Journal of Economic Modeling Research

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.

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.

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.

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.

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.

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).

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

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.

Structural parameters are necessary and important in some economic studies, especially in general equilibrium models. One of these structural parameters is degree of price rigidity. In this article we try estimate degree of price rigidity in Iran economy in a General Equilibrium Dynamic Stochastic Model with Bayesian method. Our result with using seasonal data of real consumption, GDP, inflation and taxes for 1377-1387 reach us to number 46 percent for price rigidity which show 46 percent of Iran's firms could not optimize their price in each period.

This study examines the effect of Herding in different states (low, high and extreme volatility) in Tehran Stock Exchange during the years 2009-2013 using Chang et al (2000) and Balcilar et al (2013) models. In this survey herding are tested under 3 market regimes in selected industries: Cement, Chemical, Pharmaceutical and Investment.
The results don't show evidence of herding in 4 industries using static model (Chang et al, 2000). So dynamic model (Balcilar et al, 2013) was used  to analyze Herding under 3 regimes in which our results support the presence of  herding under 2 market regimes (high and extreme) . The results also demonstrate evidence of herding behavior under the high volatility regime for all of the selected industries. Herding under the extreme volatility regime is only found in investment and cement industries.

In capital markets, stock price forecasting is affected by variety of factors such as political and economic condition and behavior of investors. Determining all effective factors and level of their effectiveness on stock market is very challenging even with technical and knowledge-based analysis by experts. Hence, investors have encountered challenge, doubt and fault in order to invest with minimum risk. In order to reduce cost and raise the profit of investment, determining effective factors and suitable time for sailing and purchase is one of the important problems that every shareholder or investor in stock market should consider. To reach this goal, a variety of approaches have been introduced, which are often intelligent, statistical, and hybrid. These approaches are mostly used to predict the stock price time series. Our proposed algorithm is hybrid and involves two stages: preprocessing and predictor. The preprocessing stage involves three steps: missing value, normalization and feature selection. Since there are many features in used datasets, genetic algorithm (GA) is used as the feature selection algorithm. In order to intelligent capability of Fuzzy Neural Network (FNN), this network with two structures (Mamdani and Sugeno) is used as a stock price prediction in second stage. This network is capable of extracting fuzzy rules automatically. Back propagation algorithm (gradient decent) is used for adapting all the parameters. 
Our algorithm is evaluated on ten datasets with seven features obtained from ten different companies. By comparing the simulation results of the simple and hybrid FNN network, we found that the lack of suitable feature selection algorithm will lead to high computational cost, and in many instances the hybrid algorithm outperforms the simple FNN. This results demonstrate the superiority of the hybrid FNN to the simple one. In general, since the number of Sugeno tuning parameters are more than Mamdani, its performance is better than mamdani. Moreover, our algorithm is comparable to the maximum precision rates of other approaches.

Regarding to the importance of the relationship between macroeconomic instability and exchange rate pass-through, present study by using EGARCH and smooth transition regression (STR) model has examined the nonlinear effect of macroeconomic instability on the exchange rate pass-through of Iran during the period 1963-2010. For this, firstly the macroeconomic instability index has been estimated using EGARCH and then, by using STR, the research hypothesis which is that the macroeconomic instability has a nonlinear and positive effect on the exchange rate pass-through has been examined. Based on the obtained results in this research, macroeconomic instability has the macroeconomic instability has a positive effect on the exchange rate pass through in both regimes, although an increasing in volatility increases rate pass-through. So, the sequence of economic policies is important and specifically, we suggest that macroeconomic instability reduction policies should be prior to exchange rate policies.

One of the greatest challenges of renewable resources is unpredictable nature of these resources. Nevertheless use of fossil-renewable integrated hybrid system, which uses some renewable resources rather than a single source, for the supply of power, is the most affordable and the most reliable method. In this study by use of analytical programming approach and 2012 base year statistics, production system of Khorasan Regional Electricity CO. has been simulated and the maximum renewable electricity potential, entered into power generation system. Results show that among all of solar, wind, biomass, geothermal and hydro, only solar power have enough capacity and potential to be substituted with fossil power. The comprehensive system, which uses all renewable potential power capacity, causes 6.38 TWh reduction in fossil power, 4.28 million tons emission, 10-fold increase in spot-hourly price and 21% reduction in grid stability which shows necessity of using stabilizer and storage equipment in the hybrid integrated production system and Technical and financial support from the government to reduce the cost of solar equipment.

In recent years, the sudden increase in environmental awareness has resulted in more attention to this sector. On this basis, the economic load distribution models, that previously observed merely the minimization of the cost of production and determination of optimal arrangement of producers based on minimization of the total cost, are now facing a fundamental change in execution and modeling. Based on this, the optimal arrangement of producers will now be determined based on two objectives of a minimum cost of production and a minimum environmental pollution. Obviously, with the situation in mind, the problem changes from a single- objective one to a multi-objective problem. The present study takes into account the question of optimal economic and environmental distribution, and its goal is to determine the optimal arrangement of producers in a situation where both the economic and environmental objectives are achieved. The model has been implemented by E-Constraint algorithm. The modeling in this study has been performed for the practical development in Esfahan Electricity Inc. market, in 2012. The results from this model show that the real performance of the market is different from the economic and environmental optimums. The results show the fact that because of the disregard for the environmental costs, the real deviation of performance from the optimum condition is practically much more serious and extensive in the environmental sector.

Environmental quality is affected by many factors such as economic and political inequality. The main purpose of this article is to investigate the effects of income and political inequality on the environment quality in the selected countries. Using the Generalized Method of Moments (GMM), the effects of gini coefficient, democracy index and income per capita, energy consumption and human development index on environmental quality are estimated for 57 countries during the period 2000 to 2012. The results show that income inequality and Political inequality significantly had a negative effect on environment quality. While the energy consumption has the negative effect on the quality of environment, improvement in human development index and the income per capita have a positive effect on the quality of environment. This finding might has important policy implication for policymakers and authorities to achieve sustainable development in different countries.

Modeling price fluctuations in financial markets is very important. We try to model price fluctuations in Tehran stock exchange using heterogeneous agents’ model.  We used agent-based computational approach. In this model, there are two kinds of agents, some agents have extrapolating expectations (chartists) and others have stabilizing or mean-reverting expectations (fundamentalists). The dynamics of shares of these two types of agents make price fluctuations. For determining the relative effectiveness of agents expectations, Diechi and Westerhoff (2012) method, is used.  For this purpose, weekly data of Tehran Stock Exchange price index (TEPIX) from 1997 to 2014 were used. Modeling results show that the relative sensitivity of buyers with different expectations, and their relative impact to aggregate demand, have significant and important role in the price dynamics of Tehran stock market. We also show that the relative impact of chartists to price fluctuations very important and over the past two decades, the share of them from aggregate demand have been more than 80 percent.

Targeted subsidies plan affects income distribution and poverty through several channels. On most of the analyzies, changes on labor supply are not considered. Increasing nominal income alone after paying cash subsidy rule can reduce labor supply in targeted subsidies. This issue may decrease effect of targeted subsidies. In this research by CGE we calculate the result of impact of energy price increase and direct cash subsidy transfer with considering labor supply decrease in the first phase of this plan. Then we use this CGE data to calculate the poverty index and income distribution. The model is calibrated based on 2001 Micro Consistent Matrix (MCM) designed by Research Institute of Planning and Management Deputy Strategic Planning and Control. The results of the model show that while the plan reduce supply of labor, it improve income distribution and poverty in Iran. The results also reveal that the percentage of improvement in purchasing power of rural deciles is more than the percentage of improvement in purchasing power of urban deciles.

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.

The electricity industry that has been administrated with integrated vertical structure worldwide is now undergoing dramatic changes. Electricity industry is converting to a competitive industry in which market powers determine the price of electricity, there for it is important to identify market power. The Electricity Market of Iran and Iran Grid Management Company were established in 2003 and 2004, respectively. One of the most important objectives of the restructuring of Iran’s Electricity Market is to establish a competitive environment. The purpose of this study was to assess the level of competition among regional power companies in the electricity market in 2013. The method employed separates the strategic companies from marginal companies by market share index in the hours of peak consumption in summer, and then simulates the performance of the strategic companies using Cournot’s model. Each Cournot (strategic) company aims to maximize its profits, assuming its competitors keep a constant production. This goes on to reach equilibrium, as long as companies do not take advantage of changes in their production. The results of the simulation shows that firms with higher market share at the summer peak hours have been acting strategically in 2013. Another part of the study investigated the circumstances of the power plants of these companies. Lerner’s index was estimated and showed that all the power plants of Tehran’s Regional Electricity Company had an index of higher than 50 percent which is an indicator of their high market power.

This paper investigates the relationship between monetary policy and stock market fluctuations for Iranian economy within a DSGE model. This study models the role of monetary policy in two monetary regimes including money growth and Taylor rule with traditional factors and optimal simple rule in the new Keynesian monetary framework with nominal wage and price rigidities in the Iranian economy. Bubbles in our model emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. Results show that: first, using an optimal simple rule and determining the optimal coefficients of the Taylor rule by policy makers decrease the loss function. Second, the sentiment shock which represents the size of current bubbles relative to newly born bubbles and transfers to the real economy through endogenous credit constraint, drives the movements of stock market fluctuations and variations in real economy, leading to explain the positive contemporaneous correlation between stock prices and the real economy Third, using an optimal simple rule and determining the optimal coefficients of the Taylor rule with stock price Fluctuations by policy makers decrease the loss function and it confirms that monetary policy should respond to stock market bubbles in the economy.