جستجوی مقالات مرتبط با کلیدواژه "dynamic programming" در نشریات گروه "اقتصاد"

Since achieving low and stable inflation alongside economic growth considered as the ultimate goals of central banks and success in macroeconomic performance, on this paper effectiveness of monetary policy in Iran is investigated. In other words, the aim of this study is to determine optimal monetary policy rule to stabilize output gap and inflation deviation. In this way, using Dynamic Programming, monetary policy maker's loss function with respect to monetary transmission mechanism constraints will be minimized and optimal monetary policy rule is extracted. In this paper, to evaluate optimal rule changes during the 1994-2015, the total time period is divided into two periods 1994-2004 and 2005-2015 and the efficiency monetary policy changes in two periods examined and compared. The results of optimization and achieving optimal monetary rule in the first and second period shows the sensitivity of policy makers to deviations of inflation and output gap in the second period has increased than the first period. And also, the reaction of money supply growth rate to output gap was more severe than inflation deviation in the whole period. According to the estimated results, policy makers could increase economic growth in the short term by monetary expansion but should accept higher inflation and lower long-term growth during 2005-2015. In the other words, policy makers obtain benefits by monetary contraction in the form of lower inflation and long-term economic growth.

Efficient portfolio management, has been attractive for financial researchers and was wished for investors from past to now. In this research, a multiperiod portfolio optimization problem for asset liability management of an investor who intends to control the probability of bankrupt is investigated. The proposed portfolio is consisting of number of risky assets, risk free asset and a type of debt. A mean variance model, with constraint of bankrupt controlling in different time horizons is proposed. Lagrangian Multiplier Method with dynamic programming is used for solving proposed model and regarding to its complexity degree, Genetic algorithm was the best selection for reaching numerical results. The proposed model is ran with real data consisting of 10 accepted company in Tehran stock exchange, bonds and bank loan as an investor debt.

In this article we present a dynamic programming model for oil production in Iran. To this end, we represent our model in the form of a Bellman equation in which the function for discounted profit as the objective function is formulated as a Bellman equation, and hence is viewed as a dynamic programming problem.Specifically, in order to show the liquids flow in oil tanks, we use differential equations; we also examine the liquids flow in tanks and the effects of water and gas injection in oil tanks on the average production of oil wells, and the impact of increase in production from oil tanks on future production by analyzing oil tanks simulations, and then we derive a dynamic production function model as a restriction for our problem. Therefore, we interconnect the petroleum engineering models with the economic optimizing models. The results indicate that the optimal level of oil production in Iran is much higher than the actual level of production; and it implies that oil production is not merely influenced by economic issues, but is also affected by various factors, such as political issues. Moreover, we will focus on analyzing the effects of various discounting factors and expectations in the period of technological substitutions in oil market.

The performance of the fractional-reserve banking system, will lead to a vast money creation in favor of banks. This results in inflationary problems. This type of banking system will also lead to some issues like the transfer of borrowers’ risks to banks and sometimes to depositors, monetary and banking crises, free ridings, adverse selection and moral hazard, and etc. In this research, the cost of money creation is determined by two scenarios. The first scenario is money creation in a fractional-reserve banking system, and the other is central bank’s money creation with requirement reserve of 100 %. Then the social loss function related to money creation is defined. The results of minimizing social loss function with the constraints of Philips curve and aggregate demand function show that the instability and social loss will increase with reduction of the reserve requirement. In other words, policy makers can reduce social costs and instability of economy through the expansion in the reserve requirement.

Due to the bad effects of natural resource revenues on the economy of Petroleum Exporting Countries، it seems that it is necessary to rule out that from their public budget gradually and reduce oil income dependency. For this purpose، the best alternative is tax revenues. So، an optimal path for tax revenues to achieve this goal is needed. In this study، the optimal path is derived for the taxes by using Bellman equations. The resulting paths are different for each country depending on economic conditions. But we can say that one of the most important factors in determining this path is the level of government expenditure and its growth in the future. In other words، the growth of tax revenues and the slope of optimal path depend on the government expenditures. Finally، as an application for this model، the tax optimal path is derived for Iran، so that it is possible to finance government expenditures by taxes in 1404 vision.

Discussion of the issues and ideas about consumption is important to the economic literature and there are many books and papers in the field. In the other hand Islamic Economics has specific view in the consumption that distinguishes it from conventional theories. However, there are important issues about consumption which are suggested in Islamic Economics. There are two important principles which distinguishes Islamic Economics from conventional economics. These principles include:1) expenses related to the Infaq 2) Prohibition of Israf. The main purpose of this paper is to survey consumer behavior and its optimization according to the mentioned constraints, using the Dynamic Programming Methods. Finally, after modeling it is specified that in the euilibrium path the marginal utility of consumption equals the marginal utility of infaq and the expected rate of return (as of Islamic Finance) and rate of time preference influences the consumption and infaq.

The main goal of this paper is to derive an optimal rule for monetary policy in Iran. To do so, we estimate the monetary transmission equations and derive the optimal rule by using the dynamic programming method. Our dynamic optimization problem is to minimize the central bank's loss function subject to the transmission mechanism equations. We have modified our loss function to include inflation persistence as well. Using the growth rate in broad definition of money, M2 as our control variable, we estimate the transmission mechanism equations and derive the optimal monetary rule. Our findings indicate that the optimal monetary policy rule can decrease welfare losses and hence is a welfare improving policy. This means that the use of monetary rule is superior to discretionary policy in the case of Iran.

Reducing government budget dependency on oil revenues is one of the Iranian twenty- year vision (Iran vision 1404) document goals and also fourth and fifth economic-social development plan targets in Iran. Therefore، to reduce government budget dependency on oil، the best way is to increase tax revenues as the best alternative. In this study، the Bellman equations were used to determine the optimal path for tax revenues in order to reduce the budget dependency. The main objecfives the study were to obtain the optimal tax path for government public expenditure in the final year of Iran vision 1404، and also to finance government current expenditure by tax revenues in the last year of fifth economic-social development plan.

Natural Gas is one of the energy resources with the continuous trading in the international markets and storage facilities are used in the time of shortage crisis. In this paper, considering the general conditions of natural gas markets, we provide an appropriate model to study the effect of gas storage on the natural gas price volatilities in the competitive and monopolistic markets. First, we formulate our model in a general structure and then modify it regarding the assumptions for competitive and monopolistic markets. For solution of the problem we use the stochastic dynamic programming model. The results of the numerical example solution in this model show that in both conditions, competitive and monopoly markets, our model is compatible with the philosophy of gas storage with the aim of smoothing the price and in a competitive market; it is stronger than a monopoly one.