فصلنامه پژوهش های اقتصادی ایران
پیاپی 91 (تابستان 1401)

Macroeconomic policy analysis and risk management require taking account of the increasing interdependencies across markets and economies. National economic issues need to be considered from global as well as domestic perspectives. This invariably means that many different channels of transmission must be taken into account. This paper investigates the effect of global economic shocks on Iran’s economy.  The Global Vector Autoregressive (GVAR) model for the first quarter of 1990 to the fourth quarter of 2019 is used for 34 countries, which cover about 90% of world gross domestic products. According to previous studies and the results of this study, it is found that only the shocks of the United States, China and the global shock affect the macroeconomic variables of other countries and oil prices, and as a result, the effect of these three shocks on the Iranian economy is investigated. Ceteris paribus, the results show that China's shock affects the variables of GDP and Iran's inflation: with a 1 percent increase in China's GDP, Iran's GDP increases by 0.08 percent and inflation by 1.2 percent and has no effect on interest rates. The US shock has an indirect effect on oil prices. Due to the isolation of the economy, foreign variables do not have significant effects on the Iranian macroeconomic variables. In general, Iran's economy, due to the size of the economy and the volume of trade shocks of other trading partners through the foreign trade channel do not affect the Iranian economy.

The purpose of this paper is to specify an early warning system for currency crisis and to investigate the role of capital control together with other warning indicators in the crisis. Increasing mobility of capital and liberalization in international financial flows is one of important dimensions of globalization, which has significant benefits to many countries worldwide. However, due to negative impacts on exchange rates as well as currency crises, financial liberalizations followed by some Latin American and Southeast Asian countries raised concerns in the last decade of the twentieth century. Hence the question: can capital control play a role in preventing or exacerbating the currency crisis? This study evaluates the relationship between capital control index and currency crisis and also examines the role of this variable as a warning indicator. Since the main application of the early warning systems is crisis forecasting, the purpose is to model the early warning indicators of currency crisis using Bayesian averaging method. To achieve this, 70 variables were examined for 60 countries during the period 1975-2019, both in floating and non-floating exchange rate systems. The results showed that capital control has a significant effect on reducing the occurrence of currency crisis, also different capital control indicators do not have the same warning power. In addition, different currency systems are effective in changing the power and rank of warning variables, especially for the use of capital control index.

Given the importance of Rawls and Nozick as two prominent philosophers from left and right wing of liberalism, in this paper a comparative root-seeking evaluation about their distributive justice theories is presented. By using the idea of explanation of expectations from a distributive justice theory based on a problem-oriented approach, through a step by step root-seeking process, philosophical foundations of distributive justice theories of these two philosophers were identified. Then on the basis of internal and external consistency criteria, these foundations and theories were evaluated. The results of study are as follows: while Rawls founded his theory and particularly difference principle on the Kantian foundations which was the target of Nozick’ criticism; Nozick Which besides Kant, was under influence of Locke, founded his theory on the existence of a kind of natural law. Also while Kant and Locke, each in some way, harmonized their own value foundations with divine anthropological and epistemological foundations, Rawls harmonized it with this anthropological foundation that there exists a common sense of justice in humans, without mentioning the material or divine source of this moral sense. In contrast, Nozick harmonized value foundation of his theory with a kind of natural law; a godlike natural law that by determining the initial distribution of natural endowments, was determinant factor of entitlement of each individual; a distribution that Rawls even didn’t permit the use of just or unjust adjective about it.

In this paper, the effect of population aging on economic growth in a closed economy in which the element of human capital is endogenously formed is simulated. For this purpose the computable generalized Diamond overlapping generation’s model are used for a period of 50 years. First, the dynamic effect of aging on macroeconomic variables, especially economic growth, are simulated in the baseline scenario (current state of the Iranian economy).Then the dynamic effects of public policies under different scenarios of human capital and pensions ratios  on economic growth for a period of 50 years are simulated. The results of the model showed that the government's general policies to increase human capital increase the share of skilled labor (effective labor) and therefore have a growth effect. At values ​​of public policy tools above the baseline scenario​​(industrial status), the effect of productivity on aging prevails and long-term growth increases.In addition, the results showed that increasing the ratio of pensions to the level of developed countries encourages demand-based economic growth, but has a level effect and does not change long-term growth. The results show that increasing aging, if combined with government policies to promote human capital, can potentially offset the negative impact of aging on growth.

Stock returns forecasting is very crucial for investors, share-holders and arbiters. Different methods have been developed for this purpose. In general, there are four methods of forecasting in stock markets, which are; Technical Analysis, Fundamental Analysis, Traditional Time Series and Machine Learning. This study is classified in the third category that is a time series prediction in which the values of a variable are predicted over time. Studies which have been done so far indicate that most of them concentrate on Neural Networks and Genetic Algorithm which are in Machine Learning class and none of them uses Bayesian approach or Exponential Smoothing and Box Jenkins techniques placed in the group of time series forecasting. This paper focuses on forecasting with time series methodology for predicting and comparing the results of the Bayesian, Exponential Smoothing and Box Jenkins methods together. In fact, the difference between this study and others is the comparison of the mentioned methods for stock return forecasting. The period of investigation was 2018- 2020, which covers daily frequency structure. Results, indicated that Bayesian method, based on the Root Mean Square Error (RMSE) criterion is the best technique for the prediction of stock returns. This is because, in addition to information derived from data, this method also uses other sources of information such as non-sample information or vague prior density as well for forecasting. Results illustrate the importance of considering the Bayesian approach in predicting stock market returns.

Economic complexity means the ability to produce a variety of products at the level of global competition. The importance of economic complexity in increasing the wealth and development of countries has been confirmed by studies and empirical evidence. The present study examines the relationship between social technologies (ST) and economic complexity among 137 countries from 1998 to 2019. Social technology (ST) refers to all the methods, designs, and elements necessary (including institutions, structures, maps, processes, and cultural norms) for organizing individuals to achieve a specific goal or goals. The health and maturity of social technologies make it possible for economies to produce complex goods by integrating large amounts of knowledge, skills, capacity, and experience into complex networks of interactions. To investigate the possibility of a simultaneous relationship between the two variables, the PVAR model was used. The results of this study confirm the existence of a simultaneous and two-way relationship between the rule of law and economic complexity.

The effect of exchange rate changes on the general level of prices is one of the major issues in macroeconomics and has important results for the monetary policy maker. With respect to these two variables in Iran's economy, modern econometric approaches can provide new insights. In this regard, using the threshold vector autoregressive model, the present study attempts to investigate the nonlinear exchange rate pass-through in Iran during 1369:1 – 1397:4. The results show that pass trough of exchange rate to the general price levels depends on the amount of inflation (inflationary conditions and its threshold). If seasonal inflation exceeds from 5.48%, the exchange rate shocks has lower effect on inflation. The results show that, exchange rate shocks have a severe effect. Due to the lack of inflation targeting policy in the Iran’s economy, the impact of exchange rate shocks on inflation is lower in values below the level of 5.48%. Accordingly, in inflation rates below the threshold, monetary policy has less freedom of action and the goals of reducing inflation and exchange rate policies need to be taken into account simultaneously.