نشریه مدلسازی اقتصاد سنجی
سال دوم شماره 4 (پیاپی 7، پاییز 1396)

The aim of this study is the investigation of determinants of size of government in OPEC countries with emphasis on demographic, political-institutional and governance variables. Using a panel data set for 12 OPEC countries during 1996-2014, our findings show that demographic, political-institutional and governance variables influence significantly the size of government in OPEC countries. The political institutional variables such as number of parliamentary seats held by the government and nature of the political system and governance variables such as corruption and government effectiveness are found to have significant effect on the size of government. The results demonstrate that the size of government is larger in autocratic governments compared to democratic ones. The study also finds that corruption significantly impacts size of government.

Nowadays, with development of information system and interaction among financial markets across the world, downturn and boom transition in different markets is growing with a significant speed and with regard to developing economies in countries like Iran; contagion of crisis from global markets, slows down the development of the domestic economy. This study, by examine the contagion in financial markets of Iran and figure out, how the positive and negative shocks moves in different markets, tries to present guidelines for policy makers in order to improve domestic economy to avoid or control the entrance of shocks in national economic. The sample includes time series data of commodity prices on oil market, stock market of Tehran, foreign exchange market and gold market over a period of 8 years (Dec, 2008 –Dec, 2016) with weekly sampling rate. In order to achieve mentioned goals, we utilized a combination of Ornstein Uhlenbeck and Continuous Wavelet Transform. It finds out that the starting point of contagion in the financial markets of Iran is oil market and the speed of synchronization between stock market and oil market is more than other markets and then the foreign market and gold market are in the next places. In next step, it finds that the coherence of markets in short-run is powerfull between oil market and other markets, but this coherence in long-run is just between oil market with stock market and foreign exchange market, and after global oil sanction in 2012 against Iran, the coherrence between oil market with stock and foreign exchange markets is growed in middle-run.

Money and its role in the economy has always been an indispensable part of economic debates, because policymakers and economists have always had conflicted views about the role of this policy variable from different directions of thought. This article in this direction and using quarterly data over the 1393-1369 period for the Iranian economy studies issues such as neutrality of money, asymmetric monetary shocks and the credit channels through which monetary policy transmitted to the production. For this purpose, using the Markov-Switching model we determined the business cycle for Iran and we separated positive and negative monetary shocks from one another. Then the result of estimating four different scenarios, using ARDL models, show that money is neutral in the long run (with the emphasis on the credit channel) in the economy of Iran and the impact of credit shocks on output is asymmetric and effective during business cycles in the short run.

The purpose of this paper is to consider the relationship between housing indexes with some Iran's macroeconomic variables by wavelet coherency approach between1992-2015. The results of wavelet coherency have shown that the relationship between housing price index and economic growth has been inverted in one-year time-frequency during the period 2012-2014 but in this frequency between2006-2010, this relationship has been the identical phase, and the housing price index causes economic growth. Furthermore, the intensity of the relationship between economic growth and land price index in the short-term horizon during 1993-1996 has been in the opposite phase but during 2001-2004 are co-movement. On the other hand, inflation and housing price index are co-movement and in short and medium term; inflation rate was the leading variable. As well as liquidity and price indices of the housing sector are co-movement in long-term.

The purpose of this study is to examine the relationship between the two-way variable causality between the selected intra-bank variables including non-performing loans, loans and profitability with borrowing from the central bank. The purpose of this study is to investigate the relationship between two-way causality of selected intra-bank variables including non-performing loans, loans and profitability with borrowing from the central bank. In this study, the period of 2006-2016 for the 16 selected Iranian banks are used. Because of heterogeneity between banks of banking system, the method of assessing the causality relationship has regulated based on Dumitrescu-Hurlin Causality Test in Heterogeneous Panels. The results show that the variables of loans and profitability have a two-way (feedback) causality relation with borrowing from the central bank. There is a unilateral causality from non-performing loans to borrowing from the central bank and this borrowing is not the cause of non-performing loans. Therefore, stopping the bank's increasing and continuous borrowing flows is only possible by smart guidance and strict monitoring of the allocation of borrowed funds to the central bank's policy channels.

In the recent years, increasing demand for water resources and on the other hand, limitation of these resources, led to water shortage became a serious issue in Iran. Nowadays, the demand-side management has considered as a desirable approach to resolving the issue of water shortage. In this context, explaining that how is water consumed in the economic system (as consumers about 95 percent of total water use), can be a valuable aid for policy makers and planners of water sector. Accordingly, the aim of this study is evaluation of virtual water flows between different economic sectors in the Iran, both from domestic and foreign sources. For this purpose, input-output model (table of 2011) is used. The results show that in many sectors of the economy, indirect water use are significantly more than their direct use. Based on these results, if all Iran's economic sectors to satisfy their final demand, consumed an additional cubic meter of water, About 332 m3 of water consumed indirectly in the whole economy that about 75 percent is from domestic sources. Also about 81.4 percent of indirect water use is related to "Agriculture" sector. Since, most volume of virtual water flows in economic sectors are related to their dependence on agriculture sector, recommended to increase water use efficiency in this sector.