فهرست مطالب

Iranian Economic Review - Volume:24 Issue: 60, Summer 2020

Iranian Economic Review
Volume:24 Issue: 60, Summer 2020

  • تاریخ انتشار: 1399/06/22
  • تعداد عناوین: 13
|
  • Mohammad Mirbagherijam * Pages 567-589

    In this paper, trading symbols of the 30 largest companies listed in the Tehran Stock Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and Alici (2016) modified clustering algorithm (EA), we estimated the probability of informed trading (PIN) to measure the asymmetry information among traders for each trading symbol and trading day through two-year horizon from 20th March 2015 to 19th March 2017. Furthermore, we used the analysis of variance (ANOVA) method to determine the source of variation in the estimated PIN. The results showed that the estimated PIN is less than 0.1 for the 88.2% of the firms-trading days and that is equal to zero for the 60% of the firms-trading days. Symbol trade “MAPN” is traded with the status of full asymmetric information in about 75% of its trading days. Factor weekdays have no significant effect on changing the PIN index. The annual average of the estimated PIN index for the first year is significantly less than the second year. The effects of firm specification on the PIN value will be disappeared after one year.

    Keywords: Analysis of Variance (ANOVA), Measure of Asymmetry Information, Probability of Informed Trading (PIN), Ranking of Trading Symbols, Tehran Stock Exchange
  • Neda Bayat *, AliAsghar Salem Pages 591-620

    E lectricity has particular importance in the national economy and providing socio-economic welfare. It is considered an essential infrastructure of the countries development. This is why the management of electricity consumption and the formulation of proper policies for it is very important for policy-makers. To do this successfully, it is necessary to identify energy consumption patterns and relevant influential factors. This study aims to identify the qualitative and quantitative effective factors of energy consumption using batch self-organizing maps (BSOM). Electricity consumption in the residential sector accounts for one-third of total electricity consumption. Therefore, this study was conducted to evaluate the consumption of urban households in Iran’s provinces. According to the results, electricity price, household income and NG gas piping costs, as quantitative factors, and number of adolescents, number of rooms, employment status of the household responsible person (HRP), number of children, education level of HRP, house area, house material and use of the stationary gas cooler, as qualitative factors, are the most important factors affecting electricity consumption. Electricity price, the number of teenagers, rooms, and status of household head activity are identified as the most important quantitative and qualitative factors in all provinces of the country.

    Keywords: Electricity Energy Consumption, Residential Sectors, Self-organizing Maps, Socioeconomic Factors, Categorical Data
  • Bukonla Grace Osisanwo * Pages 621-638

    This study examines the effect of oil fluctuation export earnings on government income and expenditure in Nigeria using a time series data from 1986 to 2015. The study utilized co-integration techniques and ordinary least square as the methods of analyses. The co-integration tests indicate the existence of a long-run equilibrium relationship between oil export earnings, government income, and expenditure. The results also show that oil export earnings have a positive impact on total government income and expenditure. However, the impact of oil export earning on government revenue was significant. Other variables that influence government income and expenditure are the total income and population size. The policy implication derivable from this study is that increase in government expenditure without a corresponding increase in revenue could widen the budget deficit. Therefore, the government should explore other sources of revenue especially the non-oil minerals sector, and also reduce the size of large recurrent expenditure and move towards capital and other investment expenditures.

    Keywords: Oil Export, Government Income, Expenditure, population, Nigeria
  • Saidi Atanda Mustapha * Pages 639-674

    This paper ascertains the extent of mispricing in equity portfolios, mispricing-divestment relation, and the role of African equities as risk diversification strategies during commodity market turbulence. Following Baur and Lucey (2010), one identifies an arbitrary commodity market crisis to be 1%, 5%, and 10% declining moments in returns. However, their approach is extended by using African equities as a safe-haven against gold. A risk-augmented CAPM is specified to estimate the mispricing in equity portfolios while the risk diversification model follows Baur and Lucey (2010). For all the estimations, the regressions are run on daily data from 5th January 2010 to 30th December 2015. First, the results show the presence of transient mispricing in the portfolio's returns of African equities regardless of the firms’ liquidity and volatility levels. More so, stronger mispricing is observed using an alternative specification. Second, mispricing causes significant divestment in big size portfolios. Third, there is a clear manifestation of strong, safe-havens between South Africa and Cocoa markets; Egypt and Platinum markets; and Morocco and Oil markets, respectively. However, the Nigerian equities can be a successful diversifier for oil and cocoa during market turmoil. The conclusion is that mispricing in a portfolio of equity returns is due to the low frequency of trading and that Africa’s equity markets are risk diversifiers and safe-havens for commodities. The paper recommends the jettisoning of Investors’ buy and hold trading strategy and encouraging the establishment of African commodity exchange to achieve the desired inclusive growth.

    Keywords: Mispricing, diversification, Safe-haven, Africa’s Equity Markets
  • Khalid Zafar * Pages 675-705

    The main objective of this paper was the investigation of the impact of the trade openness on economic growth in Pakistan. We have been employed both the Johensen and Autoregressive Distributed Lag (ARDL) Co-integration together with ECM Techniques for the period 1975-2016. The empirical estimated results are the sound evidence that there exists a short-run and long-run positive and stable cointegration among the variables. Our empirical findings further depict that trade openness and foreign direct investment has a significant positive impact on economic growth in Pakistan. Moreover, the Granger causality test also confirms the bidirectional causality between trade openness and economic growth. It is, therefore, concluded that trade openness can play a key role as the economic growth of Pakistan is concerned.

    Keywords: Economic Growth, Trade openness, ARDL, causality, Pakistan
  • Herlitah Herlitah *, Muhammad Fawaiq, Herlindah Herlindah Pages 707-721

    This study examines the relationship between Foreign Direct Investment (FDI) and employment in the Indonesia construction service sector. The method used in this study is Panel VECM Granger. The data used are the data of FDI inflow and employment in the construction sector in some provinces, namely North Sumatra, Riau, Jakarta, West Java, East Java, and Bali from 2000 to 2014. The share of the six provinces is 80% of the total national FDI in the construction sector. The results showed that there is unidirectional causality in the short-term and long-term between FDI and labor. That relationship is the inflow of FDI strongly influenced by employment. In other words, Indonesian human resources can encourage investors to invest in Indonesia and not vice versa.

    Keywords: International Trade, Construction Services Sector, FDI, employment, Panel VECM-Granger
  • Ezatollah Abbasian *, Seyed Ehsan Hosseinidoust Pages 723-741

    Iran Insurance Company intends to raise its financial credit and render enhanced services to the insured and the public. The need to meet financial obligations arising from the claims requires determination of the optimum deposited claims reserve with banks. Therefore, the present research study aimed at finding the loss ratio (incurred losses to premium), and determining the optimum portfolio of risky and risk-free assets of insurance companies during 1996-2017 by conducting a case study on Iran Insurance Company. Based on the relevant data, the highest loss ratio with 81 percent belonged to 1998-99 and the lowest ratio with 62 percent belonged to 2003-2004. To determine the optimum portfolio of Iran Insurance Company, Konno Mean-Absolute Deviation Portfolio Optimization Model was utilized. According to the Konno Model, the optimum portfolios of risk-free and risky assets are as follows: Short-term banking deposits with 9 percent, long-term banking deposits with 46 percent, bank certificates of deposits (CDs) and participation papers with 9 percent, stocks of companies listed on Tehran Stock Exchange (TSE) with 17 percent, stocks of companies not listed on the TSE with 11 percent, and other assets, i.e. risky assets, including housing loan for employees of insurance companies, offering facilities to the agencies of insurance companies, purchasing immovable assets, and other financial instruments and constructions with 8 percent.

    Keywords: Portfolio Optimization, Konno Linear Programming Model
  • AmirMansour Tehranchian *, Mohammad Abdi Seyyedkolaee, Nava Imani, Seyedeh Zahra Zakeritabar Pages 743-762

    decline in private sector investment expenditures, crowding-out effect, lack of conditions for optimal allocation of resources, reduction inefficiency, and the possibility of increasing inequality in income distribution are considered as the effects of increasing the government size according to many theoretical studies and empirical evidence. Hence, identifying the determinants of the government size and contribution of each of them is very important. In this study, in addition to inflation and economic growth rate, the effect of financial openness measures on the government size in selected countries such as Iran has been tested experimentally. In the present paper, Chinn and Ito's indicators are used as variables of financial openness measure. Also, to analyze the sensitivity of the results to the statistical sample, the econometric model for the two groups of countries with high and low GDP per capita (2000-2016) was estimated by the Generalized Moment Method (GMM). The results showed that in both groups of studied countries an increase in the degree of financial openness will reduce the size of the government, but this effect is more in countries with high GDP per capita and minimal in countries by low GDP per capita. In high GDP per capita countries, the relationship between inflation and government size is positive and significant, and the relationship between GDP per capita and government size is negative and significant. But the study of low GDP per capita countries shows a negative and significant relationship between inflation and government size and a positive and significant relationship between GDP per capita and government size. Besides, according to research findings, the economic growth rate has the largest impact on government size in both groups of countries.

    Keywords: Financial Openness Measure, Government Size, Generalized Moment Method
  • Fatemeh Rahmani, Samane Zangoei, Ali Rahnama * Pages 763-791

    ecause a large number of tourists come to  Mashhad, this city has a high potential for the development of tourism-related activities. Therefore, it is necessary to equip resources for tourism activities and investment in this regard. Despite the highest tourism potential in Mashhad, there are great opportunities for the tourism industry, which has not been fully identified and has not been made available to investors. Besides, some aspects of investment in the tourism industry of Mashhad have been filled and investment issues have been unvarying, and repeated patterns that emphasize the need to focus on innovative investment opportunities. This study was conducted in 2017 and the statistical sample consists of 40 experts and activists in the private sector who work in the field of tourism  The method used is Fuzzy TOPSIS. after identifying the innovative tourism investment opportunities in Mashhad to rank these opportunities with using comparative studies, and the views of private sector investors and experts in tourism organizations. This ranking is based on 15 general and innovation indicators that are related to investment and are implemented through fuzzy TOPSIS. According to the results of this study, the most important opportunities for tourism investment in Mashhad are” the creation of a website with the full profile of all hotels and residential centers tourists”, “presentation healthy and organic foods for Special diets (Elderly, children, vegans, diabetics, etc.) “ and “the creation a market for souvenirs and handicrafts”.

    Keywords: Mashhad, Investment, Innovation, Tourism
  • Roghayeh Zahedian Tejeneki, Seyed Mojtaba Mojaverian *, Seyed Ali Hosseini Yekani Pages 793-806

    hoosing the appropriate site is important in the construction of units such as agricultural processing industries. In this study, we try to determine the factors affecting the exploitation of the agricultural processing industries and measure the share of location as one of the important issues in locating research. The 2572 data were collected from the Agricultural Jihad Organization of Mazandaran province. The two-level Logit model was used as the estimation method. The results showed that the variables of cooperative ownership, planned capacity, unit area, industrial parks, and livestock and Horticultural activities harm the exploitation, and the variables of the capital and fishery activity have a positive effect on the exploitation. Also, the construction site explains on average 1.2% of the observed deviation, which is not explained by independent variables in the model. The share of the worst and the best location in terms of spatial characteristics are 0.2 and 4.6%. The low share of the site in exploitation can be due to the right choice of location by investors or the proximity of the cities of Mazandaran province. Therefore, it is necessary to improve other factors affecting the construction of the Agricultural processing industries in the Mazandaran.

    Keywords: Agricultural Processing Industry, location, Exploitation, Two-level Logit, Mazandaran Province
  • MohammadAli Feizpour *, Abolfazl Shahmohammadi Mehrjardi, Marjan Habibi Pages 807-832

    he empirical studies have shown that cost advantages can occur due to economies of scale and economies of learning. However, a few studies have attempted to distinguish between these two effects on reducing costs. This paper is the first attempt on recognizing the impact of learning on reducing the cost with distinguishing the effect of economies of scale in Iran. Therefore, this study aims to shed light on cost benefits of industries based on learning and economies of scale in terms of their structures, as industries with various structures have different performances. Using industries at four-digit ISIC levels during 1997 to 2005, the findings show that learning rates is not uniform across industries and in fact learning rates are more than the effect of scale economies in only 11 among 31 industries. Moreover, the effect of learning in reducing cost in monopolistic industries is more than oligopolistic and competitive industries and similarly, learning is more in oligopolistic than competitive industries. From policy point of view, competitive industries should try to focus their efforts on achieving both dynamic and static dimensions of cost advantages to enhance their competitiveness in order to keep market shares.

    Keywords: Competitive Industries, Industry Structure, Iranian Manufacturing Industries, Learning Curve, Market Structure
  • Ali Sardar Shahraki, Somayeh Emami * Pages 833-851

    recipitation shortage and the consequent loss of several water resources, as well as the population growth, are the most important problems in arid and semi-arid regions like Iran. The providence of basic tools for optimal water resources management is considered as one of the main solutions to this problem. Since the agricultural sector is the main user of water resources, the present study presented a model based on an artificial neural network method for optimal allocation of water resources in the agricultural sector during the statistical period of 2007-2016. The objective function was determined for each product in the agricultural sector as well as product performance, each product revenues, and cultivated area of the demand function. Maximization of the objective function (to maximize economic profits) and optimal allocation of water resources were; then, conducted by using the neural network. The results of the application of the artificial neural network method to the problem of optimal water allocation showed that, in this section, higher revenues could be obtained through economic policies as well as changing the pattern of cultivation. Furthermore, the results revealed that about 44 percent of the optimal allocation revenues of water resources ($115 billion) were improved between the agricultural sectors, compared to the current situation, by applying a coefficient of 0.9 compared to two coefficients of 0.75.

    Keywords: Water Optimal Allocation, Artificial Neural Network, economic, Agriculture, Moghan Plain
  • Ali Taiebnia, Mohsen Mehrara, Seyed Hamid Pourmohammad Gelsefidi * Pages 853-883

    ran's economy still has a two-digit inflation rate with high fluctuations, which is mainly caused by fiscal dominance. According to the relevant literature, the most important fiscal dominance mechanism is borrowing from the central bank. After prohibiting direct borrowing from the Central Bank by Iran's government, the budget deficits are partially addressed by off-budgeting operations, achieved from the banking system. In addition to introducing the Off-budgeting mechanism of fiscal dominance through the banking system, this study aimed to detect whether fiscal dominance in Iran was the result of the government’s borrowing from the banks and consequently, its indirect borrowing from the Central Bank. The bank ledgers data from March 2007 to June 2018 was used in this study, and it was revealed that an increase in the government’s debts to the banks had a significant positive effect on the banks’ debt to the Central Bank; the effect is more highlighted in specialized and privatized banks, respectively. This finding is robust when the banks’ balance sheet status, banking health status, and macroeconomic status have controlled.

    Keywords: Budget Deficit, Off-budget Operations, Banking System, Fiscal Dominance, Money Supply