مجله نامه مفید
پیاپی 72 (1388)

The purpose of this paper is to analyze the importance of assets prices in monetary transmission mechanism of Iran. This analysis is based on the Structural VAR class of models, which allow assessing the importance of assets prices by comparing the SVAR models (with asset prices and without asset prices). In fact the difference of these two SVAR models (7 & 10 Variables), shows the importance of assets prices in monetary transmission mechanism of Iran. Assets prices include housing prices, stock prices, exchange rates (1$=? Rials) and gold (coin) prices in period of 1989/Q2-2007/Q1.According the results, by adding assets prices (housing prices, stock prices, and gold prices) to the SVAR model, the effect of monetary policy shocks (liquidity shock) on output (GNP) fluctuations does not change significantly. Therefore, this work does not find any evidence on importance of the balance sheet channel (of credit view) in monetary transmission mechanism of Iran. The results show that the expansionary monetary policy (real liquidity) shocks has a significant effect on stock prices, housing prices and exchange rates. The gold prices are more affected by dollar prices fluctuations. Housing prices, gold prices, and exchange rates explain 20 percent of output fluctuations, but stock prices do not explain output fluctuations significantly. Therefore, exchange rate, housing prices, and gold prices have important role in transferring monetary shocks to output fluctuations respectively.

Deviation of financial markets behavior in reality from which the Efficient Market Hypothesis suggests is a serious challenge. This fact is led to emerging of new fields in economics, like behavioral economics/finance and recently Econophysics/finance. These new fields aim to provide new ways of thinking about financial time series as the result of human factors and idealized rationality. They may shed some light on the inner workings of the market. In this study, we want to improve optimizing portfolio selection through denoising the empirical covariance matrix by using Random Matrix Theory. We extract stable relations of stocks from empirical covariance matrix and compare the results of optimized portfolios in noisy and denoised states. We use daily returns of 70 stocks of Tehran Stock Exchange from March-2004 to May-2008. We show that denoised data significantly reduces the real risk of optimized portfolios and is beneficial for risk management and we recommend it to portfolio managers and financial analysts in real market.

Price bubbles are one of the factors that affect stock price and its volatilities. The term bubble in the stock market suggests a possible deviation of the stock price from the fundamental price, proxied The Role of Assets Prices in Monetary Transmission Mechanism of Iran from the present value of all its future cash flows or dividends that is based on reflections and reactions. These reactions to price rising cause to increase investors intentions, demands and finally leads to stock price increase. In this article the existence of rational bubbles will be examined in Tehran Stock Exchange weekly, monthly and seasonal data over the period 2000-2007 using three tests including Unit Root, Co-integration and Fractional Integration. By using these three tests, the existence of rational bubbles in Tehran Stock Exchange will not be rejected.

Schools that have moral approach have a common point of view about Justice and all demand equality, systematizing their programs on this basis. The first step in operating and objective modelizing of this sense is this question “Justice in what?” In this research, an indicator is proposed that it puts various views of Justice in order and make a unit criterion to measure the scale of Justice, on the basis of descriptive analytic method. However, human life is divided into two main parts; before the act of producing called “capabilities” and after the act of producing called “distribution”. In this research, human development as a feature of the state of Justice, poverty as an indicator of Justice in consumption and inequality of income as a determinant of equitable distribution of income have been used. Fuzzy Logic has been applied to use indicators mentioned above and in order to make an index for Justice. In three scenarios, with MATLAB software, this result has been obtained: From 1988 to 2005, the general course of the Iranian economy has negligently improved Justice.

Outsourcing has become a widespread phenomenon of globalization in recent decades, while it is quite applicable to promote productivity of large industries. On the other hand, foreign direct investment (FDI) and its spillovers have been also recognized widely as a growth factor in investment. FDI not only provides capital but also introduces advanced technology that can improve the factor productivity of the host countries. In addition, trade openness can improve competitive characteristics so that they have positive effect on total factor productivity (TFP), particularly in developing countries.The objective of this research is to explore the main determinants of TFP, and particularly to know how FDI spillovers, R&D expenditures and international outsourcing affect TFP in the selected East and West Asian countries. Accordingly, a panel TFP regression model is estimated using data of the considered countries over the period 1996-2005.The implication of the study is in fact a plan for integration between two Asian blocks (East and West) through enhancing trade relations.

One of the main questions faced by economic theories is that whether it is possible to decrease income gap between rich and poor countries. This question relates to the oldest and most noisy subjects in economics, which is income convergence hypothesis. This is predicted by economic growth models and Factor Price Equalization (FPE) proposition. In the context of its standard assumptions specially decreasing return to capital, neoclassical growth model predicts that less developed countries grow faster than developed ones and are able to decrease the gap between developed countries and themselves. Also, based on FPE proposition, free trade equalizes factor price and thus per capita income. In addition, in the framework of endogenous growth model, trade may result in growth acceleration through increasing the rate of technology transfer and diffusion and innovation. Few studies have been done with regard to the role of international trade in income convergence. Based on some of these studies, lower-income economies benefit more from international trade than higher-income economies, which conclude that international trade causes income convergence. Based on some other studies, international trade increases income gap between rich and poor countries. In sum, there is no strong result in line with theoretical and empirical effect of trade openness on income convergence.Present paper examines trade openness impact on the speed of convergence for D8 members by using powerful panel data technique during time 1975-2004. Results indicate that trade openness has significant and positive effect on speed of convergence among D8 members. Based on the results of this paper, it seems that D8 members decrease income gap between themselves by developing mutual trade. Furthermore, based on the results obtained, physical and human capitals have positive and significant effect on economic growth of considered countries.

The identification of the effects of fiscal policies chocks on macroeconomic variables is of special importance. In this paper, the effects of fiscal policies arising from increased real expenditure and government tax incomes, on real consumption of private sector in Iran has been studied using auto-regressive distributed lags (ARDL) and applying 1971-2006 time series data for estimating the model. The estimated results show short-run and long-run relationships among fiscal policies and real consumption of private sector in economic recession & boom periods. On the other hand, positive fiscal shocks of government expenditure affect positively real consumption of private sector in both recession and boom period.However negative fiscal shocks resulting from increased government tax incomes have opposite impact on real consumption of private sector in different economic positions.

The electricity power plays an important role in economic activities, industrialization. The improvement in electricity consumption per capita indicates that economic growth, development and social welfare utilized stable growth in economy.According to new econometrics topics, existence of structural breaks and regime shifts can affect the results of macroeconomics variables relationships and neglect of such factor may lead to an unreliable and misleading findings. Therefore, considering structural breaks and regime shifts in examination of the empirical relationship between electricity consumption and economic growth is a necessity.In this paper an attempt has been made to study the relationship between electricity consumption and economic growth with an emphasis on structural breaks over the period of 1967 to 2005. To achieve this, Zivot & Andrews unit root test is performed to determine the structural shifts endogenously. Also, Gregory-Hansen co-integration test is carried out to study the long-run relationship between electricity consumption and economic growth with an emphasis on structural breaks. The findings suggest that given the structural break, there is a positive long-run relationship between electricity consumption and economic growth.