فهرست مطالب

Iranian Economic Review - Volume:17 Issue: 33, Winter 2013

Iranian Economic Review
Volume:17 Issue: 33, Winter 2013

  • 178 صفحه،
  • تاریخ انتشار: 1392/01/20
  • تعداد عناوین: 8
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  • Ebrahim Hosseini Nasab, Kazem Yavari, Reza Khoshsima, Nader Mehregan Pages 1-24
    This research, recognizing the importance of efficiency and risk as two fundamental important categories in banking industry, seeks to review the effectiveness of two popular models: parametric (SFA) method with economic basis and nonparametric (MEA) method with mathematical optimization basis to evaluate bank efficiency and rank and select an optimal model and also to identify the impact of credit, operational, market and liquidity risks on banking system efficiency. In this regard 15 banks were selected as statistical research community over the last six years (2005-2011). Using average performance provided by the above two methods, banks were ranked with Deap and Frontier software, and then to examine the presence or absence of significant correlation between the rankings provided by these two methods, the Pearson correlation coefficient was used. The results suggest differences in the two methods with regard to performance evaluation and ranking of banks, and show a relative superiority of SFA method, compared to MEA method. In addition, to examine the impact of efficiency on risk, for the four studied risks based on selected indicators, four models were estimated using econometric methods and the ordinary least squares (OLS). The results showed that each of the studied risks and their related indicator and their specific coefficient, significantly affect on efficiency.
    Keywords: Efficiency, Risk, Risk, Efficiency Correlation, MEA Multi, Way Analysis, SFA Stochastic Frontier Analysis
  • Mohammad Ali Kashefi Pages 25-67
    this paper examines the effect of salvage market on strategic technology choice (flexible vs. inflexible) and capacity investment (general, specific and unified components) decision of firms. A four-stage game theoretic model applies to capture strategic decisions of two competitors. In solving optimization problems of the model, we reach intractable equations that enforce us to employ numerical studies. Findings show that with symmetric parameterization there is a unique symmetric Nash equilibrium in which both firms choose inflexible technology while applying asymmetric parameters has the potential to form two types of equilibrium: 1. Both firms chooses inflexible technology or 2. Only one firm chooses flexible technology. Moreover it is shown that there is a specific unified cost threshold that could shift the equilibrium of the game. Finally we discuss on the case that there is no equilibrium and mention some managerial implications of the model.
    Keywords: Salvage Market, Modular, Unified Production Process, Product Postponement, Demand Uncertainty, Investment Decision, Operation Management
  • Majid Sameti, Roya Aghaeifar, Keihan Koleyni, Shekoofeh Farahmand Pages 69-91
    Economic convergence is one of the important topics of new macroeconomics. It refers to tendency of income per capita of countries (regions) to converge to their steady-state value. There are two kinds of convergence: conditional and absolute convergence. This paper examines income convergence between 22 MENA countries during the period of 1970-2003 by using the neoclassical growth model of Barro- Salla-i-Martin for both kinds of convergence. Non-linearity of the underlying relationships, the restrictiveness of assumptions of functional forms and econometric problems in the estimation and application of theoretical models advocate for the use of Artificial Neural Networks (ANN) algorithms. We show that by changing the quantitative tools of analysis and using ANN, the results become more precise. Results show that absolute convergence and conditional convergence are significant but the rate of convergence is low.
    Keywords: Income Convergence, MENA Countries, Artificial Neural Networks
  • Mohammad Kafaie, A.Mohammad Moshref Pages 93-104
    the recent literature on the welfare cost of inflation emphasizes inflation's effects on the dispersion of relative prices. This paper tests three models that predict a relationship between the Relative Price Dispersion (RPD) and facets of inflation such as expected inflation, unexpected inflation, and inflation uncertainty. These are, correspondingly, the Sheshinski- Weiss menu cost model, the Lucas-Barro signal-extraction model, and the Hercowitz-Cukierman extension of the signal extraction model. The results verify the signal extraction model and its extension in Iran. However, there is no evidence of menu cost model.
    Keywords: Efficiency, Risk, Risk, Efficiency Correlation, MEA Multi, Way Analysis, SFA Stochastic Frontier Analysis
  • Clay Moffett, Mohammad Naserbakht Pages 105-114
    this paper aims to analyze the financial impacts of Mergers and Acquisitions (M&As) in USA banking industry. According to this approach, this study is concentrated on M&As in banking industry across the USA to investigate the stock price behavior of targets and acquirers based on the M&A announcement over the period 2000-2010 in a sample of 154 deals. This paper has classified the deals in three main categories; target banks versus acquirer banks, means of payment in M& As (all-cash offers versus all cash and stock offers), and domestic versus cross-border M&As. This classification provides a unique opportunity for analyzing the stock price behavior in different situations and scenarios. This research assumes that there are no other special events in the estimation period (-60, +60) and therefore, has focused on the actual return rather than abnormal return. For the future researches, it’s recommended to use the abnormal return instead of the actual return in order to neutralize the movements in prices that result from factors other than the specific announcement under investigation. According to the results generated by this research, M&A announcements generated positive average actual return over (-60, +60) for both target and acquirer banks in all of the scenarios. Average actual return of acquirers’ shareholders in M&A announcements of all-cash offers are higher than for all cash-stock offers, but Average actual return of targets’ shareholders in M&A announcements of all-cash offers are lower than for all cash-stock offers.
    Keywords: Merger, Acquisition, Stock Price Behavior, US Banking, Event Study, Average Actual Return
  • Farshid Pourshahabi, Ehsan Salimi Soderjani, Davood Mahmoudinia Pages 115-133
    this study applied panel unit root, panel co-integration and panel causality tests to distinguish the position of short run and long run causality among foreign direct investment (FDI) and trade in a panel of 16 advanced European countries over the period 1976-2008, 528 observations were incorporated into the model. The results show that there is bidirectional causality among FDI-Export and FDI-Import in the short run while the long run causality runs from import and export to FDI. Furthermore, there is unidirectional causality from FDI to total trade in the long run and bidirectional causality in the short run. Therefore, increase in FDI led to increase in export and import in the short run and these led to increase in total trade in the short run. Thus, attractive FDI policies in trade oriented economies can be used to promote the level of trade, and expanding trade policies are helpful as well to attract more FDI in these set of countries.
    Keywords: FDI, Trade, Panel Causality, Europe
  • Seyed Komail Tayebi, Zohreh Shirani Fakhr Pages 135-155
    poverty is arguably the most pressing economic problem of the time of global financial crisis that crisis have adverse impact on it through a variety of channels and typically lead to slowdowns in economic activity and, consequently, rise in formal unemployment and/or falls in real wages. On the other hand, it is generally argued in the literature that economic collaboration in the forms of financial and trade integrations is likely to enhance growth potentials and development of an economy and leads to poverty reduction. In this regard, the questions this paper addresses are how the life of poor people in the Islamic nations affected by financial crises, additionally, whether the implementation of economic collaboration strategies controls for the effects of crisis on poverty. In this paper, we specify a dynamic panel regression model of poverty using data of the selected Islamic countries over the period 1995–2008, in order to explore the effect of the recent global financial crises on poverty in such countries. This allows us to verify whether economic collaboration implementation would adjust such effect. Our findings showed that crisis will worsen the condition of living and will cause increasing poverty more that before crisis. However, the results imply a weak role of economic cooperation in the group of Islamic countries for controlling the effects of crisis on poverty and income distribution. The implication is that an economic integrating block implementation is not effective in reducing poverty in the Islamic countries and these countries should strengthen their economic cooperation in different areas and act according to principles of economic cooperation.
    Keywords: Financial Crises, Poverty, Economic Cooperation, Islamic Countries, Panel Model
  • Ahmad Jafari Samimi, Zahra Elmi, Arash Hadizadeh Pages 157-177
    this paper estimates the long-term trend of seasonal real GDP in Iran, using a new econometric technique called Adaptive Least Squares (ALS). ALS is a special case of Kalman Filter that allows a time-varying parameter model to be estimated relatively easy. The estimated trend is used to proxy the output gap. Since the coefficients of the GDP lags are significantly different from zero, the model with intercept and trend and with three lags of the dependent variable has been tested in this article. The comparison of the results of ALS, OLS, HP and Kalman Filter show that the ALS method provides a better estimate. Therefore, it is suggested that the output gap estimation method provided in this paper be used in dealing with the monetary policies.
    Keywords: Adaptive Least Squares, Iran, Output Gap, seasonal data