فصلنامه اقتصاد مقداری
سال دهم شماره 2 (پیاپی 37، تابستان 1392)

This article aimed to forecast Iran's economic growth rate using annual time series data released in the period of 1338-1385, employing various econometric approaches. To prefer the most appropriate method based on a time-duration consideration, we applied a package of proper diagnostic tests on the output of different models and then singled out the most fitted model accordingly. We used these preferred models to forecast economic growth rate in a different duration period. Two classes of econometric approaches were considered; univariate and multivariate methods. Univariate methods incorporate Box- Jenkins method and State-Space method and the multivariate ones consist of VAR and VEC techniques. Results indicate that univariate approaches forecast Iran's economic growth more accurately. However, multivariate methods, which demonstrate very sensitive to the time-series properties of the variables and also to the specification of the models, emerge volatile performance. Nevertheless, the current methods display more powerful in forecasting just-one period ahead.

In this paper we revisited the recent contribution study examines the determinants of Intra-Industry trade(IIT) in the Agriculture, Industry and service sectors between IRAN and European Union, D8, OIC, ECO, GCC and ASEAN countries in the period 1980- 2009, using a dynamic panel data. This study uses country-specific characteristics as explanatory variables. The results indicate that IIT is a negative function of the difference in GDP per capita between IRAN and her trade partners. Statistically strong evidence is also found that this trade is influence by the similar demand. We also introduce an economic dimension; this proxy confirms the positive effects of IIT. This result reveals the importance of scale economies and the variety of differentiated products. Our results also confirm the hypothesis that trade increases if the transportation costs decrease.

The relationship between real and financial sector have focused the attention of many previous studies. Although there is an approximate consensus among economists about the positive effect of financial development on economic growth, the causality between these two is still challenging. In addition, in most studies the finance-growth nexus has been discussed without considering the effective environmental factors. Hence, a few studies had investigated the effect on financial markets performance. By studying the effect of oil revenues on causal relationship between financial development and economic growth, the present article attempts to offer an answer to the distinct in finance-growth causality between resource-based developing countries and production-oriented developed economies. This paper considers the ratio of oil revenues as a share of total government revenues in Iran during 1352 to 1389. It tests tri-variate causality between economic growth and some indicators of financial development in the presence of inflation rate during 1352 to 1389 by using VECM model and also multilateral index of financial development which derive from principle component analysis. The findings indicate that in contrast with the results of bi-variate causality tests which indicate the adverse causality from growth to finance, the results on tri-variate causality tests in the presence of high inflation rates reject this passive effect in some cases of financial development indexes and this one-way causal relation become weaken in the case of others.

The instability of foreign exchange market increases the firms’ costs through increasing uncertainty in investment pay off and consequently, raises their stock returns instability. On the other hand, the instability of the stock returns may change the demand and supply of foreign exchange through the wealth of stock holders, the liquidity and interest rate as well as capital inflows and outflows and then, it volatiles the exchange rate. In this framework, the main purpose of the present research is to investigate the relationship between the volatility of stock return and exchange rate uncertainty in Iran. To study the effect of exchange rate volatility on the return, we have used CAPM and ICAPM and to study the effect of asset return volatility on the exchange rate, we have employed the asset portfolio approach. The research hypotheses have been tested by using a multivariate GARCH model and quarterly data during 1991-2011. The empirical findings indicate the positive effect of real exchange rate volatility on the stock return fluctuations. In contrast, empirical results of this research show that the stock return fluctuations do not affect on the exchange rate volatility. In the framework of the findings, we suggest that policy makers should pay attention to monetary and fiscal discipline and inflation control but not to make policies causing fluctuations in the markets.

Market structure and its impact on social welfare, is the subject that twin with emergence of economics history. In practice, however, almost impossible to conceive of the conditions of perfect competition, however, can fulfill part of the requirements of this market, achieving near-perfect competition market structure expected. Accordingly, the main issue of this study was to evaluate the ability to increase social welfare by changing the structure of manufacturing industries in Iran. Two methods for determining the market structure of the Herfindahl - Hirschman and entropy is applied. To estimate the increase in social welfare by changing the competitive structure of Harbrger and cooling methods - Mueller has been used. The study of census data by the Statistical Centre of Iran's industrial workshops, programs in the early years of the second, third and fourth (1995, 2000 and 2005) have been extracted. The results showed an increase in social welfare in the manufacturing industries in 2005, according to Harbrger methods over eleven thousand billion Rial. The rate of change of the cooling methods - Mueller to more than 35 thousand billion Rial increases. The results of this study and the realization of the conditions of perfect competition can sharply increase social welfare. This finding demonstrates the ability to increase the prosperity of not making new investments, but more the realization of perfect competition.

The aim of this study is to investigate the probable relationship between oil revenue volatility, economic growth and the role of institutions. To achieve this, the impact of oil revenues, its volatility and role of institutions on economic activity are examined with an emphasis on both economic and political mechanisms. In this regard, the data from 18 oil producing countries during 1996-2012 and Panel Vector Auto Regression models were utilized. The results show a positive impact on the general level of prices and liquidity on production. The effect of the real exchange rate and the economic freedom index on production was negative and positive, respectively. Furthermore, oil revenues have a positive impact on the production in the surveyed countries, while the volatility of these revenues is adversely left. The results indicate that the oil revenues in oilproducing countries are not windfall wealth anymore; and according to the recent growth theories, they can be considered as a production factor. The resource curse is the effect of oil revenue volatility on the economy and the reduction of the institution quality that could have a negative impact on oil production in producing countries.