جستجوی مقالات مرتبط با کلیدواژه « Johansen » در نشریات گروه « اقتصاد »

Study on factors affecting income distribution is one of the most important goals of social scientists in developing countries. The role of education on income distribution, among others, is an issue that many social scientists have concentrated on it. In Iran, too, Income distribution is an important issue for many researchers and policy makers. In this paper, thus, it is tried to examine the effect of inequality in education on income distribution of Iran in the period of 1981-2011. Using Johansen-Juselius Approach and variables such as education Gini coefficient of labor force, and average schooling years as indices for inequality of education, we have examined the effect of unequal education on income distribution. Furthermore, the ratio of government expenditures on education, government size and per capita income are explanatory variables that are used in research models of this paper. This study showed that Gini coefficient of education is a better variable explaining the effect of unequal education on income distribution, indicating a direct relationship between unequal education and unequal income distribution. However, there is an indirect relationship between the ration of government expenditures on education and Gini coefficient of Income. This study shows that moving toward equality in education will result in a better income distribution. Furthermore, an increase in education ratio of government expenditures has led to a better condition in income distribution, i.e. decrease in Gini coefficient.

Continuous growth and development in the economy need to attend its determinants. Investing or forming capital is the necessary condition for economic growth and development. The place and the role of investing in the mentioned processes are to the extent that investing is the motive engine in the economic growth. Currently, the situation of Iran's economy is in a way that savings and internal sources are not sufficient and attracting foreign capital seems to be the only useful and valid way (Komijani & Abasi, 2006).
The main goal of this study is to evaluate the determinants of inward FDI, particularly volatility of exchange rate in Iran, by using the Johansen-Juselius integration system approach model covering the period of 1980Q2-2012Q4. In this research, the volatility of real exchange rate is obtained by Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) method.
Effective Factors on Volatility of Exchange Rate and Its Relationship to FDI
In theoretical view, Dornbusch (1976) showed that forecasted monetary shocks through overshooting effect of exchange rate could create extreme volatility of exchange rate. In addition, Calderon (2004) maintained that the stability of monetary shocks is the only effective element on the variation of exchange rate and the non-monetary elements including efficiency shocks and state expenses can affect them.
Based on Frenkel and Mussa (1985), the continuous increase of state expenditures leads to a balanced increase of real exchange rate in the long run and consequently to the increase of net foreign equities. Similarly, state expenditures through influencing on the demand side of economy in short run can have a positive effect on real exchange rate.
Cociu (2007) defines interest rate as one of the effective variables on the exchange rate volatility. Based on the macroeconomic subjects, variation in the interest rate leads to variation in inflation and exchange rate. Therefre, it is expected that by the increase of interest rate, the inward foreign investments increase and consequently the local money value increases. The other non-monetary effective variables on the variation of real exchange rate are the efficiency growth.
Cushman (1985) believed that the relation between the variation of exchange rate and FDI flow is in dependent to the place where the data have been purchased, products manufactured, fiscal capital emanated from and products sold.
Econometric Model Specification: By considering most theories and tentative studies for identifying the determinants of inward FDI, emphasizing the economic factors of the country and also specific concerns of Iran’s economy, variables such as exchange rate, GDP, openness, world oil price, volatility of exchange rate can be introduced as the determinants of inward FDI in the econometric pattern below: (1)
Estimating the GARCH Model of Iran's Exchange Rate
The null hypothesis was rejected, showing that…(F=13.79; p-value=0.0003).
The results of the GARCH (1,1) estimated model can be seen as follows. According to the results, the effects of Garch are accepted.
Table 1: Garch Test
Exchange rate auto-regressive model Residuals` variance of exchange rate auto-regressive model
Variables Cofficients Variables Cofficients
c 20.59(0.00) c 428.13(0.06)
1.003(0.00)
1.73(0.00)
-2.09
0.32(0.00)
Source: The research And so we have: Therefore, the volatility of real exchange rate are calculated using GARCH (1, 1) in the above equation.
Investigating the stationary of variables through Dicky Fuller unit root test all of them are static in the first order difference.Therefore, all of the variables are the convergence of degree one, I(1).
Akaike Information Criterion (AIC) and Schwarz Criterion (SC) indicators can be used to determine the optimum lags. According to adjusted LR test, the order of 7 bases on (AIC) index is accepted.
Usually for estimating the coefficients of the model and specifying the long run relationships, we need thetwo statistics of trace and max. Monte Carlo's studies reveal that when the residuals of equations have inordinate skewness or kurtosis, the trace test is more suitable than max test (Noferesti, 1999).
We estimated the regulated standard from conditional form (Pattern 1) to the unconditional one (pattern5). Based on the results of this study, pattern 3 is the proper one for co-integration analysis. Moreover, based on this pattern, the existence of 3 cointegrated vectors is confirmed.
Table (2) shows the coefficients of the cointegrated vectors that are explanatory of long run equilibrium relations between the model variables. Among these vectors, the coefficients of the third cointegrated vector are matched with the economic theories and have the expected signs.
Table 2. Estimated Cointegrated Vectors in Johansen Estimation (in Brackets)
Variables Vector 1 Vector 2 Vector 3 Normalized vector 1 Normalized vector 2 Normalized vector 3
LFDI 0.95 0.11 0.63 -1.00 -1.00 -1.00
LYD -0.40 0.45 -0.13 0.42 4.21 0.21
Os 0.021 -0.025 0.001 -0.02 -0.24 -0.002
Op 0.46 0.26 0.09 -0.49 -2.45 0.15
Se 0.00006 0.00006 0.0008 0.00006 -0.005 -0.001
E 0.0001 0.0001 0.00006 0.0001 0.001 0.0001
Source: The research Therefore, based on vector 3, we can express the long run relationship between the variables as below.
LFDI = 0.21 LYD - 0.002 OS .15 OP - 0.001SE .0001 E (3)
The estimated result shows that, based on the theoretical basis, FDI in Iran has a direct relation with GDP, openness and exchange rate variables and has a negative relationship with the volatility of exchange rate and world oil price.
The IRF and FEVD tests confirm the estimated results of the long run relationship quite well. As a result, the occurrence of one shock in GDP, openness and exchange rate have a significant and positive effect on FDI.
Empirical results show that openness, GDP, and exchange rate do have a significant and positive impact but volatility of exchange rate and world crude oil prices do have a significant and negative impact on the flow of inward FDI in Iran. Therefore, economical politicians should minimize the barriers of import through joining the world trade organization; that is, through de-regulation and reduction of tariffs, and at the same time, emphasizing production and non-oil exports especially industrial commodity, and promoting the foreign trade. For the world oil price, it is recommended that the goals of macro-economic policies support the base and power of country production to increase the non-oil export and reduce the country's dependence on the world crude oil price. For the GDP, increasing the efficiency of internal resources and activating the non-used capacity to absorb more FDI.

One of the main sources of private finance is private credit given through domestic banking system. Based on economic literature, government budget structure could have dual effect on bank's lending performance. The Aim of This Study is investigating the effect of budget structure through government expenditure and government borrowing from banking system on private credit in IRAN. For this purpose 1971-2009 time series data and Johansen-juselious co-integration approach has been used.
Empirical results show that both government expenditure and government borrowing lead to negative effects on private credit. These results are more consistent with the "lazy bank" view in IRAN. ECM results also show that budget financing through domestic banking system comparing with government expenditure, cause quickly crowding out of credit from private sector.

The main objective of this paper is to investigate the impact of inflationary environment on degree of exchange rate pass through in Iran over the period 1975-2009.For this purpose, first high and low inflationary regimes have been derived using the Markov–Switching model and then, the impact of inflationary environments on exchange rate pass through to import prices have been estimate using Johansen-Juselius co integration technique. The empirical findings indicate a slight shift between the exchange rate and import price index and inflationary environments impact on the degree of pass rate on import prices in an asymmetric way, so that the exchange rate pass- through to import price index in high inflation levels is more than in low levels. Also, the results show the marginal cost of the variable partners have a positive and significant impact on the economy, while variable degrees of openness have a significant negative impact on the import prices.

The minimum wage determination is one of the most significant economic issues exerting effects on macroeconomic variables. This study provides an empirical model using VAR method to analyze the long run relationships and short run dynamisms of factors affect general price level (with emphasis on minimum wage) during the period of 1978-2010. To examine long run relationships we used Johansen-Juselius Co-Integration method and we also applied impulse response functions and variance decompositions to see how the short run dynamisms work. The results indicate that though minimum wage does not play a considerable role in explaining price level variations in Iran’s economy، price level is able to explain minimum wage variations properly.

This study investigates the relation between unemployment rate and Government Size in Iran. For that, we have used some VAR models, which include the following variables: government size, measured as total government outlays as a percentage of GDP, unemployment rate, real GDP growth rate, Inflation rate, minimum wage. Our results show that an increasing in the Government Size would raise unemployment rate, and an increasing the GDP growth rate and Inflation rate would reduce unemployment rate.

The main objective of this study is to estimate the long-run relationship between exports and environment quality indices for Iran over the period 1971-2007. In this study, the CO2 emissions and arable land are used as a proxy for the environmental quality. We estimate the model using the multivariate Johansen's co-integration technique. The results reveal that there is a long-run relationship between exports and CO2 emissions and arable land. Moreover, the variables of exports and FDI have negative and significant effects on the environmental quality indices.

Study of money demand function, from the view of research and problem solving in macroeconomics and policymaking, has great importance. True and exact knowledge of money demand function, which effects all principle variables in economics, provides the essential fields for usage of successful economic policymaking. This article studies the money demand function in Iran, experimentally, using Johansen and Juselius method. In this research stability of money demand function for both its limited and wide definition in Iran is confirmed. According to cointegration test, real money balance variables, gross domestic product, rate of inflation, foreign exchange rate and government budget deficit have cointegrated with each other and have established a long term equilibrium relation. The sign of gross domestic product in money demand function or related long term equilibrium relation is positive and significance level above one. The inflation variable, as expected, has a negative sign. These results correspond with other experimental result in Iran and other developing countries. The black market foreign exchange rate and money demand function has reverse relationship which shows substitution effect in related literature. The government budget deficit in the money demand function has negative sign that affirms the neoclassical views in the subject. For short term dynamic research of the given long term equilibrium relation obtained from Johansen- Juselius maximum likelihood method, the methods of variance decomposition and impulse response function have been used, that the obtained results from those ways mentioned above shows rather slow speed of equilibrium.