جستجوی مقالات مرتبط با کلیدواژه « VAR Model » در نشریات گروه « مدیریت »

Today, human capital, created through education, is growing at a higher rate than physical capital. In addition, the small and insignificant depreciation of human capital and its longer life than physical capital has caused human capital to grow more and more. Improving the quality of human capital through education boosts production and investment, especially private sector investment. According to imprtance of subject this study examining the effect of social welfare costs and education costs of government on private sector investment over the period 1350-1399 in Iran with using VAR model. convergence vectors estimated with Johansen method. The empirical results show that social welfare costs of government has negative impact and education costs of government has positive impact on private sector investment.

The effective rate of exchange is one of the most important factors in international competitiveness. The more it increases, the better the competitiveness of exports is. So, keeping or raising the real effective exchange rate has a positive effect on the country's trade balance, but reducing it will have a negative effect. The aim of this study is to investigate the effect of exchange rate on the non-oil exports of Iran with the time series analysis approach. The data on the variables were extracted from databases for the period of 1991-2012, and the Dickey-Fuller test was used to evaluate the reliability of the variables. Also, the Granger causality test and the VAR model were used to test the hypothesis. The results showed that the variable of exchange rates had significant adverse effects on non-oil exports during the studied period; with an increase in the exchange rate in that period, non-oil exports declined. It was also shown that the impacts of GDP, the degree of economic openness and non-oil export facilities granted to the private sector were positive.

Oil revenues play an important role in the economy of Iran and on average, 56% of the Iranian government revenues originate from oil resources. Therefore, dependence of public budget on oil revenues, makes the unpopularity of of fiscal policies and periodic fiscal policies in the economy. Accordingly, the shock of oil revenues plays an important role on government's behavior in allocating consumption expenditure to social, economic, public and defense affairs. The aim of this study is to analyze the dynamic effects of oil revenues on the government behavior in the allocation of consumption expenditure to the social, economic, public and defense affairs in Iran, that using Vector Autoregressive model and impulse response functions (IRF) and variance decomposition analysis (VD) techniques in the period (1978-2015). The most important result of impulse response functions indicate that oil revenue shocks in the short run have a positive effect on the allocation of consumer spending in social, defense and public expenditure. Also, the results of of variance decomposition analysis indicate that oil revenue shocks have the largest share in change of economic expenditure, but had little effect on social and public expenditure.

Nowadays, the entrepreneurship is the least necessity needed for a country to increase its ability to compete effectively with other countries. Along with globalization, all the countries in order to have an effective competition should move forward to the new technologies and innovation. In this regard the Vector auto-regressive (VAR) with the help of (Eviews8) software was used. To investigate the causal relationship between the variables, the parallel Granger causality test was used. The obtained results showed that there was a causal relationship between the labor Force productivity and entrepreneurship. The result of stimulation reaction indicated that the variables have the most effects on their past values. At the end of shock period, the most effect was on net capital and entrepreneurship logarithms respectively. The results of variance analysis of prediction error also showed that the fluctuations of entrepreneurship in the short term are mainly as high as 99.5 percent. Then in the fifth period, the share of the remaining variables reaches about 42 percent and the logarithm of net capital and logarithm of labor productivity respectively have the highest and the lowest shares in explaining this variable.

Financial markets are among the influential markets in the economy of every country. Stock market booms and crashes in some countries not only influence their national economies but also have impacts on the global economy. Study of performance of stock market and stock price index and their effects on economic factors are among issues increasingly being focused by economic and financial researchers.Up to now many studies has been conducted on the causal relationship between stock market indices and economic variables in various countries. These causal relationships have confirmed in some studies and they have rejected in other ones. The innovation of present research is study of Granger causality in frequency domain about which there are no comprehensive studies especially in Iranian context. Present study addresses the causal relationship between gross domestic product (GDP) and stock market variables including stock price index, financial index and industry index in Iranian context and explores if predictive power is concentrated on lower frequencies or higher ones. Main goal of present study is to employ stock market indices to develop a model for prediction of GDP. Results from present study showed that in Iranian context there was no causal relationship between GDP and selected variables related to stock market in frequency domain and stock market indices cannot be used to predict GDP.