نشریه مدلسازی اقتصاد سنجی
سال چهارم شماره 3 (پیاپی 14، تابستان 1398)

In this paper, we study systemic by using three famous systemic risk measures - MES, ΔCoVaR and SRISK- for Iranian banks that has listed in capital markets and have been active during 2013/5/4 to 2018/9/5. After calculating of these three measures, we have estimated the impact of some characteristics of banks and some macroeconomic variables on these measures. The result of correlation and regression analysis of panel data shows that value-at-risk of banks has positive impact on MES and ΔCoVaR. However, unlike the theatrical literature, we did not find a positive relation between bank size and these systemic risk measures. Therefore, we concluded that small banks has contribution to systemic risk as well as large banks. Furthermore, the impact of capital adequacy and leverage ratio on systemic risk measures was so weak. Finally, we find that improvement in gdp growth decrease the MES and rising the inflation increases the ΔCoVaR.

The relationship between oil and economic growth is one of the most important issues in the oil-exporting countries that the nature of the relationship is important for the economic policymakers of these countries. The purpose of this study was to examine the effects of oil rent on economic growth in OPEC countries during the period 1961-2017. For this purpose, using the new and hybrid threshold Markov switching model, the threshold effects of oil rent on economic growth regimes have been modeled. The results of the estimation of the research model indicate that oil rent has a nonlinear and threshold effect on economic growth regimes, so that as long as the share of oil rents in gross domestic product is less than 30.9% percent, oil rent has a positive effect on economic growth but after exceeding the threshold, oil rent has had a significant negative impact on economic growth. The results also show that economic growth in OPEC countries has two high and low growth regimes that the high-growth regime has lower durability than the low-growth regime.

The main drawback of classical ADF and PP tests is the low power of test in small samples and their asymptotic distribution discontinuous. In contrast, many prominent scholars support the Bayesian unit root tests. In the present study, Bayesian unit root tests as an alternative to the classical methods are investigated. Because of the unconditional distribution structure of financial data, the focus of this study is to adjust the likelihood function with the distribution of the Scale Mixture of Normal. Daily stock returns data of 50 active stock companies were used. Due to the high probability of outliers, the unit root test was performed in terms of outliers’ observations without the need to construct new test statistics. The simulation results with Gibbs sampling algorithm show high probability of stationery. Also, the simulation of the distribution of the unit root test parameter shows that the Bayesian approach is more accurate than the classical one.

The experience of countries has shown that easiness of transfer of labor in base on the joint cooperation from one country to another has many advantages and significant effects on macroeconomic variables. Due to the importance, this paper presents a modified calibrated model for the Iranian economy in which the labor is able to move from domestic economy to the oversea country. In this model for simplicity of investigating of the role of labor division, a small open economy framework is considered and the average of household labor supply according to the heterogeneous factors, is divided into internal and external sector. The results of dividable labor existence in these models produce an especial difference and presents the domestic production due to the positive shock in foreign wages is reduced and the labor will keep out of domestic production and go to employment in foreign market while private consumption will increase. Also, in this economy insomuch the increase in foreign labor income and increasing of exchange revenues, the net exports will rise and foreign bond will reduce. Finally, the Labor movement to abroad cause to increase foreign revenue and in generally, welfare has increased.

The present study has investigated the effect of corruption on monetary policy with respect to different levels of central bank independence during the period 1978-2017 using the STAR model. The results of the model estimation, in addition to confirming the nonlinear in the relationship between Central Bank of Iran Independence Index and the growth of money volume, show that increasing the degree of central bank independence in both regimes has reduced the growth of money volume. In addition, in the regime of low central bank independence, an increase in the corruption index has led to an increase in the volume of money. However, in a regime where the central bank is more independent, the index of corruption has no effect on money growth.

Crime is one of the most important non-market choices that has attracted economists since 1960s. Based on rational criminal behavior theory, criminals are rational and respond to related incentive mechanism. This paper purports to investigate the effect of easiness of doing business on criminal behavior for a panel of 100 selected countries for the period 2009-2015. We also control for demographic, socio-economic and law enforcement variables. For doing so, we applied an unbalanced dynamic panel data model and extract our estimation results by two-step GMM-System estimator. Empirical results show that easiness of doing business can reduce all kinds of property crimes. Furthermore, based on estimated results, an increase in competitiveness level of countries would decrease domestic burglary, theft and auto theft. So it seems that any improvement in doing business can reduce criminal behavior and illicit activities due to a decrease in legal activities’ costs.