جستجوی مقالات مرتبط با کلیدواژه « Smooth Transition Regression » در نشریات گروه « اقتصاد »

Providing resources in the form of debt from domestic and foreign sources aims to fill the gap between savings and investment. But not paying attention to debt and its role in the process of economic stability may lead to the effects of bad debt on inflation and affect economic stability. Considering that Iran is an oil-exporting country and its budget is heavily dependent on oil revenues, the unsustainability of debt and the ever-increasing growth of the volume of debts in Iran's economy can lead to spending the revenues from exports to repay debts. To be invested. Therefore, in order for the government to be able to reduce the risk of debt crises in the future, it should try to diversify the economy and sources of income and reduce the dependence of the budget on oil revenues. Due to recent events such as oil sanctions, reduction in oil prices and the government's oil revenues, stagnation in various economic sectors has caused more attention to be paid to the issue of government debt.The present study investigates the threshold effects of public debt on the inflation rate in Iran's economy using the Smooth Transition regression model during the period 1973 to 2021. The results of the estimation of the model show that the variables of economic growth, investment, money supply and trade openness are significant and have a positive effect on the inflation rate in Iran. The results also confirm the existence of a negative relationship between the government debt rate and trade openness with the inflation rate. The estimation results of the nonlinear part of the model (second regime) show that the variables of public debts, trade openness and money supply have positive effects on the inflation rate. Also, the economic growth and investment variables have a negative relationship with the inflation rate. Regarding public debts, it should be said that the accumulation of government debts will lead to borrowing from the central bank, increasing bank liabilities and debts, increasing the money supply, and ultimately increasing the inflation rate.

The household is an important economic institution, which forms a major part of people's attitudes and beliefs and plays a key role in raising children and the workforce. The vulnerability and ability of this institutional unit to deal with risks are of important impacts on economic performance. On the other hand, developing countries usually face a lack of capital due to low domestic savings and limited access to capital markets. The entry of foreign capital through the receipt of official development aid leads to access to foreign markets with modern technologies and the acquisition of management skills, thus contributing to economic growth. International trade also leads to the provision of capital and machinery, which are necessary for economic development. Thus, the purpose of this article is to analyze the effect of the household risk preparation, official development aid and the trade openness on Iran's economic growth during 1997-2020.

In this article, firstly, following the World Development Report (2014) and using the variables of the sub-indices of access to financial resources, social support, human capital and the economic capacity of the government, the combined index of the household risk preparation is calculated by the method of Principal Components Analysis (PCA) in order to weight the selected variables. Then the following model is specified according to Foa (2014) and Zhao et al. (2021). The model is estimated using smooth transition regression (STR)

 GDPGt=σ'Xt+Ω'Xt. Tγ,c,st+ξt    (1) In equation (1), Xt  is a vector of independent variables (Household risk preparation, official development aid, trade openness, labor force, physical capital and labor productivity), σ'=(σ0,σ1,…,σz)'  is the vector of the linear part's coefficients and Ω'=(Ω0,Ω1,…,Ωz)'   is the vector of the nonlinear part's coefficients. c is the threshold level, γ is the transition speed between regimes, st  is the transition variable, T is the  transition function. In the STR model, the transition between different regimes is done by the logistic function (LSTR) or the exponential function (ESTR). The linearity of the model should be tested and the appropriate transition variable should be selected.  

The results indicate that the household risk preparation index is the transition variable with one threshold level and two regimes (LSTR1), which by passing the threshold level of 0.789% leads to the transfer of the growth function from the first regime to the second. On the other hand, household risk preparation index, trade openness, capital, labor and labor productivity have positive effects on economic growth in both regimes, but their effects have  been intensified in the second regime. This is despite the fact that the variable of official development aid has a positive effect on economic growth in the first regime, but it has no significant effect in the second regime.

According to the results, it is recommended to pay attention to the most important factors affecting household risk preparation, such as the household's access to facilities and financial credits. Since many households in developing countries including Iran do not have accurate knowledge of financial concepts, types of loans and credits, and conditions for receiving loans and credits, it is recommended to increase the level of household awareness in using this type of financial services. The share of loans and credits to the households should be increased and the necessary measures should be taken to facilitate the receipt of loans. On the other hand, it is recommended to design policies in order to increase the minimum wage according to the competence of the workforce, provide specialized training before entering higher education levels, and hold training courses for parents in order to increase investment in the education and health of children. Also, the development of programs based on free and universal health, effective management of foreign debts by directing borrowing resources to highly productive sectors can be proposed to improve the household risk preparation.

The main purpose of this article is to determine the threshold level of ownership structure and the relationship between institutional owners' shares and tax avoidance. To meet this end, the data of 110 firms over the periods of 1390-1399 in the Tehran security market were selected. Moreover, this study sought to investigate the hypotheses and relationship between the mentioned variables. So the panel smooth transition regression (PSTR) model was used. The results indicate that at different levels of institutional shareholders 'share, the linear relationship between variables is not confirmed, and increasing shareholders' share as a transfer variable to 27.54, the participation in tax avoidance increases but after this level, it decreases. Overall, the results of evaluating the relationship between ownership structure and tax avoidance confirmed that in Tehran Stock Exchange, the inverse U relationship between variables is confirmed; this means that before the threshold level, the effect of the ownership structure in tax avoidance has been incremental and subsequently decreasing. Therefore, monitoring of company size and share of institutional shareholders was recommended to determine the appropriate level of ownership structure, prevent the dominance of governmental managers and shareholders and reduce the conflict of interests of managers and shareholders.

The growth of banks may pose problems to banks in terms of balance sheet. therefore, bank size could be one of the most effective banking variables affecting the performance of the branches of the banking system. the variables of bank size and their mutual relations with banking system effectiveness have always been considered in the majority of theoretical studies related to the banking system. the banking industry plays an important role in the economic growth of societies. On the other hand, the bank is an economic firm and the aim of each economic firm is to earn a profit, which is important in providing more and better banking facilities, so the banks are always thinking of providing more facilities and want financial resources to be directed towards full - profit goals. It is possible to say that banks are private enterprise - based enterprises, as the system of payments and intermediary is necessary for the economic growth of the community. therefore, the study of the optimal size of the banking sector with regard to its effectiveness on the country's economic growth is of particular importance in this paper.

In this study, in order to investigate the effect of bank system size on the interaction between banking system performance and economic growth of Iran from chapter 1, 1385 until the end of 1398. in order to estimate the model of economic growth in Iran, by considering the size of the banking system, the STR model will be used in time series patterns. The standard shape of the STR is given as follows.In that, y_t is the endogenous variable, x_t is the exogenous variable, π and θ are the parameter vectors, and STR is the transition variable, the changes of which change the coefficient of the estimator variables. The transition variable can be an endogenous variable or one of the endogenous variables, or even a third variable outside the model. The function F (St, γ, c) is also called the transition function whose value can be between 0 and 1. Accordingly, the coefficients of the STR will fluctuate between the π and θ + π values. In the transition function (which is a bounded function in terms of the transition variable of the STR), γ and c are also the slope parameter and the location parameter, respectively. The slope parameter determines the transfer rate between the two regimes and the location parameter is also the determinant of the threshold between the two regimes.

In the linear part, the average performance of the banking system with a coefficient of 0.79 has a positive and significant effect on Iran's economic growth, and in the nonlinear sector, this index with an average coefficient of 1.02 has a negative and significant effect on Iran's GDP growth. in fact, based on the results of the model, the impact of the banking sector performance on economic growth during the period of study was not static and was influenced by the size of the banking system. The number of POS and ATM with a coefficient of 0.39 and 0.27, respectively, have a positive and significant effect on the growth of Iran's GDP, which can be analyzed as follows; Applying new financial methods of electronic banking in developing countries and Iran, can be a fundamental and important factor for the country's rapid access to higher stages of development. Unemployment rate with a coefficient of 0.66 has a negative and significant effect on the growth of Iran's GDP. overdue claims with a coefficient of 0.01 have a negative and significant effect on the growth of Iran's GDP. The impact factor of the banking system performance on GDP is such that in the early years of the study, the impact of the banking sector performance on economic growth has an upward trend, so that from a negative impact has entered the range of positive impact, but finally this positive coefficient from the fourth quarter 2010 has a declining trend. In fact, the excessive size of the bank has had an adverse effect on the performance of the banking system and economic growth, so that in the early 2011, this effect has entered a negative range. Therefore, the optimal size of the banking system was experienced in 2009.

The aim of this study is investigating the optimal size of the banking sector with regard to its effectiveness and its impact on the country economic growth. In fact, based on existing theoretical foundations and previous empirical studies, the question was examined whether the effectiveness of banks on Iran's economic growth will change due to the change in the size of the banking system. The results of this study showed that the impact of banking sector performance on Iran's economic growth during the years under review did not have a fixed trend in the form of an inverted bell diagram, meaning that in the early period of the study with increasing banking system size, banking sector impact on economic growth trend There has been an increase, but since the late 2009, this effect has decreased. So the answer to the above question is yes. Other achievements of the model are confirmation of the positive effect of POS and bank ATM and the negative effect of unemployment rate and bank deferred claims on Iran's economic growth. According to the results, the size of the banking system has already exceeded its optimal extent and has even entered the negative impact on economic growth. Evidence of banks shifting from their original nature as a financial intermediary as well as the profitability of the banking system even during the recession of the last decade shows that the link between the banking sector and the real sector of the economy has weakened, and the excessive presence of banks in other financial markets and their disproportionate corporate governance has damaged the structure of the economy.

The study of the effect of education on total factor productivity has been one of the important topics in the macroeconomic literature and educational policy that has been considered by many economists in recent years. However, recognizing the threshold of the effect of education on total factor productivity is a more important issue for educational policy makers. Therefore, the present study investigates the nonlinear relationship between education and total factor productivity during the period 1365-1397 SH[1](1986-2018). Average years of study have been used as an indicator of education. For this purpose, to determine the threshold of the impact of training on total factor productivity, the gentle transfer regression (STR) model has been used. The results of implementing the STR model while confirming the hypothesis of nonlinear effect of human capital of education type on total factor productivity showed that the quantity of education index in a two-diet structure with a threshold of 81.86 (equivalent to the average years of study 7.82 years) has a significant effect on total factor productivity. Given that the Iranian economy has exceeded the threshold since 1390 SH(2011) and increasing the quantity of education has a negative impact on productivity, so reviewing the quantitative development of education and giving priority to improving the quality of education has more priority than past.

In the present study, in the first stage, using Gerton and Roper (1977) model, the central bank policy intervention index and foreign exchange market pressure were calculated. Then, using the STAR regression model, the nonlinear effects of financial risks with policy intervention of the central bank and the pressure of the foreign exchange market on the country's banking stability are examined. According to the results of Gerton and Roper models; In 26 of the 33 years surveyed, the country's economy has faced increasing pressure from the foreign exchange market. Also, the average degree of central bank intervention is 0.79. In other words, in the period between 1986 and 1397, 79% of the central bank intervention policy was inconsistent. The results of STAR model estimation with the central bank intervention as a transition variable show that the threshold value of the transition variable is 6.55 and with the central bank intervention exceeding this threshold, the reaction of monetary officials to increase this variable has increased sharply. As the central bank's intervention has increased, policymakers have tried to control the growth of the exchange rate and prevent it from rising by reacting more. Therefore, when the exchange rate experiences higher growth, policymakers are more in control of the exchange rate and pay less attention to its deviations, which increases the liquidity and credit risk of banks and leads to a decrease in the country's banking stability. According to the estimation results, the variables of capital adequacy and economic growth have a positive effect and central bank intervention, liquidity risk, credit risk and inflation rate also have a negative effect on bank stability. The negative coefficient of the intervention index indicate that the central bank, in the face of increasing positive exchange rate deviations, is pursuing a decline in the growth of its foreign reserves. Therefore, expansionary monetary policies need to be adjusted for the stabilization or non-stabilization of the exchange rate. Also, the high risk of banking activities and the transfer of this risk to other monetary and financial sectors of the economy, leads to increased costs and complexity of the process of receiving facilities, imposing this cost on other facilities and reducing the ability to provide credit, diversion and failure to meet facility objectives. Banking income instability, which requires more attention to financial and banking indicators.

The issue of the budget deficit and its aggregation in the form of debt accumulation has always been a concern in scientific and policy circles. The accumulation of government debt can affect investment and thus economic growth, and this effect can vary in different economic conditions. The purpose of this paper is to investigate the relationship between government debt and private sector investment with emphasis on the effect of debt accumulation in this regard. The results of this model show that, firstly, the relationship between government debt and private sector investment is negative, and secondly, as government debt increases, the impact of government debt on private sector investment decreases. Therefore, enlarging the government at the expense of increasing borrowing cannot have a positive effect on the activities of the private sector. Also, the impact factor of inflation and oil revenues on private sector investment is negative and positive, respectively, and the impact factor of both is significant. In addition, all good fit tests in the model were examined. The results of the studies showed that the model is reliable in terms of these tests.

The continuous deficit in the non-oil trade balance in Iran has aroused the curiosity of researchers and politicians. Due to its abundant natural resources, Iran is heavily dependent on oil export revenues, which is not a real productive sector. On the other hand, the global oil market has always experienced instability and sharp fluctuations. The dependence of foreign exchange earnings in the country on oil exports has caused a drastic transfer of these instabilities to the supply of foreign currency and its market in the economy. This, in turn, has adversely affected the external sector and other macroeconomic variables. This issue has attracted the attention of policymakers to adopt policies to eliminate the trade deficit, especially without dependence on oil. For any acceptable policy in this area, the trade balance function needs to be properly identified. Therefore, this study seeks to estimate the trade balance and the non-oil trade balance with an emphasis on saving rates and economic sanctions by using a nonlinear smooth transition regression model during the period of 1978-2017.

In trade balance studies, the three variables of real exchange rate, domestic per capita income and foreign per capita income are often used as explanations of the trade balance. In this article, in addition to these variables, the two variables of saving rate and dummy variables for sanctions are considered as effective factors in two separate models for trade balance and non-oil trade balance. In general, there are various reasons for the effect of savings rate on the trade balance, including the direct effects of savings rate on GDP and its indirect effects according to the theory of borrowable funds. According to this theory, with the increase of the saving rate, the supply of funds increases too, which reduces the interest rate. The reduction of interest rates leads to an increase in capital outflows, and, as a result, the demand for domestic money decreases. Thus, the depreciation of the domestic currency leads to cheaper exports and more expensive imports, which can lead to improved trade balance. Various studies in recent years have shown that the trade balance model can follow a nonlinear process. In this regard, after examining the existence of a nonlinear relationship, the Smooth Transition Regression model is used to investigate the relationship between savings rate and the other determinants of trade balance. Therefore, the following model is estimated in the framework of the STR

    In this equation, TB is the logarithm of Iran's trade balance, which is estimated in both total and non-oil trade balances in the framework of two separate models. Also, S is the saving rate, y is the logarithm of the domestic per capita real income, wy is the logarithm of the world per capita real income, and t is the dummy variables of sanctions (since Iran has always been sanctioned in the study period, two dummy variables of moderate and strong sanctions are used to measure the level of sanctions). In this equation,  is a transition function in the STR models, the values of which vary between zero and one according to the conditions of the economy and determine the nonlinear effect of the variables on the trade balance.

According to the results, the nonlinearity of both trade and non-oil trade balance models and the instability of the coefficients of the variables in these two models have been confirmed. When the savings rate is changed as a transition variable, the amount and sometimes the direction of the variables’ effect change too. In the first regime, the saving rate in both models had negative effects and, in the second regime, it had positive effects on trade balance. Because savings rates have often been above the threshold for many years, increasing them can lead to an improvement in the trade balance. The real effective exchange rate also had positive effect on both except that in the first regime of non-oil trade balance, but the magnitude of its effect varied in different regimes depending on the type of the trade balance. Thus, for proper policy-making with the real exchange rate tool, it is necessary to pay attention to the goals and conditions of the trade balance model at the same time. The sanctions have had a significant effect on the total trade balance, but they have had no significant effect on the non-oil trade balance. The reason could be the oil nature of most of the sanctions imposed on Iran.

One of the most important results of this paper is the confirmation of nonlinear relationships in the trade balance model. Therefore, in order to avoid any error in estimating the effects of the implemented policies, it is necessary to pay attention to the change of coefficients over time and to the conditions of the economy. Increasing savings rates in most periods has led to improved trade balance. By properly directing the savings to production and removing the barriers to investment, the government can increase production and exports and thus improve the trade balance.

In the new models of economic growth, the role of human capital has been emphasized as one of the pillars for growth and development. Generally, increasing the level of education and training costs will lead to an increase in human capital that will ultimately show itself in economic growth. The main objective of the research is to examine the two factors of educational level and educational expenditures on economic growth. In this framework, the Terasvirta test showed that the growth pattern follows a non-linear logistic function of two regimes. Research findings show that GDP in both regimes has a positive and significant elasticity with respect to their changes, although in the second regimen (compared to the first regimen) their values have decreased. In addition, contrary to expectations, education and educational expenditures have a negative impact on economic growth in both regimes rather than having a positive effect on economic growth.

The main purpose of this study is to investigate the effect of intra-industry trade on inflation for Iran during the period 1992-2017. Although in the framework of traditional trade theories, the effect of foreign trade on inflation is generally considered negative, studies over the topic based on new trade theories (NTT) are little and with no definite results. However, intra-industry trade seems to be able to moderate inflation through several ways, such as economies of scale and product differentiation. The results of estimate a smooth transition regression for Iran show that intra-industry trade in the form of a three-regime structure has a negative and significant negative effect on inflation. This finding is consistent with the Krugman models. Also, the results of the present study show that the effect of intra-industry trade on inflation rate has been non-linear and its presence accompanied with other factors has moderated the inflation. Based on the results, the policy recommendation of this research is to reform the structure of foreign trade in favor of intra-industry trade trade in such a way that while developing foreign trade based on comparative and competitive advantages, it is possible to adjust the inflation rate.

Traditional theories of international economics insist on the devaluation of the national currency as an effective policy to curb current account deficits. The recent literature, while stressing the vague effect of the devaluation of the national currency on the trade balance, emphasizes on the asymmetric response of commercial variables to exchange rate changes. This study aims to investigate the nonlinear relationship between the real exchange rate and trade balance, using a smooth transition regression approach during period 1981-2014. The results of the model estimation, while confirming the nonlinear effect of real exchange rate on the trade balance, indicate that the effect of the real exchange rate variables, the degree of trade openness and the GDP growth rate on the trade balance depending on the regime in which the economy is operating.The results also show that in general the sum of real exchange rate coefficients in the first regime has a positive effect and in the second regime has a negative effect on the balance of trade. Also, the sum of coefficients of GDP growth rate in the first and second regimes have a negative effect on the trade balance.On the other hand, the sum of coefficients of trade openness in the first regime have a negative effect and in the second regime have a positive effect on business balance.

The emergence of economic crises has caused the devastating effects of government debt to be at the center of economists' attention. On the other hand, Uncertainty over the economies of developing countries has led the government borrowing from domestic sources, especially borrowing from the domestic banking system, is quite tangible to borrowing from foreign sources, that the Iranian economy has not been excluded from this principle. Accordingly, this study attempts to investigate the nonlinear impact of government debt to the domestic banking system on economic growth using a Smooth Transition Regression (STR) model. Based on the results of the model estimation, the threshold value for the ratio of government debt to the domestic banking system GDP is 26.63%. Meanwhile, government debt to the domestic banking system has a negative effect on economic growth in both regimes, although in the second regime (when the ratio of government debt to the domestic banking system to GDP is greater than 26.63%) has added to the severity of the negative impact of government debt on economic growth. Also, the findings of this research show that inflation, openness and public expenditure have had a negative and significant effect on Iran's economic growth for the period 1973-2016.

The main objective of this research is to study the Taylor hypothesis (based on the role of the inflation environment) in Iran. For this purpose, seasonal time series data of the Iranian economy have been used during the 1988:Q1-2015:Q4 period and smooth transition regression model has been used. The empirical findings show that the import price in the high inflationary regime is lower than the low inflationary one, and Taylor's hypothesis is confirmed. The degree of exchange rate pass-through to import price index under the low inflation regime is 0.30414 and 0.09061 in short and long run, respectively. In a high inflation regime, it is 0.58202, 0.72016 respectively in short and long run. Therefore, inflation control policies can have a positive impact on reducing the exchange rate pass-through to the import price index.

In this paper, we estimate the reaction function of foreign exchange intervention in Iran, during 1381q2-1393q4. According to the existence of a non-linear relationship between variables, we used smooth transition regression model. The results of this investigation indicate that the monetary authority intervention in Iran is a function of the nominal exchange rate growth and its misalignment, the lag of central bank's foreign reserves growth and the growth of government oil revenues. According to the tests, the exchange rate growth is an appropriate transition variable in the estimation with the threshold of 10.31 present. Around this amount, the coefficients follow two different regime structures. The results also reflect the fact that monetary authorities in Iran have shown a greater response to the exchange rate growth after crossing the threshold.

This paper examines the nonlinear relationship between inflation and government spending using quarterly data over the period of 1990-2013, by using Smooth Transition Regression model. Our results suggest a two regime model by using inflation, government expenditure growth, GDP growth and liquidity growth as variables of the model, and first lag of liquidity was recognized as transition variable. This study showed that in the regime of tight money or low growth of liquidity, government expenditure is not inflationary. In regime of low liquidity growth, this variable has low inflationary impact and probably stimulates economic growth. Inflationary expectations in this regime are more effective in causing short run inflation. In expansionary regime (high liquidity growth), the increase in money supply has more effects on inflation rather than production. So monetary and fiscal policies could be used to control inflation and stimulate aggregate demand in low regime. Also in easy money regime, monetary and fiscal discipline can be useful for inflation decrease.

Energy intensity is one of the important and attractive indicators in energy economics. According to the abundance of energy resources in Iran, these resources are not used properly and therefore energy intensity is very high compared to other countries. Hence in this paper using a nonlinear regression method, we study the factors affecting energy intensity in Iran during the period 1979-2013. The results indicate that the existence of two regimes by considering relative price of energy as transition variable with the threshold about 1.58. The rate of urbanization and industrialization had positive effect and the level of technology and relative price of energy had negative effect on energy intensity in Iran. The effectiveness of relative price in the high price regime is intensified and the effectiveness of industrialization and technology is dropped. These results would suggest the important role of price regime on the effectiveness of energy intensity determinants in Iran and leads policy makers to prevent the decrease in the relative price of energy in the years following the implementation of targeted subsidies.

The main goal of this paper is to study the relationship between exchange rate misalignments and inflation persistence in Iran. In order to achieve this goal, we first use a non-linear smooth transition regression model to estimate equilibrium exchange rate in the context of a monetary model for the period 1978:2-2012:1. This allows us to compute exchange rate deviation from its equilibrium level. In the next next state, in order to examine whether the inflation rate is persistence, we use a threshold autoregressive method to examine the non-linear behavior of inflation rate in Iran. In general, the result shows that there is a direct relationship between the exchange rate misalignment and the inflation persistence. This finding is consistent with the hypothesis that exchange rate deviation from its equilibrium level is costly due to its effect on inflation rate. Moreover, the result indicates that an increase in the level of exchange rate is associated with inflation persistence. This finding has important policy implication for monetary authorites in Iran to implement appopriate exchange rate policy in order to fight inflation persistence in this country.

The traditional theories of international economics emphasize on national currency devaluation as an efficient policy to enhance export, reduce import and consequently reduce current account deficit. The latest literature considers asymmetric response of trade variables to exchange rate changes and pays attention to ambiguous effect of reducing exchange rate on trade balance. This is an important finding since the success of trade policy depends on the understanding of the nature of trade balance behavior. The present paper examines Iran’s trade balance behavior in relation to exchange rate using logistic smooth transition regression (LSTR) during 1973-2009. The results of this research show that real exchange rate effects on Iran’s trade balance are asymmetrical and nonlinear. Furthermore, overvaluation of domestic currency effects negatively on the trade balance.

There are different views on explaining the theoretical relationship between government budget deficit and economic growth. The lack of a general consensus on this subject has led to great amount of empirical studies in this area. Many studies have reported controversial results based on factors such as country specifications and time periods, and budget deficit financing methods. Due to ambiguities surrounding the theoretical and empirical analysis the present paper uses Smoothed Transition Regression (STR) model to examine an asymmetric impact of government budget deficit on economic growth in Iran based on seasonal data during of 2010:4 -1980:1. The results indicate that budget deficit in a two regimes structure has affected Iran’s economic growth. In this structure, during recession (with an economic growth less than 37.3 percent) a larger share of budget deficit to GDP, Consistent with the Keynesian view, the budget deficit has a positive effect on economic growth. On the contrary in economic boom (with an economic growth more than 37.3 percent), witnessing a negative effect on economic growth which support the neoclassical view.