فهرست مطالب

Iranian Economic Review - Volume:15 Issue: 27, Autumn 2010

Iranian Economic Review
Volume:15 Issue: 27, Autumn 2010

  • 154 صفحه،
  • تاریخ انتشار: 1390/02/25
  • تعداد عناوین: 8
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  • Elmi. Z., O.Ranjbar Pages 1-12
    Iurchasing power parity hypothesis is viewed as one of the central doctrines in international economics. The hypothesis states an equilibrium condition equating the nominal exchange rate between two national currencies with the relative price of an identical basket of traded goods in each country. Empirical analysis has produced mixed results in testing for the PPP. This paper analyzes the empirical validity of PPP hypothesis in OIC countries. Hence, it examines the stationarity of real exchange rate by ADF unit root test and various panel unit root tests. Using univariate ADF unit-root test on single time series and also the conventional panel unit root tests namely, Im, Pesaran, and Shin (2003), Levin, Lin & Chu (2002), and Hadri (2000), it was found that the real exchange rate of all OIC countries and also panel series of real exchange rate have unit root. But when recently developed panel LM unit root test that allow for heterogeneous level shifts, are applied, the null unit roots isn’t rejected in real exchange rates series. Our findings are generally supportive of the PPP hypothesis with the crises leading to shifts in long-run trends.
  • Abrishami .H., M.Mehrara, M.Ahrari, V.Varahrami Pages 13-31
    The difficulty in gasoline price forecasting has attracted much attention of academic researchers and business practitioners. Various methods have been tried to solve the problem of forecasting gasoline prices however, all of the existing models of prediction cannot meet practical needs. In this paper, a novel hybrid intelligent framework is developed by applying a systematic integration of GMDH neural networks with GA and Rule-based Exert System (RES) with Web-based Text Mining (WTM) employs for gasoline price forecasting. Our research reveals that during the recent financial crisis period by employing hybrid intelligent framework for gasoline price forecasting, we obtain better forecasting results compared to the GMDH neural networks and results will be so better when we employ hybrid intelligent system with GARCH (1, 1) for gasoline price volatility forecasting.
  • Shahmoradi.A., H.Shakouri Pages 33-51
    For decades, energy prices have been controlled by the government in Iran. This policy had a long lasting impact on almost all economic variables in Iran. To date, under tremendous pressure to adequately meet the huge domestic demands for energy inputs, the government has decided to reduce/eliminate the energy subsidies. Thus, its impact on the consumer price index is unavoidable. This paper investigates the dynamics of that impact via a dynamic nonlinear inflation model. It is shown that an increasing shock in fuel price has less increasing effect on the general price index, compared to the steady state effect of a continuously increasing signal. Based on this fact, it is deduced that other factors, e.g. the Money Supply Growth and the Goods Market Gap, has much more impact on the inflation. Therefore, unsubsidizing energy price, particularly fuel, will empower the government to save more money and avoid expansionary monetary policies. The currency not used for subsidizing fuel price can help to decrease the money supply growth, and contribute subsidence of extremely growing inflation due to the money gap.
  • Fouladi.M Pages 53-76
    The interaction of government expenditures with economic variables has been the subject of long debates between pros and cons in all major schools of Economics. According to Classical extremists, government expenditure has no effect on GDP due to complete crowding out between government expenditure and investment. This is vehemently rejected by radical Keynesians that assert a fiscal expansion policy affects GDP in full. In this paper we will study government expenditure effects on GDP and employment by a CGE model. It will be shown efficiency of government expenditure depends on kind of expenditure. The present paper divides government expenditures into two categories, consumption and investment expenditure. Also investment expenditure has been studied in five sectors: agricultural, gas and oil, construction, industry and mineral and service. The results confirm that government expenditure influences on economy in different ways, depends on types of costs. Increasing the government consumption expenditure causes reduction in production, employmentand investment. Government investment expenditure has different effects on economy that depends on which area they will be spent.
  • Fattahi.Sh Pages 77-94
    The implications of the efficient market hypothesis are important in assessing public policy issues. This paper attempts to examine the weak-form efficiency of the DAX stock market. Five randomly chosen companies and different sub samples are used to confirm the results. The results show that the DAX stock market follows a random walk and supports the weak-form efficiency of efficient market hypothesis (EMH). However, in some models, the strict rational expectations (RE)/EMH element of ‘unpredictability’ is rejected, but not necessarily the view of EMH which emphasizes the impossibility of making supernormal profits.
  • Asghari.M Pages 95-115
    Trade creates wealth through economic growth, and increased level of income effects environment in different ways. Firstly, when people become wealthier, their demand for environmental protection will increase because their priorities will change from employment, income, food or housing to more qualitative measures such as cleaner environment. Through increased level of income, trade can save people from the poverty versus environmental degradation circle which forces the poor people to exploit the environment in order to survive. Secondly, with rising level of national income, the governments and/or private firms could increase the expenditures targeting environmental development. These changes resulting from wealth increase may also improve environmental rules and regulations. Usually the goal of environmental policies is to protect the environment by imposing restrictions on firms and/or consumers. These policies are often criticised as it is claimed that the international competitiveness of domestic firms is reduced. However, in contrast to this cost biased argument Michael Porter formulated the hypothesis that environmental policies could also serve as a vehicle to enhance the competitiveness. However, Michael Porter formulated the hypothesis that says environmental policy spurs innovation which makes firms better off in the long run, since it increases their competitiveness (Porter (1991), Porter and van der Linde (1995)). The aim of this paper is test for the validity of the Porter hypothesis and trade liberalisation effect on environment in the EU, the Persian Gulf and in North-South countries regions. Our results confirm the Porter hypothesis in these regions. Also, trade liberalisation increases the CO2 emission per capita in the Persian Gulf, EU and North-South countries regions.
  • Rahmani.M., Z.Salmani Pages 117-132
    Fama and French (1992) found that beta has little or no ability in explaining cross-sectional variation in stock returns, but those variables such as size and the book-to-market ratio do. Since the time of the original publication of the Fama and French findings, Controversy and intense debate has emerged in the academic literature over the empirical performance of beta and the CAPM. This paper compare CAPM versus Fama and French three factors model and investigates the explanatory power of market beta, firm size, and book-to-market ratio, regarding the cross-sectional expected stock returns in Tehran stock exchange. The results indicate that Fama and French three factor model has strong explanatory power than CAPM and the explanatory power of market beta is significantly improved and successfully captures the cross-sectional variation in expected stock returns for the full sample period.
  • Farhadi.A., F.Ghaffari, M.Taghavi Pages 133-174
    In this paper we investigate the relationship between non-oil exports in Iran with some macro economic variables such as: gross domestic products, oil export revenue, private consumption and inflation. Estimation of the model shows that there is a positive and statistically significant relationship between, GDP and non-oil exports and oil export revenue, inflation and trend variable and a negative and significant relationship between non-oil exports and private sector consumption.