مجله سیاست گذاری اقتصادی
سال دوازدهم شماره 23 (بهار و تابستان 1399)

The aim of this study is to investigate the effects of liquidity and credit risk on the banking stability in Iran using the unbiased Z-score index. This investigation finds significance with regard to the subjects of bankruptcy and banking crisis. In order to attain the purposes of this research, a sample of 18 Iranian banks for the period of 2007-2017 was used and three main hypotheses were constructed. The Dynamic Panel data approach was applied for the estimation of the model along with the use of the two-step System GMM. The results indicate that credit risk and liquidity risk significantly reduce banking stability but the effect of their interaction is not significant. The findings of the study provide bank managers with better understanding of bank risks and the efforts aimed at managing liquidity and credit risks. It is shown that an increase in the capital has significantly improved banking stability, while inefficiency, return on assets (based on risk-return tradeoff), loan growth, GDP per capita (based on Minsky's financial instability hypothesis) and sanctions on banks have had significant negative effects on banking stability.

Housing is one of the most critical and expensive assets of human life, and it is a costly commodity that requires long-term planning. A major issue in the housing sector is affordability, especially for low-income families. In this paper, we combine the cross-sectional household income-expenditure microdata (generated by the Iranian Statistics Center) and create pseudo-panel data. We make cohorts from the repeated cross-sectional data and examine family behavior for 25 years. This study was conducted from 1991 to 2015 and covered seven metropolises including Tehran, Karaj, Mashhad, Isfahan, Tabriz, Shiraz, and Ahwaz. The target population of this study consisted of those who were born from 1930 to1989. Because rich people make more speculative investment in housing than their need, this behavior affects the housing market and low-income households through the intensification of income inequality. The empirical results demonstrate that the high per capita income inequality of households in metropolises has a negative and significant effect on residual income (i.e. non-housing expenses) and per capita living space. That is, higher income inequality is related to a lower residual income and a lower per capita living space. The results also show that permanent income has a positive and significant effect on housing affordability, and higher permanent income leads to an increase in residual income as well as an increase in per capita living space.

The capital market plays a very important role in collecting and directing resources towards productive economic activities. In this regard, stock prices can be a significant contribution to the transfer of monetary policy to the real segment of the economy. The aim of this study is to investigate the role of the stock price channel in the mechanism of monetary policy transfer. In addition, due to structural changes, there is the possibility of non-linear transfer of monetary policies and the change in the relationship among the variables over time. Therefore, the MSVAR method, which has many capabilities for dealing with structural changes in different regimes, was used along with the data on GDP, consumer price index, monetary base and Tehran Exchange Stock price Index. These data belonged to a period from the first quarter of 1991 to the fourth quarter of 2015. The results of the research indicated that, in the years after 2008 (regime 0) in the long run and in the years prior to 2008 (regime 1) in short run, the stock price channel had a larger share in transferring money to production. In both regimes, the share of the stock price channel was low in transferring money at the price level.

After the financial crisis, studies of uncertainty have been of particular interest to researchers in the past decade. Given the negative impact of uncertainty on the economic growth and development of the country, policymakers seek to control and reduce the uncertainty to improve economic activities. For this purpose, the value of uncertainty must first be assessed. In this study, after the existing methods of calculating uncertainty are expressed, the index of uncertainty is introduced based on an Internet search and its advantages and disadvantages are examined. Given the foreign exchange turbulence in Iran's economy in recent years, the uncertainty indices in the foreign exchange market during the years 2003-2016 are extracted monthly through this procedure. Furthermore, in the next step, GARCH models are used to estimate uncertainty indices in the foreign exchange market for the same period. It has been found through comparison that the Internet search of indices provides a good image of the foreign exchange price variations in the market. In general, policymakers in various areas need to monitor their policy environment, which can be used to measure uncertainty in some of these areas.

Rapid urbanization has become a dominant phenomenon in the world, and neglecting the status of the housing price affordability may result in marginalization and its negative social and cultural aftermath. Studies show that the urban housing affordability index in Iran which has sometimes been unaffordable is only under the influence of housing sector cycles and has been unaffordable since 2002. However, no action has yet been taken to improve this index. One of the factors that can affect housing affordability index is the Dutch disease effects of Iran’s economy. Therefore, in this study, the behavior of the urban housing price affordability is analyzed, and the effect of the oil revenue shock on the affordability of housing prices is investigated using the SVAR model. According to the results of the econometrics model, the fluctuation of the urban housing price affordability index exceeds the short-term imbalance. So, due to the widening gap between household income and urban housing prices, the convergence of these two variables is not proved. In addition, the analysis shows that, although the impact of oil revenue shocks on the affordability of housing prices is negligible in the short term, it explains 6.6 percent of the volatility fluctuation in nine seasons of the shock, and its effect eventually fades away after 10 seasons.

Increasing energy efficiency is an effective policy to reduce the negative externality of economic development. The study estimates and evaluates the factors affecting energy efficiency by using the data at the provincial level in Iran over a period from 2006 to 2015. The results of the stochastic frontier approach show that Bushehr and Ilam provinces have the highest and the lowest rate of efficiency equal to 0.41 and 0.16 respectively. The results of the spatial econometrics show that there is a positive spillover effect among the provinces in terms of energy efficiency. Also, the direct effects of industrialization and population density on energy efficiency are positive, but its spillover effect is negative. As another finding, the direct effects of urbanization and per capita income are negative, but the spillover effect of urbanization is positive and significant.

In the dynamic stochastic general equilibrium (DSGE) literature, there is an increasing awareness of the role that the banking sector can play in macroeconomic activities. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). Following a positive technology shock, the deposit rate declines slightly and this shock gradually increases the output, consumption, and net worth, After the shock, the lending banks reduce and a substantial decline occurs in the excess bank capital. This is because banks prefer to rely on cheaper funds from the central bank. The markup wage and price shocks naturally induce an increase in the markup, which is associated with a fall in real output and real wages, As expected, a positive shock in markup has a significant negative effect on the investment, consumption and net worth. Following a monetary shock, the investment, employment and inflation rate decreases, the willingness to deposit increases, and consequently the nominal deposit rate decreases. Finally, the shock of the government expenditure increases prices, wages, nominal rates and the net worth of financial intermediaries.

The purpose of this study is to assess the effect of the policy of fiscal decentralization on the economic inequality in the provinces of Iran during the period of 2001-2015. Most studies in Iran have assessed the impact of fiscal decentralization on economic growth positively, but whether or not fiscal decentralization affects the distribution of economic inequalities in provinces is the question that the present study seeks to answer. The inequality index of the Population-Weighted Coefficient of Variation (PW-CV) shows that Iran's provinces during the research period have had a very disproportionate economic distribution. The results of estimating Spatial Autoregressive with Autoregressive Error (SARAR) regression models indicate a strong spatial dependency among the provinces; the inequality index of each province with an approximate coefficient of 37% is affected by the economic inequality in the neighborhood provinces. The coefficients of the decentralization of expenditure, construction and revenue variables have positive and significant effects on economic inequalities. So, it can be said that fiscal decentralization increases regional inequality. Also, the government size indicator indicates an increase in inequality if the provincial budget share increases relative to the gross domestic product per capita. The impact of the decentralization policy in the developed provinces shows that the higher the per capita GDP of the provinces is, the further fiscal decentralization will increase economic inequality.

In this paper, the volatility transmissions between the exchange rate and the stock market returns are estimated for different industries in Iran from 03/25/2009 to 05/22/2019. For this purpose, DECO-GARCH model is used with and without structural breaks. The results show that the model estimation with structural breaks in a conditional variance reduces the degree of persistence of volatility. The model with structural break yields more accurate results than the model ignoring the structural breaks. Finally, using the overflow index, the relationship and convergence among markets as well as the direction and intensity of overflow among them are identified and evaluated. The results show that the overflow index of total returns is about 7.36%, the convergence of markets is relatively low. Also, the chemical and automotive industry markets prove to be the dominant ones.

This paper aims to analyze the long-run effects of Iran's tariffs reduction on the value added in agricultural, industrial and service sectors. The study is conducted in the framework of accession to the WTO and by applying the Dynamic Computable General Equilibrium (DCGE) model. To this end, the model is first calibrated using the data base of the 2011 Social Accounting Matrix (SAM). Next, the model is simulated as a rival scenario on the basis of the market access commitments of 22 developing countries acceded to the WTO. Under the Business as Usual (BaU) scenario, the economy, without joining the WTO, is supposed to be developed at the rate of the population growth (2 percent) annually. The results indicate a substantial reduction of the value added in industrial and services sectors following accession to the WTO, but there is a moderate growth in the value added of the agricultural sector after a decade of slow reduction. By the third decade after accession to the WTO, the value added in the industrial and service sectors under the rival scenario will be respectively 80 and 55 percent less than the value added under the BaU scenario. The average value-added growth of agricultural, industrial and service sectors under the rival scenario are found to be 0/5, -3/4 and -0/7 respectively.

This article investigates the impact of factors affecting the total productivity in Iran, in particular the type of energy consumption and human capital during the period of 1971-2014. In this regard, due to the endogeneity problem in the model, the factors affecting the growth of the total factor productivity in Iran were estimated using five different models implemented through GMM. According to the results, the intensity of fossil fuel use significantly reduces the total factor productivity in Iran. Also, the first lag of the total factor productivity, trade openness and intensity of renewable energies are the incremental factors of that productivity in Iran. Finally, the results indicate that human capital and foreign direct investment during the study period did not play a role in the total factor productivity in Iran, nor was the role of their interaction confirmed in productivity.

Nowadays, the role of government interference in the economy is accepted in various economic theories. Governments can adopt monetary and financial policies to influence economic fluctuation and growth.. The extent of this role depends on the structure of the economy and the economic institutions of the society. In many macroeconomic texts and business cycles, fiscal policy has been introduced as part of the process of economic stabilization. The automatic changes in government revenues and expenditures help to respond to production fluctuations to pave the way through the multiplying factor of traditional demand. In this regard, this research seeks to investigate the effect of government financial policies on economic activities in the Iranian economy through different phases of a business cycle using nonlinear patterns in the period of 1988-2016. Also, financial policies and production, the relationship between the two in different economic situations, and the business cycle of recession and prosperity are analyzed. In this regard, using the threshold regression model, the effect of financial policies is studied using the introduced variables, the corresponding tests were performed, and the ESTAR model is selected. Based on this model, the asymmetry of the impact of financial policies on expenditure and taxes is accepted. The findings of this study have important implications for combining optimal financial policies throughout the various stages of a business cycle.