فهرست مطالب ahmad ezzati shourgoli

The present study aims to examine the impact of different types of income (oil and tax) and government expenditure (current and construction) shocks on inflation under varying inflationary conditions. To achieve this objective, quarterly data from the Iranian economy from 1369 to 1399 was utilized, and a regime switching structural vector autoregression model based on stochastic volatility was employed to analyze. In this approach, inflation was considered as a regime variable, and a threshold value of 21% was estimated for each season. Subsequently, regime switching impulse response functions were employed to explore the effects of shocks in oil and tax income, current and construction expenditures, exchange rate, liquidity, and GDP growth on inflation. The findings of the STVAR-SV model employed in this study demonstrated that the impact of shocks in government revenues (oil and tax) and expenditures (current and construction) on inflation is much stronger in the high inflation regime (inflation above 21% in each season) compared to the low inflation regime (inflation below 21% in each season). Notably, the effect of shocks in government construction expenditures and oil revenues is significant solely in the high inflation regime, while being nonsignificant in the low inflation regime. Conversely, shocks in current government expenditures and tax revenues have a positive and significant effect on inflation in both inflationary regimes.

Every economic and financial variable has a series of fundamental variables that have a significant impact on its price. In fact, researchers consider price deviations in financial assets as pricing bubbles. In this regard, the present research has investigated the price bubble in the exchange rate in Iran's economy by considering two important fundamental variables of the exchange rate, i.e. Inflation and liquidity growth. Therefore, the generalized Dickey-Fuller test based on the Markov rotation model and seasonal data of the Iranian economy has been used during the period of 1990-2021. For this purpose, first, the generalized Dickey-Fuller test was specified in the form of a Markov switching model for the exchange rate, and then, based on the Monte Carlo method, estimated coefficients and t-statistics were used to investigate the stationary or price bubble in the exchange rate. The results showed that there is a possibility of a price bubble in the regime of fluctuating exchange rates. Therefore, in order to ensure this issue, the fundamental variables of the exchange rate were specified in the form of a Markov switching model in order to determine whether the fluctuations and jumps observed in the exchange rate are due to a price bubble in the exchange rate or due to a natural reaction to changes in inflation and Liquidity growth.

In the macroeconomics and international economics literature, the rate of change in domestic prices as a result of exchange rate changes is known as the degree of exchange rate pass-through. This is important because the shocks to the economy are transmitted from the exchange rate channel to the relative prices of the economy. In addition, the degree of exchange rate pass-through is affected by microeconomic and macroeconomic variables, so that the degree of exchange rate pass-through will change along with their changes. Therefore, in the present study, the impact of exchange rate on domestic prices is estimated by using the Time-varying Parameter Factor Augmented Structural VAR with Stochastic Volatility (TVP-SFAVAR-SV) and applying seasonal data from 1990 to 2018. First, the latent variable of the amount of speculative activities in the Iranian economy is modeled and estimated. The results show that the highest speculation belongs to the periods 1994 -1996, 1998-1999 and 2011- 2012. Also, the shock to the speculative activities variable in the period under study has led to an increase in inflation. The estimated exchange rate pass-through coefficient has not been constant. Historical variance decomposition analysis of exchange rate pass-through in the presence of the effective factors also shows that the almost all exchange rate fluctuations can be explained by inflation and exchange rate fluctuations, and production gaps.

The purpose of this study is to evaluate and assess the degree of exchange rate pass-through in countries with medium and high per capita income. To this end, data from 59 different countries (including 39 countries with average per capita income and 20 countries with high per capita income) have been used over the period 1980 to 2018. The results of the GMM model show that the degree of exchange rate pass-through in countries with medium and high per capita income is 14% and 16%, respectively. As the per capita GDP increases, the degree of exchange rate pass-through increases. Also, the results of the nonparametric panel model with time-varying parameters show that the degree of exchange rate pass-through vary over time in both groups of countries. And in the 1980s, the degree of the exchange rate pass-through was at its highest level. In such a way that in countries with medium per capita income after the 1980s, the degree of exchange rate pass-through declines until 2005, and after 2005  until 2018, the rate of exchange rate pass-through again increased. However, in countries with high per capita incomes, the rate of exchange rate pass-through during 1980 to 1993 had an increasing trend, but after1993 the rate of exchange rate pass-through has declined almost continuously until 2018.

Over the past two centuries, the role of government and the composition of government spending have changed in most countries of the world. Theoretically, there is no consensus among economists about the size of the state and the degree of state interference in the economy. On the one hand, one can observe classics and market's proponents who believe in a small government and little interference in the economy, and on the other hand socialists and Keynes believe in a lot of interference and a large government. This study, using data during 1967-2016 and Using nonlinear unit root test of caner and Hansen 2001, the nonlinear Co-integration of Enders and Siklos 2001 and Hansen's threshold regression model and based on the study of Annaman (2004), aimed to estimate the range of government optimal size for the Iranian economy by estimating a three-regime Non-linear threshold regression model. The results of this study show that the optimal size of the government in terms of current government expenditure (the ratio of current government expenditure to GDP) in the Iranian economy ranges from 10.12 to 18.25% and the optimal size of the government in terms of capital government expenditure (the ratio of capital government expenditure to GDP) in the Iranian economy is around 9.05 to 4.32%. Also, the degree of integration and co-integration of the variables follows a nonlinear threshold autoregressive process. As such that In the first place, some of the economic variables in Iran, according to the situation, have different degree of integration. Also Shrinking shocks, in comparison with increasing shocks create further deviations in the long run trend of the economic growth.

Barro (1990) by adding government spending into the growth models showed that the amount of government activities have a positive impact on economic growth, But if government spending is increased over a certain size, government activities will have a negative impact on economic growth. In this direction, this paper by using theoretical Barro growth model and an empirical model for Iranian economy tries to investigate the impact of current and capital government expenditure on output growth using ARDL approach and state-space models applying quarterly data during 1967-2014. First, using Lumsdaine-Papell (1997) unit root test and Gregory-Hansen (1996) and Saikkonen and Lutkepohl (2002) cointegration test we determine the degree of integration and cointegration of the variables. The results indicate that there are structural breaks in the variables under study and these breaks affect the relationship between variables. Then we use ARDL model, considering structural breaks, to determine threshold level for current government expenditure which is 15.2 percent and for capital government expenditure which is 8.2 percent of GDP per head. Regarding Lucas theoretical critique and empirical structural breaks in the Iranian economy, we use state space model to investigate relationship between growth and the government size and the results indicate that coefficients are not stable during time and they behave differently regarding the source of the shock.