نشریه مدلسازی اقتصاد سنجی
سال هفتم شماره 4 (پیاپی 28، زمستان 1401)

In this research, the impact of the impact of the international sanctions index on the performance indices of the Tehran Stock Exchange by industries, including mass production indices, banks, insurance, automobiles, investments, basic metals, rubber, cement, chemical, industry, petroleum products, pharmaceuticals, transportation, sugar And thanks, we have checked for the time period from 2010 to 2020. For this purpose, we have used the weekly data of the above variables and using the Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH),   Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model. Based on the results of the research, the influence of the sanctions index with different intervals (1 to 29) on the performance indicators of Tehran Stock Exchange with different ARCH and GARCH intervals (1 to 20) was proved by obtaining significant coefficients of -0.098417 to 0.137398.

The banking system, as one of the most effective sectors of the economy, by collecting a significant part of the available liquidity and directing it to the productive sectors, causes economic prosperity.The profitability of banks depends on a set of internal and external factors, of which liquidity management is the most important. In order to earn profit, banks must manage their liquidity in such a way as to meet their obligations and avoid wasting investment opportunities. In this research, by examining the effective indicators on liquidity management, a composite index that represents the level of bank liquidity management was calculated and introduced. Then, using the annual data of 16 banks in the period (2006-2021), the effect of liquidity management on banks' profitability was investigated using the generalized moments method (GMM), two-stage Arellano-Bond. The results show that liquidity management has the most positive effect on the profitability of banks, so that in private and semi-state banks, the intensity of this effect is greater than in state banks.

National input-output tables in Iran date back to the 1960s. However, Iran has been included in neither regional nor global international tables. Accordingly, the novelty of this article is adding Iran's national input-output table to the ICIO table. The 2016 national input-output table published by the Central Bank of Iran used for this purpose aligned with the proposed methodology of Diazenbacher et al. (2013) and Timer et al. (2015). The empirical findings of the countries' multiplier coefficients indicate that the lowest multiplier coefficient is related to Saudi Arabia (1.51). Iran's multiplier coefficient is about 1.75, indicating the weak link between Iran and the whole world economy. All in all, international sanctions, non-cooperation with international organizations and conventions, and inefficient economic policies are effective causes of few links of Iran with the global economy.

This study aims to model tax evasion and identify how these factors affect tax evasion. The current research is in the field of applied research. To achieve this purpose, the Bayesian averaging method has been used in the period from 1370 to 1399 in MATLAB 2021.In this research, 62 variables affecting tax evasion were included in the model and using the Bayesian averaging model approach, from 1 to 12 non-fragile variables affecting tax evasion were identified. The results show the fact that the inflation rate is the most non-fragile variable affecting tax evasion. Also, based on the results of the TVPFAVAR model, it was observed that the shock effect of macroeconomic variables (inflation, exchange rate, unemployment, budget deficit) on tax evasion was generally positive and strong, while the effect of cultural variables (tax culture, tax effort, tax morale), tax fairness and tax justice), generally has a small and negative effect on this variable.

Investigating the behavior of speculators is very important in explaining the phenomena of the Iranian housing market. Many of the undesirable phenomena that occur in the housing market are for speculation. In this research, time-varying effects of factors influencing speculation in Iran's housing market have been investigated using state-space models for the period 1991 to 2020. The speculation index is estimated by Roehner. The results show that the shock of the housing tax has reduced speculation in the housing market. In the short and long term, the stock market shock had a small and different effect on speculation in the housing market in different years, respectively. The effect of the unofficial real exchange rate shock on speculation in Iran's housing market was positive. In the short and long term, the effect of this shock was small and more, respectively. According to the results, the real interest rate shock had a positive effect in the first two periods and then a negative effect on speculation in the Iranian housing market. The shock caused by the real housing yield rate has different effects on speculation. Still, overall it has caused an increase in speculation in the Iranian housing market. Based on the results, the shock caused by speculation in the parallel markets of the housing market (currency and stock markets) has caused an increase in speculation in the housing market.

The formation of the spatial employment pattern in a region is influenced by various geographical, economic, social, and climatic characteristics. In this regard, this paper analyses the effective factors on employment rates in 31 Provinces of Iran over five years (2011-2016). For this purpose, the spatial autocorrelation with direct and indirect effects (spatial spillover) of Factors on employment rate in provinces of iran has been estimated using the panel data and spatial econometrics method (Spatial Durbin model). The results of spatial estimation showed that there is spatial autocorrelation in the provincial employment rate. Other results indicate that the GDP of the provinces has a significant positive direct and spatial spillover effect on the employment rate. On the other hand, energy intensity has a significant negative direct and spatial spillover on the employment rate. The amount of rainfall does not directly affect the employment rate. The study finds an inverse U-shaped relationship between direct and indirect effects of net migration, population density variables, and the employment rate. Therefore, by increasing in immigration and population density, the employment rate increases in the studied provinces and neighboring provinces, and it decreases after crossing the threshold.