2 percentage and for services and oil sectors has increased to 4.2 and 0.1 percentage respectively.The results of statistical tests rejected this changes and imply that the enforcement of this law, hasn’t had a significant effect on the economic structure of production. Obviously, the analysis of the long-term effects of the enforcement of this law on the economic structure of production requires to pass the time, and access to wider time series data.

We developed a quantitative monetary DSGE model with financial intermediaries that face endogenously determined balance sheet constraints. Considering the importance of the banking sector in transferring the effects of economic policy, it has been attempted to add the financial model to the standard model. To do so, a seasonal data set from 1998 to 2016 is used. The results shows, a positive technology shock, the productivity, capital stock and labor demanded by manufacturing firms will increase as a result of household income resulting from the rental of capital and wages, as well as the consumption of goods and services and savings deposits will increase. On the other hand, due to the increase in aggregate supply, the inflation rate is decreasing. Reducing inflation and increasing the attraction of banking resources will increase financial stability banks. The positive interest rate shock as in creating financial repression diminishes the banks' financial stability by decreasing the attraction of bank resources with increasing the cost of bank credits, reducing credit and net worth of financial intermediaries. Also, government expenditures shock by creating instability demand leads to unsustainable production and short-term economic growth.