Journal of Economic Modeling Research

The Test of Multiple Price Bubbles in Tehran Stock Market: an Application of the Generalized Supremum Augmented Dickey–Fuller

Roozbeh Balounejad Nouri

Given the importance and role of capital markets in the economy, its characteristics have been regarded by researchers in this field. Hence, the main purpose of the present study is testing the existence of multiple price bubbles in Tehran stock market. For this purpose, the monthly data on the total price index and price-dividend ratio for periods 2000 – 2013 has been used. In this study generalized supremum Augmented Dickey – Fuller test, which has been recently introduced, is used due to critical review of conventional methods of testing the bubbles and also the possibility of a multiple bubble in time series. In addition to the testing of multiple Bubbles, with using this method there is the possibility of determining their period of creation and decay. The results showed that in the period under review, in the period 2003:3 - 2003:5 and 2004:12 - 2005:7 hypotheses price bubble in the stock market is confirmed.

Analyzing the Impact of Demographic Changes on the Iranian Labor Market: A CGE Analysis

Davood Manzoor

Many countries all over the world will see widespread demographic changes in the decades to come. The demographic change will affect the economy and the labor market of these countries. In this paper we employ a multi-sector computable general equilibrium model to study the impacts of demographic change on the welfare, employment and activity level of economic sectors in Iran. The model includes seven economic sector and two types of labor-skilled and unskilled. We also considere the choice between leisure and work and labor mobility in the model. The model is calibrated based on the 2001 Micro consistent matrix. Results demonstrate that in the youth period, employment and activity level of sectors will increase. Furthermore, the increase in activity level will lead to an increase in income and welfare. When the population ages, on the other hand, welfare, employment and activity level of sectors will diminish.
ر

The Estimation of Optimal Elecetricity Consumption in Iranian Household Sector by Comparisionn Methods

mohammad reza monjazeb

The investigation of electricity consumption is one of the main issues in the energy economics literature and has been considered empiricaly in recent years. So the main aim of this paper is to estimate the optimal electricity consumption in Iranian household sector during the period of 1990-2009. For achieving this, the empirical model has been estimated by panel data for three gropus of countries including developed, developing and total countries. The results of this paper reveal that there is not a significant difference between the electricity consumption in Iran and developing countries. Moreover, the electricity consumption in Iran less than of other developed countries.

Generation Study of Urban Female Heads Consumer Welfare in Iran

Batoul Azari Beni

Maximizing the social welfare considered as one of the main aspects the development process in society. This important is achieved through increased quality of life and welfare consumer the individual. In this context, quality of life and welfare consumer women as an important group of human resources in society, is affected by various factors. Despite women’s welfare patterns there is no precise information in this regard. Given the importance this issue, the present study using method Deaton and Paxson (1997) and life cycle model separation women heads of household expenditure as variable of welfare to three age, cohort and period effect. Therefore, in this paper, typical pattern is used pseudo-panel data. Pseudo-panel data using repeated cross-sectional data, Create generations of families during time. The feature of this method is, to trace the performance of each cohort over time. The results showed that lowest consumption is done by first generation. The age effect shows household consumption expenditure increased with increasing age. The time effect also shows Amount increase in consumption in the first decade (1991 to 2001) to more than the amount consumed in the second decade (2001 and 2011).

Asset Allocation Strategy under Housing Market

Aliakbar Gholizadeh

In this study, by applyig a combination of Autoregressive Conditional Heteroskedasticity and stochastic differential equations Models with Markowitz model we estimate the optimal portfolio investment in the housing market are discussed. For this purpose, use of assets, stock prices, housing prices, the price of coins and bonds during the period 1999-2013 with the monthly data. Autoregressive Conditional Heteroskedasticity Models and stochastic differential equations results as input variables used to estimate the optimal portfolio Markowitz. Mean-variance analysis shows that during the real estate boom, housing as the dominant assets in risky assets and the largest share of funds to be allocated. During recent periods of recession as the housing sector, the housing of the optimal portfolio investment abroad and instead of stocks and investment coins in the basket of assets is considered dominant. Generally, bonds as risk-free assets in all periods as a reliable asset in the portfolio is considered optimal investor.

The Relationship between Exchange Rate Misalignment and Inflation Persistence in Iran

Karim Eslamloueyan

The main goal of this paper is to study the relationship between exchange rate misalignments and inflation persistence in Iran. In order to achieve this goal, we first use a non-linear smooth transition regression model to estimate equilibrium exchange rate in the context of a monetary model for the period 1978:2-2012:1. This allows us to compute exchange rate deviation from its equilibrium level. In the next next state, in order to examine whether the inflation rate is persistence, we use a threshold autoregressive method to examine the non-linear behavior of inflation rate in Iran. In general, the result shows that there is a direct relationship between the exchange rate misalignment and the inflation persistence. This finding is consistent with the hypothesis that exchange rate deviation from its equilibrium level is costly due to its effect on inflation rate. Moreover, the result indicates that an increase in the level of exchange rate is associated with inflation persistence. This finding has important policy implication for monetary authorites in Iran to implement appopriate exchange rate policy in order to fight inflation persistence in this country.

The Impact of Sanction on the Oil Incomes in Oil Markets: Cooperative Game Approach

marzieh Khakestari

Monetary wide range of sanctions has been established against Iran in recent years by European :::::union::::: and United States. These sanctions have been targeted Iran energy and oil industry. Although, these types of sanctions are not new on Iran and Iran is familiar whit them since oil nationalization movement. This paper studies these sanctions effects on Iran in recent years and tries to assess the possible strategies with game theory. In order to achieve this proposed, three players are introduced: Iran, Saudi Arabia and United States, and then a model have been established. At the following, the model was solved and Nash equilibrium obtained for each one. Each of three players , United States , Saudi Arabia and Iran choose their strategy, respectively, pressure reduction, cooperation and cooperation. At the end of this study, the impact of oil sanction on Iran's sales, has been shown. Eventually, it was seen even with great increasing in world oil prices, Iran's in come has been downward.

Evaluation of Iran's Central Bank Monetary Strategies in Respect to Output Gap and Inflation Deviations: Bootstrap Approach

Kiomars Sohaili

Monetary policy is one of the most important macroeconomic policies which could be used for achieving economic targets such as reducing the output gap and reducing the inflation's deviation from it's target level. These policies can be implemented through the control of volume of money or the rate of interest. Based on economic theories, the Central Bank should conduct monetary policies within a rule-based framework. In periods of positive or negative output gap or when inflation's deviation from it's target level is positive or negative, different monetary policies should be adopted. Assessment of Central Bank monetary policy's conformity to rules and the consistency of these policies with economic theories like Taylor's theory, is of vital importance. In order to evaluate the consistency of central bank monetary policies with economic theories, this study investigates the monetary strategies of Central Bank regarding the inflation's deviation and output gap during the period 1974-2013. It applies the Bootstrap method for this purpose. The result shows that Central Bank does not counteract the output gap during the periods of recession and boom and it's reactions to the inflation's deviation is in the reverse direction.