فهرست مطالب

مجله سیاست گذاری اقتصادی
سال دوازدهم شماره 24 (پاییز و زمستان 1399)

  • تاریخ انتشار: 1400/02/26
  • تعداد عناوین: 12
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  • سحر عابدیان، میر مهرداد میرسنجری*، عبدالرسول سلمان ماهینی صفحات 1-40

    در مدیریت شهری نوین حضور و همکاری مردم به عنوان یک جزء اصلی در مدیریت پایدار شهری و کاهش آلودگی هوا محسوب می شود. لذا بررسی میزان ترجیحات افراد در برخورد با کالای محیط زیستی هوا و آگاهی از میزان مشارکت اقتصادی و تمایل به پرداخت آن ها می تواند گامی موثر در این جهت باشد. در این راستا سهم هر یک از عوامل فردی، اجتماعی و اقتصادی و میزان تمایل به پرداخت شهروندان منطقه 5 تهران با استفاده از روش ارزش گذاری مشروط و مدل لوجیت بررسی و بر اساس شاخص های R2، مک فادن و نسبت راست نمایی نتایج مدل برازش شد. در نهایت امکان سنجی خرید اتوبوس های الکتریکی با استفاده از مشارکت مردمی در دوره یک ساله مورد بررسی قرار گرفت. نتایج پژوهش نشان داد که 9/85 درصد شهروندان این منطقه، حاضر به پرداخت مبلغی جهت بهبود کیفیت هوا هستند و تمایل به پرداخت افراد برای بهبود کیفیت هوا برابر با 61450 ریال در ماه به دست آمد. بر اساس مدل لوجیت متغیرهای مبلغ پیشنهادی، درآمد و میزان آگاهی به ترتیب مهمترین عوامل موثر بر تمایل به پرداخت شناخته شده اند. همچنین نتایج امکان سنجی نشان داد که نهاد شهرداری با استفاده از مشارکت مردمی می تواند 18 دستگاه اتوبوس الکتریکی را در دوره یک ساله جایگزین اتوبوس های فرسوده دیزل در ناوگان اتوبوسرانی منطقه 5 نماید که این اقدام 696,26 میلیارد ریال سودآوری در زمینه کاهش آلودگی هوا، آلودگی صوتی، مصرف سوخت و هزینه های نگهداری اتوبوس های دیزل برای شهرداری دارد. لذا پیشنهاد می شود مدیران شهری از این مشارکت مردمی برای بهبود کیفیت هوا و جبران هزینه ها استفاده نمایند.

    کلیدواژگان: ارزش گذاری مشروط، تمایل به پرداخت، مشارکت اقتصادی، کیفیت هوا
  • حمید سپهردوست*، سارا محتشمی، محسن تارتار صفحات 41-72

    نقش نظام مالیاتی بر مبنای سه هدف عمده اقتصادی، سیاسی و اجتماعی بنا نهاده شده و اهداف سیاسی و اجتماعی نیز تحت تاثیر اهداف اقتصادی وضع مالیات، جنبه های درآمدزایی برای دولت و چگونگی اثرگذاری آن بر سایر بخش های فعالیتی اقتصاد قرار دارد. در ادبیات نظری اقتصاد، مالیات ها نقش اساسی در تامین درآمد دولت ها جهت ایفای وظایف هزینه‏ای برعهده دارند و اجرای هر سیاست مالیاتی نیازمند بینش مطلوبی از عملکرد آن اقتصاد است. در این مطالعه، از رویکرد بیزین و مدل پایه‏ای کلاین به منظور بررسی ساختار تقاضای ایران طی سال‏های 1395-1368 استفاده شده که امکان بررسی تاثیر متغیرهای سیاستی بر تقاضای کل را به شکل معتبر ارایه می دهد. از مزایای رویکرد بیزین استفاده از اطلاعات غیر داده ای جهت به‏دست آوردن تصویری شفاف از وضعیت اقتصاد در نتیجه تغییر و تحولات اقتصادی است. در این پژوهش به منظور کدنویسی و تخمین مدل بیزین از بسته نرم‏افزاری RJAGS استفاده شده است. نتایج مطالعه نشان داد که به منظور قطع وابستگی دولت به درآمدهای نفتی و تقویت اهداف درآمدزایی، از آن جا که اثر کل مالیات ها بر درآمد و مصرف چندان نیست (افزایش یک هزار میلیارد ریال در مالیات ها منجر به کاهش مصرف تنها حدود 200 میلیارد ریال خواهد شد)، بنابراین در راستای تقویت اهداف درآمدزایی، دولت می تواند به نحو بهتر و سریع تر برای رسیدن به درآمدهای پایدار مورد نظر اقدام نماید. نتایج همچنان بیان گر این واقعیت است که افزایش مخارج کل دولت ها به میزان 1000 میلیارد ریال حدود 290 میلیارد ریال مصرف را افزایش می دهد.

    کلیدواژگان: رویکرد بیزین، مالیات، مخارج، معادلات ساختاری، مدل ساختاری کلاین
  • حمیدرضا ارباب، منوچهر عسگری، حمید آماده، فاطمه رفیعی* صفحات 73-106

    یکی از هدف های سیاست گذاری در ایران، مصرف بهینه انرژی از جمله انرژی الکتریکی است که برای نیل به این هدف دو دسته سیاست افزایش کارایی و افزایش قیمت برق مطرح می شود. در این مقاله تلاش شده است دو سیاست فوق در غالب یک مدل تعادل عمومی محاسبه پذیر با یکدیگر مقایسه شده و اثر هر سیاست بر متغیرهای کلیدی نظیر مصرف برق و انرژی، سطح فعالیت های تولیدی، نرخ ارز، صادرات و واردات بررسی شود. اگرچه انتظار می رود سیاست افزایش کارایی همانند سیاست افزایش قیمت برق سبب کاهش مصرف شود اما سیاست افزایش ده درصدی کارایی به دلیل وجود اثرات بازگشتی نه تنها سبب کاهش مصرف نشده بلکه باعث افزایش 7/4 درصدی مصرف برق شده این در حالی است که سیاست افزایش ده درصدی قیمت برق سبب کاهش 02/0 درصدی مصرف برق می شود. افزایش مصرف برق پس از افزایش کارایی این حامل به دلیل افزایش سطح فعالیت تولیدی بخش های اقتصاد و افزایش صادرات است. همچنین اثر این دو سیاست بر مصرف بخش های مختلف اقتصادی متفاوت است اما مصرف بخش های تولید برق، تولید فلزات اساسی و کشاورزی با اعمال هر دو سیاست، کاهش می یابد.

    کلیدواژگان: مصرف برق، افزایش کارایی، اثرات بازگشتی، قیمت برق، تعادل عمومی محاسبه پذیر
  • محمد نصراللهی*، کاظم یاوری، رضا نجارزاده، نادر مهرگان صفحات 107-138

    وقوع بحران های ارزی هزینه های سنگینی بر اقتصاد کشورها تحمیل می کند. به همین علت، در سال های اخیر، طراحی سیستم هایی جهت هشدار زودهنگام این بحران ها توسعه یافت تا بتوان با شناسایی زودهنگام آن ها و فراهم نمودن زمان کافی برای سیاست گذاران، از وقوع یک چنین بحران هایی جلوگیری نمود. این پژوهش نیز تلاش نمود تا با بکارگیری داده های فصلی اقتصاد ایران طی دوره زمانی 1395:02-1367:01 و استفاده از رویکرد تغییر رژیم مارکوف، ضمن طراحی یک سیستم هشدار زودهنگام بحران های ارزی در اقتصاد ایران و شناسایی درون زای بحران های به وقوع پیوسته در دوره مورد بررسی و پیش بینی بحران های آتی، عوامل موثر بر ایجاد و تشدید این بحران ها را، به طور جداگانه، در دوره های آرامش و بحران شناسایی نماید. نتایج حاصل از این مطالعه نشان می دهد که سیستم طراحی شده توانایی بالایی در شناسایی این بحران ها در دوره زمانی مورد بررسی و پیش بینی بحران های آتی داشته است. بر اساس این سیستم، وقوع بحران های ارزی و تشدید شرایط بحرانی در ایران با مجموعه ای از عدم تعادل های اقتصاد کلان مرتبط است. این عدم تعادل ها و مشکلات موجود در بخش های پولی، مالی و خارجی و همچنین، وابستگی کشور به درآمدهای نفتی زمینه وقوع بحران های ارزی را در اقتصاد ایران فراهم نموده اند. به طور خاص، بر اساس این نتایج، در دوره آرامش، تورم مهمترین عامل افزایش احتمال وقوع بحران ارزی و رشد تولید صنعتی مهمترین عامل کاهش احتمال وقوع این بحران بوده و در دوره بحران، تورم مهمترین عامل تشدید کننده بحران و نسبت درآمدهای ارزی حاصل از صادرات نفت به ذخایر ارزی بانک مرکزی و رشد تولید ناخالص داخلی واقعی به ترتیب مهمترین عوامل در بهبود شرایط بحرانی می باشند.

    کلیدواژگان: بحران های ارزی، شاخص فشار بازار ارز، سیستم هشدار زودهنگام، رویکرد تغییر رژیم مارکوف
  • وحید صادقی حسنوند، نارسیس امین رشتی*، مرجان دامن کشیده، ازاده محرابیان صفحات 139-169

    هدف تحقیق بررسی اثرات افزایش قیمت گروه های کالایی مورد مطالعه (حامل های انرژی، خوراک، مسکن، بهداشت و درمان و حمل ونقل) بر رفاه، فقر و توزیع مخارج خانوارهای روستایی کشور طی دوره زمانی 1396-1367 است. به این منظور با تکیه بر تیوری های مربوط به اندازه گیری تغییرات رفاهی مصرف کنندگان، فرمول تغییرات جبرانی در چارچوب سیستم تقاضای تقریبا ایده آل (AIDS) استخراج شد. خط فقر نسبی با تاکید بر رویکرد تغذیه ای و توزیع مخارج خانوار روستایی از رابطه ضریب جینی محاسبه شد. نتایج تحقیق برای خانوارهای روستایی حاکی از آن است که تغییرات جبرانی در این دوره زمانی مثبت بوده است یعنی افزایش قیمت در این دوره موجب کاهش رفاه خانوار روستایی شده است. اما طی دوره 1396-1389 با وجود افزایش تورم، سیاست های حمایتی دولت مانع کاهش بیشتر رفاه خانوارها شده است. خط فقر نیز رابطه منفی با افزایش قیمت ها طی دوره مورد مطالعه داشته است. ضریب جینی محاسبه شده توزیع نابرابر گروه های کالایی در زمان افزایش قیمت را نشان داد و این در حالی است که کاهش تورم و سیاست های حمایتی دولت منجر به بهبود توزیع گروه های کالایی شده است.

    کلیدواژگان: سیستم تقاضای تقریبا ایده آل، شاخص رفاهی، فقر، توزیع مخارج
  • مجتبی رستمی، سید نظام الدین مکیان*، رسول روزگار صفحات 171-206

    تلاطم معیار اندازه گیری عدم قطعیت است که در نظریه های مالی، مدیریت ریسک و قیمت گذاری اختیارات نقش اساسی را دارد. پژوهش ها در زمینه ی ارایه مدل های اقتصادسنجی که قادر به پیش بینی تلاطم باشند با معرفی مدل ARCH توسط انگل (1982) به ثمر نشست. با وجود این موفقیت اولیه، تخمین این مدل ها که به طور گسترده با روش حداکثر راستنمایی انجام می شود حاوی ضعف های اساسی است. در این زمینه می توان به مواردی همچون ناشناخته بودن خواص مجانبی آزمون های ریشه واحد در حضور اثرات ARCH، نرمال نبودن توزیع مجانبی برآوردگرها به دلیل ویژگی دم پهنی توزیع داده های مالی و نحوه انتخاب مدل تلاطم بر اساس معیارهای اطلاعاتی بدون توجه به درجه عدم قطعیت مدل ها و تنها بر اساس تنظیم وقفه ها اشاره کرد. پیامد این موارد ایجاد نتایج نامطلوب در زمینه پیش بینی و نامعتبر بودن آزمون فرضیه ها است. نظر به اهمیت مدل سازی و پیش بینی تلاطم در بازارهای مالی، در پژوهش حاضر از شیوه استنباط بیزی استفاده می شود. این شیوه، علاوه بر حل مشکلات یاد شده، محققین را قادر به ارزیابی میزان احتمال صحت مدل می نماید. به منظور انطباق بیشتر مدل سازی ها با واقعیت داده های مالی، در این پژوهش از توزیع t به عنوان توزیع حاشیه ای بازده استفاده شده است. نتایج این پژوهش نشان می دهد که در بورس تهران به احتمال 68% نیمه عمر تلاطم حدود 27 روز است. همچنین با احتمال بیش از 50% وجود اثر اهرمی در این بازار تایید شده است. همچنین، با استفاده از معیار انحراف اطلاعاتی بیزی الگوی GJR-GARCH به عنوان بهترین مدل برای پیش بینی تلاطم در بازار سهام انتخاب می شود.

    کلیدواژگان: مدل های متقارن و نامتقارن تلاطم، تلاطم بازار سهام، استنباط بیزی
  • غلامرضا یاوری، وحید عزیزی* صفحات 207-235

    این مطالعه با هدف تعیین و اولویت بندی موانع و چالش های عدم دستیابی به اهداف برنامه های اول تا پنجم توسعه اجتماعی، اقتصادی و فرهنگی جمهوری اسلامی ایران در بخش کشاورزی و منابع طبیعی انجام شده است. جامعه آماری این مطالعه شامل متخصصانی است که اطلاعات کافی و درک عمیقی از موضوع مورد مطالعه دارند که از طریق نمونه گیری غیر احتمالی و روش گلوله برفی، تعداد 50 نفر شناسایی و مورد مطالعه قرار گرفتند. برای جمع آوری داده ها از پرسشنامه استفاده شد. تعیین روایی و پایایی از طریق پانل متخصصان اهل فن مورد تایید قرار گرفت. جهت انجام تحقیق از روش تصمیم گیری فرایند تحلیل سلسله مراتبی (AHP) استفاده گردید. بر اساس نتایج 58 گویه در ذیل 6 عامل شناسایی شدند. طبق نتایج مهم ترین موانع و چالش های عدم دستیابی به اهداف برنامه های توسعه به ترتیب شامل موانع ساختاری - مدیریتی، موانع اقتصادی، موانع سیاستی، موانع علمی، موانع اجرایی و موانع فرهنگی - اجتماعی می باشند.

    کلیدواژگان: برنامه توسعه، موانع و چالش ها، کشاورزی، منابع طبیعی، اولویت بندی، روش AHP
  • میثم امیری، محمدعلی دهقان دهنوی، مژگان رضایی* صفحات 237-272

    افزایش سرمایه بانک های دولتی یکی از موضوعات مورد توجه پیرامون اصلاح نظام بانکی و رفع موانع تولید است. با توجه به این که در سال های اخیر نیز منابعی برای افزایش سرمایه دولت در بانک های دولتی اختصاص داده شده است، در این جا این پرسش مطرح می شود که آیا به موازات افزایش سرمایه های صورت گرفته عملکرد بانک های دولتی نیز بهبود یافته است؟ بر این اساس در تحقیق حاضر با به کارگیری رویکرد GMM تاثیر تزریق سرمایه دولت بر رفتار وام دهی بانک های دولتی به عنوان یکی از شاخص های عملکردی این بانک ها طی بازه زمانی 1394 - 1379بررسی شد. نتایج نشان داد تزریق سرمایه دولت اثر مثبت و معنی دار بر رفتار وام دهی بانک های دولتی دارد. ضمن این که در میان متغیرهای کنترلی نسبت سرمایه و حاشیه نرخ سود دارای اثر مثبت و چرخه های تجاری دارای اثر منفی و ضدچرخه ای بر رفتار وام دهی بانک های دولتی بودند. علاوه بر این، با توجه به آمار ارایه شده در این مقاله در رابطه با نسبت کفایت سرمایه بانک ها، اکثر بانک های دولتی به طور اخص و شبکه بانکی به طور اعم همچنان از نسبت استاندارد کمیته بازل فاصله زیادی دارند که این موضوع لزوم افزایش سرمایه بیشتر این بانک ها را به عنوان راهکاری برای اصلاح ساختار سرمایه و رعایت مقررات بین المللی نشان می دهد.

    کلیدواژگان: تزریق سرمایه دولت، رفتار وام دهی، بانک های دولتی
  • صدیقه علیزاده*، محمدنبی شهیکی تاش، رضا روشن صفحات 273-308

    هزینه های معاملاتی در بازارهای مالی نقش تعیین کننده ای در تعیین رفتار معاملاتی فعالان بازار، نقدشوندگی بازار و بازدهی دارایی ها دارد. در این مطالعه شاخص هزینه معاملاتی موثر هاسبروک (2009)، با استفاده از رویکرد گیبس بیزین و مدل رول و بهره گیری از داده های روزانه قیمت پایانی سهام در بورس اوراق بهادار تهران در بازه زمانی 1388 تا 1396 برآورد شده است. سپس با ورود دو نوع هزینه معاملاتی هاسبروک (cGibbs) و اختلاف قیمت پیشنهادی خرید و فروش (CSspread) و همچنین ریسک نقدشوندگی در مدل های سنتی قیمت گذاری دارایی های سرمایه ای مبتنی بر مصرف، به تعدیل این مدل ها پرداخته شده است. نتایج بیان گر این است که ریسک مصرف ارایه شده در مدل این مطالعه قدرت محدودی در توضیح بازدهی مورد انتظار سهام دارد. اما ریسک نقدشوندگی تاثیر مثبت و معنی داری بر بازدهی مورد انتظار سهام دارد به طوری که با افزایش ریسک نقدشوندگی، بازدهی مورد انتظار سهام نیز افزایش می یابد. همچنین بررسی مدل ارایه شده نشان می دهد که هزینه های معاملاتی بر بازدهی مورد انتظار سهام نقش موثر و معنی داری دارد. به عبارتی این مطالعه به صورت نظری و تجربی از نقش موثر نقدشوندگی و هزینه های معاملاتی در قیمت گذاری دارایی ها حمایت می کند.

    کلیدواژگان: هزینه معاملاتی، ریسک نقدشوندگی، ریسک مصرف، رویکرد گیبس بیزین
  • بیتا اسکندری، مجتبی الماسی*، سمبه اعظمی صفحات 309-333

    بخش صنعت یکی از بخش هایی است که از یک طرف نقش بسزایی را در توسعه اقتصادی دارد و از طرف دیگر دارای انرژی بری بالایی است. در همین راستا تعیین ساختار بهینه صنعت برای کاهش اثرات جانبی منفی توسعه صنعت لازم و ضروری است. در مطالعه حاضر با استفاده از شواهد گزارش شده صنایع کارخانه ای با 10 کارکن و بیشتر برای دوره زمانی 1383 تا 1393 و روش اقتصادسنجی فضایی به بررسی اثر تمرکز صنعتی بر کارایی انرژی پرداخته می شود. شواهد حاصل از اندازه گیری کارایی انرژی با کاربرد رهیافت مرزی تصادفی نشان می دهد که استان بوشهر با مقدار کارایی انرژی 93/0 دارای بیشترین و استان خراسان شمالی با مقدار 134/0 دارای کمترین کارایی انرژی است. همچنین شواهد نشان می دهد که استان بوشهر با مقدار 593/0 و استان مرکزی با مقدار 028/0 به ترتیب دارای بیشترین و کمترین تمرکز صنعتی هستند. نتایج حاصل از برآورد مدل اقتصادسنجی فضایی نشان می دهد که اثر تمرکز صنعتی بر کارایی انرژی منفی و معنادار است، علت آن ناشی از وابستگی تولید در صنایع مختلف است. لذا تنوع سازی فعالیت های صنعتی در مناطق بر اساس پتانسیل مناطق یکی از سیاست های بهینه برای افزایش کارایی انرژی است.

    کلیدواژگان: تمرکز صنعتی، کارایی انرژی، اقتصادسنجی فضایی
  • زهرا عزیزی*، مهرناز غسالی صفحات 335-368

    کسری مداوم در تراز تجاری غیر نفتی در ایران سبب شده است که موضوع عوامل توضیح دهنده آن مورد توجه محققین و سیاست‏گذاران قرار گیرد. از این رو در مقاله حاضر تلاش شده که با استفاده از یک الگوی غیر خطی رگرسیون انتقال ملایم توابع تراز تجاری کل و تراز تجاری غیر نفتی با تاکید بر اثر نرخ پس انداز برای دوره زمانی 1396-1357 مورد برآورد قرار گیرد. در این راستا در کنار متغیرهایی همچون نرخ ارز، درآمد سرانه داخلی و درآمد سرانه جهانی که پرکاربردترین متغیرها جهت برآورد تراز تجاری هستند، دو متغیر نرخ پس انداز و متغیر مجازی تحریم نیز به عنوان عوامل موثر در چارچوب دو الگوی مجزای تراز تجاری و تراز تجاری غیر نفتی در نظرگرفته شده‏ است. نتایج حاصل از الگوی رگرسیون انتقال ملایم با رد فرضیه خطی بودن، مدل غیر خطی دو رژیمی را با در نظر گرفتن نرخ پس انداز به عنوان متغیر انتقال، برای هر دو الگو پیشنهاد می‏دهد. نرخ پس‏انداز در رژیم اول (قبل از حد آستانه نرخ پس انداز) در هر دو الگو اثر منفی و در رژیم دوم (بعد از حد آستانه نرخ پس انداز) تاثیر مثبت بر تراز تجاری داشته است. نرخ ارز حقیقی موثر نیز جز در رژیم اول تراز تجاری غیر نفتی، اثر مثبت بر هر دو داشته اما اندازه آن در رژیم های مختلف و بسته به نوع تراز تجاری متفاوت است. با توجه به تغییر ضریب این متغیر لازم است در اجرای هرگونه سیاست تعدیل نرخ ارز به منظور اثرگذاری بر تراز تجاری، به شرایط حاکم بر الگو و تفاوت ضرایب نیز توجه گردد. همچنین نتایج نشان می دهد که تحریم ها تنها بر تراز تجاری کل اثر معناداری داشته اند

    کلیدواژگان: تراز تجاری، تراز تجاری غیر نفتی، نرخ پس‏انداز، تحریم، رگرسیون انتقال ملایم
  • سیمین آل علی*، قدرت الله امام وردی، عباسعلی ابونوری، ابوالفضل غیاثوند صفحات 369-400

    نوسانات قیمت از مهمترین ویژگی های بازار انرژی بوده که منجر به ایجاد ریسک قیمتی و بی ثباتی اقتصادی می گردد. این ریسک باید به کمک ابزار مشتقه مناسب پوشش داده شود. استراتژی بهینه پوشش ریسک از طریق تخمین نسبت پوشش ریسک مشخص می گردد. بنابراین، هدف پژوهش حاضر محاسبه نسبت بهینه پوشش ریسک کالاهای انرژی به روش حداقل واریانس و با استفاده از روش های اقتصادسنجی می باشد. سپس، کارایی نتایج مدل های مورد مطالعه با یکدیگر مقایسه شده است. در راستای رسیدن به هدف، از سری زمانی هفتگی قیمت های آنی و قراردادهای آتی نفت خام و گاز طبیعی در طی دوره پنج ساله 2018-2013 استفاده شده است. نرخ های پوششی به وسیله مدل های ایستا (روش های حداقل مربعات معمولی و مدل خودرگرسیون برداری) و پویا (مدل های ناهمسانی شرطی اتورگرسیو و کاپولا) برآورد شده اند. از مقایسه کارایی مدل های مختلف می توان نتیجه گرفت که مدل های کاپولا کاراترین روش برای پوشش ریسک می باشند.

    کلیدواژگان: پوشش ریسک، قرارداد آتی، حداقل واریانس، کاپولا
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  • Sahar Abedian, Mir Mehrdad Mirsanjari *, Abdolrassoul Salmanmahiny Pages 1-40
    Introduction

    Policymakers consider environmental quality, economic growth, and health as important factors in sustainable development. Air pollution is one of the major issues in environmental quality. Failure to pay attention to air pollution leads to increased health costs, increased mortality of children and the elderly, decreased public welfare, increased crime and violence, pollution of ecosystems, etc. Therefore, policymakers and economists consider air pollution as one of the main obstacles to the economic development of countries. In modern urban management, the presence and cooperation of the people are considered as a key component in sustainable urban management. Therefore, examining the preferences of people in dealing with air environmental goods, awareness of the level of economic participation, and willingness to pay can be an effective step to reduce air pollution. In this regard, the Willingness to Pay (WTP) by the residents of District 5 in Tehran to improve air quality has been evaluated. For this purpose, the contingent valuation method was used to obtain the estimates of Willingness to Pay. Then, the feasibility of purchasing electric buses using the public participation in one year and the benefits related to this issue in terms of reducing air pollution costs, noise pollution, fuel consumption, and costs of maintaining diesel buses were investigated in this study.

    Methodology

    In this study, the data needed to estimate the WTP to improve air quality were obtained by completing a double-bounded dichotomous choice (DDC) questionnaire. The questionnaires were randomly distributed among the citizens in District 5 of Tehran. The questionnaire consisted of three parts including demographic information, perspectives, and willingness to pay questions. Open-ended approaches were used to determine the willingness to pay in the sample. The SPSS, Shazam, and Wolfram Alpha software packages were used for different estimates and statistical operations. It is to be noted that 557 out of 827 intercity buses in District 5 of Tehran are diesel buses such as Benz O-457, Shahab, Scania, etc. The possibility of replacing worn-out diesel buses with electric buses equipped with night charging was investigated. Then, the necessary data for analyzing the cost, environmental and economic benefits of this project were obtained from Tehran Municipality Bus Organization, a review of the Internal and external sources, and statistics related to the level of public participation.

    Results and Discussion

    According to the results, 85.9% of the statistical sample was willing to pay at least between 30,000 to 70,000 Rials per month to improve air quality, and 37.5% of them stated that their maximum WTP was more than 70,000 Rials. Also, 36.7% of those who were not willing to pay or were willing to pay less believed that improving air quality is one of the responsibilities of the Environment Organization and the municipality. This can be interpreted that, although the government and the responsible institutions have a responsibility to improve air quality and promote public health conceding that there is a common language between citizens and institutions related to environmental pollution control, one cannot expect much success in preventing and solving air pollution problems in metropolitan areas. The results revealed that 85.9% of the respondents were positively willing to pay while the average predicted willingness to pay by each person was 61450 Rials per month. The results also showed that the suggested monetary charge, income, and awareness factors affect the willingness to pay. Income and awareness factors had a positive effect, and only the suggested monetary charge factor had a negative effect. For the negative factor of the bid amount, it is emphasized that the probability of saying yes to WTP decreases by an increase in the bid amount. As it was found, the municipality could replace 18 diesel buses with electric buses in District 5 of Tehran using public participation. This plan has a profit of about 26.696 billion Rials to reduce air pollution, noise pollution, fuel consumption, and the maintenance costs of diesel buses.

    Conclusion

    The results of the study provide insight for the municipality about the amount of income from environmental charges on air pollution that local citizens are willing to pay to improve air quality. Awareness of this amount can be an effective step to plan financing projects to reduce air pollution in the region, such as using the facilities of E-city, giving special scores to private companies to make the E-shopping system competitive to reduce travel demand and pollution during peak hours, optimizing the public transportation system in District 5, investing in air pollution reduction plans and helping public organizations to promote public culture to improve air quality. Since environmental funds are one of the sources of financing public services in the municipality, it is recommended that city managers use public partnership to improve air quality and offset costs.

    Keywords: Contingent evaluation, Willingness to Pay, Economic Participation, Air Quality
  • Hamid Sepehrdoust *, Sara Mohtashami, Mohsen Tartar Pages 41-72
    Introduction

    Taxes and tax revenues are one of the most important tools for stabilizing governments. In macroeconomics, the impact of taxes is examined in terms of their impact on total consumption and aggregate demand. The role of the tax system in an economy is based on economic, political, and social objectives, while the political and social objectives are more influenced by the economic objectives of taxation, considering the monetization aspects of the government and its impact on the other sectors of the economy. Since the tax size plays a key role in providing the revenue requirements of the governments, implementing any tax policy requires good insight into how the economy must perform to achieve the optimum size of tax revenue with minimum inefficiency. Implementing any tax policy to provide the revenue sources needed for government spending can have different effects on economic growth and income distribution. In this regard, many studies have shown that, among the tools of government fiscal policy, construction expenditures and taxes can have significant direct and inverse effects on economic growth respectively, while consumption expenditures do not have a significant effect on economic growth.

    Methodology

    In general, because of their effect on the return on physical and human investment, taxes can affect economic decisions and ultimately the growth rate of the economy as a whole. Given the current state of the Iranian economy, which is accompanied by low economic growth, dependence on oil, the existence of inequality in income distribution and change of the population ratio in favor of the retired and the disabled, reducing the economy's dependence on oil revenues and increasing the government reliance on tax revenues seem more than necessary. For this purpose, in this study, the Bayesian approach and Klein's basic model were used to study the demand structure of Iran during the years1989-2016, which provides the possibility to appraise the impact of policy variables on aggregate demands. The advantages of this method are due to the use of non-data to obtain a clear picture of the state of the economy as a result of economic change.

    Results and Discussion

    According to the results, the effect of taxes on reducing consumption and aggregate demand is relatively small. Therefore, as it seems, raising taxes will not reduce production. This is only a short-term consequence of tax increases. On the other hand, raising taxes by stimulating people's tendency to save can improve the country's long-term growth conditions. Also, the use of appropriate increases in tax rates means that the methods of financing the inflation deficit are not used and, thus, the value of the national currency is not weakened. In addition, financing through taxes reduces the country's dependence on foreign countries in order to cover the capital deficit in the balance of payments. The results of this study indicate that, in order to cut the government's dependence on oil revenues, the government could rely on tax revenues given that the total effect of taxes on income and consumption is not high; it is better and quicker to reach the desired income (an increase of one trillion Rials in taxes will lead to a reduction in consumption of just about 200 billion Rials). Moreover, the results indicate an increase in the total expenditures by the government to 1,000 billion Rials will increase the consumption to about 290 billion Rials. According to the results, the effect of taxes on reducing consumption and aggregate demand is relatively small; therefore, as it seems, raising taxes will not reduce production. This is only a short-term consequence of tax increases. On the other hand, raising taxes stimulates people's tendency to save, which can improve the country's long-term growth conditions. The use of appropriate increases in tax rates means that the methods of financing the inflation deficit are not used and, thus, the national currency is not devalued. Financing through taxes also reduces the country's dependence on foreign countries in order to cover the capital deficit of the balance of payments. According to the results, the ratio of taxes to GDP is always lower than the ratio of current government expenditures to GDP. This indicates that, as governments have grown, the share of government revenues from taxes has been very low. Therefore, to maintain this ratio, it is necessary to either increase government revenues or reduce government expenditures. Of course, regarding the government expenditures, the difference between the current and development expenditures must be taken into account. This is because the reduction of construction costs and insufficient growth in infrastructure can reduce economic growth in the future.

    Conclusion

    Due to the difference in the final tendency for consumption among different segments of the society, the adoption of any tax policy or the imposition of any tax revenue does target the income of a segment of the society. Therefore, different types of taxes can have different effects on the private consumption of the society, and recognizing it will help the country's tax policymakers to increase the efficiency of different types of taxes. Given the recession-inflationary conditions of the Iranian economy, which is accompanied by low oil-dependent economic growth, rising prices and inequality in income distribution, reducing the economy's dependence on oil revenues and increasing government dependence on tax revenues seem more than necessary. Utilizing the maximum tax power of the country and increasing the tax base to improve the performance of the country's tax system will make it possible to provide goods and public services desired by citizens by relying less on oil revenues. Since the effect of the total taxes on income and consumption is not significant, in order to break the government's dependence on oil revenues, it is possible to act better and faster to achieve the desired revenue. However, the effect of the exogenous increase of taxes by the government on the total expenditures should not be overestimated. Given the low impact of consumption taxes, it is highly recommended to determine the optimal rate of consumption tax from the revenues of this type of tax to build the corresponding infrastructures. Moreover, appropriate resources and increased government spending on development should serve to reduce the role of oil revenues from the budget to create the conditions for better economic growth in the future.

    Keywords: Bayesian approach, Tax, Spending, Structural equations, Klein model
  • Hamidreza Arbab, Manoochehr Asgari, Hamid Amadeh, Fatemeh Rafiei * Pages 73-106
    Introduction

    Among energy carriers, electricity has been focused on more closely than the other energy carriers because of its ease of conversion, ease of use, low risk, as well as environmental considerations. In 2017, 11% of the final energy consumption belonged to electricity. Electricity is also an indicator of social welfare; however, electricity consumption has grown in recent years for such reasons as population growth, urban development, increasing living standards and welfare, realizing tariffs, climate change and industrial and commercial development. Even in some years when Iran has had low or even negative economic growth, the upward trend in electricity consumption has not stopped, and the implementation of the subsidy reform plan has not been able to stop this trend. Therefore, in the absence of structural reforms, widespread socio-economic costs will be imposed on the Iranian economy. This is because the high speed of energy consumption in Iran raises serious concerns about the country's ability to export energy in the coming decades.  Electricity reduction policies can be divided into two categories: price and non-price policies. Pricing policies in Iran have brought the price of electricity closer to the cost of production and reduced subsidies. Non-pricing policies to reduce electricity consumption can also be referred to as efficiency improvement policies. Increase of efficiency depends on the increase of the useful output of each process per unit of energy received. It is commonly thought that improving energy efficiency reduces energy consumption, but there is widespread debate in both economics and energy policymaking about the real impact of such improvements on energy efficiency.

    Methodology

    In order to study the relationship between the increase of efficiency and the reduction of electricity subsidies, this paper creates a CGE model based on the latest Social Accounting Matrix published in 2011. The final SAM is aggregated into 11 economic sectors, namely agriculture, electricity, fossil fuels, textile production, production of chemical materials, other non-metallic mineral products, production of basic metals, production of motor vehicles and trailers, other industries, transportation and other services, two factors of production, labor and capital, two groups of urban and rural households, enterprises, government, saving-investment and the rest of the world. To calculate the effect of price increase on the efficiency, the structure of the production layers is formed in such a way that the energy-producing parts are separated from other non-energy parts. Results and

    Discussion

    By implementing the policy of increasing electricity efficiency, electricity consumption has increased by 4.17, and there are rebound effects above 100% as well as backfire for electricity and total energy in the economy. The policy of increasing electricity prices by 10% will reduce electricity consumption by 0.02%. With the increasing electricity efficiency, the amount of energy consumption will increase by 1.20%. Taking into account the price drop for electricity due to increased efficiency, the cost of fossil fuel production will decrease and, therefore, fossil fuel consumption will increase. Consumption of energy commodities increases too. The main reason for the increase in energy consumption is that the application of the energy efficiency policy makes the level of activity rise in all sectors and, therefore, energy consumption is needed to increase production. Due to the reaction of various economic entities, including households and production sectors, energy consumption increases and may offset a part or all of the reduction in primary energy consumption. With the reduction of implicit energy prices, the energy consumer faces a situation similar to the reduction of prices, so the consumer is driven to increase energy consumption. Also, as stated in the microeconomic literature, with implicit price reduction, real energy consumption (whether in households or in the production sector) will increase and, as a result, the consumer will face a wider range of goods and services. An increase in real income will increase energy consumption. As a result, part of the reduction in the initial consumption due to increased energy efficiency is offset. Contrary to the engineering approach, a 10% increase in electrical efficiency results in a reduction of less than 10% of energy. This difference is called the rebound effect. Therefore, the increase in energy efficiency is in line with the ultimate goal of protecting the environment as well as boosting the economic growth. In contrast, the policy of increasing electricity prices reduces electricity consumption by 0.02%. Rising electricity prices will also reduce the consumption of energy-efficient commodities. A rise in fossil fuel prices will raise the electricity price. Therefore, the relative price of energy increases and is replaced by other inputs based on the effect of energy substitution. Also, price increase has caused a decrease of 0.54% in the production of the total economic activities. If the goal is to reduce energy consumption and emissions, the policy of increasing electricity prices is better than the policy of increasing efficiency.

    Conclusion

    The results show that the policy of increasing electricity prices by 10% reduces energy consumption by 4.91%, but the policy of increasing electricity efficiency by 10% does not reduce energy consumption due to rebound effects; it just increases energy consumption by 1.2%. Therefore, as realized by Khoshkalam and Mahdavi (1397), it is recommended that policy makers avoid overestimating the power savings resulting from the efficiency increase policy and not expect consumption to decrease as efficiency increases. It is important to note that the policy of efficiency compared to increasing energy prices raises the production of economic sectors, but increasing the price of production reduces it. Therefore, if the increase of the price of electricity is implemented, it is better to apply complementary policies to prevent the reduction of production.

    Keywords: electricity consumption, improving efficiency, rebound effect, electricity price, Computable General Equilibrium
  • Mohammad Nasrollahi *, Kazem Yavari, Reza Najarzadeh, Nader Mehregan Pages 107-138
    Introduction

    The occurrence of currency crises in recent decades has been one of the problems of the international monetary system. These crises impose heavy costs on the country where they occur and even other countries. For this reason, in recent years, systems for early warning of these crises have been developed to prevent the occurrence of such crises by their early detection and providing sufficient time for policymakers. Meanwhile, Iran's economy has faced several currency crises in the post-revolutionary years and has incurred heavy costs. Under these circumstances, designing an early warning system for currency crises in the Iranian economy can bring many benefits. Therefore, the purpose of this study is to design an early warning system for currency crises in Iran. Based on it, the endogenous crises that occurred in the period under review were identified. Using this system, it is possible to predict future crises and identify the factors affecting the occurrence and intensification of these crises separately in periods of tranquil and crisis.

    Methodology

    In order to achieve the above goals, this article used the Markov-switching approach and the quarterly data of the Iranian economy during a period from February 1988 to March 2016. For this purpose, first the components of the designed early warning system, i.e. the dependent variable and the leading indicators of the crisis, were introduced. Afterwards, to estimate the model, first the unit root tests of the variables were used, and then the early warning system was estimated based on the Markov-switching approach in periods of tranquil and crisis. Finally, after diagnostic tests, the in-sample and out-of-sample prediction performances of the system were investigated and the characteristics of periods of tranquil and crisis were studied.

    Results and Discussion

    The results indicate that the designed system has a high ability to identify the past crises and anticipate future crises in the Iranian economy. Also, according to the results, in tranquil states, the increase of inflation rate, international reserves to foreign debt ratio, M2 to international reserves ratio, growth of foreign exchange earnings from oil exports and growth of domestic credit have positive and significant effects on the index of foreign exchange market pressure and the greater probability of a currency crisis. But in these tranquil states, the increase in the ratio of foreign exchange earnings to international reserves as well as the growth of industrial production has had negative and significant effects on this index. In other words, they have helped to prevent the occurrence of the currency crisis. Moreover, based on these results, in the crisis states, an increase in the inflation rate, the ratio of international reserves to foreign debt, M2 to international reserves ratio and budget balance to real gross domestic product ratio, with positive and significant effects on the foreign exchange market pressure, will intensify such crises. Of course, if a currency crisis occurs, the increase in the ratio of foreign exchange earnings to international reserves, the growth of domestic credit, the growth of industrial production and growth of real gross domestic product will help improve the crisis state. Finally, based on these results, in the tranquil states, inflation is the most important warning indicator and also the most important factor in increasing the probability of a currency crisis. The growth of industrial production is also the main factor reducing the probability of the crisis. Also, in the crisis states, inflation is the most important factor to intensify the crisis, while the ratio of foreign exchange earnings to international reserves and growth of real gross domestic product are the most important factors in improving the crisis state respectively.

    Discussion

    Based on the early warning system designed for the Iranian economy, the occurrence of currency crises and the intensification of crisis states in Iran are due to a set of macroeconomic imbalances. These imbalances and the problems in the monetary, financial and foreign sectors as well as dependence on oil revenues have provided the basis for currency crises in the Iranian economy. However, the results showed that it is possible to deal with the occurrence of a currency crisis in Iran with policies such as inflation control, strengthening and proper management of foreign exchange resources, controlling liquidity growth, managing domestic credit, supporting industrial production, strengthening gross domestic product and controlling the government budget deficit. Also, it is possible to control the critical situation in the event of a currency crisis with such policies.

    Keywords: Currency Crises, Exchange Market Pressure Index, Early Warning System, Regime-Switching Approach
  • Vahid Sadeghi Hasanvand, Narciss Aminrashti *, Marjan Damankeshideh, Azadeh Mehrabian Pages 139-169
    Introduction

    Identifying the behavior of households is essential for both suppliers and governments. It enables one to better plan for the sale of goods by identifying consumer needs and preferences and their response to change. It also helps to pursue different goals such as supporting low-income groups. The goal is to identify the consumption behavior of households. Accordingly, the questions that arise are ‘how have the welfare index, poverty, and income distribution changed over the years as to make the country experience inflation?’, ‘which commodity group has inflicted the most welfare loss on the household?’, and ‘what are the factors affecting the household welfare loss?’ In this study, in order to answer these questions, we focus only on the indicators of welfare, poverty and the distribution of rural household expenditures. Because of the lack of planning and development in the village, many problems have been created for the national territory. Biological problems in rural areas and the movement of rural population to cities not only increase the problems in the outskirts of cities but also lead to the prevalence of false jobs and inflation in cities, which is one of the most important problems of cities, especially in large cities in Iran. The advantage of this study over the previous ones, which often refer to the effect of price adjustment after the targeted subsidy policy, is the extent of the period under study and the simultaneous study of the most important welfare indicators. In this regard, this article is organized into four sections.

    Methodology

    In this research, household as a statistical unit and its consumption expenditures as research data are examined. The statistical body of the household budget contains household expenditure information related to eight commodity groups, which makes it very suitable for estimating demand functions. The price indices of the studied commodity groups have been obtained from the website of the Central Bank of the Islamic Republic of Iran and the Statistics Center of Iran. The prices of energy carriers have also been obtained from the energy balance sheet published by the Ministry of Energy. It should be noted that the individual price of energy carriers studied in this study after being converted into the same unit (barrel equivalent of crude oil) and weighted average (based on the share of each energy carrier) has become a single price as the price of energy carriers. The commodity groups studied in this study include food, housing, transportation and communications, healthcare and energy carriers. Energy carriers used by households in the fuel and lighting subgroups related to housing, water and sewage are available as fuel and lighting and include electricity, gasoline, natural gas, liquefied petroleum gas, kerosene, diesel and black oil. This study investigated the effect of price adjustment of commodity groups (food, housing, energy carriers, health, transportation and other goods) on welfare, poverty and distribution of rural household expenditures in Iran in the period of 1988-2017. To measure the welfare cost of inflation by measuring consumer welfare changes, a formula was extracted for the compensatory changes in the framework of the near-ideal demand system (AIDS). The relative poverty line was calculated from the Gini coefficient with an emphasis on the nutritional approach and expenditure distribution.

    Results and Discussion

    The calculated indicators show that, with an increase (or a decrease) in inflation, the welfare losses increase (or decrease), and the highest welfare losses belong to the food commodity group, which has the largest share among household expenditures. The next stage is housing, transportation, healthcare, and energy carriers respectively. Also, with an increase (or a decrease) of inflation, the poverty line goes higher (or lower) and the expenditures of commodity groups become more inappropriate. Due to the increase in the inflation in the third period of this study (2010-2017), the government support policies have reduced the severity of welfare costs, and the distribution of rural household expenditures has become more appropriate than in previous periods.

    Conclusion

    According to the research findings, the following recommendations can be made to adopt appropriate policies to prevent the decline of consumer welfare: - The effects of an economic policy should be examined and compared in the long run with the pre- and post-policy periods (in the present study, it is 1988-2017). Also, only one course of study (major in-country studies on the use of targeted subsidy policy) should not be the basis for conclusions. - Given that the most negative welfare effects are related to the commodity groups that have a larger share in the household budget, the government support policies should focus on goods that have a larger share of the household budget. - For commodities whose traction is less than one price, the policy of price increase alone is not suitable to reduce consumption; necessary policies and culture building should be used to reduce consumption. - The government should adopt more specific and targeted policies regarding the equitable distribution of income and wealth, and these policies should be implemented in line with inflation control policies. In this case, the level of social welfare can increase. Therefore, the implementation of any policy that leads to a fair distribution of income increases welfare and reduces poverty.

    Keywords: Nearly ideal demand system, Welfare index, Poverty, Distribution of expenditure
  • Mojtaba Rostami, Seyed Nezamuddin Makiyan *, Rasol Roozegar Pages 171-206
    Introduction

    In economics, measurement is the assignment of numbers to one or more properties of objects, events, and situations based on a rule in order to generate reliable information about those objects, events, or situations. Measurement and understanding of economic reality are two sides of the same coin. Indeed, measurement alone assigns a meaningless random number, and understanding without measurement remains merely a philosophical act. Uncertainty indicates limited knowledge and the impossibility of the accurate description of current or future conditions. The valid measurement of uncertainty and forecasting its future values ​​are very important for credit institutions. This is because, in addition to average returns, decision makers are also sensitive to return uncertainties and the consequent risk. To measure and express uncertainty, we can use the probability distribution of the results or the possible occurrences of the desired situation. But this description is usually difficult or impossible due to the complexity of estimating the probability distribution. For this reason, simpler criteria and approximations are used instead of distributing the probability of the situation. Thus, the relatively simple concept of volatility is used to measure uncertainty that plays a central role in the financial theory, risk management and pricing. Any model proposed to measure volatility must meet the implicit adequacy criteria and be useful for policy-making in this market.

    Methodology

    An important issue in providing a proper statistical analysis of uncertainty is the estimation of the parameters of volatility models (time series type). Research for the presentation of econometric models that can predict volatility has paid off with the introduction of the ARCH model by Engel (1982), which uses the classical maximum likelihood technique. Despite this initial success, the estimation of these models, which is widely performed by the maximum likelihood method, has major weaknesses. In this regard, it is possible to know the asymptotic properties of unit root tests in the presence of ARCH effects, abnormal asymptotic distribution of estimators due to the wide tail feature of financial data distribution and how to choose volatility model based on information criteria regardless of the degree of uncertainty of models; only the interrupts that are set are noted. The consequence of these cases is the creation of unfavorable results in the field of prediction and the invalidity of testing hypotheses. Due to the importance of modeling and predicting volatility in financial markets, the present study uses the Bayesian inference method. This method, in addition to solving these problems, enables researchers to assess the probability of the model being accurate. In order to make the modeling more consistent with the reality of financial data, in this study, the t-distribution is used as the marginal distribution of returns in Bayesian GARCH models (linear Bayesian GARCH model, Bayesian GJR-GARCH models and nonlinear Bayesian EGARCH).

    Results and Discussion

    The results of this study obtained by the use of the Bayesian factor show that the most suitable model for the equation of average stock prices is a model with random movements around a fixed value. This means that stock prices follow a random geometric step process on a daily basis. According to Bayesian GARCH model in Tehran Stock Exchange, with a probability of 68%, the volatility half-life is about 27 days, and with a probability of more than 50%, there is a leverage effect in this market. However, the results showed that, for all models, the probability of volatility damping is higher than the probability of the immortality of volatility. In nonlinear models, due to the effects of leverage, the probability of damping was higher than the linear model, and this is an indication for the predictability of these models compared to the linear model. In addition, the results indicate that the daily volatility of stock prices has leverage effects. Both Bayesian GJR-GARCH and Bayesian EGARCH confirmed these effects. Also, using the Bayesian information deviation criterion, GJR-GARCH model is selected as the best model to predict the stock market volatility.

    Conclusion

    In order for the volatility model to be sufficient, it should combine basic items such as theoretical concepts, policy perspectives, mathematical concepts and techniques, empirical facts and data. In addition, rules must meet certain requirements to perform reliable stock market volatility measurements. These requirements depend on the nature of the stock market and the circumstances in which the measurements are made. The fact that measuring the stock price index uncertainty requires a model means that uncertainty cannot be measured by simply calculating the probability distribution of stock price index (or return) data. However, predicting the stock return uncertainty is further complicated by the general fact that uncertainty cannot be measured directly and must be inferred from market price behavior. This means that uncertainty cannot be measured in the same way that temperature is measured with a thermometer: because it is a hidden variable. The only thing is that, if prices fluctuate sharply during the day, there is probably a high uncertainty. As a result, measuring uncertainty requires statistical modeling, which requires some assumptions. In this paper, Bayesian method was used to have valid estimates for volatility. This method is philosophically distinct from other methods of statistical inference. In this method, all unknowns, even parameters, are assumed to be random variables whose probabilistic distributions are determined by the researcher's beliefs about their possible values. Because Bayesian inference approaches start from previous beliefs about parameters, it seems very subjective, and this is a challenging issue. However, most Bayesian and non-Bayesian inference results are very similar, especially when using obscure backgrounds, but this similarity does not mean the same thing because the main difference between Bayesian and non-Bayesian approaches is in interpreting the results. Bayesian method is very important in the analysis of financial markets because, in this field, the volume of the background information of researchers is relatively high and failure to use such a volume of information seems illogical.

    Keywords: Symmetric, Asymmetric Volatility Models, Stock Return Volatility, Bayesian Inference
  • Gholamreza Yavari, Vahid Azizi * Pages 207-235
    Introduction

    Iran's economy has been managed by development programs for more than half a century. Among the various economic sectors, the agricultural sector, owing to its place in the Iranian economy, has been of considerable importance in development programs after the Islamic Revolution. In each program, according to its time, important policies and tasks are defined for it. Despite policymakers' continued emphasis on the importance of the agricultural sector, this sector has not had a great impact on the growth and development of the country yet. The many challenges it faces indicate a failure to achieve the goals mentioned in the development plans. Therefore, it is necessary to study the pathology of the development programs and examines the reasons as why the goals of the development programs have not been achieved. Therefore, this study aims to determine and prioritize the obstacles and challenges facing the first to the fifth programs of social, economic and cultural development of the Islamic republic of Iran in the sectors of agriculture and natural resources.

    Methodology

    The present study is applied in terms of purpose and analytical-descriptive in terms of nature. The data were collected through library work and survey. The data collection tool in this research was a questionnaire. The questionnaire was designed using a review of sources related to the rules of development programs and conducting qualitative interviews. The validity and reliability were assessed for the research tool. The validity of the questionnaire was confirmed by a five-member panel of experts. To evaluate the reliability of the questionnaire, Cronbach's alpha test was used with the estimate of 0.85. After the modification and the validity and reliability test, the final questionnaire was developed for a hierarchical analysis. The final questionnaire consisting of three sections was designed according to the purpose of the research. In the first part, the individual characteristics of the studied sample were examined. In the second part, the questions were raised for pair comparison and determination of the degree of importance of the main criteria, including the six main factors of failure to achieve the goals of development programs. The third section discusses the pairwise comparison and determining the degree of importance of the sub-criteria including 58 sub-components of failure to achieve the goals of development programs in the agricultural sector. The statistical population of this study included the agricultural experts in organizations and universities as well as producers. The non-probability and snowball sampling methods were used to collect information. Using this method, 50 people were identified and studied. Finally, the Analytic Hierarchy Process (AHP) decision-making method was used to conduct the research.

    Results and Discussion

    The research findings were reviewed in two sections. In the first part, the demographic characteristics of the studied sample were examined. They included age, gender, work and educational characteristics. In the second part, in order to prioritize the obstacles and challenges of not achieving the goals of development programs in agriculture and natural resources, the AHP method was used. The first step in the AHP method was to create a hierarchical structure from the items under study, namely the objectives, criteria and sub-criteria as shown in Figure 1. In the next step, the incompatibility coefficient (IR) was used to examine the consistency in the judgments.  According to the results of the pairwise comparison, the adjustment rate of the main criteria was 0.00352 Given that it was less than 0.1, the results of the main criteria were optimal. The compatibility rate of the six sub-criteria was less than 0.1 too, and the results were confirmed and lay in the desired range. After the compatibility rate of the composite matrices was confirmed, the ranking of the criteria and the sub-criteria was analyzed. Based on the results of prioritization of the main criteria in the order of importance, structural-managerial barriers with a relative weight of 0.228, economic barriers with a relative weight of 0.200, political barriers with a relative weight of 0.156, scientific barriers with a relative weight of 0.153, executive barriers with a relative weight of 0.137, and socio-cultural barriers with a relative weight of 0.127 were ranked from one to six.

    Conclusion

    This study aims to determine and prioritize the obstacles and challenges to the achievement of the goals of the first to the fifth programs of social, economic and cultural development of Iran in the agriculture sector. According to the objectives of the research, 58 sub-criteria were identified and analyzed under six main criteria. In order to conduct the research, the decision-making method of AHP was used, and the opinions of 50 relevant specialists were considered. The results of the pairwise comparison and prioritization of the main criteria of the research showed that structural-managerial barriers are of the first importance, and economic barriers are of the second importance. Also, political barriers, scientific barriers, executive barriers and socio-cultural barriers were in the third to the sixth priority respectively. In general, there are major reasons for the failure to achieve the goals of the development programs in the agriculture sector in economic, executive and structural domains. The most important financial and economic problems are the lack of capital resources, the reduction of government budgets and the lack of various financing models. As executive and managerial problems, one can mention government management, the existence of cumbersome laws, the worn-out executive system and the lack of meritocracy. In the field of structural and infrastructural problems, there is the lack of a purposeful support system in relation to infrastructure development, education and research, insurance system and product support.

    Keywords: Development Plan, Barriers, challenges, Agriculture, Natural Resources, Prioritization, AHP Method
  • Meysam Amiry, Mohammad Ali Dehghan Dehnavi, Mojgan Rezaei * Pages 237-272
    Introduction

    The economies of many countries including Iran rely on their banking systems for various institutional and structural reasons. Despite an increase in the volume of financial markets in recent years and due to the low depth of the capital market, the banking system plays a key role in financing the real sectors of economy. Therefore, maintaining the lending power of banks will be one of the fundamental necessities of the country. However, on one hand, economic fluctuations and, on the other, the problems of the banking system have severely affected the performance of banks to finance economic units in recent years. This is in such a way that the poor performance of the banking system is not a hidden issue in performing its duties.  Accordingly, reforming the banking system seems necessary. In the meantime, given that capital is one of the main pillars of banks, one of the issues that is frequently raised by experts in reforming the banking system is the raise of the capital of banks. Usually, a capital crunch happens during a recession or depression, when the capital base of banks is likely to be eroded by loan losses and so on. Even if their capital deteriorates, capital crunch does not happen to banks if they can easily raise additional capital through financial markets. However, it is difficult or costly for banks to raise fresh external capital in bad times; thereby banks will be forced to cut back on their lending activity. Here is the reason why governments have made capital injections into banking sectors during financial crises. The increased capital base of banks by this policy has been expected to prevent banks from reducing their loans. In other words, the capital injection is believed to avoid a capital crunch. Scientists believe that the capital-raising of banks can cause the country's banking indicators to return to the acceptable state. It is necessary to mention that, in some cases, the government has raised the capital of state-owned banks in recent years, but there are no reports or study on the effects of implementation. Therefore, it is necessary to examine the effect of capital-raising on the performance and the lending behavior of state-owned banks.

    Methodology

    This study employs the Generalized Method of Moments (GMM) approach to evaluate the effects of the lending behavior of government capital injection on state-owned banks as one of the banks’ performance measures in the period of 2001-2016. The data have been extracted from the Iran Banking Institute. The functional form of the model is as follows:   where: : Log Change in Lending : Lagged log Change in Lending : Government Capital Injection : Log Capital Ratio : Loan to Deposit Interest Rate Spread BC: Business Cycles

    Results and Discussion

    The findings show that government capital injection has a positive and significant effect on the lending behavior of state-owned banks. Furthermore, amongst the control variables, the capital ratio and the loan to deposit interest rate have positive impacts on the lending behavior of state-owned banks. However, the business cycles have negative and countercyclical effect on this behavior.

    Conclusion

    Due to the positive effect of government capital injection and capital ratio on the lending of state-owned banks and the lending behavior of countercyclical state-owned banks, and considering that state-owned banks are faced with many problems in recent years, such as multiple government duties, non-repayment of government debts, and  non-performing loans of legal and real  persons of  NGOs, which causes these banks to face serious capital challenges, it is suggested that the government force them to increase lending by capital injection. This suggestion is due to the current recession in the country. Also, after capital injection, the government must impose restrictions on loans to real producers.In addition, It should be noted that, if the government forces banks to increase lending with low interest without creating the necessary infrastructure, this can pose moral hazards to banks. Furthermore, the amount and the source of capital-raising are issues that the government should pay special attention to in programs of capital raising.It is suggested to create specific procedures and standards for the capital-raising of state-owned banks and avoid unconventional methods. This can be done in the form enacting corresponding rules. Furthermore, according to the statistics provided in this study regarding the capital adequacy ratio of banks, most state-owned banks in particular and the banking system in general are far from the standards of the Basel Committee. This indicates the necessary of capital-raising of these banks as a solution to reform the capital structure and the fulfilment of international regulations.

    Keywords: Government Capital Injection, Lending Behavior, State-owned Banks
  • Sedighe Alizadeh *, Mohammad Nabi Shahiki Tash, Reza Roshan Pages 273-308
    Introduction

    The capital asset pricing model (CAPM), developed by Markowitz (1952), Sharpe (1964) and Lintner (1965), explains stock returns based on the mean-variance framework. However, many researchers and practitioners have found that stock returns cannot be fully explained by the CAPM. This has led to further attempts to incorporate other aspects of stock into the CAPM. One of the most successful findings is the role of liquidity in asset pricing. Amihud and Mendelson (1986) were among the first to examine how the level of liquidity affects asset prices. Pastor and Stambaugh (2003) and Acharya and Pedersen (2005) also examined the role of the second moments of liquidity in asset prices. Other research works have been done in this area. In our study, we seek to make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). This aspect of CAPM has not been investigated in my country. So, the research is of novelty here. The study aims to show that the expected stock return is determined by both consumption risk (CR) and liquidity risk (LR). The latter (i.e., LR) has been defined as the covariance between transaction costs and consumption growth. In this study, the effective trading cost index of Hasbrouck (2009) was estimated using Gibbs Bayesian method and roll’s model with the daily data of the stock closing price in Tehran Stock Exchange during 2009-2010. Then, by including the two types of Hasbrouck trading cost and the bid-ask spread as well as the liquidity risk in the traditional consumption-based capital asset pricing models, adjustments are made in these models. The purpose is to show that the liquidity-adjusted CCAPM provides a better fit for the cross-sectional expected returns across various liquidity-based portfolios, while the traditional CCAPM fails to capture the liquidity effect. This study also seeks to show that the liquidity adjusted CCAPM is robust enough to include industry portfolios The model considered in this study is a generalized version of Acharya and Pedersen (2005) and suggests a novel source of liquidity risk which is the covariance between transaction costs and consumption growth. The question to arise is ‘Can the three channels of liquidity risk of Acharya and Pedersen (2005) be captured by the covariance between transaction costs and consumption growth?’ We try to enrich the literature that highlights the pricing of various systematic risks associated with consumption by showing the positive relation between stock returns and the sensitivity of transaction costs to consumption growth. Reviewing the literature, it seems this area has worked in advanced countries (Lettau and Ludvigson, 2001; Bansal and Yaron, 2004; Parker and Julliard, 2005; Yogo, 2006; Jagannathan and Wang, 2007; Savov, 2011; Boguth and Kuehn, 2013), while, in some country such as Iran, it has not been tried yet. The focus of this research is on the liquidity adjustment to the consumption-based pricing models, as an area that has attracted little attention in the literature. The research will add to the literature on asset pricing models in Iran by answering the following questions: -  Is there a significant and positive relationship between the expected stock returns and the expected transaction costs? -  Does liquidity-adjusted CCAPM have the power to explain the expected stock returns of Tehran stock exchange? -  Compared to the traditional CCAPM, can liquidity-adjusted CCAPM better explain the cross-sectional expected returns across various liquidity-based portfolios? - Does the increase in stock liquidity lead to lower stock returns (and vice versa)?   Also, the main research purposes are as follows: -  Investigating the impact of companies' expected returns through a factor called the liquidity systematic risk - Presentation of liquidity-adjusted CCAPM which is consistent with Tehran Stock Exchange, as a practical model to determine risk and return - Considering the liquidity risk as a covariance between transaction costs and the total consumption growth -  Testing the explanatory power of the theory in determining the rate of the expected return in Tehran Stock Exchange and examining the existence of a significant relationship between risk and return

    Methodology

    In this study, the liquidity-adjusted model is examined by means of a portfolio constructed on the basis of liquidity criteria and market characteristics. Based on the previous studies and the structure of the capital market in Iran, 20 portfolios were observed in the present study, and Liu and Strong’s (2008) approach was used to calculate the portfolio return. This model shows that the expected return on stocks is determined by the risk of consumption and the risk of liquidity. According to the study by Liu et al. (2016), the following two regressions are used to estimate the beta consumption and the beta liquidity in the present study: (1)   (2)  where  is the ratio of the residual of the returns in portfolio i to risk-free returns, ΔC refers to the growth in the consumption of non-durable goods and services, and  is the residual of the following regression:  (3)   where  is the transaction cost of the asset i in season t. Using the change in the transaction costs, , is because of the durability and stability of liquidity. In addition, beta liquidity can be directly estimated using transaction costs as follows:                     (4)   It should be noted that, in this study, Pooled GLS and Generalized Method of Moments (GMM) were used to estimate the regressions. However, considering the similar results yielded by these two methods, only the results of Pooled GLS are analyzed in this section. Comparative assessments between the liquidity-adjusted CCAPM model (6) and the traditional CCAPM (5) are performed using the following cross-sectional regressions:(5)  (6) where  refers to excess of portfolio p to risk-free returns in season t,  is the beta consumption,  is the transaction costs of portfolio p and  is the beta liquidity. Beta consumption is estimated through a time series regression of the excess return on consumption growth as in Equation (1). Beta liquidity is also estimated through the time series regression of liquidity changes on consumption growth as in Equation (2). Similar to the procedure applied in studies by Acharya and Pedersen (2005) and Lettau and Ludvigson (2001), beta consumption and beta liquidity are estimated over the entire sample period in this study.

    Results and Discussion

    In recent studies, transaction costs have been cited as a key measure of performance and a central role in financial markets. Also, transaction costs have been discussed in a non-liquidity way in many studies. However, transaction costs are considered as a determining factor in market liquidity and assets return. Given the importance of the role of transaction cost in financial markets, this study proposed an adjusted consumption-based capital asset pricing model and examined how this model is adjusted by transaction costs and liquidity risk. In this study, like Hasbrouck (2009), the researchers aimed at estimating the dynamic model of Roll (1984) in order to estimate effective transaction costs using daily ultimate prices of Tehran Stock Exchange. In other words, using Gibbs cost-effectiveness estimation, the initial analysis of the liquidity changes has been carried out, which is a new approach in the literature related to the Iranian capital market. In other words, using different proxies for transaction costs such as Hasbrouck’s (2009) effective transaction costs and estimated bid-ask spread based on the highest and lowest prices, liquidity-adjusted CCAPM is shown to be more appropriate for the expected cross-sectional returns through portfolios formed on the basis of liquidity criteria. However, the traditional CCAPM is unable to account for liquidity effects. Comparing the results of the adjusted CCAPM model with the traditional CCAPM model in explaining the stock return in the Iranian capital market shows that the explanatory power of the model in liquidity-adjusted CCAPM is 67% (when the transaction cost is based on CSspread) and 50% (when the transaction cost is based on cGibbs). But in the traditional CCAPM model, this explanatory power is 28% and 21% respectively. It means that the adjusted CCAPM can better explain the expected stock return in the Iranian capital market as compared to the traditional CCAPM. In this study, liquidity risk is expressed as the covariance between transaction costs and consumption growth. This is because the high sensitivity of transaction costs to fluctuations in consumption highlights the difficulty of converting investment funds into cash. The model presented in this study shows that neglecting the transaction costs and liquidity risk can lead to inaccurate estimation of the expected returns.

    Conclusion

    The results of this study show that traditional CCAPM underestimates the expected risk and return. This is a reason for the poor performance of the traditional model. In fact, the results of the study are in line with the results of previous studies. The consumption risk proposed in the model of this study has limited power to explain the expected stock return. But liquidity risk has a significantly positive effect on the expected stock return, so that, with no increase in liquidity risk, the expected stock return can increase. Furthermore, the analysis of the proposed model shows that the transaction costs have a significant effect on the expected stock return. In other words, this study theoretically and empirically supports the effective role of liquidity and transaction costs in asset pricing. According to the results, the adjusted CCAPM model is suggested as a more desirable model to estimate the returns in Tehran Stock Exchange. It is also suggested to evaluate other pricing models using transaction cost and liquidity risk in future research. This is because neglecting these two factors can lead to inaccurate estimates of expected returns. Moreover, the effect of other variables such as stock interest and growth on stock returns should be investigated.

    Keywords: Trading Costs, Liquidity risk. Consumption risk, Gibbs Bayesian Method
  • Bita Eskandari, Mojtaba Almasi *, Somayeh Azami Pages 309-333
    Introduction

    Industry is one of the sectors that plays a significant role in economic growth and, on the other hand, has high energy consumption. From the environmental point of view, high economic growth along with optimal life quality is a main objective for economy. Any disagreement among economic objectives may impose heavy costs on the economy. Development of the industry sector, due to its importance in economic growth, plays a crucial role in economic development and the level of energy consumption in that sector, which is more than that in the other sectors of the economy. In this regard, improvement of energy efficiency in the industry sector is an important policy for the reduction of negative effects of economic growth.

    Methodology

    To estimate the effect of industrial concentration on energy efficiency at the provincial level during 2004 to2014, the following equation was used.   In this equation, eff denotes the calculated efficiency of energy by Stochastic Frontier Analysis (SFA) in I provinces and t time, conc shows Alison Glassier industrial concentration index, r&d is the research and development expenses, com is the cost of communication and computer, and w is the standardized spatial matrix. To measure the efficiency of the consumed energy, SFA was used. Also, to estimate the energy efficiency from point of view of production, the Shephard Di The Alison Glassier Index was employed to calculate the industrial concentration index (y) as follows:  

    Results and Discussion

    The results obtained from the calculation of Alison Glassier Index for each province in the period of 2004-2014 shows that the highest industrial concentration of 0/593 for Booshehr and the lowest for Markazi Province which is 0/028. One of the main reasons for the high index in Booshehr is the industrial structure of this place. In fact the share of this province in the production of chemical products was 40 percent of the total products of the country in 2014. In fact, Markazi Province has simultaneous roles in most industries and, thus, had the least industrial concentration in 2014.  The result obtained for the other provinces indicates that East Azarbayjan and Qhazwin by 0/03 are among the provinces with low industrial concentration. Ilam, Kerman, Hormozgan, Sistan and Balouchestan are among the places with high industrial concentration. Based on the data of 2014, the share of Hormozgan in the total production of the country in most industries is almost zero. A survey of the changes in the concentration index of all the provinces shows that, on average, concentration reduced from 0/132 in 2004 to 0/115 in 2006, and then it increased to 0/191 in 2013. The results obtained by SFA also reveal that Booshehr had the highest energy efficiency of 0/93 while North Khorasan with the efficiency of 0/134 had the lowest amount of energy efficiency. The result also shows that six provinces with energy efficiency of higher than average had a concentration higher than average. Also, 11 provinces with efficiency rates lower than average had the lower-than-average industrial concentration. Therefore, in 17 provinces, the rates of efficiency and concentration were the same. In fact, the provinces with higher or lower energy efficiency were those with high or low industrial concentration. Only in 13 provinces, the rates of energy efficiency and concentration were in opposite directions. The study of the changes in the energy efficiency of all the provinces shows that, on average, the amount of efficiency increased significantly from 0/398 in 2004 to 0/525 in 2014. The results from the estimation of SDF also show that the level of Gamma was almost zero and, thus, variation in the energy efficiency was insignificant. Energy efficiency increased from 0/4 in 2004 to 0/53 in 2014. The analysis by the Granger causality method shows that there is a relationship between industrial concentration and energy efficiency. Its positive or negative effect on energy efficiency can be known by the other models of econometrics such as spatial econometrics. There are three steps for the estimation by the spatial model of Elhorst used in this paper. Firstly, Moran statistics are used to investigate the existence of spatial effects in the variable of energy efficiency and the residuals of factors effecting energy efficiency. Then, by the statistics of Lagrange coefficient, all types of spatial effects (spatial errors or spatial lag) are evaluated. Thirdly, by the use of the maximum likelihood test, the fixed effects of space and time are studied, and ultimately Hassman Spatial Test reveals the type of the estimated model. In general, to survey the effective factors in the energy efficiency of manufacturing sectors, the spatial model of econometrics is used through the method of random effect and by considering the spatial heterogeneous effects along with two spatial lags and spatial error. The result reveals that, whatever the level of industrial concentration increases, the level of energy efficiency reduces at the error level of 0/05. Thus, a one-percent increase at the level of industrial concentration will reduce the level of energy efficiency by 0/056.

    Conclusion

    Kaldor (1966) believes that industrial sector is the growth engine for the economic development of a country, and evidence shows that the amount of energy consumption in this sector is more than in the other sectors of the economy. Thus, the present study tries to determine the efficiency of energy consumption and the effect of concentration of industry on energy efficiency by using the data of manufacturing industries in the Iranian provinces from 2004 to 2014. The results of the estimation of the spatial econometrics model show that the effect of industrial concentration on energy efficiency is negative and statistically significant at the error level of 5%. Therefore, an increase in industrial concentration reduces the energy efficiency. In addition, the effect of research and development on energy efficiency is positive and significant, but the effect of computer and communication on energy efficiency is negative and significant. Therefore, improvement of research and development expenditure can increase energy efficiency and environment quality. Also, diversification of industrial activities in regions on the bases of their potentials can be an optimal policy to increase energy efficiency.

    Keywords: industrial concentration, Energy Efficiency, Spatial econometrics
  • Zahra Azizi *, Seyedeh Mehrnaz Ghasali Pages 335-368
    Introduction

    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.

    Methodology

    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

    method

        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.

    Results and Discussion

    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.

    Conclusion

    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.

    Keywords: Trade balance, Non-oil trade balance, Savings rate, Sanction, Smooth transition regression
  • Simin Aleali *, Ghodratollah Emamverdi, Abass Ali Abounoori, Abolfazl Ghiasvand Pages 369-400
    Introduction

    Price fluctuation is one of the most important features of the energy market that leads to price risk and economic instability. In the financial market, one of the best uses of derivative securities is in hedging. The most common way of hedging in the investment is through appropriate derivative instruments. They include options, swaps, futures and forward contracts. Even though there are many criteria used in the derivation of the optimal hedge ratio, the minimum-variance (MV) hedge ratio considered by Johnson (1960) has been one of the most popular choices. The basic concept of the minimum variance hedging risk lies in the combination of investments in the spot and future markets in order to reduce value fluctuations. Thus, the optimal number of futures contracts that a person must hold to hedge against the risk of price fluctuation in the underlying assets can be obtained by calculating the optimal ratio of hedging risk. The literature shows that researchers mainly use future contracts to minimize the risk of price fluctuation in the spot market. Accordingly, in these studies, various econometric methods have been used to calculate the optimal hedging risk ratio. Also, in order to introduce the best hedging risk model, the performances of different models have been compared. The evaluation of hedging performance is based on the percentage reduction in spot variance compared to portfolio variance. Then, the purpose of this study is to choose an optimal model with the highest degree of hedging risk for the selected commodity.

    Methodology

    Several techniques have been proposed in the literature to estimate the hedge ratio with index futures contracts.  Many practitioners and academicians have sought to solve the problem of how to calculate the optimal hedge ratio accurately. To achieve the goal, we compare the estimates of the hedge ratio from the ordinary least squares methods (OLS), autoregressive model (VAR/VECM), autoregressive conditional heteroscedasticity (ARCH/ GARCH) and copula. Also, to determine the changes in the optimal hedging risk ratio, we use the weekly time series of spot and future contract prices for crude oil and natural gas during the five-year period of 2013-2018. In the next step, the rolling window regression technique will be used to compare the performances of the studied models and select an efficient hedging risk model. The results of the weights for future by each of the four above-mentioned models will be used for hedging the spot prices of the two examined commodities. The obtained hedge ratios are applied on the real data in the following 20 weeks. Thus, the ability to reduce risk in every method is measured and compared during the specified period.

    Results and Discussion

    All the models are able to offer a significate reduction in the portfolio. The conventional approach to estimating the MV hedge ratio involves the regression of the changes in spot prices on the changes in future prices using the OLS technique. As we found, the minimum variance hedge ratio by the OLS method was 62% for crude oil and 37% for natural gas. However, for the OLS technique to be valid and efficient, the assumptions associated with the OLS regression must be satisfied. Thus, we use an autoregressive model (VAR/VECM). The optimal hedging risk ratio obtained from the VECM model is 98% for crude oil and 86% for natural gas. However, the OLS and VAR methods only capture the influence of two risk factors on stock returns in the mean on average but are not sufficient to capture the dependence structure in higher moments or tail dependence. The volatility clustering phenomenon and the existence of ARCH effects demonstrate that hedge funds volatility varies over time. Then, we use the conditional autoregressive model (GARCH). Furthermore, we utilize the copula method to capture the general dependence structure between the futures and spot prices. The copula method has been used for multivariate statistical modelling owing to its edibility and convenience to describe its ability to capture the nonlinear relationship of random variables. The copula approach allows us to model the marginal distributions of individual random variables and their dependence structure separately. Our finding show copula serves normally to hedge crude oil and natural gas at the rate of 98% and 93% respectively. These rates are the models for crude oil and natural gas copula at 98% and 94% respectively. In this paper, the efficiency of different models of the rolling window regression technique are compared. This section is the core of the research. The results of the effectiveness of the optimal hedging rates of the crude oil and natural gas market show that copula functions in both markets have been in better conditions than the other models. Thus, the result of the research indicates the high efficiency of the copula functions approach to calculate hedging risk rates.

    Conclusion

    The results show that modeling the relationship between the current and future prices in the form of copula functions is more efficient.

    Keywords: Hedging Risk, Future contract, Minimum variance, Copula