فهرست مطالب

Iranian Economic Review - Volume:19 Issue: 41, Autumn 2015

Iranian Economic Review
Volume:19 Issue: 41, Autumn 2015

  • تاریخ انتشار: 1394/07/22
  • تعداد عناوین: 8
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  • Vladimir Motorin Pages 251-264
    The paper presents unified analytical solution for combining high-frequency and low-frequency economic time-series by additive and proportional Denton methods with parametrical dependence on the initial values of variable and indicator in evident form. This solution spans Denton’s original and Cholette’s advanced benchmarking initial conditions as the subcases. Computational complexity of the obtained solution is associated with inversion of a square matrix of the order that is equal to the number of low-frequency observations available. Practical applying the proposed solution under data revisions allows to construct suboptimal concatenation of frozen and newly revised parts of benchmarked time-series by using the last benchmarked-to-indicator ratio (or benchmarked and indicator difference in additive case) from the range of data fixed as initial condition for benchmarking or re-benchmarking the newly revised data by the proportional (or additive) Denton method.
    Keywords: Benchmarking of time, series, Denton methods, Lagrange multipliers, Movement preservation principle, Optimization
  • Shailender Singh*, Amar Singh Pages 265-278
    This study aims to evaluate the link between economic growth and consumer price index (CPI) in Japan for the period of 1980-2014. Initial series were adjusted for stationarity using the Augmented Dickey- Fuller (ADF) test for unit root followed by the application of Johansen Co-integration Test in order to examine the long-run relationship among the variables, while the causalities were evaluated using Granger Causality model. The empirical results reveal that economic growth and CPI are co-integrated and thus exhibit a long-run relationship between the variables. The Granger causality test supports bi-directional causality between economic growth and CPI in Japan. The paper adopts a time series framework of the Vector Error Correlation Models (VECM) to study the dynamic relationship between economic growth and consumer price index for Japan.
    Keywords: Co, integration, Consumer price index, Economic growth, Granger causality test, Inflation, Vector error correction
  • Hossein, Ali Fakher*, Seyed Ahmad Goldansaz Pages 279-293
    In addition to labor force and capital, energy plays a significant role in the production of commodities and services. Energy is the driving force of production activities. Therefore, it is an essential ingredient of growth and development. Results obtained from this paper show that the growth of oil products consumption has a positive effect on economic development via two channels: Firstly, increase of oil products consumption results in an increase of the profit of firms’ consumption, and subsequently, increase of firms’ motivation leads to more application of advanced equipment and high technologies and, ultimately, enhancement of development. Secondly, increase of oil products consumption leads to an increase in the employment of labor force, and subsequently, an increase of capital and investing equipment; this will ultimately be followed by the improvement of development. At last, this development turns into a factor for the higher usage of oil products aiming at higher production and profits. Also, in this paper, we present four hypotheses about the relationship between energy consumption and economic growth, including: Growth Hypothesis, Conservation Hypothesis, Feedback Hypothesis, and Null Hypothesis. The results show that Conservation Hypothesis and Null Hypothesis are rejected, but Growth Hypothesis and Feedback Hypothesis are accepted for Iran and the countries which have a significant dependence on energy.
    Keywords: Oil Products Consumption, economic development, Systematic Dynamics Method
  • Somayeh Mardaneh Pages 295-323
    In this paper, the effect of foreign sector macro-variable on inflation dynamics and firms’ pricing behavior has been investigated in the context of a small open economy New Keynesian Phillips Curve. This curve is derived and estimated for a developing oil-exporting economy suffering from Dutch Disease. This version of NKPC is an extension of Leith and Malley’s (2007) small open economy NKPC incorporating oil as a factor of production which is produced in the home country, but its price is determined by the world market. Using GMM technique, this curve has been estimated for standard closed and open economy specifications of the Iranian economy that, according to the empirical evidence, suffers from Dutch Disease. Introducing open economy elements produces three differences in the estimation compared to the closed version: firstly, the degree of price stickiness and the fraction of backward-looking firms decrease; secondly, the degree of substitutability is close to unity; and thirdly, the forward-looking behavior gains ground while the backward-looking behavior becomes less important. Moreover, the significant estimates of the marginal cost coefficient confirm the importance of the real marginal cost in explaining inflation dynamics in the Iranian economy.
    Keywords: Dutch Disease, hybrid New Keynesian Phillips curve, inflation dynamics, Iranian economy, small open economy
  • Nooraddin Sharify*, Ramezan Hosseinzadeh Pages 325-339
    Energy consumption has increased significantly in Iran during the recent decades. In this study, an inter-industrial model has been improved to investigate the sources of the changes in the energy consumption of the country. The input-output tables of Iran for the years 1988 and 2001 have been employed as the database of the model. The innovation of this research allows the researchers to study the sources of changes in energy consumption more specifically. It concerns decomposing the effect of changes in economic structure into input substitution, and backward linkage effects. The results show that the level of final demand, input substitution, and backward linkage effects lead to an increase in energy consumption in the country. In contrast, the energy intensity of products, the structural composition of the final demand, and the categorical composition of the final demand have reducing effects on energy consumption.
    Keywords: Changes in energy consumption, Inter, industry analysis, Structural decomposition analysis
  • Siab Mamipour*, Mahshid Sepahi Pages 341-358
    The presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. In this paper, first, the formation of bubbles is tested using the new unit root test known as Phillips test (Generalized Sup ADF test) for 50 companies in the Tehran Stock Exchange during the period of August 2011 to March 2013, and periods of bubble is shown by one and zero if otherwise. Then, the behavior of amateur and professional investors’ impact on the probability of the formation of speculative bubbles in the Tehran Stock is investigated and estimated using Panel Data Models for Binary Choice (Logit) model. Phillips test shows that 49 companies from 50 samples of Tehran Stock Exchange at different periods of time have experienced price bubbles. The results of the Panel Logit regression model indicate that the impact of trading amateur investors on the probability of the formation of speculative bubbles is different from the behavior of institutional or professional investors. That purchase and sale of amateur investors, with respect to trading of professional investors, increases the probability of bubble formation and it can be one of the main factors affecting the formation of bubbles in the stock market. Also, the results show that the P/E ratio and speed of turnover also increases the formation of bubbles, while company size as an index scale enterprises, leading to decline the possibility of a bubble in the stock market.
    Keywords: Behavior of investors, GSADF test, Panel logit, Price bubbles
  • Ali Hussein Samadi, Ali Hussein Ostadzad* Pages 359-376
    There are many indices for measuring property rights (PR) security. They may be classified into two groups: subjective proxies and objective proxies. Most of the proxies are subjective. One contribution of this paper is introducing a new approach for measuring government expenditures devoted to PR protection. Calculating physical capital within the introduced new approach is another contribution of this paper. Finally, the proposed approach is applied for measuring PR and physical capital in Iran.
    Keywords: Genetic Algorithm, Iran, Physical Capital, Property Rights
  • Mansour Khalili Araghi, Majid Mirzaee Ghazani* Pages 377-393
    In this paper, we have examined abrupt changes in volatility of TEPIX index in Tehran stock exchange during August 23, 2010 to June 12, 2014. Applying the iterated cumulative sum of squares (ICSS) algorithm proposed by Inclan and Tiao (1994) and the modified version of this algorithm consisting Kappa 1 and Kappa 2 test statistics developed by Sansó et al. (2004), we have specified that the detection of abrupt changes are mainly explained by local economic and political factors and probably they are behind those changes. This finding is in line with that of Aggarwal et al. (1999) who discovered that country-specific factors play a key role in determining those sudden shifts in financial markets. In addition, the results of this study ratify the findings of the previous ones suggesting that, when the abrupt changes are embedded into standard GARCH models, the estimated persistence of volatility is decreased significantly.
    Keywords: stock return volatility, volatility persistence, ICSS algorithm, GARCH models