This research is carried out to the GARCH-MIDAS model which is used with the aim of compensating for the shortcoming of conventional GARCH models; i.e., relying on symmetry in data frequency. Therefore, the advantage of GARCH-MIDAS model to GARCH models and of course other time series models is the combination of data that have different frequencies. For this purpose, stock returns are modeled based on a combination of daily and weekly volatility. Besides, the Quantile model is also one of the new models that focuses on the entire distribution instead of different frequencies, thereby does regression based on the distribution of the entire data and is not based on the characteristic of the normal distribution. The problem of the current research was formed from this difference between Garch-Midas and Quantile model, and the organization of the research was formed based on it. After describing the problem and assumptions in the first chapter, a review of the theoretical and empirical literature of the research was carried out, and in the third and fourth chapters, the research model, its description and regression were estimated. The findings of the research showed that the Garch-Midas model has a better fit than the quantile model and has a better modeling and forecast capability for the fluctuation in stock returns.
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 credit cycles have a major effect on the behavior of economic enterprises during periods of boom and recession. The change in the behavior of economic enterprises leads to its contagion to real and nominal sectors in the economy. On the other hand, the currency crises have influenced the investment decisions of various economic sectors. The purpose of this paper was to examine the relationship between credit cycles and currency crises in Iran. In this study, the variable coefficients approach was used over time for the period of 1991-2020. In this regard, credit cycles and currency crises have been used by the Christiano-Filtzgerald filter and the adjusted index of currency crises. The results showed that there has been a coincidence between credit cycles and currency crises in the country. Also, the results showed that the currency crisis had a negative effect on the GDP and economic growth in the country. In addition, it was observed that credit cycles have led to economic growth during boom times and decreased economic growth during recessions.
The decisions of the central bank, as the most important monetary institution of any country, have an impact on the companies whose shares are bought and sold in the stock exchange, and this market is dependent on the policies of the central bank. Considering the importance of this issue, in the present study, the effect of central bank independence on the stock returns of active industries in the Tehran Stock Exchange during the period of 1370 to 1399 will be investigated by using the ARDL Bounding Test. Results of the model indicate that increasing the degree of central bank independence increases the stock returns of active industries in the Tehran Stock Exchange. Also, the findings show that the impact of GDP growth, interest rate, oil price and turnover ratio on stock returns is positive and on the other hand, inflation rate and real exchange rate have a negative effect on stock returns.
One of the new ideas to reduce inequality and adjust the class gap is the "sharing economy" model. By creating "access instead of ownership", the sharing economy has provided the conditions for the low income deciles to use some life facilities in which there is a large class gap, and a part of the lack of consumption in the low deciles (caused by the lack of ownership) decreases.In this research, while introducing the "sharing economy" model in order to improve the inequality situation in the country, focusing on the issue of "trust" as the most important challenge of this economic model, an effort is made to design a mechanism to increase the level of trust in the sharing economy. , to provide the basis for inclusive and sustainable growth of this economic model in the country. For this purpose, by using the game theory and one of its sub-branches called mechanism design theory, a trust-building mechanism with the aim of increasing the level of trust in online accommodation sharing platforms. , the design and then the proposed mechanism is evaluated. The results of the evaluation show that the proposed mechanism in this research is "compatible with motivation", "individually rational", "efficient" and "has a balanced budget predicted in advance".
This article discusses the role of manufacturing in the economic growth of Iran using the logarithmic mean Divisia index (LMDI) method. The study identifies various drivers of industrialization and their impact on growth, including structural changes (productivity of labor and employment share in industrial factories) and employment scale. The LMDI method is used to analyze with a dataset from Iranian provinces between 1381 and 1399. The results show that industrialization has a positive and significant effect on economic growth, with structural changes having a greater impact than employment scale. The study highlights the importance of sustainable industrial development for economic growth in Iran.
The main goal of this research is to examine and test the asymmetric effects of monetary policy on the production of Services. For this purpose, hidden cointegration analysis and Autoregressive distributed lag (ARDL) approach in Iran's economy have been used in the period from 1353 to1399.Hodrick Prescott filter was used to extract the positive and negative impulses of the liquidity variable. Then, the effects of positive and negative impulses of the variables were investigated separately on the positive and negative impulses of the production of this sector with latent cointegration analysis. In the last step, the long-term relationship between the variables is checked and the long-term coefficients are calculated using the auto-regression model approach with non-linear distribution intervals and the bounds test. The results showed that there is a hidden co-accumulation between the time series of M2 and production in the industrial sector.The results showed that there is a hidden cointegration between the time series of M2 and production in the Services sector. So that the positive components of the M2 and production in this sector have a long-term relationship with each other, as well as their negative components. Also, the effect of the positive shocks of M2 is greater than the negative shocks of this variable. Therefore, the existence of asymmetry in monetary policy was confirmed.
The present study aims to identify the variables affecting the price of cement and provide in- and out-of-sample forecasts using monthly data from 2019:03 to 2023:02 and a vector autoregression (VAR) model. In this regard, according to the results of the Johansen-Juselius cointegration test, the long-term relationship between the variables was confirmed. Then, the long-term and short-term models were estimated, and the error correction coefficient was -0.0858. In the next stage, based on the results of impulse response functions, exchange rate and construction input price index shocks (respectively with a positive effect of 8 and 6.8 percent in the standard form) have been more effective than other model variables on the fluctuations of cement price. The results of variance decomposition also showed that the construction input price index, energy cost, and exchange rate are important in explaining the price of cement. Finally, we estimated in-sample and out-of-sample forecasts. Based on the forecast evaluation criteria, our founding research model can accurately predict the price trend of cement.
The government's debt to commercial banks can have an effect on the monetary base and liquidity through the effect on the balance sheet of commercial banks and through the balance sheet of the central bank. In Iran's economy, despite the growth of 32.6 and 19.9 percent of public sector debt to commercial banks in 2017 and 2018, which was accompanied by 22.1 and 23.1 percent growth of liquidity, it is formed by examining the components of this hypothesis that the components Government debt to commercial banks can affect liquidity and its components. The data used in this study include the monetary base, liquidity, money, quasi-money, economic growth rate, inflation rate, government debt to commercial banks and government companies and institutions debt to commercial banks, which are from the official statistics of the Central Bank of Iran for the period They were taken in 1998-2020. In this research, it has been tried to investigate and evaluate the effects of government debt to commercial banks on the components of Iran's liquidity by using the method of non-linear regression model with distribution breaks (NARDL). The results show that the shocks of the government's debt to commercial banks in the long and short term have a symmetrical effect on the basis of money, money, liquidity and quasi-money; In addition, the shocks of the government and government institutions' debt to commercial banks also have an asymmetric effect on the dependent variables.
One of the signs of a healthy economy is the stability of macroeconomic components such as exchange rate, inflation, budget deficit, and foreign trade sector. In the current study, using the TVP-QVAR model, in the period of 1385:01-1397:12, with a monthly frequency, the method of transfer, receive, and also the cause of transfer of volatilities between exchange rate, inflation, budget deficit, and the current account has been investigated. The research results showed that if the growth of the variables is at low, average, and high levels, the type of communication between them will also be different. Specifically, there has been more relationship between research variables' volatilities in low and high growth rates. Also, in the case of a high growth rate, only the exchange rate volatilities cause inflation, current account deficit, and government budget deficit. On the other hand, the government budget deficit has affected the current account deficit only in the case of a low growth rate.
For the first time, this research investigat the relationship between speculative sector on herding behavior in the Tehran Stock Exchange market by using the (TVP-FAVAR) model and seasonal data from the years (1388- 1) to (1400-4). The results confirm the existence of herding behavior in the in the stock market and it shows the negative effects of the speculative sector impulse responses on the beta-herding behavior. n addition, the effects of impulse responses of other main variables of the model on the behavior of investors were as follows: the effect of beta herding behavior on itself was almost zero that means this variable was not affected by itself, the effects of GDP in the first three periods were neutral and Then in the year 1400, it became slightly positive, the inflation variable with a two-season delay had insignificant positive effects, and then in the following seasons, mainly in the seventh seasonhas been strongly negative, the total stock return variable was almost positive, and finally, the stock liquidity variable had negative effects on the beta herding behavior variable.
According to the conditions of the banking system in recent years, signs of a banking crisis have been observed in Iran's economy, and considering the high share of the banking system in financing Iran's economic activities, in this article, the effects of productivity impulse on the variables of inflation rate, Nominal interest rate, capital rental rate, interest rate of deposits and interest rate of granting facilities have been investigated using dynamic general equilibrium model in the form of two limit scenarios of no crisis and presence of banking crisis using the data of Iran's economy during 2018-2019. The results show the less impact of the productivity impulse in the case of banking crisis compared to its non-occurrence and incomplete adjustments in banking crisis conditions.
Investigating the effect of oil price uncertainty on the consumer price index of countries dependent on oil revenues is of great importance. Oil revenues in oil exporting countries are among the most important and influential factors in macroeconomic variables. As the risk increases due to oil price uncertainty, the government budget is affected and this leads to the consumer price index being affected. The present study examines the effect of oil price uncertainty on the consumer price index using the quantile regression econometric model based on wavelet transformation during the period from April 2011 to April 2021 in Iran. The results of the empirical model estimation showed that the relationship between oil price uncertainty and consumer price index is inverse. In other words, with the increase of uncertainty in the price of oil, the consumer price index will decrease, and this effect is greater in the final digits than in the initial digits. Also, according to the estimation results of the wavelet transformation model, the negative effect of oil price uncertainty on the consumer price index is greater in the long term than in the short term.
The effect of natural resources abundance on the economic performance of resource-rich countries shows different results. In this regard, the results of some studies justify the resource curse phenomenon in rich countries based on the Dutch disease and the political economy of the resource curse hypothesis. In this paper, the role of oil rent (% of GDP) on the employment of agricultural in Iran by the autoregressive distributed lag (ARDL) method has been examined during the 1345-1400 period. The results of model estimation show that the oil rent has a negative and significant effect on the agricultural sector employment, whereby the increase in the natural resources rent has harmed the employment of agricultural sector, and it has not been blessing for this sector. It supports the existence of Dutch disease and the political economy of recourse curse hypothesis in the agricultural sector in Iran.
Today, the digital economy can be called the main source of growth in any economy, and countries are increasingly looking for solutions to development of the digital economy and the factors affecting it. Also, the process of changes in the structure of the energy system, fluctuations in energy consumption and price and possibility of replacing fuels with each other, saving energy in energy consumption, and also reducing energy intensity have special importance. Therefore, the main purpose of this study was to investigate the impact of digitalization and energy intensity on economic growth in selected MENA countries. For this purpose, indicators of different sectors of the economy and panel data methods including fixed, random and FGLS techniques are used. The study period is 2000-2021. The results of the study showed that in general, the improvement in digitalization, urban population, the added value of the industry sector and the trade openness has a positive effect in economic growth in selected MENA countries, and energy intensity and its simultaneous effect with the digitization index, have a nagative effect in economic growth in selected MENA countries
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.
The Covid-19 crisis was first recognized as a serious threat to public health around the world, but as it grew into a pandemic all over the globe, it inflicted enormous losses on the economies of many countries grappling with tackling its grip. The negative effect of this crisis has been different between countries and the role of governments turned to be a decisive one in dealing with it; The aim of this research has been to investigate the effect of the covid-19 shock on the public sectors of 19 developed and 24 developing countries for the period ranging from 2020 to 2022 using a panel vector autoregressive (PVAR) model run on seasonal data. The results show that the covid-19 crisis has led to an all the way down to an increase in healthcare expenditures, budget deficits, government size and a slump in tax revenues. What makes the patterns witnessed in these two groups of countries different is the degree of the effect the crisis had on aforementioned variables. The results show that overall, the developing countries have been affected the most by the crisis.
The purpose of this article is to analyze the effect of the heterogeneous behavior of investors in the housing sector on housing prices and inflation in Iran during the period 2001:3 - 2020:3. The threshold effects of behavioral variables on housing prices and the effect of housing prices on inflation using smooth transition regression method (STR) is estimated. Then, using Sobel's statistic. The results of the estimation of house prices show that Herding behavior has a positive effect on housing prices in the first regime and the second regime. Overconfidence in the first regime was ineffective on housing prices, but in the second regime, it had a positive and significant effect. The results of estimating the inflation model also indicated that there are two limit regimes for the inflation function. Housing prices had a positive effect on the inflation rate in the first and second regimes. The calculation of the Sobel statistic also indicates the confirmation of the transmission of the effect of herding behavior on inflation from the housing price channel, while the Sobel test did not confirm the transmission of the effect of overconfidence from the housing price channel on inflation
The increasing complexity of the global oil trade significantly affects the energy strategy and economic development of countries, particularly those that export oil, such as Iran. This paper analyzes the general characteristics, regional features, and strength of the oil trade using network theory for 178 countries in 2018. The results show that the oil export network has a free-scale distribution, which means that the commercial position of countries displays significant heterogeneity. Additionally, the global oil trade network has a "robust yet fragile" characteristic. The global oil trade network can be divided into three commercial blocks, including the central and eastern commercial block, the middle commercial block, and the western commercial block. Among these three commercial blocs, the central and eastern bloc can supply the highest amount of demand from the countries present in this bloc. Consequently, these countries receive the lowest oil supply impulses.
The effect of crude oil prices on the economic activity of countries has been considered for decades. In this period of time, the empirical link between oil price and economic activity has been continuously investigated, but the measured results have shown different results and are contradictory. Therefore, the present study aims to investigate the effect of crude oil prices on the set of economic activities in selected OPEC countries in the period 2000 to 2019. This research uses the panel data method and the system of simultaneous equations approach by the three-stage least squares (3SLS) method. The results obtained from the estimation of the considered models indicate a positive and significant effect of crude oil price on the consumer price index and liquidity volume, respectively, at the rate of 221/0 and 200/1. Also, the results indicating the negative and significant effect of crude oil price on exchange rate and interest rate are -195/0 and -175/0, respectively.
