دکتر اعظم محمدزاده

Many economic and financial time series, especially stock prices, have gone through stages in which their behavior seems to have changed significantly. This change in behavior in time series may be over time in terms of the mean value, variance, or covariance of the current values of the time series with its past values. Today, the analysis of a market separately from other markets is almost invalid and analysts need to conduct their analysis based on the relationships between different markets. In addition, it is important to pay attention to the relationship between different markets especially the relationship between domestic and international markets to study the behavior of different economic variables and their time series.  

Oil, gold and stock markets are complex, time-varying, nonlinear and multivariate economic systems that are affected by various factors such as political, military, economic, and supply and demand factors. And these few studies have focused on GARCH, VAR,… econometric methods that are based on linear regressions. Despite the importance of examining the relationship between the three variables of crude oil price, gold price, and stock price index, unfortunately insufficient studies have been done in this country. Given that the time series of crude oil, gold prices, and stock price indices are a combination of components of different cycles, the relationship between these variables has changed over time, and examining these variables separately provides only partial and perhaps misleading information. Therefore, in contrast to previous research, the correlation between the stock market, crude oil and gold has been investigated with a multivariate framework, in which the correlation of time intervals has been considered. In addition, due to the fact that previous studies have emphasized the effects of uncertainty of one variable on other variables separately and have not examined the simultaneous effects of several variables on another variable, in this study, the relationship between the three variables has been investigated in the form of simultaneous communication using wavelet analysis. The main purpose of this study is to investigate the relationship between the price of gold, oil and the stock price index of the Tehran Stock Exchange in different periods and time periods. In other words, in this research, we seek to answer these questions  whether the stock price index of Tehran Stock Exchange is related to the price of international oil and gold assets and whether the cross-sectional relationship between the three variables has changed at different times and in different time zones. In line with the purpose of this article, in addition to using wavelet analysis and multiple correlation analysis, Granger causality and co-integration tests have also been used. The Johansson co-integration test was used to examine co-integration. The variables used in this research are daily time series data  of gold price, crude oil price and stock price index of Tehran Stock Exchange from January 2003 to May 2016.

The results obtained from this research (from R software) are as follows: 1- The above three time series have a significant correlation throughout the period. 2- The relationship between the stock market in Iran and the international markets of crude oil and gold has changed at different time scales. 3- Based on the results of the wavelet correlation of stock price index and crude oil price, in periods higher than 128 to 1024 days in the whole period (2003 to 2016) there is a high correlation. This issue indicates a temporary correlation between stock price index and crude oil price that fluctuates in the short term. 4- Based on the results of the correlation between the stock price index and the gold price, there are large correlation zones at intervals above 128 to 1024 days throughout the period. This issue indicates a temporary correlation between the stock price index and the gold price, which fluctuates in the short term.    

Therefore, according to the results of this study, it can be concluded that oil and gold assets are not suitable to cover the risk of stock price index and building a portfolio consisting of these three assets is not a good  one because the price changes of these variables have a significant correlation. In addition, it can be concluded that in the real world, other factors affect the stock price index, which are suggested to be identified and studied in future research.

Investigation factors affecting the savings is one of the issues that has been noted in developed and the developing countries in recent studies. The main Purpose of this paper is to examine the relationship between trade shocks and private savings per capita in the Iran’s country between the years 1963 to 2015. Therefore, the models have been estimated using the GMM and OLS method. In order to enter trade shocks in the model was used standard Hodrick–Prescott (HP) filter. With this filter separated trade shocks (terms of trade) permanent and temporary shocks and is analyzed their effects on per capita private savings. The results of the model estimation show that savings previous period and trade shocks have a significant effect on savings so that these variables explained 78 percent of variance in savings. The estimation results suggest that the trade shocks have positive effect on savings and fluctuations in the terms of trade have a negative effect on savings. Temporary shocks have a greater effect on the savings to permanent component.

Today the importance of evaluating performance and factors affecting corporate performance is one of the most important areas of the financial Economics So that research has been done on this. In this regard, the main purpose of this research is to examine the factors affecting the performance of Bourse companies with an emphasis on monetary policy. Contrary to previous research that for corporate performance has been captured only an indicator such as profit or income In this research, FPT Comprehensive Index has been used to measure the performance of companies. The data used in this research is annual data for the period from 1385 (2006) to 1392 (2013) and for 94 companies admitted to the stock exchange. And monetary policy instruments include the growth rate of bank's loan facilities, liquidity growth rates, and legal deposit rates. The results of model estimation using GMM dynamic data panel show that there is a Significance relationship between monetary variables and firm performance. With the increase in bank facilities and the increase in liquidity, the Piotroski F-Score index is also increasing which reflects an increase and improvement in the company's performance. Therefore, given the direct impact of monetary policies on corporate performance indicators, policymakers should be more careful about acting any other policy.

One of the most important issues in the financial economics that has long been of interest to financial economists is questions about cross-sectional variation and time variation in the risk premium. One of the ways that answer to these questions is to examine the relationship between financial markets and the macroeconomy. The purpose of this article is to examine the relationship between macroeconomic variables and stock return in Iran. For this purpose we use consumption-based capital assets pricing (CCAPM) to examine variables affecting on returns in the 18 selected industries of the Stock Exchange in Tehran. On the CCAPM model the consumption growth rate is the most important factor affecting returns. In this article the conditional CCAPM model contains variables per capita consumption growth rate, P/E (price-earnings ratio of shares) and conditional variable (coin). To introduction macroeconomic risk, is used of conditional variable, the condition variable is obtained of co-integration relation between macroeconomic variables (GDP growth rate, inflation rate, the difference between short-term and long-term interest rates). Co-integration relation between these variables is studied with Johansen method, after obtaining this condition variable as coin, is estimated the conditional CCAPM using seasonal data of 1379 to 1392. The results show that the coefficients of conditional CCAPM model are significant and in the conditional CCAPM model, in the estimated conditional CCAPM, conditional variable (representing the macro-economic risks) as well as the rate of change in per capita consumption and P/E ratio play an important role in the excess stock returns industries.

One of the most important issues in financial economics is attention to risk and its relation to returns. One way to examine the relationship between risk and return is using the capital asset pricing model. In this regard this article examines this issue and with the adjustments in consumption-based Asset pricing models (CCAPM), has examined the relationship between return and risk in the Tehran Stock Exchange. These adjustments include changes in the classic utility function. By introducing new variables to utility function and following process optimization for consumer behavior and derivation the corresponding Euler equation, these models are estimate using Generalized Method of Moments (GMM). In this regard, four models were evaluated and compared. The four models include basic CCAPM model, SCAPM, HCCAPM and pricing based on habit formation. The taste for saving parameter in the model SCCAPM means that it can be concluded preferences for savings is significant. The results indicate that consumer spending and its components have been successful in explaining stock returns in the period1367 to 1391. After estimation of the model parameters, using standard Hansen- Jonathan (HJ) compare the performance of the models. The comparison of models suggests that the most efficient model is SCCAPM model in explaining stock returns.

Provinces-related current and developmental budgets are among the most important economic tools controlled by public sector which can decrease regional inequalities and imbalances in the country. Therefore, this study investigates different aspects of this issue and the impact of different economic variables on the distribution of current and developmental budgets in the provinces. The explanatory variables used in this study consist of non-oil GDP per capita, share of oil in GDP, population density and total expenditure allocated to the provinces of the country.
In doing so, using panel data 1384-92, we estimate the empirical model through econometric tests. The model has been applied in terms of both variable and fixed effects and estimation by "Housman test". The results show that there is positive relationship between the variables of non-oil GDP per capita, population density and total expenditure. The share of oil in GDP has negative and significant effect on provincial credits. Coefficient of GDP per capita represents income elasticity of provinces-related public budget and, in fact, reflects the exchange efficiency and equity in the model. Obtained coefficient for this variable is 0.359. meaning that although the behavior of the Iranian government's budget is not based on absolute performance but is allocated to the provinces that have higher production rather than the provinces that suffer most from poverty.

One of the most important branches of finance is modeling and evaluation of assets pricing. For this reason, many models have been proposed to explain the pricing of assets. Studies of last two decades refer to limits on the models. Such issue is equity risk premium puzzle. In this paper was investigated the theoretical equity risk premium puzzle with the experimental study of this phenomenon using data of years 1367 to 1391 seasonally from the Stock Exchange in Tehran .To investigate this puzzle addition to Mehra and Prescott (1985) method is used estimation of S-CCAPM model using GMM method. S-CCAPM model is adjustment of CCAPM model that was created with the import savings to utility function. Models results show that according to Mehra and Prescott method equity risk premium is obtained 5.7. This value shows that there is risk premium puzzle in the economy of Iran because with the use of empirical data equity risk premium is 0.129. But at second method, equity risk premium gained 0.4. This implies that the adjustment in the base CCAPM can be helped to solve the puzzle. This implies that the adjustment in the base CCAPM can be helped to solve the puzzle.

One of the capital asset pricing models is CCAPM model that first time were presented by Breeden (1979). In the standard and the basic CCAPM establishes a linear relationship between consumption’s beta and excess return on assets but unfortunately, linear CCAPM made The Equity Premium Puzzle. After presenting puzzles like equity premium puzzle, adjustments were made in the CCAPM. For this purpose in this paper, adjustments have been made in the preferences as explores the implications of a novel class of preferences for the behavior of asset prices. This class of preferences was suggested first time by Marshall (1920), that according to it, people derive utility not only from consumption, but also from the very act of saving.
In this paper, we derive the Euler equations after modeling preferences based on the savings and consumption estimate them with GMM. In order to estimate the models, is examined quarterly data of 1977 to 2010. The models are significant in the other words it can be concluded that consumption and saving are successful in explaining stocks returns. Based on the estimated parameters in the models we can conclude that β is greater than 0.8 and savings is significant in preferences function but don’t have high value. In addition, these results indicate that economic agents are risk averse.

Date is as one of the important items of the agricultural production in Iran as Iran's share of global production was 14.1% in 2012 and rank of production increased to second in the world too. In recent years, price uncertainty in date market has increased due to changes in government policies on date prices pattern, from a guaranteed buying pattern to negotiated price pattern. According to the importance of this industry in the country and issues that are always in marketing and market making of agricultural products in developing countries, This paper seeks to measure marketing margins in the industry due to the product's market power and price volatility, and to achieve this goal, the main idea of this paper based on the study Brorsen et al (11). This paper provides a conceptual and empirical framework for analyzing marketing margins in a date market facing output price uncertainty in Iran. Present study evaluated marketing margins into component reflecting the marginal cost of the processing industry, oligopoly price distortions, and an output risk component. The empirical finding is that, while marketing margin is about 33%, the coefficient for oligopoly is more than the coefficient for oligopsony. In the other words, there is an asymmetric monopoly power among buyers and sellers, Also the estimated coefficient for price risk based on exponential GARCH approach indicates, this factor would affect the marketing margin about 7 percent, if all other factors remain constant.

One of the most important issues in financial economics is the capital asset pricing since in this context various models have been introduced and tested in different economies. One of these models is consumption-based capital asset pricing model (CCAPM) which in this model changes in stock returns related to changes in consumption. Housing CCAPM (HCCAPM) is a derivative of CCAPM model that was introduced in 2007 by Piazzesi et al (2007). In this model representative agent’s utility is function of aggregate of non-housing consumption and housing service consumption while in the model CCAPM, total consumer expenditure considered as a macroeconomic variable. The main purpose of this paper is to investigate effect of housing services and a nonhousing consumption good on stock returns. In this paper HCCAPM and CCAPM model is estimated for quarterly data 1367 to 1391 period of the Iran with generalized method of moments (GMM). The results show that all parameters are significant. Estimation of parameters in both models indicates economic factors are patient and very risk-averse. Comparison of these models using loglinear reduced formandHansen and Jagannathan (HJ)-distance function indicate that CCAPM model explains stock returns more better than HCCAPM model.

Food processing industries are one of the major industrial groups in developing countries which play an important role in the economic development of these countries. With the Developed and Developing Food Industry on the other hand، food security and providing food are very important in each country. In an overview، markets are divided into two groups: The first group is a market with perfect competition. And second group is markets with monopoly structure. One of the important features of markets that determine its type is the ability of the firms in the pricing and determiningof the amount of production. If the firms do not have any effect on these two factors، themarket has perfect competition. If the firms have the ability to influence price of productions، this market is non-competitive and a concept called market power emerges. In general، not only market power is the ability of firm in determination of price above the competitive situation، but also it does not let its share of sale to decrease. The existence of collusion in markets can makethem distantfrom perfect competition and make them incomplete. In economics and particularly in industrial organization، market power is the ability of a firm to profitably raise the market price of a good or service over marginal cost. In perfect competitive markets، market participants have no market power. A firm with total market power can raise prices without losing any customers to competitors. Firms that have power to set price are referred to as «price makers» or «price setters»، while those without itare sometimes called «price-takers». Significant market power occurs when prices exceed marginal cost and the long run average cost، so the firm makes economic profits. A firm with market power has the ability to individually affect either the total quantity or the prevailing price in the market. Price makers face a downward slopingdemand curve، such that increases in price leads to a lower quantity of demand. The decrease in supply as a result of the exercise of market power creates an economic deadweight loss which is often viewed as socially undesirable. As a result، many countries have anti-trustor other legislation to limit the ability of firms to create market power. Such legislation often regulates mergers and sometimes introduces a judicial power to compel divestiture. A firm usually has market power by virtue of controlling a large portion of the market. In extreme cases—monopoly and monopsony—the firm controls the entire market. However، market size alone is not the only indicator of market power. Highly concentrated markets may be contestable if there are no barriers to entry or exit، limiting the incumbent firm''s ability to raise its price above competitive levels. Market power gives firms the ability to engage in unilateral anti-competitive behavior. [1] Some of the behaviors that firms with market power are accused of engaging in include predatory pricing، product tying، and creation of overcapacity or other barriers to entry. If no individual participant in the market has significant market power، then anti-competitive behavior can take place only through collusion، or the exercise of a group of participants'' collective market power. The Lerner index and Herfindahl index may be used to measure market power. Examination of market power of different industries provides possibility that policymakers design and deliver model for processing food and beverage producers to guide them to the product that has the most social benefits.

The main purpose of this study is to assess and identify market structure and market power and estimate coefficient of collusion in the food and beverage industry. Estimates of market power in the food and beverage industry in Iran are few when compared with similar studies overseas. For local studies we can cite papers such as Alijani&Sabuhi (4)، Sheikh zeinodin&Bakhshude (3)، Safdarhoseiniet all (2)، Mazhari&Yazdani. Yet،foreign studies conducted in this area are varied in different sectors. For example، the studies Angelini&cetorell (15) andRezitis (24) in the banking system can be mentioned. Of the other foreign studies Leo (21)، Bresnahan (12)، Abayasiri (8)، Boyle & Hall (14)، Saitone& etal. (25)، Koontz (20)، Duravall (17)، Steen (29)، Salhofer and etAl. (28)، Allender (10)، Siton and et al. (25)، Rigoberto et all (22)، Lopez & etal. (22)، Oustapassidis& etal. (23) can be cited. The model in this paper to estimate market power used for the food and beverage industries has been developed by Bresnahan& Leo. In this model،by considering demand and supply market powercan be investigated. In the next step، marginal cost (cost function is Translog cost) and marginal revenue will be obtained. In the final step،by estimatingthe final equation market power can be calculated. The type of industrial classification used in this study is the International Standard Industrial Classification (ISIC). This kind of classification is widely used for empirical studies because of lack of industrial data on the basis of other classifications. We use firm level data aggregated to the4- digit ISIC code of industries. The purpose of this study is to estimate the market structure and market power of the food and drink industry in Iran. For estimating market power، conjectural variation is used.

In oligopoly theory، conjectural variation is the belief that one firm has about the way its competitors may react if it varies its output or price. The firm forms a conjecture about the variation in the other firm''s output that will accompany any change in its own output. For example، in the classic Cournot model of oligopoly، it is assumed that each firm treats the output of the other firms as given when it chooses its output. This is sometimes called the «Nash conjecture» as it underlies the standard Nash equilibrium concept. However، alternative assumptions can be made. Suppose you have two firms producing the same good، so that the industry price is determined by the combined output of the two firms (think of the water duopoly in Cournot''s original 1838 account). Now suppose that each firm has what is called the «Bertrand Conjecture» of −1. This means that if firm A increases its output، it conjectures that firm B will reduce its output to exactly offset firm A''s increase، so that the total output and hence price remain unchanged. With the Bertrand Conjecture، the firms act as if they believe that the market price is unaffected by their own output، because each firm believes that the other firm will adjust its output so that total output will be constant. At the other extreme is the Joint-Profit maximizing conjecture of +1. In this case each firm believes that the other firm will imitate exactly any change it makes in output، which leads (with constant marginal cost) to the firms behaving like a single monopoly supplier. The results show that it is significant uncompetitive pattern for 18 of the 19 industries. Existence of oligopoly industry for 12 shows the non-competitiveness of this industry. The flour and cereals production industry has 2. 24 degrees of collusion and the tea industry has 2. 14 degrees of collusion. Degree of conjectural variation is between 0. 43 and 2. 24. These numbers are related to carbonated soft drinks industry and production of flour and cereals.

This paper discusses the Market Structure and the Degree of Market Power and Collusion Index of Food and Beverage industry on the basis of Modern Industrial Organization (NEIO) with Bresnahan- Leo (1982) Approach. For this Purpose، data of ISIC Four- Digit Code is used to investigate the 19 industries for the years 2005-2011. The result showsthat competitive conditions for 18 Industriesaresignificant. The degree of Market Power is between 0. 43 and 2. 24. 12. The industry has Oligopolistic Market and Production of Oil and Fat Industry has a Monopoly Market close to perfect. Conjectural Variation for the Industry of Flour and Tea isvery high، with 2. 42 and 2. 14، respectively. Except malt and alcohol-free beer industry، uncompetitive model is significant for other industries. In summary، industries with a high degree of collusion will include: processing and preserving of fruit، sugar production، bakery، livestock slaughtering and poultry. Industries with a low degree of collusion will include: production of animal and vegetable oils and fats، tea making، producing Malt and alcohol free beer. Industries that follow Cournot Model will include tea making. Industries with coefficient of collusion between 2 and 5 will include: processing and preserving of fish، dairy products، animal feed production and the production of sugar، bakery، bread، pastries، biscuitsand soft drinks. Industries with a competitive model will include date palm sorting.

In this paper، we investigate Conjectural Variations elasticity in Iranians Food and Beverage industry using Iwata approach، The conjectural variation function is extracted from demand and supply information also optimization process on producers’ behavior. The experimental estimates of conjectural variation elasticities were obtained based on price elasticity of demand، cost elasticity and marginal cost elasticity for the selected industries. In this research demand function AIDS was used to obtain the price elasticity. The AIDS function was estimated using SUR and the demand price elasticity is calculated by calfent. The results show that «Vegetable oils and animal» industry with 19. 37 have the most conjectural variation elasticity among the selected industries (The more divergent the conjectural variation elasticity is from zero the more likely the monopoly exists). In addition، dairy، sugar and malt industries have the most conjectural variation elasticity with 18. 01، 17. 18، and 10. 51 respectively.