پژوهشنامه اقتصاد کلان
سال دهم شماره 39 (زمستان 1389)

Different behavior of saving around the world, in the past decade and especially its reduction in recent years has attracted the view of many economists and policy makers to. Hence this paper, with the use of specific criteria for transition savings and growth, as their most important result shows that in Iran's economy, the transition of economic growth is at risk and private sector savings also unable to enter the transition stage. However, gross national savings in 1369 (1989) entered a transition phase, but after that period, significant changes is unseen and even it has come to the previous transition values. In this study, this lack of similarity in the behavior of these two rates (national and private) has led the effect of variables such as macroeconomic instability and development of financial markets along with other variables on the savings to be investigated. The most important findings of the paper are that: Firstly, the impact on economic growth although is positive but are very low, so that this effect could not make the transition to savings. Secondly, public sector savings, as a key variable, caused significant decrease in private sector savings and has increased the national savings. Third, one of the serious obstacles of savings in transition economies in Iran is macroeconomic instability.

The information sector has an important role in economic development and knowledge-based economy, so that the evolution and development of information sector will be deemed as background and promise of knowledge-based economy. 1990 AD in the U.S. and other countries was called information technology revolution decade, and also were made a big impact on economic variables and the structure of other countries. In this regard, this paper investigates the sources of deals growth in the information technology sector of the economy during the period of 1363 to 1378. For this purpose, country’s sources of growth accounting methods and Input - Output tables between years of 1363 and 1378 in the form of 8 economic sectors are used. The results showed among the resources sector growth, combined effect of domestic demand had the greatest role but the role of technical factors was low. Also, elasticity of information sector during 1363 to 1378 showed due to reduction of cost or price of data inputs, GDP will be grown more.

This paper is focused on the prediction of a stock market price behavior by an innovative model with combination of artificial neural network (ANN). For this purpose, three types of data that reports daily in Iranian stock market have been used. The structure of this hybrid model consists of two-levels: base predictors in the first level, are responsible for forecasting daily data with different characteristics of a stock i.e. three independent neural networks for prediction of stock price, option volume and rate of return are used. On the second level, the other networks, as a Combinator, the final prediction and analysis of predictive information of the first level will be done. Experimental results on one set of Iran’s stock data showed the superior performance of the suggested model in comparison with current predict model.

This article reviews accurately of Capital Asset Pricing model and Reward Beta model in prediction of expected return of Tehran Stock Exchange. In this study, to test research hypotheses, the stock return data of sample companies and market returns for the sample period of Esfand 1386 to Farvardin 1375 are used and these sample companies in 25 portfolios have been classified based on size and book value to market value ratio. The results showed that the reward beta model in a short-term period (one year) and long-term period (three years) predict future stock returns better than CAPM. Moreover, the reward beta model factors have more positive correlation and are more significant than capital asset pricing model factor of stock returns.

The main purpose of this paper is to estimate the demand for money in Iranian economy over 1338-1386 period using co-integration and error correction methodology. The analyses showed narrow definition of money (M1), domestic gross product, parallel exchange rate, prices level and return rate on long-term loans to private sector are integrated. Thus, by using Johansen and Juselius maximum likelihood co-integration approach the long-term demand for money is specified and estimated. Empirical results showed there are two co-integrated vector variables. Error correction of 0.053 indicated that despite long-run equilibrium in the money market, moving towards equilibrium in this market is done slowly. CUSUM and CUSUMQ statistics results showed that money demand function during this period was stable. Moreover, the substitution of money in Iran is confirmed.

The aim of this study is to determine the long-term relationship between growth rate of stock index cash returns (TEDIX) and a set of macroeconomic variables such as inflation rate (CPI), money supply growth rates, exchange rates and oil revenues. The data in this study has been analyzed as seasonal for the period of 1998 to 2007 with Auto Regressive Distributed Lag (ARDL) method. The Results of Dickey-Fuller (ADF) generalized unit root test showed that variable rate liquidity in first order and other variables in the first order of difference are stable. The co-integration test results also indicated there is a long-term relationship between aforementioned economic variables and growth rate cash index returns, so that the relation between the long-term growth and cash returns index of oil revenue and exchange rate is negative and with inflation this relationship will be positive. Besides the significant liquidity growth factor in the ninety percent level of confidence was rejected.

The main Purpose of this research is comparison of efficiency of independent headquarters of Iranian post bank by using non- parametric (Data Envelopment Analysis) and parametric methods (Stochastic Frontier Functions). In order to estimate and evaluate the efficiency, data on balance sheet have been used for 28 independent headquarters of Iranian Post Bank during 1999-2005. Results show, there is no significant differences between non – parametric and parametric approach in measuring the efficiency of independent headquarters of Iranian post bank.Regarding to results of DEA, means of cost efficiency, technical efficiency and allocative efficiency is 25%, 83% and 32% respectively.Logarithmic - Linear Translog cost function is utilized in parametric method to estimate efficiency and define the determinant factors. The Results showed the efficiency of Iranian Post Bank is 55%. The efficiency of headquarters has inverse relation with the size of Post Bank (total asset), number of Employee, number of branches, and directly relation with time trend and total income of Post Bank. Finally, in this essay, for microeconomic basic and effect of random variables SFA is preferred to DEA.