جستجوی مقالات مرتبط با کلیدواژه "فیلتر کالمن" در نشریات گروه "اقتصاد"

In the current research, by applying the Barrow model and using the Kalman filter approach and the concept of implicit trend by introducing an unobservable variable, the relationship between inflation and economic growth in Iran during the period of 1353-1401 was investigated. In this research, the variables of capital stock, labor force, life expectancy, literacy rate, exchange rate margin, inflation rate, inflation squared and gross domestic product were used. Also, in order to compare the results of estimating the effect of inflation on economic growth and to examine the long-term results, the autoregressive distributed lag model (ARDL) was used. The results indicate that the threshold level of inflation is 16.9% in the short term and 9.4% in the long term. Therefore, it is recommended that the targeting of the inflation rate lower than these levels should be considered. Also, the relationship between labor force, capital, life expectancy and literacy rate variables with positive and significant economic growth was estimated and the negative relationship between exchange rate margin and economic growth was confirmed. Therefore, to increase economic growth in Iran, the policies of increasing employment, increasing capital stock and reducing the exchange rate margin are recommended.

In this paper we estimate the unrecorded economic activity in Iran during 1350-1400 by Kalman filter technique (state –space approach). In the model used in this paper, the unrecorded economic activity is considered as an unobserved process that depends on regulatory quality, control of corruption, size of government, income tax, population, etc. and affects cash in circulation and energy consumption. In Iran the findings suggest that unrecorded economic activity in Iran has increased sizably the years under review especially in recent years. Furthermore, we saw that control of corruption has a negative and significant effect and regulatory quality has a negative and significant effect and size of government has positive and significant effect and income tax has a positive and significant effect and population has a positive and significant effect on size of unrecorded economic activity.

In the conventional Input-Output model, all final demand components including household consumption, government expenditures, capital accumulation and exports are considered as exogenous variables. The basic limitation of the open Input-Output model is ignorance the relationship between the production sector and the household. In this way, if there is an increase in demand for the products of some industries, such an event will directly lead to an increase in the production level of these industries in the first place. On the other hand, the increase in production in turn leads to an increase in the level of production in related industries through previous connections. The increase in income resulting from higher levels of household economic activities leads to an increase in household consumption and as a result stimulates more activities in the production sector. Based on this, the production sector and the households are related to each other through the income-consumption relationship.In order to estimate the income-consumption relationship, household consumption should be included as an endogenous variable in the Input-Output model, while in the conventional (open) Input-Output model, household consumption is considered as an exogenous variable. To solve this limitation, Miyazawa (1976) presented a new Input-Output model in which he considered household consumption as an endogenous variable. Miyazawa's model is known in the relevant literature as a semi-closed Input-Output model with endogenous consumption. Despite this, Miyazawa's model, similar to Keynes' consumption theory, considers household consumption solely as a function of current income, while according to other theories of consumption behavior, household consumption depends on other factors such as past consumption levels and income. It also depends on the expectation. Accordingly, in this research, the semi-closed Input-Output model with semi-endogenous consumption, introduced by Chen et al (2016), was used because this new model adapts the Input-Output model to other consumption theories and corrects the failure of the previous model. In this framework, household consumption is divided into two endogenous and exogenous parts, so that the endogenous component is influenced by current income and the exogenous component is influenced by other factors affecting consumption. In fact, it is only endogenous consumption that enters the mediation matrix.

In this research, the results of the new semi-closed Input-Output model with semi-endogenous consumption (Chen et al (2016) model) and the semi-closed Input-Output model with completely endogenous consumption (Miyazawa (1976) model) were compared. In this regard, first, endogenous consumption coefficients for 12 product groups were estimated using the Kalman filter model, and then, the estimated endogenous consumption coefficient of each category of goods was compared to the endogenous consumption coefficient of the data sections by means of the interface matrix. The receipt was converted.In order to compare the performance of the two models of Miyazawa (1976) and the model of Chen et al (2016), the effect of government capital formation on the value added of different sectors was evaluated using the two mentioned models.

Failure to consider other factors affecting consumption will lead to upward deviation in GDP estimation. In this way, it can be concluded that the semi-endogenous model solves the insufficiency of the completely endogenous model and its results are closer to reality.

the gross domestic product was obtained based on fully endogenous and semi-endogenous models (9601201) and (9329172), respectively. These findings show that Miyazawa model considers all household consumption as a function of current income, and also due to the lack of consideration of other factors affecting consumption such as expected income, consumption level. Also, in Chen et al.'s model, the calculated added value is smaller compared to Miyazawa's model, because by analyzing and separating exogenous consumption from total consumption, only endogenous consumption entered the table of intermediary exchanges.

The present paper explains the dynamics of substitution tensions between fossil energy carriers for gas consumption in the transportation sector of Iran in the horizon of 2025 using seasonal space model and Kalman filter approach for the years 2006-2019 in the form of quarterly data. Based on the results; Price elasticity and revenue elasticity of gasoline and gas oil are -0.20, -0.15, 0.27 and 0.41, respectively. Income elasticity of products indicates that gasoline and gas oil are normal commodities. Also, the price elasticity of both products is less than one. Among the important factors in the low price elasticity of gasoline and gas oil with gas consumption in the transportation sector of Iran can be; Searched for supply and demand. On the supply side, we can mention the small number of stations compared to cars and the compressed gas distribution capacity of each province in relation to the population. This difference is so great that it has created a difference of 500% between the best and the worst province. On the demand side, we can mention the extra costs of repairing and maintaining gas-powered vehicles compared to gasoline-powered vehicles, less power, reducing trunk space, and so on.

In 1979, Tirlwall introduced a model called the Balance of Payments Equilibrium (BOPE) model, stating that demand growth could be curbed by the balance of payments deficit, thus limiting further economic growth. The important point in examining the Tirlwall law is the important role of oil exports in providing foreign exchange resources and the important role of these resources in the balance of payments in oil-rich countries such as Iran. The aim of the present study, in the first step, is to validate the Tirlwall model by estimating the balance of payments equilibrium growth in the Iranian economy during the period (1982-2018) by using the Kalman Filter approach in the form of a Time-Varying Process (TVP). This method is able to consider the structural changes of the economy that affect trade elasticities and include them in the model. Then, the factors affecting the growth rate of BOPE in the Iranian economy have been studied by examining 10 related explanatory variables. For this purpose, Bayesian Model Averaging (BMA) technique has been used. The advantage of this method is in increasing the quality of average estimation and solving the problem of uncertainty due to model specification and instability of coefficients. The results of the study show that in general in the Iranian economy, the Tirlwall law is not valid and therefore the balance of payments does not limit effect on economic growth in Iran. Also, in examining the factors affecting the growth rate of BOPE, this study emphasizes the importance of the direct and indirect effect of aggregate demand on the income elasticity of imports and export growth through capital accumulation (especially fixed asset investment).

The purpose of this study is to find an accurate estimate of the exchange rate-CPI relationship in Iran over the past three decades. The results of the Granger causality test in the frequency domain demonstrate a strong causation from the exchange rate to CPI especially in the long run. The results of the wavelet analysis show that in the currency crisis periods, the exchange rate-CPI correlation rises not only for the long run (low frequencies) but for the short run (high frequencies). According to the results of the state-space model, the exchange rate pass-through jumps in the currency crisis periods, consistent with the results obtained via the wavelet analysis.

The purpose of this paper is to investigate the estimation of gasoline demand by the state-space model and the implications for price liberalization using the Kalman filter technique in the framework of time-varying pattern. For this purpose, data on the Energy Balance Sheet and the National Iranian Oil Refining and Distribution Company during the period of 1396-1374 have been used. The results of the estimation of the model indicate that the price elasticity of gasoline varies in the period under review and after implementing the targeted subsidies (1389-1396) in some seasons of the year, absolute value the price of gasoline increased and decreased in some seasons. With three different scenarios, it is expected that each year, with a 10% increase in gasoline prices in the sixth development plan, Unexpectedly, demand for gasoline will not decrease .Also, due to the fact that absolute value of the stretching of the price of gasoline at the beginning of the sixth plan of development is greater and at the end of the program, the gasoline price increase over the program should not be the same. Therefore, it is recommended that planners and policy makers to control the demand for gas should set the price of gasoline in the sixth development plan more than 10% and this increase should be from the beginning of the program to the end of the program ascending.

Philips curve studies are one of the major issues of macroeconomics and have long been tested in empirical studies. Hybrid New Keynesian Phillips Curve developed by Galí and Gertler, generally believes that in the short-run there is a trade-off between inflation and excess demand due to nominal rigidities, while inflation in the long run is constant at the Non-Accelerating Inflation Rate of Unemployment (NAIRU). By contrast, Gordon in his triangle model assumes the NAIRU to be variable over time. In this regard, the present study, using by Time-Varying Parameter approach tries to create a new insight into the validity of the Philips curve in the Iran's economy. In this way, the data for the period 1960-2016 have been used. Given the conditions of the Iran's economy, the coefficients were estimated at six time points. The results show that the Phillips curve parameters in the Iran's economy are not stable. So that the share of forward-looking expectations in this instability is significant. The coefficients obtained for the output gap showed that in the most years the slope of the Philips curve in the Iran's economy has been positive, and its validity cannot be generally confirmed. Accordingly, it is impossible to make a definite statement about the Phillips curve subordinate form.

The preferences of individuals towards risk are one of the most important economic variables and have a significant impact on economic decisions. Investment decisions, consumption, saving, purchases of insurance and future contracts are among the decisions where risk preferences play a key role. Considering the importance of risk preferences in the decision-making process, it is necessary to calculate an indicator that can show the state of risk-orientation in the whole economy. The purpose of this paper is to estimate the time series of the risk aversion parameter in Iran's economy based on quarterly data during the period of 2002-2017. For this purpose, Time- Varying parameter GARCH in mean models was used. Estimates of risk aversion in Iran's economy showed that this parameter was not constant in Iran's economy and fluctuated between 0.81 and 7.6 over the period under study. The results also showed that risk aversion is much lower in the boom period than the recession and has a countercyclical behavior.

The purpose of this paper is to estimate oil products demand by the state-space model, taking into account the implications for price liberalization using the Kalman filter technique in the framework of a time-varying pattern. For this purpose, we use the data of the Energy Balance Sheet and the National Iranian Oil Refining and Distribution Company during the period of 1994-2017. Our model results indicate that the price elasticity of oil products varies during the studied period.   Using three different scenarios, we consistently find that a 10% annual increase in oil product prices during the sixth development plan, leads to a decrease in the consumption of kerosene and fuel oil, while gasoline and gas oil consumption increases.  We thus observe that while kerosene and fuel oil demand responds as expected to rising prices, the price sensitivity of demand for gasoline and gas oil declines.  We observe that while the absolute value of the price elasticity of gasoline has fallen unexpectedly, the price elasticity of kerosene, fuel oil and gas oil have increased. Therefore, in order to encourage gasoline consumers to reduce their demand, the speed of price liberalization at the end of the sixth development plan has to be more than at the beginning of the program. However, the rate of price increase for kerosene, gas oil and fuel oil products has to decrease at the end of the program.

The inflation rate, which measured using consumer price index, can be separated into a combination of two persistent and temporary components. This separating is particularly important in analyzing inflation rate and policies to control it. In fact, without knowing the persistent component of inflation, called core inflation, quantitative targeting of inflation may not be accurate. Core inflation as a more persistent component can be measured stripping out the transitory movements in prices. The understanding of the behavior of the national core inflation rate series needs to understand provincial core inflation since the construction of the former is based on the provincial series. So, the purpose of this paper is the estimation of provincial and national core inflation in Iran. Core inflation is unobservable variable, so it estimated using Space State Model and Kalman Filter. Results show that average core inflation in all of the provinces, as well as Iran, is less than average underlying inflation. The standard deviation of core inflation in some provinces is more than underlying inflation. While core inflation in other provinces, as well as Iran, has more standard deviation as compared to underlying inflation.

Post Keynesian growth model considers the use of production factors as a function of production and introduces demand as the main determinant of economic growth. Accordingly, Thirlwall (1979) presented a model suggesting that demand is restrained by the balance of payments deficit and turns into substantial limitations to achieve higher economic growth rate owing to balance of payments deficit. This model is known as Thirlwall law or “balance of payments constrained growth model”. In this model the maximum rate of economic growth consistent with the balance-of-payments equilibrium is figured out using income elasticity of import and export. Identifying the barriers to achieving the target growth rate has been turned into one of the most controversial economic issues because of the challenges of low economic growth in Iran. Thus this study is going to provide an answer to the question that, based on Thirlwall law, Whether the balance of payments deems obstacles to the target growth rates of development programs for the Iran’s economy or not? To accomplish this, first the long run cointegration relationship of import and export demand functions was approved by autoregressive distributed lag model (ARDL). Then, regarding the importance of the elasticities of above functions on the results of the study and removing the structural instability of the model coefficients, time–varying parameter (TVP) and Kalman – filter were used to estimate the elasticities. Finally the validity of Thirlwall law was not confirmed during 1984-2013 applying Wald Test. Therefore, it can be claimed that aggregate demand has not restricted the economic growth through the balance of payments. Low income elasticity of import, combination of imports, restrictions on imports and dependence of foreign trade on oil revenues are the most important reasons for the results.

Inflation targeting is a monetary policy system that the central bank independence, the absence of fiscal dominance, the determinate and unique target and the efficient outline for prediction of inflationa are its requirements. However the target should be determine and checked by the monetary strategy. Also in successful countries to reducing inflation, structural reforms in economy such as public and banking sectors, have had an important role.
Meanwhile the investigation of other countries experience in regards inflation targeting, the study tries to suggest a monetary policy rule that its coefficients are time-varying. Hence using state space model and Kalman filter, the study tries to investigate Taylor and McCallum rules for Iranian economy during 1378:01-1393:04 which their coefficients are time-varying.
The results show that the monetary policy according to Taylor's and McCallum’s time-varying rules has respond to inflation and exchange rate changes and the non-time-varying coefficients such as GDP gap, dummy variable and the lag of policy variable.

The short–term inflation dynamics and its cyclical interactions with real economic variables are basic issues in the context of monetary policies analysis. This study investigates and estimates the hybrid new Keynesian Phillips curve for Economy of Iran during 1971-2008. On this curve, the effective variables on current inflation would be future inflation, lagged inflation and GDP gap. This paper makes use of three Kalman, Hodrick- Prescott and band-pass filters to estimate GDP gap. There is a structural break in 1979 due to victory of the Islamic Revolution in Iran. Findings indicate that GDP gap has a significant positive impact on current inflation, which means the effectiveness of real variables, besides monetary policies, on inflation in the long-run. Our findings are consistent with other Phillips curve models, which confirm the effective role of output gap on current inflation. In addition, the coefficients of the expected inflation and lagged inflation variables are statistically significant, which indicate that firms look forward and backward in setting prices, but coefficient of expected inflation variable is higher than that of lagged inflation, means that firms pay more attention to the expected inflation in setting current prices. The evaluation tests indicate the accuracy and reliability of models.

Sustaining long-term price stability, even when the central bank does not adopt an explicit inflation targeting policy, is known as the primary objective of monetary policy. Moreover, due to the lags of monetary policy, choosing appropriate measure of inflation is very important. Thus, in many countries, core inflation is widely calculated as an indicator that clarifies long-term trend of inflation and it is used to predict inflation and also to have an inflation target. The concept of core inflation and its efficiency in identifying long-term inflation trend can help policy-makers to have a better understanding of inflation components. Inflation in Iran has been influenced by many internal and external shocks. In this study, core inflation in Iran is estimated by using the Kalman filter in the context of structural time series during the period of 1974-2011. Based on the result, core inflation is affected by long-run effects of variables such as monetary base and liquidity and it has fluctuations like the measured inflation and the value of core inflation on average in the period under study is 15 percent.

Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future. Pricing of this tool depends on expected price of asset or commodity at the maturity date. According to this, theoretical futures pricing models try to find this expected price in order to use in the futures contract. So in this article, three futures pricing models have been considered. In the first model, Ross (1995) and Schwartz (1997) one-factor pricing model without spot price jump will be presented. In two other models, expansion of this model with using of jump-diffusion processes and considering the stochastic jump in spot price will be presented. In these models is assumed that magnitude of spot price jump has an exponential distribution or uniform distribution. Then, to experimental study of theoretical models, Iran’s gold coins futures market data will be used and parameters are stimated with Kalman filter algorithm and maximum likelihood function.

This paper tries to demonstrate the importance of non-economic exogenous factors (Underlying Energy Demand Trend) when we estimate the industrial energy demand for Iran. The Structural Time Series Model (STSM) approach is used to model these unobservable factors. The Kalman filter and Maximum Likelihood methods allow us to estimate the value of the UEDT. This approach enables us to obtain more reliable estimates of income and price elasticity as well.  We use the derived values of UEDT, and price and income elasticities to evaluate the impact of economic and non-economic exogenous factors on industrial energy demand. The results show that the UEDT has a positive trend and the industrial sector has become more energy intensive over time.  The results further indicate that technological improvement and other non-economic exogenous factors have no impact on energy efficiency in the Iranian industrial sector. Our model estimated short run income and price elasticity as respectively 0.33 and 0.08. The UEDT has a great impact on energy demand change over the time spam (1353-1391).  This impact is greater than that of the income and price impacts.  We also observe that demand for energy in the industrial sector is more sensitive to the level of activities (value added) than price.

Nowadays، different methods are used to calculate the capital stock in Iran. For example، the Central Bank uses permanent inventory method (PIM) to calculate the capital stock، however the researchers have used the production function method or the method of the ratio of capital to production in different periods. The present study aims at estimating the capital stock in Iran’s economic sectors. By comparing the results of permanent inventory method (PIM) and production function method، it is observed that the estimations by production function method are more suitable due to the data limitations. The same method was applied for the U. S. regarding data limitations and estimations were compared with the U. S capital stock; and once again the production function method was selected. It is found that the depreciation rates in agriculture، industry and mining، building، services، oil and gas، and water and electricity are 5. 8، 4. 9، 7. 8، 3. 5، 6. 3، and 4. 1 per cent، respectively. In order to make the depreciation rate more reliable، these rates were compared with the similar researches in Iran and a close relationship was found among them.