فصلنامه تحقیقات اقتصادی
پیاپی 85 (زمستان 1387)

Inflation forecasting has been one of the requirements for the implementation of monetary policy in countries which their monetary authorities are pursuing inflation targeting regime. However, owing to central bank independence in one hand and as well as the lagged effects of monetary policies on inflation in the other, the monetary authorities should have the sound perspective about the future inflation, regarding the control of economy in the line of predetermined objectives. In this way, due to the limitations of single model, different forecasting models have frequently been used in different empirical studies to produce better forecast comparing to individual forecasting model. Moreover, it is found that simple combinations that ignore correlations between forecast errors often dominate more refined combination schemes. In this article we apply the genetic algorithm heuristic approach to find the optimal combination weights for inflation forecasts.

Fluctuation of exchange rate and its deviation from equilibrium path are one of the most important macroeconomic variables that is affected by different side of economical sectors. Whereas, the Exchange rate fluctuation and its deviation from equilibrium path haven’t the same and similar effects on all of the economical sectors, and considering eminent important of industrial development on the development of the country; This paper examines and evaluates the exchange rate fluctuation and its deviation from equilibrium path on value added of industrial sectors. So first we calculate deviation of real exchange rate from long run equilibrium path by use of Cottani’s model Then, in order to calculate short run exchange rate with error correction method framework. In order to avoid non stationery of some of the variables used in these models, and other problems, we have used a new econometric method; integration and auto regressive distribution lag (ARDL); and then considered the effects of exchange rate fluctuations and its deviation from equilibrium path on value added of industrial sectors This paper shows that fundamental hypothesis; posterior reverse relationship between real exchange rate deviation of equilibrium path and value added of industrial sectors; is accepted.

Explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. So far as after offering CAPM by Sharp & Lintner, this model has been revised and criticized frequently. In this paper another version of CAPM has been tested versus traditional CAPM in Tehran Stock Exchange. This version of CAPM measures sensitivity of stock return to consumption percapita and consider it as measure of risk. This model is identified as Consumption based Capital Asset Pricing Model or in abbreviation is C-CAPM. We examine 184 stocks in Tehran Stock Exchange which have not had long deadlock from beginning of 1380 to end of 1385. Despite of the fact that Consumption beta should be a better measure of systematic risk theoretically, but our results show empirical performance of traditional CAPM is more encouraging than C-CAPM, and CAPM had relative success over all tests.

This article examines the basic assumption of Rational Expectations Hypothesis on Iran's economy from 1966 to 2003. This assumption suggests the neutrality or ineffectiveness of money policy on the development of real variables of production and employment. The results from estimation of production equation do not support the significant influence of unanticipated component of money growth on the production variable. In other words, the results, support the hypothesis suggesting the significant influence of systematic and anticipated money growth on the economics growth in Iran. Moreover, the results from the estimation of unemployment rate equation, do not support the hypothesis suggesting the significant influence of unanticipated money growth on the real employment variable, whereas support the hypothesis suggesting the significant influence of anticipated money growth during a time lag. In other words, the results of this study do not support the neutral effect of systematic Monetary Policy on real variables of production and employment.

The emphasis of this paper is the role of volatility indices on improvement Artificial Neural Networks (ANNs) forecasting models for the daily USD/EUR and USD/GBP exchange rates Two volatility indices are used. First; the realized volatility, which is based on intra-daily data, and second the GARCH volatility. They are applied into the model in two ways. Firstly, the lagged volatility index is added to the model. Secondly, some levels for the volatility are defined and the time series are partitioned according to the level of volatility, and then different models of exchange rate forecasting are built for each level of volatility. The forecasting results demonstrate that the models with low and middle volatility are not preferred to the model without volatility index. However, in case of high volatility, the level models improve forecasting power. This means that high volatility provides new information for foreign exchange market.

The aim of this research is to analyse of empirical relationship of fiscal policy and Iranian trade account in the years 1338-1385(1959-2006). In and econometrics model the methods of Engle and Granger (1987), Johansen (1988), ARDL, pessaran and Shin(1998), Philips and Hansen(1990), have been used to find out the effects of variables such as government expenditures(the component of public demand), Private investment and private consumption (the component of private demand), and other related variable, on the trade account. The results show that firstly increase in the government expenditure, private consumption and investment deteriorate the trade account. Secondly, a long run equilibrium relationship between variables composing the import function will be verifid in extended assertion.

In this paper, we develop a Ramsey-type endogenous growth model in which government spending on property rights protection is a major determinant of economic growth. This model includes equations for welfare, private and public sectors production. We introduce the legal efficiency into private production function, and X-inefficiency parameter into public production function. Also, we consider the deficit rule for government rather than balanced budget rule. One contribution of this study is that, we compute the optimal share of property rights protection in Steady-State. The other one is considering the preferences as endogenous rather than exogenous. We show that the effect of property rights protection on economic growth depends on the statues of tax system (tax rate), and government fiscal rule. We calibrate the model by using the Iranian economy data set during 1959-2004. The results show that in order to achieve 2 percent growth rate, the share of government spending on property rights protection should be at least 35 percent. This Figure is 5.8 percent at present.

Underground economy affects important indexes such as formal GDP, unemployment, consumption, production and etc. Therefore it is necessary to identify elements and factors which affect underground economy to restrict it. Surveys and Studies indicate the size of Iran’s underground economy is high and taxes, quantity and quality of regulations and performance of formal economy are the important factors that affect it. At the first stage, the results of estimated model indicate that the impact of tax burden on underground economy isn’t statistically significant. But there is a statistically significant positive (negative) relationship between regulation burden (GDP growth rate) and the underground economy. In second stage, aggregate tax burden variable in primary model breakdown into its components: direct tax burden and indirect tax burden. Results of The model indicate impact of direct tax burden on underground economy isn’t statistically significant, but indirect tax burden is statistically significant and its relationship with underground economy is positive. In third stage, direct tax burden breakdown into its components: corporation tax, personal income tax, wealth tax. Also indirect tax burden breakdown into its components: commercial tax, excise tax. The results of the model indicate that the impact of direct tax burden components on underground economy isnt statistically significant. But among the indirect tax model the burden components sales tax has a statistically significant relationship with underground economy, while import tax has not.

This paper investigates the effect of foreign trade and human capital on economic growth using pooling data for the OIC member countries over the period 1980-2003. For this purpose, the Soderbom-Teal (2003) growth model is re-specified with the variables such as growth of manufacturing exports, manufacturing imports, human capital, labor force and physical capital. The empirical results indicate a positive effect of human capital on economic growth. In addition, an interacted relationship between trade and human capital has significantly affected growth of the selected OIC countries during the period under-consideration. According to the empirical results obtained, the significant role of manufacturing tradable products in economic growth is implemented as a result of human capital effect. Therefore, investment in human resources to improve skill levels of labor force and technology provides the OIC countries with a larger capacity of trade and growth.

Underground economy affects important indexes such as formal GDP, unemployment, consumption, production and etc. Therefore it is necessary to identify elements and factors which affect underground economy to restrict it. Surveys and Studies indicate the size of Iran’s underground economy is high and taxes, quantity and quality of regulations and performance of formal economy are the important factors that affect it. At the first stage, the results of estimated model indicate that the impact of tax burden on underground economy isn’t statistically significant. But there is a statistically significant positive (negative) relationship between regulation burden (GDP growth rate) and the underground economy. In second stage, aggregate tax burden variable in primary model breakdown into its components: direct tax burden and indirect tax burden. Results of The model indicate impact of direct tax burden on underground economy isn’t statistically significant, but indirect tax burden is statistically significant and its relationship with underground economy is positive. In third stage, direct tax burden breakdown into its components: corporation tax, personal income tax, wealth tax. Also indirect tax burden breakdown into its components: commercial tax, excise tax. The results of the model indicate that the impact of direct tax burden components on underground economy isnt statistically significant. But among the indirect tax model the burden components sales tax has a statistically significant relationship with underground economy, while import tax has not.