نشریه مدلسازی اقتصاد سنجی
سال دوم شماره 3 (پیاپی 6، تابستان 1396)

During 1989-2016, Iran has been repeatedly faced with exchange rate shoke.The main question is Exchange rate overshooting could be considered as a leading variable in business cycles in Iran's economy. Hodrick-Prescott filtering method Exchange rate and gdp shocks in 1989 to 2016 were used.Then; four complete cycles of currency (peak-peak) were identified. Next, applying Lucas experimental method, Cross-correlation between loggdp shock and exchange rate shock was investigated at the time of each four cycles. The resaults showed that exchange rate shocks play a key role as a leading variable in all the periods.Then, Edwards growth model has been specified and used as the impulse response and variance decomposition at VAR technique and the findings show that Exchange rate overshooting is a leading variable in business cycles in Iran's economy.Thus hypothesis cannot be rejected.

Today, the National Development Fund due to the important role that play in dealing with oil revenue shocks, they are considered by the oil countries as an effective mechanism for managing oil revenues. Therefore, a new Keynesians DSGE model with respect to price stickiness and major sectors as households, firms, governments, central banks and oil, the National Development Fund, Designed and calibrated for Iran's economy. The study of the first and second order moments of simulated variables confirms the relative success of the model in simulating the space of the Iranian economy. However, due to the combination of the state budget, the increase in the current and operational budget is far more than the development budget. The inefficiency of government investment has also made the government's budget more ineffective in the model. Also, the manufacturing sector of the non-oil sector of the Iranian economy has been rising (relatively small) because of National Development Fund share of Concessional facilities provided to the private sector. Other results indicate that increasing the share of the National Development Fund from oil revenues will increase private sector investment and consequently the production of non-oil sector in the country. The necessary condition for realizing the results of this policy is the increase in the capacity of non-oil revenues of the government.

The vision of sustainability aims at justice in the domain of human-nature-relationships includes three specific relationships intergenerational justice, intragenerational justice and justice between humans and nature. Also, according to the new growth theories human is considered as one of the main factors affecting growth and economic development. There fore the goal of this study examined the impact of human development index on economic sustainability in the developed countries. For this purpose the human development index (HDI) and the new composite index and macro economic sustainability provide by the FEEM foundation according to the maximum amount of information available for the period 2007-2014 have been used. The results of the estimated model methods of panel data econometrics for developed countries, there is a nonlinear relationship and shows the threshold means that before the point of no return is negative and later positive relationship and therefore increasing the human development process in these countries becomes more sustainable economy.

The objective of this research is to study of the instability trend of rural house price in Iran over the period of first quarter of 1996 to fourth quarter of 2015. To quantitative instability of rural house price, EGARCH model is used. The results indicate that the volatility of rural house price was high in the second quarter of 2001, the second and forth quarter of 2006, the second quarter of 2008 and second quarter of 2014. As among the volatilities respectively, the volatilities of the second quarter of 2006 and second quarter of 2014 were higher than others. Also, in other periods, the volatility of rural house price had a stable trend.

In the real world, there are commodities that although consumers are willing to pay for them, but they cannot obtain them by market. These goods are public goods that all people will benefit from their use, and about them so-called market fails. One of indicators for evaluation the performance of government is amount of production of public goods. In this regard, the optimal level of the production of public good that maximize households’ utility is very important. In this article, three sections are as follows; households, firms and government-monetary authorities, due to the limitations that each section is faced, each of them is looking to optimize its goals. The results of the optimization household utility function show the optimal level of public good demand that it is proportional to pay people as taxes. Also the results of production function of public good show the optimal level of supply of public goods and services. Compare the optimal amount of demand and supply of public good show that there is a huge gap between optimal levels.

The purpose of this paper is to investigate the effect of macroeconomic variables on stock returns of chemical and petrochemical companies. In this regard, the seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market and some important macroeconomic variables during the years 2007-2016 has been used. Also a panel vector auto regression models (PVAR) is considered for model estimation. Then, case study including six variables of stock returns, chemical and petrochemical companies, oil prices, real exchange rate, chemical and petrochemical price index and deposit interest rate was estimated using the PVAR model .The results of the estimation through the PVAR model and the impacts analysis show that the deposit interest rate has a negative effect on stock returns and the effect of the shock on equity interests is about three periods. And the real exchange rate shock also has a positive impact on stock returns, and adjusting the effect of this shock on equity stocks takes about three periods to take. And the shock of the oil price outflow has had a negative effect on stock returns, with the effect of adjusting those four periods of time. And ultimately, the shock of the entire stock market has a positive effect on the stock and the adjustment of the effect of these three periods of time will last.