Showing 8 results for mehrara
Dr Mohsen Mehrara, Keyvan Shahab Lavasani,
Volume 3, Issue 7 (3-2012)
Abstract
One of the most important aspects of vulnerability of the Iran economy can be observed in depreciation of real exchange rate during the oil booms. This phenomenon is called "Dutch disease". In other words when a country starts exporting natural resources, the ensuing capital inflows lead to an increase in demand. The real exchange rate (RER) typically appreciates due to “spending effect” as the price of domestic nontradables increases relative to the price of tradables. The main objective of this paper is to examine the cyclical patterns of the house price and macroeconomic variables in Iran. Using Hodrick and Prescot filtering method, the cross-correlation analysis is first presented to identify the long-run behavior of the variables. Then based on the vector autoregressive (VAR) model, we investigate the interaction between housing price cycles and cyclical component of real oil revenue, real exchange rate, real GDP, money supply and interest rate. The results show that positive oil shocks, leads to an increase in housing price cycles.
Bagher Adabi Firouzjaee, Mohsen Mehrara, Shapour Mohammadi,
Volume 7, Issue 23 (3-2016)
Abstract
Value at risk (VaR) is one of the most important risk measures for computing risk which is entered in financial framework in past two decades. In general there are three approaches including parametric, nonparametric and semi-parametric is used for estimating of VaR. this paper present a new method that is named window simulation which is classified in nonparametric approach. Processing of VaR calculation in window simulation method based on reproduction of data such as Monte Carlo simulation. But, in this new method, data production is done in basis of distance and similarity measures. Considering generated distribution quantile, VaR is estimated. Next, VaR of Tehran Stock Exchange indices are computed by this method. Also the accuracy of estimated VaR is evaluated by backtesting statistics. Empirical results indicate that based on window method, the best outcome is associated to measures of Euclidean, DTW, Kolmogorov-Smirnov, square χ^2 , distance-similar and cosine respectively.
Seyyed Mohammad Hadi Sobhanian, Mohsen Mehrara, ,
Volume 7, Issue 26 (12-2016)
Abstract
One of the main issues and challenges of managing health care system in Iran, is the issue of inequities in access to health services. Theoretical studies and empirical evidences indicate that implementation of the referral system and family physician plan is one of the main strategies to overcome inequity in the health and appropriate using of scarce resources in this area. But for successful execution of the family physician, it is necessary to identify important determinants affecting the decisions of participants in this plan using scientific methods and studying, and health policy makers should design a program pack that matches preferences of the target population to increase the possibility of its successful implementation. This study used Discrete Choice Experiment (DCE) to identify important determinants affecting the decisions of physicians.
Results show that increase in net payments to general practitioners, nearer workplace to residence, allocation of quota to get the degree of expertise, existence of housing facilities and deadheading pay, less covered population and paying to physicians in less period of time may increase the utility and satisfaction of physicians and therefore, possibility of their participation and entry to the plan, as expected.
According to the results, the attribute "place of work" are significantly more important than the other attributes.
Mrs Nafiseh Behradmehr, Mr Mohsen Mehrara, Mr Mohammad Mazraati, Mr Hadi Dadafarid,
Volume 8, Issue 29 (10-2017)
Abstract
In this paper, risk-premium (the difference between the future prices and expected future spot price) in US crude oil futures market over the period of 1989:1 to 2012: 11 is investigated, and then variability of risk-premium through time is explained. In addition, risk premium in different time horizons of US crude oil futures market is predicted using BVAR and VAR models. The results showed that significantly 10% risk-premium existence in US crude oil futures market is approved for all time horizons (one month, two months, three months and four months), and on the other hand,by comparing RMSE of BVAR and VAR models, the results generally confirmed better predictions of risk premium by BVAR models in comparison with VAR models.
Mohsen Mehrara, Habib Soheyli,
Volume 9, Issue 32 (7-2018)
Abstract
The aim of this study is to investigate the dynamics of information risk at the Tehran Stock Exchange (TSE). We estimated the daily probability of information based trade (PIN) for 22 stocks from 11 different industries of TSE over 4 years. The total average of the daily PIN for all stocks was 27% from 2013 to 2016. The lowest and the highest average of PIN estimates for individual stocks are 20.2% and 39.4%, respectively. In this research, the lowest and the highest daily PIN for individual stocks are estimated as 1.2% and 93.3%, respectively, which indicate that information risk varies substantially along time and there is a substantial need to use dynamic models to study this risk. Generally, it seems that the average and the maximum of information risk at TSE are much higher than in developed markets. Results showed that petrochemical and metal industries benefit from the lowest information risk and the highest is recorded for insurance and cement industries.
Qholamreza Rezaei, Hamid Shahrestani, Kambiz Hozhabre Kiani, Mohsen Mehrara,
Volume 10, Issue 36 (6-2019)
Abstract
After the recent financial crisis, especially the financial crisis 2008, This raises the important question of what is the role of monetary policy in occurrence and prevention of the financial instability? so, this paper investigate the dynamics impact of monetary policy on the stock market returns and instability using Structural Vector Autoregression (SVARs) model During the period 1992:q2 to 2017:q1. In this study, the effect of monetary policies via the various monetary tools used by the Central Bank on the stock market is studied. to illustrate the performance of monetary policies, the four variables of weighted interest rate, monetary base growth rate, bank reserve ratio, and growth of commercial banks' debt to the central bank have been used as monetary policy tools. The results of the impulse response function(IRF) show that monetary policy tools do not affect the stock market returns and instability. The results of the Forecast Error Variance Decomposition (FEVD) also show that the share of monetary tools in explaining the changes in stock market returns and instability is insignificant and less than ten percent each. Although, the monetary base share is higher than the others, so the central bank's policy tools do not has a particular impact on the behavior and instability of the stock market.
Mohsen Mehrara, Ghasem Elahi,
Volume 10, Issue 38 (12-2019)
Abstract
The purpose of this article is to examine the impact of education and work experience on earning. For this purpose, Mincer’s wage equation, quantile regression estimation method and the microdata from Iranian survey of household income and expenses in 2016 have been used. Estimation results show that education returns are positive in all income quantiles, and education in lower-income quantiles has a stronger positive effect than in higher-income quantiles. Also, the average experience have a positive effect on the earnings of individuals, with a stronger effects in low-income quantiles than high-income quantiles. Gender coefficients show that female earnings in all income quantiles are much lower than males, but this negative effect was much bigger in lower-income quantiles, implying gender-based discrimination against women in low-income quantiles. According to Machado and Mata's decomposition, gender discrimination (against females) was estimated, -30% in the first decile, and -4.5% in the ninth decile. Women's education has narrowed the gap somewhat on behalf of women. According to the results, education efficiency in Iran is far lower than many other countries in the world. Therefore, it is necessary to reform educational structures, in particular to guide them towards labor market needs and economic benefits.
Mohsen Mehrara, Gholamreza Yavari, Haasan Yaseri,
Volume 11, Issue 41 (10-2020)
Abstract
Rice is the second strategic product after wheat and one of the most widely consumed food products in the country. Population growth, consumption and growing demand, price fluctuations and welfare effects due to changes in the amount and price of rice require the attention and planning and foresight of policymakers and the country's planning system. In this study, in the framework of inverse demand system, rice types (foreign rice 1 and 2 as well as four types of domestic rice) using cross-sectional data related to consumption and expenditure of urban households during the years 96-1392 were estimated by seemingly unrelated regression estimation (SURE) method. And from 4 systems of reverse demand IADIS, IROT, INBR and ICBS Only the inverse demand system IADIS It is compatible with the data of the research method and according to the results of the statistics, the correlation ratio is superior to the other three models In order to study the welfare effects, four scenarios were defined and by compensating the compensatory and equilibrium effects and combined changes were determined. Due to the share of more than 60% of first grade foreign rice and second grade foreign rice in the expenditure share of urban households, a change in the amount of consumption of this type of rice compared to domestic rice can have a more significant impact on household welfare. The results of changing the values of different types of rice on their prices in the form of different scenarios showed that if the consumption values of imported rice decrease, the price of this rice will increase. However, the rate of price change for different types of rice is not the same, and its intensity depends on the amount of traction and the scale of each. On the other hand, the demand for different types of rice will increase in the future for various reasons, including population growth, which if this increase in demand is not accompanied by an increase in market value, will increase the price of various types of rice.
