نشریه مدلسازی اقتصاد سنجی
سال ششم شماره 3 (پیاپی 22، تابستان 1400)

The purpose of this paper is to examine the empirical validity of the Adaptive Market Hypothesis (AMH), which is suggested to resolve the controversy between proponents of the efficient market hypothesis and financial behavior school. This hypothesis is based on the principle that although inefficiencies in the financial markets stems from the irrational behavior of investors, when investors adapt themselves to the changing environment as part of an evolutionary process, this adaptability in the shape of switching regime returns the market to an efficient state. To test the empirical validity of this hypothesis, the logistic smooth transition autoregressive model (LSTAR) and statistical information for the period 1385-1398 based on the frequency of quarterly data for variables namely, index return, price-to-income and market-to-book ratio, Infaltion and exchange rate have been used. The results show that the return of the Tehran Stock Exchange index changes behavior in accordance with the adaptive hypothesis under efficient and inefficient regimes.

The purpose of this study is to investigate the relationship between oil price changes and volatility on stock market, foreign exchange rate, and gold rate, using weekly data from August 2013 to June 2021. First, using the VAR-DCC-GARCH approach, conditional correlations between markets are identified and the time series of volatility is extracted. Then, using volatility series, partial and multiple correlations in these markets are investigated using the continuous wavelet and WLMC wavelet approach. The results show that there is a correlation between markets and volatility in oil market can lead to volatility in other markets at different time horizons. The results of the WLMC estimate show that in the event of political uncertainty, WLMC has increased in the short, medium and long term.

Using the monthly data of the returns of 5 assets during 05/31/2011 to 02/28/2021, the volatilities of Iranian asset markets have been modeled in this paper. Factor multivariate stochastic volatility model in the framework of space-state approach is the basis for decomposing the asset market volatility into two components, “volatility rooted in latent factors” and “idiosyncratic volatility” and estimating time-varying covariance matrix and dynamic pair-wise correlation of time series. The findings reveal that: first, there are two latent factors. Second idiosyncratic volatilities of 3 assets, including stock, dollar and gold have increased since mid-2017, and emerges evidence of clustering behavior. Third, the volatility of inflation is explained by the hidden factors, and consequently the idiosyncratic volatility is almost smooth. Fourth, the volatility of stock return is highly correlated with the volatilities of inflation and dollar. In addition, there is a significant pairwise correlation between inflation-dollar and inflation-interest rate.

Although Iran is located in an arid and semi-arid region and the average rainfall is less than one third of the global average, but in terms of water consumption is considered one of the most consumed countries as expected in the year will face a physical shortage of water in the future. Since the first step in dealing with the challenges is to identify the subject under study, in this regard, in the present study, the factors affecting domestic water consumption in the provinces of Iran have been identified. Theoretical and empirical evidence shows the effect of strengthening social capital on encouraging people to cooperate in the field of environmental measures. In this regard, the purpose of this study is to investigate the role of social capital in domestic water consumption in the provinces of Iran. In this study, while calculating an index as a proxy for social capital, the effect of social capital on household water consumption has been investigated using panel data. The results show an inverse relationship between social capital and water consumption. In other words, the authorities are able to control water consumption in this area through measures that lead to gaining the trust and cooperation of the people.

One of the most important issues in recent decades in the country is to study the impact of oil revenues on the performance of the country's economy. Some believe in the existence of oil revenues in the success of economic performance, while others believe in the backwardness of the country despite the role of oil revenues. But the agreed point is the importance of the role of institutions in the economic performance of the country.. The present study uses the method of estimating parameters with variable coefficients and Kalman filter approach to investigate the role of institutional quality on the relationship between abundance of oil revenues and economic growth in Iran for the years 1994 to 2018. According to the results; Due to the inadequate economic structure of the country, the abundance of natural resources has not been used efficiently and the abundance of resources has caused certain deviations in the economy and as a result has slowed down the growth of the economy through various channels.

The purpose of this study was to investigate the effect of banking system risks on bank performance and macroeconomic variables. For this purpose, credit, liquidity, market and operational risks were used as the most important risks of the banking system. In order to analyze the results, the dynamic stochastic general equilibrium method was used in terms of the structure of the banking system in the period 1991-2020 based on the frequency of quarterly data. In the statistical analysis section, the effect of shock from each of the mentioned risks on banking and macroeconomic variables was compared and evaluated. The results showed that most macroeconomic and banking variables showed the most reaction to market and credit risk and had the least reaction to operational and liquidity risks.