فصلنامه پژوهشهای اقتصادی (رشد و توسعه پایدار)
سال هشتم شماره 4 (زمستان 1387)

This paper examines the calendar anomalies in daily return of the Tehran stock market. ARCH and GARCH models are employed to capture the wide range of different calendar anomalies exist in the literature. This study finds the evidence of strong Esfand and Mehr effects in the stock return. In addition, the results show that the stock market return has decreased with the lapses of time. After identifying and removing the calendar effects from daily return, BDS statistic is used to test the presence of any remaining non-linearity in the residuals before employing the GARCH models. The BDS test shows that there is a high probability of the dependency between residuals in spite of removing calendar anomalies. The results confirm that both the ARCH and GARCH models have considerable success in modeling dependencies. Finally, the importance of calendar effects in return forecasting is tested. The conclusion is that the inclusion of calendar effects improves the forecast accuracy. However, simple regression which includes calendar effects has better performance than the GARCH (1, 1) models.

The aim of this paper is to investigate empirically the effects of monetary policy on poverty and income distribution in Iran using the data over the period 1976-2005. Monetary policy is one of the most potent instruments for managing the economy. There is a useful question to ask if the monetary policy is used as an instrument to reduce poverty. Most of the existing literature on monetary policy and poverty focuses on the short run. Monetary policy affects most of the macroeconomic variables such as output, unemployment, and inflation. Moreover, anticipated inflation and unanticipated inflation redistribute differently income from creditors to debtors. If poverty and inequality respond to these macroeconomic variables, monetary policy affects the well-being of the poor. The findings of this study show that monetary policy cannot be used as a poverty alleviation policy in Iran, since the expansionary monetary policy followed commonly by expansionary fiscal policy results in a rise in budget deficits. This policy increases the aggregate demand for all the goods and services in the economy resulting in higher inflation. Furthermore, there is no significant link between monetary policy and investment through interest rate. Consequently, monetary policy has no supply side effects in the economy and just it increases inflation rate. As a result of expansionary monetary policy, the poor would find its real income being gradually eroded by the growth in money supply, and hence the possibility of running into poverty.

This paper examines urban residential water demand for the city of Zahedan in Iran using the data over the period 1999 – 2006. The continuously intensifying scarcity of water resources is a crucial problem in almost all contemporary societies. Even in areas where there are adequate quantities of water. The problem of scarcity is usually confronted through the deterioration of water quality resulting in increasing costs for certain water uses. In the framework of water demand, it is vital to analyze and understand the characteristics of water demand. There are several important questions that need to answer. They are as follows: How the demand is formulated? Which factors determine the demand? How the demand responds to the changes in income and the cost of water? Stone-Gray approach is used to model and answer the above questions. The results show that the main determinants of residential water demand comprise water price, income, and temperature. The price elasticity of demand equals –0.06 while the income elasticity equals 0.062. Finally, the findings confirm that the minimum water requirements are 95 liters per person per day.

Most debates on the role of trade openness and the wage inequality are based on the well-known Hecscher-Ohlin and Stopler-Samuelson (HOS) theories. According to the Heckscher-Ohlin theory, Countries have comparative advantages in those goods for which the required factors of production are relatively abundant locally while the Stopler-Samuelson theory refers to the income distribution effects of trade openness. In this paper, a computable general equilibrium (CGE) model and social accounting matrix (SAM) approach are used to assimilate the effect of tariff cuts on the earnings of production factors and relative wages by using Iran's data for 2001. The results confirm that general tariff cuts lead to a decrease in wage inequality while it leads to an increase in wage inequality in the foods, apparel and textile sectors. However, tariff cuts in agriculture sector reduce wage inequality.