فصلنامه مدلسازی اقتصادی
سال شانزدهم شماره 1 (پیاپی 57، بهار 1401)

The objective of this study is to model the extreme dependence structure from the crude oil price to Tehran Stock Exchange (TSE) index. For this purpose, the conditional extreme value theory (C-EVT) was used to model the marginal distribution of returns on stock and oil market during the period 2008 to 2021. Then, the dependence structure of the extreme return was estimated by Copula models. The results showed that the crude oil market has contagion effects on the TSE. These effects are asymmetric and there is more dependence on the left tail. In other words, as crude oil price falls, decline of the total index is expected and these effects are greater when a positive simultaneous change occurs between variables. Due to the financial risks of the existence of contagion, considering structural extreme dependence can calculate the portfolio risk accurately and reliably. Therefore, it is suggested to pay attention to the structure of extreme dependencies between assets in order to optimize the portfolio.

The present study simulates and compares three types of pension systems, DB-PAYG, Full Funded and Defined Contributions, and their impact on Iran’s macroeconomic variables. For this purpose, the General Equilibrium model of Overlapping Generations is designed based on the variables of the Iran economy.  The results showed that the Full Funded pension system performs better than other systems in terms of capital stock, output and welfare. Also, among these three systems, the DB-PAYG system has the lowest amount of capital stock, output and welfare. Therefore, changing the current pension system of the country to a Full Funded pension system has been proposed as a reformed fiscal policy.

The purpose of this article is to investigate the effect of corruption on financial inclusion in Iran and selected member countries of the Organization of Islamic Cooperation during the period 2005- 2020. For this purpose, three variables have been used to measure financial inclusion and three separate models were estimated. The results of model estimation using the System Generalized Method of Moments (SGMM) showed that at a significant level of 5%, lagged financial inclusion, the level of per capita GDP and education have a positive and significant effect on financial inclusion. Also, the impact of corruption on financial inclusion is negative and significant. At a significance level of 5%, the expansion of Internet users and mobile subscribers has a positive and significant effect on financial inclusion. The high share of women in the total population has a significant and negative effect on financial inclusion. Based on the results, it is suggested that policymakers reduce the level of corruption and increase financial inclusion by reducing wide monopolies, eliminating the rent, improving the quality of regulations and creating widespread transparency.

Since late 2019, the oil price has increased constantly due to the cessation of significant reductions in OPEC Plus oil supply (OPEC and Russia), the recovery of economies after the severe shock caused by the Covid19 crisis, and the increase in geopolitical tensions. But the sharp fall in prices from 2018 to 2020, which caused a sharp drop in prices from $ 70 to $ 21, once again draw attention to the oil market and the reasons for the oil shocks. The recent shock, unlike previous shocks, cannot be explained only by supply-side factors, but the global economic recession and specific oil market shocks should be considered as well. Much empirical evidence, as well as theoretical literature in this field, suggests that supply and demand shocks are not alike and do not have the same effect on oil prices, neither in size nor in duration. In fact, not all oil price shocks are the same, and the same treatment of supply and demand shocks is misleading. The idea of the article is taken from the model developed by Kilian (2008). However, Kilian model has been developed and modified in accordance with recent developments. The results show that the recent price war has been waged to counter US oil production, which along with the outbreak of the Coronavirus (demand shock) has led to a sharp drop in oil prices and a shortening of the price war.

The Kuznets curve hypothesis of a nonlinear relationship between economic growth and income inequality has been widely tested for different countries. However, the factors influencing such a relationship that determine the position of the Kuznets curve have been neglected. One of these factors is financial development, which according to the financial Kuznets curve hypothesis, is inversely associated to the level of economic growth at which income inequality peaks (ie, the turning point of the Kuznets curve). This study empirically tests the financial Kuznets curve hypothesis in the Iranian economy using data for the period 1361-1397. To this end, real GDP per capita and Gini coefficient have been used as indices of economic growth and income inequality, respectively. In addition, several indices of financial development have been aggregated into an overall (combined) index, using the principal component analysis method. The empirical results indicate that in the long-run, there is an inverted U-shaped relationship between economic growth and income inequality, thus confirming the Kuznets curve hypothesis. In addition, the turning point of the Kuznets curve will be at lower level of economic growth when the level of financial development is higher. These findings provide evidence to support the long-run financial Kuznets hypothesis for Iran. Accordingly, it is suggested that economic planners and policymakers, in parallel with growth policies, improve the level of financial development, aimed at a more equitable distribution of income.

Collective pension schemes with mandatory participation, despite their many benefits, are not commensurate with the future of work so that recently granting exit option has been considered in pension reforms. However, there are concerns about the consequences of granting exit option on sustainability of the plans. This study based on the main characteristics of Iran’s Social Security Organization (ISSO)’s pension fund, mathematically calculates the value of participation in this plan. It was assumed that contributors are allowed to opt out once at a given time (European option) or several times during employment (US option) and, then, the option pricing theory is used to determine the value of these options. Findings show that in both cases of European and American options, the incentive to leave generally is low at old ages and they prefer to stay and receive their entitled pension annually. In contrast, young people have less incentive to participate because they know that they are the ones who have to pay the high recovery contributions necessary to fill the deficit. However, it was shown that even young people are willing to accept a deficit (between 30 and 40 percent) because in case of participation, they would benefit from investment returns of their predecessors’ funds or other benefits of collective schemes including interpersonal and intergenerational risk sharing. The results also show that in case of American option, people have always higher participation incentive and its exit threshold is always lower than the case of European option.