فصلنامه تحقیقات مدلسازی اقتصادی
سال دهم شماره 39 (بهار 1399)

The effects of International financial integration on the fluctuations of variables in response to shocks are a matter of heavily concentrated literature of the business cycle in recent years. In this paper, a New Keynesian DSGE model is developed in which there is a channel for capital account changes through the foreign deposit's inflow and outflow. Then the effects of financial integration are simulated. The integration factor is defined by the percentage of the total foreign deposits absorbed by the banking system. This coefficient could change due to changes in effective domestic interest rate and global interest rate. This paper shows in presence of oil shocks, the fluctuation of production, consumption, real exchange rate and variables of the banking system such as deposits and loans, is higher in financial integration but there is no significant difference in inflation. In presence of technology shocks, there is no significant difference.

Solving the Water conflict and optimal allocation of common water resources are the most important service of cooperative game theory to water economics. Zayandehrud basin is the most important disputed basin in several neighboring provinces in the first class basin of Iran's central plateau. The purpose of this research is to use the game theory with application of Bankruptcy approach (conflicting claims) in order to optimally allocate surface and underground water resources in the Zayandehrud basin, with regard to Zayandehrud need(tourism sector demand), water transfer to Yazd and Kashan, Gavkhoni wetland water use and demand of three sectors: drinking, mining, and agriculture. In order to estimate the river natural water right (tourism sector demand), the Montana method (tenant) was used under three different scenarios: weak, acceptable and optimal tenant during the period 1963-2017, which was 77.7, 130.5, and 466.5 m3 respectively yearly estimated. The conflicting claims theory in various scenarios for the river water right (tourism sector) showed that in all three proposed scenarios based on five different bankruptcy theory rules, Proportional, Constrained Equal Wards, Constrained Equal Losses, Talmud, Random Arrival, CEA rule was the most desirable method for 5 sectors (except agriculture). In order to choose a more equitable method, the Gini coefficient and the Lorenz curve were used which indicated that CEA rule has less inequality than other rules. Thus, regard to the increasing demand gap in the Zayandehrud Basin, water allocation based on the criteria of bankruptcy theory is proposed.

This study examines the Kuznets environmental curve among D8 countries in the period 1961–2016. The Kuznets environmental curve shows the reversed U-shaped relationship between economic growth and environmental degradation. In this paper, two methods of time series estimation and smooth panel transition estimation were used to test the hypothesis of this relationship. Also, the ecological footprint index was used as an indicator of environmental degradation. The time series estimation results show that there is a nonlinear relationship in all D8 countries but the classical Kuznets hypothesis was confirmed only in Malaysia, Egypt and Turkey and in other countries the relationship was not inverted U. In Iran, the relationship between GDP per capita and the per capita ecological footprint is N-shaped, and at the GDP levels of $5864 and $10514, the relationship between the two variables will change. On the other hand, testing of the Kuznets hypothesis by using panel smooth transition models showed that there was a nonlinear relationship between GDP and ecological footprint in D8 countries with a threshold. There was a direct relationship between ecological footprint and GDP per capita when economic growth below 8.3 percent and reverse relationship when economic growth above 8.3 percent

In recent years, the development of Securities markets has contributed greatly to the flourishing and development of countries. Having a structured and dynamic capital market has been one of the basic requirements of countries on the path of development, and the role of this market in creating economic equilibrium is known to everyone. Therefore, explaining the volatility of the stock market is very important. Meanwhile, the interaction between the stock market and the exchange rate has been the subject of much research by many researchers. The exchange rate is a key variable that neglecting it can create problems and issues for the economy of any country in various dimensions. Therefore, the present study, by specifying a system of simultaneous equations, has examined the simultaneous interactions between the exchange rate and the stock market in Iran, using seasonal data from 2007 to 2017. The variables used in this system are the exchange rate, stock price index, gold price, oil price, liquidity, and consumer price index. The results of this study showed that the exchange rate has a positive and significant effect on the stock price index in Iran and as the exchange rate rises, the stock price index will also rise. Moreover, the stock price index has a statistically significant effect on the exchange rate in Iran. The results of estimating the model show that the effect of the stock price index on the exchange rate is negative and significant, i.e., as the stock price index increases, the exchange rate decreases.

Natural resource rent affects countries’ economies through various channels. Revenues from the natural resources sales are expected to boost countries' economic growth, but the economic experience of recent decades reveals the numerous economic problems in these countries, the most important of which may be the increase in the shadow economy size. Moreover, the institutions specify the significant economic axes like resources and assets distribution in the community, so that the level of institutional quality brings about the optimal resource directing and their allocation through economic stability and affects the shadow economy volume by increasing economic stability and reducing uncertainty. The purpose of the present study was to examine the effect of natural resource rent and institutional quality on the shadow economy in 87 countries with high and low inflation rates from 2000 to 2018. The analysis method was system generalized-method of moments (System GMM). Smart PLS software was used to estimate the shadow economy. The results indicated that in both low-inflation and high-inflation countries, the increase in institutional quality has reduced the size of the shadow economy, and the rent of natural resources has had a positive relationship with the volume of the shadow economy

In monetary and financial literature, financial crises include a wide range of crises. But in general, there are three important types of financial crisis, including the currency crisis. The banking crisis and the debt crisis. The aim of this study is to simultaneously analyze the occurrence of banking, debt and currency crises, known as the three crises in Iran. For this purpose, first to determine the indicators related to banking crises, currency and debt payments and using logistics and self-regression vector models during the 1980 to 2017 seasonally, we have discussed the relationship between these three crises. The results show that the three banking crises, debt and currency, affect each other. The short-term results of the VAR model showed the effect of the banking crisis and the currency crisis on the debt crisis is positive and significant, indicating an increase in the likelihood of a banking crisis and the currency will increase the debt of the government and the country. Also, the effects of banking and debt crises on the currency crisis are positive and significant. This indicates the existence of causal relationship between banking crises and debt on the currency crisis. The results of the Logit model show that the effect of inflation variables, liquidity growth and the growth of the exchange rate on the indicators of the three crises that are significant and positive in most models.

This study seeks to examine the impact of market shocks and economic sanctions on production and value added in the industrial sector, one of the most important sectors of the economy, during period of recession and boom. For this purpose, we examine the effect of oil shocks, currency fluctuations and economic sanctions on the added value of the industrial sector during the recession and boom period, from 1974 to 2016. The results of Markov model estimation imply that the effects of shocks are asymmetric. Positive oil shocks and currency fluctuations have positive effect on value added industrial sector during the boom period and have negative effect during the recession. The results show that if Iran's economy is booming at time t, market shocks and economic sanctions will remain in the same position with a probability of 0.3864%, and if the Iranian economy If t + 1 is in a recession, it is likely to remain at 0.6791% at t + 1. While according to results of estimating the number of years in each diet, the number of prosperity years was lower than the recession period (27 recession periods vs. 14 prosperity periods) and the rate of durability was more during the recession. Another interesting point is that Inventory of capital, inflation of production, consumption of private sector and employment during the recession had a negative relationship with the added value of industry.So, about Iran economy, it seems that establishing an appropriate theoretical relationship between these important variables influenced more by fundamental changes in Political and economic conditions than government economic policies. Thus, although the role of macroeconomic policies, including monetary and fiscal policies, is essential for the growth of value added production but also providing economic security and a secure environment for investment, expansion and diversifying financial markets and institutions, and More productive engagement with the world and major trading partners, moving towards an open economy and the use of foreign investment and developing capital market regulations with the aim of transparency and stability to increase savings and investment is essential and could provide the basis for Increasing production in the manufacturing sector.