Journal of Economic Modeling Research

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The main goal of this research is to calculate VaR index with parametric Markov-Switching GARCH approach for accepted companies in Tehran Stock Exchange and also selecting the optimal portfolio of their stocks. To calculate the index, data and information of weekly stock price of 10 representative firms during the period 2008-2014 has been used which account for 332 working weeks.
The results from estimation of VaR and determination of optimal stock portfolio in the non-linear programming framework showed that optimal portfolio of food-industry companies stock, in the context of VaR has higher returns and risk in the first regime (Boom period) compared to the second regime ( recession period). On the other hand, it has had lower weight in both stock portfolios that had lower average returns compared to the rest of the stocks and compared to the stocks which had lower VaR relative to other stocks that has higher weights.
The Kupiec and Lopez back testing using 10 future week data, showed that both of approaches is valid but the parametric approach has better rank. Therefore the optimal portfolios of stocks under parametric VaR will be accepted as final optimal portfolio.

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In this study, the electrical energy consumption in Tehran before reduction subsidies and after targeting subsidies was examined with using a dataset collected from household subscribers Tehran Electricity Distribution Company from August 2000 to November 2012. After review and analysis values, a model was proposed for predicting power consumption. The proposed model was a combination of trigonometric coefficients and power factors. The best values were obtained by using a genetic algorithm.
Procedure of electrical energy consumption in Tehran after Implementation of subsidies reduction plan was compared with the predicted model of electrical energy consumption in Tehran before Implementation that plan. The results indicated that implementation of subsidies reduction plan reduced electrical consumption growth rates and also a little reduced consumption rate. The other results of this study contain consumption patterns in order to manage the future consumption level of electrical consumers in Tehran. Also the results showed that, because demand for electricity is inelastic to price and income in the short time, as a result price policies cannot be effective in controlling the electricity demand, then should use non-price and intensive policies to reduce the consumption of electricity.

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Generally,some booms in housing prices are followed by busts. One common phenomenon relating these changes is that the house price cycle is generally believed to the product of the short-run deviations from the long-run upward trends. The long-term cyclical fluctuation in Iran’s housing market was periodically occurred about every 6 years.
 Furthermore, Movements in house prices have significant impact on household welfare, financial stability and business cycles. Being able to forecast housing price booms is therefore of central importance for central banks, financial supervision authorities as well as for other economic agents. However, forecasting house prices using only a single or a few selected variables at a time intuitively appears efficient because only a single variable almost contain all of the pertinent investigative information about the past behavior of the variable. In this study, wavelet decomposition has been used to extract the cyclical components of house price, and then using the cyclical components and neural network methodwe start to forecast the booms in housing prices in 2013.

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In order to estimate the production function besides productivity and economic growth, the time series of capital stock is required. Time-series that available for capital stock is not so reliable because of Variations in suggested methods and also difficulty in the calculation of this variable. The continuously inventory method (CIM) has been more attention, among the existing methods. We improve CIM in this research. For estimating the capital stock we developed an algorithm and titled that “Programming or Recursive Algorithm”.The following can be noted in capabilities of the model that developed in this study. Unlike the previous studies we taking the variable depreciation rate of capital in different periods, considering the quality variable of war and its impact on the rate of depreciation, investigation of nonlinear and linear production function in order to increase estimation accuracy and considering energy as well as labor and capital input.The results show that compared to the time series reported by the Central Bank of Iran, the series calculated in this study are similar trend, but with some differences.The mean of depreciation rate has been calculated 5.1% for the period 2009 to 2010. The estimation results show that in war period we have always higher depreciation rate than average rate of depreciation in period of this study.

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Public pricing of products is one of the most important economicalissues, since any changes in the pricing, affects both the welfare ofconsumers and quantity of goods and Services which are produced.
In this paper which is done for natural gas pricing  in Iran, the purpose is giving a price that the government can consider it as a suitable choice for using in subsidies targeting project. These prices have two advantages: first, they try to maximum the social economical welfare (summation of producer and consumer surplus) second, this method solve the problem that the producer has in covering their costs (by marginal cost pricing) because of increasing returns to scale.
This paper deals with the optimal gas pricing in household sector in Iran by the Ramsey method of pricing.
In this regard we have used fuzzy regression (because of its accuracy and devoid of classic regression restrictions) and the data from 1977 to 2011 for estimating production function and returns to scale in natural gas production side. Also for estimating demand function and elasticity we have used ARDL method and data from 1350 to 1389. The results shows that the current prices aren’t optimum and despite implementation of subsidies targeting project the prices are low.

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Productivity is one of the important factors in exploration, extraction and production of oil and gas. On the other hands, the literature indicates that the process of economic liberalization is an inventible matter and globalization gradually is improving. So it is important that the effect of oil shocks is considered In Iran. Based on International trade statistics, Shanghai’s countries is one of the most important trading partners of Iran. Therefore, this study investigates whether or not the extraction, exploration and production of oil and gas in Iran is affected by productivity shocks in industry sector of Shanghai’s countries. The Computing general equilibrium approach is used for investigating the effect of productivity shocks on four sectors in Iran (including industry, agriculture, services and oil sectors). Social Accounting Matrix Adjusted 2004 is considered for three scenarios including 3, 5 and 7 percent of productivity shocks (based on world economy trend). The results indicate that the increase in productivity in three industry sector scenarios of Shanghai’s countries declines the oil and gas extraction in these countries, representing efficient use of existing resources and superior technology in other industries as well as focus on oil and gas imports from other countries. So, productivity scenarios indicate that increase in the industrial sector productivity of Shanghai’s countries causes increase in oil and gas extraction in Iran. In addition to showing the relationship between economic of Iran and economic situation of Shanghai’s countries, this issue explains the process of economic globalization.

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This paper tries to model the electricity demand in Iran’s industrial sector which captures economic factors and also non-economic exogenous factors. The structural time series model (STSM) approach is employed which allows using economic theory and time series flexibility. In this approach the role of UEDT (Underlying Energy Demand Trend) including technological improvement and structural changes is modeled, therefore the income and price elasticity are estimated more accurately. The results show that the UEDT has the stochastic nature. And UEDT has a great impact on industrial energy demand during 1975-2012. So, the electricity has not been used efficiently in this sector. In the short run the estimation of the income and price elasticity are 0.42 and 0.11 respectively. The value of the cross-price elasticity of electricity demand is estimated about 0.06. It shows that natural gas substitute electricity in industrial sector, however it is small.

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This paper seeks to investigate and analyze the money demand function and its Engle curve in Iran. Money demand function and its Engle curve have been estimated through EASI demand system by making use of monthly data 1995:04-2007:03. The investigation of money demand function shows that monetary elements are weak substitutions of each other. Thus, some policy recommendation is provided on the basis of estimated elasticity (Income, Price, cross Price, and Morishima). Moreover, the investigation of Engle curve reflects that by the increase of income, first, individuals extract their money from demand deposit. Secondly, investment in timed deposits increases and thirdly, no change is observed in the amount of money being held as currency and travel checks.

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In recent years, regarding the export of Food & Beverage is important.in Iran and the economic researchers have been noted it. The main objective of this paper is to examine the impact of market concentration as a structural variable, advertising and R&D expenditures as behavioral variables and investment productivity on the Iranian food exports as a performance variable. For this purpose, the data for Iranian food firms has been extracted from the Statistical Center of Iran over the period of 2000-2007. Moreover, the empirical model of this study has been estimated by the Static Panel Data approach (SPD). The empirical results indicate that the market concentration, advertising and R&D intensity and investment productivity have positive and significant effects on the Iranian food exports and the impact of researching intensity (as measured by the ratio of research & development expenditures on sale) is more than other explanatory variables. Therefore, the market conduct is one of the main determinants of Iranian food exports. Also, due to the direct impact of R & D spending effect on exports, we can say that if managers and policy makers increasing the research and development activity in Iranian food industry sector can promote non-oil exports, especially exports of food products in Iran. Moreover, Facilitate and encourage producers to participate in exhibitions and international markets sales increased exports of goods and services can help.

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The main objective ofthisstudy  is to evaluatethe effect offirm size, beta, financial leverageon the performance offirms listed inTehran Stock Exchangeinfourbasic metals, petrochemicals, cementandmedicine industries. The44companiesintheperiod 2007 to 2012 have beenselected as sample in theTehran Stock Exchange. Todo study,the relationshipbetween the variables, usingthesoftwareEviews 8assessmenttest. Toestimate themodel, theF testLimerto select the bestmodel is used thecombined data. The results of this research indicate a significant and negative relationship between financial leverage on corporate performance in the industries of basic metals, petrochemical, cement, pharmaceuticals. The relationship between beta and corporate performance in Basic metalsandpetrochemicalindustries is positive and significantandnot significantinthe cement industryand medicine. The relationship betweenfirm size and corporate performancein thebasic metals, petrochemicaland pharmaceuticalindustries is positive and significant and cement industry is negativeand significant.

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Hybrid sticky price model is one of  the main models, used to analyze the Persistencyand inertia in inflation. In recent years, Mankiw and Reis (2002),s sticky information model, has also been considered by many economic analysts. So, in present paper, we try to investigate and compare these models by using a Dynamic Stochastic General Equilibrium (DSGE) framework, based on new Keynesian structure. For this purpose, the data 1370:1-1391:4 Iran's economy has been used. The results of the estimated coefficient of inflation inertia indicate, inflation inertia in the model of hybrid price stickiness is more than information stickiness model. Inflation Persistency analysis is based on comparing the autocorrelation function of the original data and simulated data, show that hybrid price stickiness is better thaninformation stickiness model shows inflation persistence.It seems to be a hybrid price stickiness model more consistent with the economy of Iran and economic policy makers can be more confident of the results of this model to use them.

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Compared to private firms, public companies generally have excess labor force. During the privatization process and conversion of a public enterpriseto a private enterprise, new employers tend to adjust their labor force in order to reduce ongoing costsand improve the company's economic goals.In order to persuade the employees to accept voluntary retirement and leave the firm, these firmsmay offer a reward to the employees that are eligible for optional retirement but are not eligible to mandatory retirement. Employees tend to receive the highest possible premium and in contrast the firm is willing to pay employees the minimum possible premium. In this paper, we consider the options facing employer and employee through dynamic games with complete information. Games between employee and employer was shown in the form of an extensive game.Minimum premium required to accept the optional retirement was calculated using subgame perfect equilibrium (SPE) and the effect of ceiling premium has been studied on minimum premium. The calculations show that the reductions in mandatory retirement age, the retirement benefits from social security organizations, expected interest rate and the maximum years of service and an increase in employee's age and her years of service lead to a reduction in the minimum premium required to accept the optional retirement. Moreover, due to lower mandatory retirement age for women than men in many countries, women accept optional retirement with lower premium. The proposed ceiling premium will also cause to refuseoptional retirement from the part of the workers with high salary, young and lownumber of years of service.

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Social and economic impact of change in the subsidies payment policy have been concern in past recent years. In this paper, a Computable General Equilibrium model is used to analyze the impact of change in subsidies payment system from indirect to direct state, on the price and quantity variables of domestic production and employment level economic sectors in two scenarios. The basic data are used in the framework of SAM year 2001. CGE model establishes the relations between accounts of SAM into a set of simultaneous nonlinear equations, by using the modern general equilibrium theory. In first scenario, indirect subsidy of manufacturing and services sectors is remove and its full payment in cash to the urban and rural households. In second scenarios, indirect subsidy of manufacturing and services sectors is remove and its direct payment to the proportions of 50. 30 and 20 percent to the households, economic sectors and Government respectively. The results show that by change in subsidy payment, composition of production and employment in economic sectors are change. The greatest decrease in domestic production and employment level and also the highest increase in the prices level is observed in the transport products. The mining sector is only sector that is face with positive production growth rate in both scenarios, and for most sector, a decline is forecast. But GDP level is face with decline to equal 2.78 percent respectively in first scenario and 3.05 percent in second scenario. In the end, with comparing two scenarios show that more the direct subsidies paid to households increase, more the domestic production of  some sector growth.

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Fiscal decentralization that is considered a transfer of responsibilities that associated with accountability to sub – national governments, increases efficiency and providing better access to public goods in the Economy. According to the five-year development plans of Iran creating and allocating structure for provincial budgeting, fiscal decentralization generally is moving in the costs of its Provinces in order to give more responsibility to the provincial development projects. The aim of this study is an investigation of effect for partial fiscal decentralization on regional economic growth of Iran. Fiscal decentralization index is proportion of provincial's capital assets to government's capital assets, So this researches the effects of decentralization on economic growth in the framework of Solow's growth model. That the results based on data from 30 provinces between 2000 and 2007 on the panel data estimation, shows partial fiscal decentralization which has a non-linear relationship with the growth (convex shape) and partial fiscal decentralization Indicts the Optimal degree in growth of regional economy in Iran.

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Cigarette and tobacco products in the VAT Law is considered as one of the particular goods and in order to contorlingit’s consumption by price tools, higher tax rates than the standard rate will be levied on it. In this paper, forecasting of revenues of this tax using an approach based on the estimating of tax base has been considered. Thus the first stage, tax base (consumption expenditure) is forecasted for the period 2012 to 2015 and then tax related years by applying the tax rates, will be calculated. In this regard, Because of concerns that policy makers have access to accurate predictions of tax revenues, Supervised neural networks Method to prediction and back-propagation algorithm to train is used. The results indicate that the average annual growth of revenue from value added tax on Cigarette consumption will have 20 percent during the forecasting years.

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Financial institution as a non-bank financial institutions, institutions that are active in mediating funds in financial markets. Services are in many ways similar to the services provided by banks. Because the relationship between the development of non-bank financial institutions and Iranian gross domestic production (GDP) seem important. In this context, the main objective of this study was to investigate the effect of non-bank financial institutions in the areas of facilities of GDP contracts with other variables such as per capita GDP and employment effects on the labor force for the period 1999Q1-2013Q4. To estimate the Generalized Method of Moments (GMM) is used to model estimation results indicate a significant positive impact on the development of non-bank financial institutions and facilities with regard to Islamic contracts. The per capita income and employment variables have a significant positive impact on GDP respectively.

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The main purpose of the present study is to evaluate the relationship between the oil price shocks and the indexes of the Stock Exchange Market of Tehran. The present study is conducted by using from the data obtained from the common working days between world oil market and the Stock Exchange Market of Tehran between 8 December 2008 and 19 Mars 2014. In the present study the nested test, Johansen's co-integration test, vector error correction model and Engle- Granger method have been used in order to represent the long run relationship between the variables. The empirical findings of this paper indicate that there is a significant and positive long-run equilibrium between the OPEC oil price and six indices of capital market (total stock index, industry index, the price index of 50 companies, top 50 indices, return and price index, Index of 30 large companies). Also there is no significant long run equilibrium relationship between the OPEC oil prices and three indexes namely first market, second market and free float indexes.

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This paper aims at estimating Geometric Brownian Motion (GBM) Model, based on two central parameters in this model (volatility and drift), and forecasting Henry Hub natural gas daily spot prices (07/01/1997-20/03/2012). Researches reveal that two mentioned parameters estimation can be satisfied with different approaches and in various time scales. Therefore, two approaches of backward looking and forward looking have been used in different time scales and sub-periods. Results show that the volatility and drift values are highly dependent on the time scale and backward results are lower than the forward ones. Moreover, along with increasing the number of random runs of the model although the fluctuating range decreases, the predicted line slope is very close to the actual line. Ultimately, the performance evaluation criteria yields that forward method, clearly in 2009, has the best performance. The sub-periods of 2001-2004 in backward and forward methods have the next best performances, respectively. These sub-periods can be used as a basis for calculating the central parameters of the model. In addition, the results suggest that relying on data used in the most recent period is not sufficiently accurate. Also, it is observed that sub-periods or time scales with higher volatility show better performance evaluation criteria, therefore they can be applied in price forecasting with GBM model.

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As one of the important energy forms, natural gas consumption has an upward trend in recent years. Therefore management and planning for provision of it requires prediction of the future consumption. But many of prediction procedures are inherently stochastic therefore it is important to have better knowledge about the robustness of prediction procedures. This paper compares robustness of two prediction procedures Artificial Neural Networks as a nonlinear and ARIMA as a linear model. using resampling method to predict the monthly consumption of natural gas in the household sector. Data spans from 2001-4 to 2012-3, to train the networks, we used genetic algorithms and Particle Swarming Optimization then results were compared using 10-fold method. According to the results, the particle swarm optimization (PSO) outperforms the genetic algorithm. Then we used data from 2001-4 to 2010-3, with resampling by 2000 to predict the  natural gas consumption for the 2001 -4 to 2012-3 and to form critical values. Results show that prediction by a mixed method using ANN and PSO is more robust than ARIMA method.

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This study considers the subject of social capital measurement and its problems. Because of the social capital is the qualitative subject, therefore its measurement have special problems, and there is no the same approach in this matter. These problems are in both of international and national level. For the reason, there are different methods to measure social capital. These methods have caused their results to be different and sometimes conflict. These differences are very high, such that the correlation between these indexes is sometime zero, negative and positive.