پژوهشنامه اقتصادی
پیاپی 88 (بهار 1402)

To achieve the optimal monetary policy, attention must be paid to a key element: the credibility of monetary policy authorities. Credibility plays a crucial role in the effectiveness of these policies, as it facilitates the attainment of targeted variables with minimal fluctuation and social cost. Conversely, in times of unexpected economic shocks, discretionary policy becomes optimal, providing policymakers with flexibility to make appropriate monetary decisions. Conversely, in times of unexpected economic shocks, the use of discretionary policy is optimal because it provids policy makers with more flexibility to make appropriate monetary decisions. In this study, we pursued two goals. First, we constructed a Dynamic Stochastic General Equilibrium (DSGE) model for an open and small economy according to the conditions of Iran's economy. We then estimated the of credibility of Iran’s monetary policy authority in managing both the inflation rate and exchange rate yielding figures of0.1019 and 0.0099 respectively. Then, in order to find the optimal discretionary monetary policy under the influence of two scenarios of low and high credibility of the monetary policy authorities, we utilized the minimum loss function approach. The results of the model indicated that the credibility of the monetary policy maker in Iran is very low in both the inflation rate and the exchange rate. Examining the loss function of the central bank showed that, in both scenarios, minimizing the exchange rate gap while assigning equal weight to other objectives leads to the lowest possible loss function value.

The information diffusion and interactions within financial markets have a significant impact on the price discovery process and the sentiment and risk dispersion. Despite its importance, limited research has been conducted on information flow dynamics within the Tehran Stock Exchange, which is a vital component of Iran's capital market. This study aims to fill this gap by examining the information flow dynamics among 39 major industries from March 27, 2010, to June 21, 2023. Effective transfer entropy is employed to quantify the intensity of information flow between industry indices. Sequence of information matrices are constructed using rolling one-week windows over one-year periods. Given the occurrence of critical events during the research period, their influence on information flow dynamics is analyzed using Frobenius distance-based k-nearest neighbor networks, Influence Strength analysis, and threshold networks. The findings reveal that the effective transfer entropy matrix exhibits time-varying characteristics and remains stable throughout most periods. Furthermore, critical events significantly impact information flow dynamics, with abnormal values of Influence Strength associated with market volatility and major events. Additionally, the dominant source of information in the information flow network changes over time, highlighting the transient nature of industry dominance within the network.

This study aims to investigate the relationship between currency crises and fluctuations in banking credits in Iran. Utilizing a time-varying coefficients approach spanning from 1989 to 2022, alongside economic boom and recession indicators, the analysis assesses the impact of currency crisis occurrences on banking credit cycles. The currency crisis index, based on a dummy variable, and the credit cycle index, derived from banking credit booms and busts, are examined alongside the economic cycle, gauged by production fluctuations using intermediate filters. Findings suggest that currency crises influence the occurrence of credit cycles and production facility cycles, while shocks stemming from economic cycles exacerbate currency crises and credit cycles within the banking system. Given the bidirectional relationship observed between the currency crisis index and credit cycles, policymakers are advised to exercise caution in implementing drastic measures during economic fluctuations and credit cycles. Prudent management of currency markets can mitigate the adverse effects of currency crises on economic variables.

Housing price shocks of one region may spread to the housing market of neighboring regions or geographical areas bounded by political border and lead to the formation of price shocks in shock-receiving areas. The housing policies may not be effective when implemented regionally and separately if there is a confirmed network connection between the housing markets of regions. Price shocks to a housing market spreads with a delayto interconnected housing markets, ultimately resulting in the diffusion of the price shock across the entire of the housing network. This researchaims to investigate the housing network between selected cities (centers of the country's provinces) using the VAR model and Forecast Error Variance Decomposition (FEVD). The results of this research confirm the existence of a network connection between the housing markets of the country's provinces, and unlike previous studies, the results show that it is not only the city of Tehran that spreads price shocks to other regions, but also cities such as Karaj, Shiraz, and Arak spread price shocks to other cities. In addition, the results suggest that the recent price jump, since 2019 has significantly increased the density of the housing network in the country. Based on this, price shocks are expected to be distributed more quickly throughout the country.

In any society, the focus of statesmen, policymakers, and researchers on poverty reduction and enhancing economic welfare is necessary. Given that most government economic policies affect relative prices and their fluctuations, which in turn impact welfare, analyzing the welfare effects caused by price changes in different product groups seems necessary The aim of this study is to investigate the role of inflation of different commodity groups on Iran's economic welfare from 1972 to 2021. The research model is estimated using Autoregressive Distributed Lag (ARDL) approach. Economic welfare is measured using a composite index of well-being. The trend of the well-being index fluctuated during the study period reaching its peak in 1975 and its minimum in 1990. The long-term results of the estimation of the research model reveal several key findings First, total inflation and inflation of different groups of goods have an unfavorable effect on economic well-being. Second, among different product groups, inflation in the housing, fuel, and lighting group has the most adverse effect on economic welfare. Third, considering that the share and weight of the group of food, beverages and tobacco in the consumption basket of households is larger than other groups of goods, but the size of the effect of inflation of this group of goods on economic welfare is in the fourth place. Fourth, the increase in the inflation of the health and treatment group has the least adverse effect on economic welfare. Another finding is that per capita income and economic growth have a favorable effect on economic welfare. According to the obtained results, the government should take measures such as adopting appropriate measures in line with monetary discipline and preventing the irrational increase of monetary variables in accordance with inflation targeting to control inflation in order to improve welfare.

The significance of tax revenue as the primary source of government finance underscores the importance of accurately measuring tax efforts using unbiased methodologies. This study employs a state-space model and the Kalman filter algorithm to estimate tax effort as an unobservable variable within the tax revenue equation in Iran from 1970 to 2021.The findings reveal a nuanced relationship between various factors and the tax ratio. Per capita income exhibits a positive impact, while the agriculture share in GDP exerts a negative influence. Interestingly, the coefficients of openness and monetization initially have negative elasticity but transition to positive after reaching a certain threshold, indicating a dynamic relationship with the tax ratio. Conversely, the services and industry share in GDP demonstrate a positive effect on the tax ratio before reaching a peak, after which their squared coefficients turn negative.Tax effort in Iran, throughout the studied period, has never been more than 0.25 highlighting a significant disparity between actual and potential tax revenue and underscores inefficiencies within the tax system.