نشریه مدلسازی اقتصاد سنجی
سال پنجم شماره 3 (پیاپی 18، تابستان 1399)

This study estimates systemic risk of banks using the Copula function and Conditional Value at Risk and examine the extend to which macroeconomic and bank-specific variables contribute to systemic risrk. we use the statistical information of banks from 2014 to 2019.To describe the dependence between two-time series, the Gumble-Copula with marginal distribution of GARCH-DCC is used. The results indicate that banks' returns were more dependent on the upper distribution tail. According to the results of the estimation the systemic risk of different banks was significantly different. Further, the results indicate that the banks' size and cash flow had a negative effect, while the Value at Risk of bank has positive effect on the CoVaR index. Finally, the banks' ROA had a positive and significant effect on the banks' systemic risk.

The relationship between democracy and crime has long been considered by social scientists. The relationship between these two variables has been studied based on the three theories of conflict, civilization and modernization. The civilization perspective predicts that the rate of violent crime will decrease along with the effects of civilization from democratization. In contrast, the conflict perspective predicts that the rate of violent crime going to increase along with the brutalizing effects of inequality in market economies. The modernization perspective, however, predicts that with the transition to democracy, the rate of violent crime will initially increase, but as democracies mature, this rate will eventually decrease. This study examined the effect of democracy on violent crimes and property crimes during the period 2008-2017 for 88 countries using the Dynamic Panel Threshold Model (DPTR). The results of the estimates indicate that democracy will have an incremental effect up to the threshold and then a significant decreasing effect on crime. Thus, in the process of democratization, first, the crime rate will increase and then, as democracy matures, this rate will decrease, which is along with the predictions of the modernization perspective.

Foreign investment is the function of globalization in the economies. There are so important factors for absorbing it . Cheap and skilled labor, the degree of openness of the economy and policies, activities and actions that attract this type of capitals are most important factors. To achieve this goal, governments enter a competitive game and try to attract these investments with their policies. In this study, first using a dynamic optimization control model and developing a Ramsey model to determine the optimal taxation on foreign direct investment in a small open economy for Iran and selected countries and then investigate the effective factors on Foreign direct investment with emphasis on the role of taxes through spatial econometric method (spatial Durbin model) for panel data during the years 2000 to 2017. The results show that the optimal tax rate for attracting foreign investment for the countries under study is close to zero. The results of spatial estimation by Dhaver sine and Euclidean methods also confirm the spatial dependence of the variables affecting foreign direct investment.

In this paper the effects of economic sanctions were studied on environmental performance indexes. For this purpose required data was gathered from Central Bank of Iran (CBI) and World Economic Forum (WEF) during the years 2001-2017. Also, in order to data analyzing, Structural Vector Auto-Regressive (SVAR) model and Impulse Response Functions (IRF) were applied. Results indicated that economic sanction indexes reduce the whole considered Iran's environmental performance indexes. In addition, between considered economic sanction criteria, exchange rate shock (LEXR), importing raw materials, capital and intermediate goods shock (LIM), Non-oil export shock (LNX) and Oil export revenues shock (LOIL) have the most negative effect on Iran's environmental performance indexes, respectively. On the other hand, between studied environmental performance indexes, environmental health index (EHI), Environmental Performance Index (EPI) and ecosystem vitality index (EVI) have the highest vulnerability from considered economic sanction criteria.

Non-Performing Loans (NPL) is an old and widespread problems in developing countries that decrease assets quality and therefore is recognized as one of the sources of financial risk in banking system and has the negative effect on country economic performance. Among different factors, economic corruption can influences NPL, also. This research focus on link between corruption (by the number of financial crimes) and NPL in 20 banks during the period of 2006-2016 in Iranian economy. The results of different models estimation indicate that firstly, economic factors such as unemployment rate have the significant positive effect on NPL. Secondly, among banking variables there is a direct and significant relationship between the ratio of equity to assets and NPL. Thirdly, the interaction effect of corruption and bank size on NPL is positive and meaningful such that the spread of corruption, as banks become larger, lead to more NPL. The results of paper show that anti-corruption policies can help to decreasing NPL in Iran.

In the present study, an attempt has been made to investigate the bilateral relationship between exchange rate regimes and international trade in iran and major trading partners in the framework of gravity model and using the Poisson-Pseudo Maximum Likelihood (PPML) approach over the period 1995-2018. The results show positive effect and effective role of exchange rate regimes on the rate of increase in trade flows. Due to given significantly different values, the expected effect of different exchange rate regimes on trade can be different .Therefore, economic policymakers are advised to determine the exchange rate regimes according to the trade policies of countries when examining the factors affecting the improvement of trade relations.