نشریه اقتصاد باثبات
سال سوم شماره 2 (پیاپی 7، تابستان 1401)

In recent years, the use of effective risk management techniques in financial institutions, especially banks, has become more important. One of the methods related to this approach, which is very important for effective risk management; It is stress test. This test is considered a complementary tool along with other risk management tools, which determines the amount of capital required by banks and credit institutions to safely face various shocks, for example, macroeconomic shocks and cover the losses caused by these shocks. Empirical studies in recent years show that economic conditions are the cause of financial crises and also the emergence of liquidity risk in the banking system. In this article, by selecting 18 banks of the country and using the information of their financial statements in 54 quarterly periods from 2008 to 2021, stress test of banks' liquidity risk in the conditions of crisis and economic shock has been investigated, which includes two stages; In the first stage, the impact of effective factors such as macro variables and banking variables on liquidity risk has been modeled with a basic dynamic panel regression model, and in the next stage, with making scenario in terms of Basel III, the impact of macro variables' shock on banks' liquidity risk has been investigated to examine the ability and resistance of banking network in the conditions of tension and crisis. In the following, by using the Monte Carlo simulation and by calculating the value at risk of liquidity risk for at least one year after the estimation period, the loss of banks' liquidity risk in the face of shocks has been obtained. The results of stress test show among the shocks of macroeconomic variables, the shock of exchange rate has the greatest impact on banks' liquidity risk. Therefore, by considering effective factors among shocks, not only can financial crises be controlled, but it can be a precursor to the empowerment of banks before the occurrence of any type of shock in macroeconomic conditions.

Properly operated public transportation increases the efficiency, economic growth and overall development of a country; Therefore, improving the quality of the transportation system seems necessary. In the past decades, various studies have been done on the design of the public transportation system due to its practical importance. How specific policies, including decentralization, can determine the effectiveness and efficiency of public transportation services. Accordingly, the purpose of this study is to investigate the effect of financial decentralization indicators on the efficiency of providing public transportation services in the provinces of Iran by spatial econometric method during the years 1385-1387. The present study is a two-stage approach: in the first stage, efficiency coefficients in the transportation sector are estimated through stochastic border analysis. In the second step, the space panel analysis method is used to investigate the effect of financial decentralization on the estimated efficiency coefficients. The results show that the efficiency of public transportation system in most provinces of Iran is less than 20%. Other findings show that there is a non-linear relationship between financial decentralization and the efficiency of public transportation services. In other words, over-optimal financial decentralization will have the opposite effect on the efficiency of transportation services. In fact, the initial levels of financial decentralization have a positive effect on efficiency, but after exceeding the maximum point, increasing financial decentralization leads to a decrease in the efficiency of public transport services. Also, the ratio of urbanization, relative population density and per capita income have a positive and significant relationship with the efficiency of transportation services.Keywords: Financial Decentralization ,Efficiency of public Transprt , Spatial Econometrics

Portfolio optimization and deciding which stocks deserve to be included in the investment portfolio and how to allocate capital are complex issues. Theoretically, the selection of the stock portfolio in the case of risk minimization can be solved Using mathematical formulas and through a quadratic equation, but in the real world, given that the behavior of the stock market does not follow a linear pattern, common linear methods also cannot be useful in describing this behavior. A natural way to consider time-based constraints of discrete processes is to use GARCH family models. The continuous-time GARCH (CO-GARCH) model is a direct analogue of the discrete-time GARCH that generalizes the basic features of the mentioned process in a natural way. Another advantage of the CO-GARCH model is that its second-order structure is known and defined. Therefore, in this research, portfolio optimization using the modified Markowitz model based on CO-GARCH modeling has been investigated in comparison with the market. The statistical population of the current research includes the information of the companies admitted to the Tehran Stock Exchange for the period of 2010 to 2019 and the statistical sample was selected using the systematic elimination method. First, the optimal investment model based on the Markowitz model based on the CO-GARCH model was presented and then compared with the market. The results of the research indicate that the efficiency of the optimal portfolio formed using the adjusted Markowitz model based on CO-GARCH fluctuations has a significant difference compared to the efficiency of the market.

The growing trend of energy consumption on the one hand and the scarcity of this factor on the other hand has led to the study of factors affecting the efficiency of energy consumption is of great importance. Therefore, the purpose of this study is to investigate the effect of increases and decreases in real energy prices on energy efficiency in Iran. For this purpose, first, the real energy price index was being calculated at the level of the whole economy and the three sectors of household, commercial and industry. Then, by using an autoregressive approach with nonlinear (asymmetric) distributive interruptions, a basic model based on the whole economy and three sectors models based on the three mentioned partial were estimated. The results show that in the long run, increases and decreases in energy prices had a direct effect on energy efficiency at the level of the whole economy. In the household and industry sectors, decreases in energy prices had a direct effect on energy efficiency, but there was no significant effect of increases in energy prices on energy efficiency in the two sectors. In the commercial sector, there was no significant effect of increases and decreases in energy prices on energy efficiency. Also, the effect was asymmetric confirmed at the level of the whole economy and in the mentioned sectors. The growing trend of energy consumption on the one hand and the scarcity of this factor on the other hand has led to the study of factors affecting the efficiency of energy consumption is of great importance. Therefore, the purpose of this study is to investigate the effect of increases and decreases in real energy prices on energy efficiency in Iran. For this purpose, first, the real energy price index was being calculated at the level of the whole economy and the three sectors of household, commercial and industry. Then, by using an autoregressive approach with nonlinear (asymmetric) distributive interruptions, a basic model based on the whole economy and three sectors models based on the three mentioned partial were estimated. The results show that in the long run, increases and decreases in energy prices had a direct effect on energy efficiency at the level of the whole economy. In the household and industry sectors, decreases in energy prices had a direct effect on energy efficiency, but there was no significant effect of increases in energy prices on energy efficiency in the two sectors. In the commercial sector, there was no significant effect of increases and decreases in energy prices on energy efficiency. Also, the effect was asymmetric confirmed at the level of the whole economy and in the mentioned sectors.

Appropriate distribution of income and reduction of inequality are one of the government’s goals. Different policies and tools are used to achieve this and the minimum wage is one of them. In this study, the effects of minimum wages on income distribution, due to the most similarities in development and per capita income were studied in 7 selected developing countries including (Pakistan, Armenia, Iran, Belarus, Chile, Egypt, Georgia) and 7 selected developed/development countries including (USA, France, Japan, Sweden, Netherlands, Belgium, and Canada) with generalized minimum squares from the years 2000 to 2020. The results show that, in developing and developed countries, an increase in the minimum wage, improves income distribution and the effects of this policy in developed countries are much greater than in developing countries. Therefore, developing and developed countries should increase the minimum wage in proportion to the rate of inflation to progress and improve income distribution.Appropriate distribution of income and reduction of inequality are one of the government’s goals. Different policies and tools are used to achieve this and the minimum wage is one of them. In this study, the effects of minimum wages on income distribution, due to the most similarities in development and per capita income were studied in 7 selected developing countries including (Pakistan, Armenia, Iran, Belarus, Chile, Egypt, Georgia) and 7 selected developed/development countries including (USA, France, Japan, Sweden, Netherlands, Belgium, and Canada) with generalized minimum squares from the years 2000 to 2020. The results show that, in developing and developed countries, an increase in the minimum wage, improves income distribution and the effects of this policy in developed countries are much greater than in developing countries. Therefore, developing and developed countries should increase the minimum wage in proportion to the rate of inflation to progress and improve income distribution.

Iran's economy In the last decade have faced persistent and high inflation, political risks, uncertainty, lack of transparency and economic sanctions that makes imbalances in financial markets and hampered economic growth. On the other hand economic studies show that sound and efficient financial systems, which direct capital to use it most efficiently, are beneficial to economic growth. Therefore, the relationship between financial sector development and economic growth has created considerable debate among development economists. However, there is little consensus on the impact of financial development on economic growth as well as its linear or non-linear impact. Therefore, this study, considering the indicators of the market based financial development, to investigate the nonlinear and asymmetric effect of financial market development on economic growth with the Markov-Swichning approach. The study period is 1980-2018. In order to investigate the asymmetric effects of market-based financial development, new indicators presented by the International Monetary Fund (IMF) introduced by the study by Svirydzenka (2016) were used. The results of the study showed that market-oriented of financial development have a significant effect on economic growth only in the first regime or in other words, the recession regime. Therefore, in the context of recession and volatile economic growth, the focus of government policies on the market sector and financial development has played a very effective role and can reduce and improve the inflammation in the process of economic growth. Also, the values of the obtained coefficients showed that increasing the access of financial markets has a much greater effect than increasing the depth of the financial market in improving the process of economic growth.