جستجوی مقالات مرتبط با کلیدواژه « impulse response » در نشریات گروه « علوم انسانی »

This article, is going to study arbitrage opportunities between exchange-traded funds (ETFs) and their underlying portfolio. Therefore, we extract intraday data, and then carry out our research methodology to examine  arbitrage opportunities. Also, we study price and order flow behavior around the opportunities. We chose two Iranian ETFs named PALAYESH and DARA YEKOM as our research sample. In this article four variables including ETF return, underlying portfolio return, ETF order flow, and underlying portfolio order flow will be used to test our findings. After extracting data, we study the sigificant relationship between ETFs and their underlying portfolio by the Vector Autoregressive (VAR) model estimation. Finally, we found evidence about the divergence of ETF and its underlying prices and observe that mispricing correct through time by arbitrage mechanism

The purpose of this study is to investigate the impact of government consumption expenditures on macroeconomic variables in oil and non-oil developing countries during the period 2004-2018. For this purpose, the panel vector autoregressive model (Panel Var) was used to investigate the impact of government expenditures shocks by two techniques of impulse response and variance decomposition in this model. The results of the shock response indicate that in oil and non-oil countries, the shock of government consumption expenditures in the short, medium and long run has a positive and significant effect on GDP and employment and a negative and significant impact on investment. That is, an increase in government consumption expenditure leads to an increase in GDP and employment and a decrease in investment in both groups of countries. Analysis of variance decomposition also showed that in oil and non-oil countries, the shock of government consumption expenditure has the greatest impact on GDP in the medium and long run. That is, in both groups of countries, government consumption expenditure explains a large share of changes in GDP.

The purpose of this study was to investigate the existence of bubbles in the capital market of Iran market by using Applied to Generalized Supremum Augmented Dickey-Fuller and Impulse Response and analysis of Variance Decomposition. For this purpose, using monthly data, four indices (the price / profit ratio Share, total market price index, exchange rate and inflation rate) were investigated for the period from 2011 to 2018, and the stock price bubble was discovered.The results obtained from the tests, explosive behavior and the existence of multiple bubbles in the Iranian investment market have been confirmed, both of the indicators evaluated (price / earning per share and the total price index) co-exist with the bubble in the intervals of 03.2011-07.2014and 09.2015-04.2017indicated a failure of the bubble on 08.2014 and 05.2017. The Results Response Functions (IRFs) confirmed that seeking to inflate a shock to a standard deviation and exchange rate, the stock index created a bubble, so that this created bubble in standard deviation has led to a defead in the past eleven month, but the exchange rate in the the fifteenth monthes the bubble of stock index has been flooded . The results of these prediction error (VDCs), it also indicate that the forecast error of the inflation variable on the stock index has been completely ineffective. Nevertheless this forecast error in the long-term exchange rate has had a significant impact on the index and eventually the on bursting of the bubble.

The issue of labor supply and employment level response to the taxation system is one of the most controversial issues in the theoretical literature of economics with an uncertain outcome. The purpose of the present study is to examine the impact of fiscal policy on employment taxation and to test the hypothesis that taxation has a negative impact on employment rate. For this purpose, the Error Correction Method (ECM), the Toda-Yamamoto causality test and Iran annual time series data were used for the period of 1978 - 2017. The results of the vector error correction method confirmed a positive and significant relationship between the variables of import tax, GDP and consumer price index, as well as a negative and significant relationship between corporate tax and unemployment rate. Impulse response functions also shows that with the positive shock of corporate tax variables, the unemployment rate increases in the short run and tends to zero in the long run. Also, by creating a positive shock from the import tax variables and the consumer price index, the unemployment rate drops in the short run and tends to zero in the long run. It should be noted that the impact of positive shocks on GDP is on the volatile unemployment rate.

In this paper, for evaluating the price setting model compatible with Iran's economy data, sectoral inflations are decomposed into macroeconomic and idiosyncratic shocks using a factor model. Based on the results, there is a significant difference in sectoral price responses to macroeconomic and idiosyncratic shocks. Some initial price setting models such as Calvo model cannot explain the heterogeneity price behavior of macroeconomic and idiosyncratic shocks. Two theoretical price-setting models that are able to explain this finding are rational-inattention model and multiple sector model with sticky prices. Using the results obtained from the factor model and other statistical characteristics of sectoral inflation, the frequency of price changes has little contribution to explaining the changes in size and the speed of response of prices to macroeconomic shock. Moreover, the idiosyncratic component is negatively correlated with the volatility of the common component. These findinges can not support a multi-sector model with sticky prices. Because this model predicts that the price response to the macroeconomic shock in a sector that has a relatively high price change frequency should be greater because the pricing evolution process is performed faster. On the othe hand, the results show that among the different sectors, idiosyncratic shocks that are more volatile are less responsive to macro shocks. These findings support the rational inattention model rather than a multi sector model with sticky prices.

In the systemic view¡ the term Resilience refers to “the preservation of system in the time of chaos”¡ and subsequently the Economic Resilience indicates per se¡ the ability of the economy to recover from an unexpected external shock¡ in toto. In this context¡ a sound banking system with low risk of default¡ solid capital reserves¡ and high rate of return which is pro rata¡ endowed with modicum degree of volatility and plausible rate of profitability¡ could potentially repulse any undue external shocks¡ Sine die. In this paper¡ an attempt is made to investigate de facto¡ the determinants of factors affecting the Equity ratio of 18 designated banks as a proxy for application of Resilience approach in the Iranian banking system for the sample period of 2005-2013¡ viz-a-viz¡ utilizing the Impulse-Response Model and Variance Decomposition Technique thereto. Meanwhile¡ we have specified the impact of GDP on capital formation of those banks under the study as supply shock and similarly¡ we have postulated the effect of liquidity as monetary shock¡ the impact of inflation rate as demand shock and also the amount of capital as another proxy for employing the resilience perspective in the economy¡ Ipso facto. However¡ to appraise the supply¡ money and demand shocks¡ we estimated the one standard deviation for each variable¡ de jure. The results prima facie¡ indicate that the amount of liquidity as monetary shock¡ bears the highest impact on capital formation of banks under the review¡ while the effects of demand and supply shocks on dependent variable have remained next to it¡ Sui generis. Thus¡ we conclude that¡ the monetary shock is the most effective and significant factor affecting on capital formation of banking industry that eventually can depict the outstanding resilience outlook in the time of crisis¡ and will bestow upon profound precedence¡ compared to demand and supply shocks¡ Sine qua non.

The main purpose of this paper is study the effects of budget deficit shock on the current account deficit in the presence of output shocks in Iran's economy. Moreover, the impacts of budget deficit shock on the exchange rate, GDP shock on the budget deficit and the current account deficit are also analyzed. To achieve these goals, we have used a Vector Autoregressive Model (VAR), Impulse response functions and Variance decomposition. In estimation, we have utilized four variables as budget deficit, current account, GDP and real exchange rate. The results of effect of GDP shock on the budget deficit and current account deficit indicate a negative relation between these two deficits. In other words, the phenomenon of "twin divergence" has been verified. On the other hand, in both cases, the government revenue and the government expenditure shocks on the components of current account, the phenomenon of "twin divergence" weakly has been verified.

In the export promotion strategy one can reach to this idea that devaluation has a positive impact on export, and this can lead to GDP growth. Given the current situation of world economy in which many countries find themselves in the financial crises and U.S. economy go to a recurrent crises and stagnation, and given the especial situation of Iran which is far away from domestic and foreign equilibrium, this idea is gaining attention of policy makers in Iran. But at the same time this has many proponents and opponents, for example, manufacturers is concerned with the inflation of imported raw material and capital equipment which increase the cost of production, while proponents argue that devaluation has positive effects on export and GDP.
Also policy makers have other concerns about tuning the export promotion strategy. They most promote export and at the same time must be careful about keeping the internal equilibrium (mild inflation), the equilibrium of internal supply and demand, external balance (the equilibrium of balance of payment) and increasing employment. Therefore they most execute a mixture of monetary, fiscal and exchange rate policy for doing those tasks to reduce domestic absorption, attain balance of payment equilibrium, government budget equilibrium and taming inflation. For this purpose it is necessary to have a large scale econometric model for executing these programs. But with smaller model can attain this goal, as we done in this paper.
Here we pose this question that if devaluation has a positive effect on export and growth using a Panel VAR model to build a dynamic system to construct impulse response functions for panel VAR model and show positive effect of devaluation. Results show that devaluation has a positive impact on export and with reducing government consumption, inflation is reduced and the economy can reach to higher level of private sector investment.

In this study, the behavior of GECF organization has been studied as an integrated cartel. Accordingly, the supply side of world natural gas market is considered as a monopolistic market in which GECF plays the role of the price maker firm. This study is used to predict and analysis cartel behavior applying annual data for the period of 1980-2010, considering gas markets are influenced by shocks. Results represented high dependency of cartel gas supply to prices in short-term whereas the prices are independent of the amount of gas supplied in the market. Survey shows that if cartel supply is influenced by a shock, its meaningful effects on cartel supply prolong for four periods without affecting on prices. However if a shock comes to the gas price, it affects both prices and next-periods supplies so that its significant effects on next periods persists for 4 and 5 years, respectively.