فصلنامه تحقیقات مدلسازی اقتصادی
سال یکم شماره 1 (پاییز 1389)

The aim of this study is to review the causal relations between TFP growth and inflation as one of the attracting issues in Macroeconomic literature. For the first time in Iran, we have used the wavelet decomposition technique to study this relation. Both TFP growth and inflation series between 1960 and 2006 are decomposed up to three levels. Our analysis of causality relations between all the composed and decomposed series shows that though no statistically meaningful effect between original series has been proved, there are some negative relations between decomposed series in the first and second level. Moreover, our study reveals some previously unknown spillover effects between various frequencies of both series as explained in paper. Finally, on the basis of relations found between decomposed series of inflation in different frequencies, we introduce a new instrument to measure the volatility of inflation.

The characterization of memory effects in crude oil markets is an interesting issue that has attracted the attention of researchers from different disciplines, from econophysics to more classical economics. The importance of the problem relies on the fact that the departure from uncorrelated behavior would imply the presence of non-random effects which, in principle, can be exploited for arbitrage. This paper tries to contribute to the issue by estimating the memory effects by means of different parametric, semi-parametric, and non-parametric methods. In other words, this paper provides an analysis of the memory of the oil markets measured via the fractional integration parameter (d) by estimating it with various methods such as the MLE, NLS, GPH, Whittle, Lo, Hurst Exponent and Wavelet. To achieve this goal, we use the daily time series for WTI and Brent spot crude oil prices as well as 3-month futures, and further divide them into yearly subsections to obtain the historical series of memories.Results of the whittle and wavelet estimations, which are better suited for this analysis, show no evidence of a long memory process. However, the oil price time series exhibit a nonstationary mean-reverting behaviour. Note that in this paper the behaviour of memory is our concern instead of the memory value itself. The results of memory trend show that memory of international oil markets does not have an important trend change. In other words, in our study period the efficiency of the market does not have an important decline or increase.

The effects of “targeted subsidies plan”, and energy price reform policy on macroeconomic variables have been a matter of debate for a long time. Regarding the significance of the issue and also its effect on the economy and social welfare, further comprehensive investigations into this subject seem to be necessary. This paper is presented with a review of previous studies and it explores the effect of the increase in the price of energy carriers on the three important macroeconomic variables, i.e. GDP growth, inflation and private consumption in the context of a structural vector regression to model SVAR. The results show that due to the implementation of this plan, the economic growth and the private consumption decrease but the inflation increases. The results show that, the energy price has significant influence on inflation fluctuations. It explains about 40 percent of changes in inflation in the medium term and long-term. Our findings suggest that, energy price shocks explain about 20% of the fluctuations in private consumption and 10% of changes in gross domestic product.

Industrial energy demand analysis has always been one of the leading fields of research in economics. This issue is more critical in the case of developing countries especially those with transition experiences. In this paper, third generation of dynamic factor demand models for the Iranian manufacturing industries is estimated to analyze the speed of adjustment in factor demands. Data which is used in this study is an Iranian industrial plant based on two-digit international classification code during 1374-1386. The translog functional form is used as model specification. The main findings are the complementary relation between energy carriers, electricity, and capital and low adjustment speed of capital stock. In Iranian manufacturing industries, demand for energy carriers and capital, with expansion of manufacturing activities and technological change has increased, while the demand for labor has decreased.

This study examines the social cost of banking industry in Iran (17 governmental and private banks) in an unbalanced panel data model.To conduct estimations, two different approaches were taken: 1- Welfare Triangle approach; 2- Libenstein’s approach. In the former, welfare triangle is measured assuming banking industry operating in full technical efficiency; however, the latter includes both the effect of welfare triangle and the cost of likely technical X-inefficiency. The result of the first method showed that the social cost of banks in Iran is little, amounting to be less than 1 percent of GDP in 2008 while within the same period, the second method resulted in 4 percent of GDP, as the social cost of banks in Iran.

The power sector in Iran accounts for a share of 28.2 percent of the total CO2 emissions, so it is the biggest emitter of greenhouse gases. This study uses Logarithmic Mean Divisia Index (LMDI) technique to examine the role of five factors (economic growth, fuel intensity, electricity intensity, structure and quality of fuel) influencing CO2 emissions of the Power Plant sector in the period 1997-2008. Thermal efficiency and the fuel mix effects have been analyzed to determine the factors affecting changes in CO2 emissions index. The results show that the economic growth has the highest effect on the increase of CO2 emissions in the power sector during the whole period of study. Then, fuel quality effect, fuel intensity effect and the structure of production effect respectively, have influenced the growth of CO2 emissions. Changes in fuel mix have had the greatest effect on the increase of CO2 emission index, especially for the period 1387-83. Emission index displays that combined cycle power plant has the least emission index among all types of thermal power plants and hence it is the most suitable thermal power plant for the environment amongst thermal power plants.

Municipalities are kind of organizations that due to their diversity in functions and obligations play important roles in urban management. Financing the administration of obligations (urban public finance) is one of the principal tools in achieving targets and urban-related plans. With a glance at the structure of current revenue sources of this administration, it can be found that there is a considerable dependence on the revenue from building permits. This has inappropriate consequences for the economy of cities. Hence, providing an appropriate model that in addition to the quality of being operational and administrative has also the suitable properties can help both the local managements and city economies.To finance municipalities, specific criteria have been offered. In this study, in addition to classifying and grading the presented criteria, the current sources (revenue items) have also been graded, using multi-criteria decision making. And also the pattern of minimum expenditures supply has been modeled.The analysis of urban public finance in Isfahan and generally in Tehran shows that despite having the proper potentials in acquiring some revenues the urban management system relies heavily on building permit. In metropolitan areas, up to 50% of expenditure is obtained from building permit.This is not an appropriate financial strategy.Finally, we suggest that municipality should finance all of its expenditures through tax on pollution and fuel, consumption tax and property tax.

In the late 1990s and early 21 century there has been a very big rise in the price of housing in most countries including the United States and Japan. The same trend occurred in Iran in the years after the Iran-Iraq war and has continued up to the present. Housing in Iran has always had a mutual relationship with economic fluctuations including monetary policies. Thus the impact of housing on Iran’s economy is significant. In this applied- analytical research, the aim is to investigate the monetary transmission mechanism in the housing market in Iran during the years 1988-2006 by using a SVAR eight- variable model and seasonal data.The research found that the expansionary-monetary shock policy, which is the result of liquidity shock, has had a significant impact on housing prices lasting for 3 years at a time. Meanwhile, the price of housing explains about 20 per cent of the GDP changes in the study period.