Journal of Economic Modeling Research

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This paper examines the success of bilateral export potentials between Economic Cooperation Organization (ECO) member countries in non-oil industries. Based on the Anderson and Van Win-coop gravity model, an empirical trade equation is derived and estimated using the bilateral trade information of all 10 ECO countries as well as those of their 40 main common trade partners in non-oil industries over 1992-2009. We employed a GMM instrumental variable model (ABB estimator) for the dynamic specification and a FEM estimator for the static version of the model. The results show that the formation of ECO has no significant impact in increasing trade among member countries. The results also show that ECO trade potentials in non-oil industries are not far beyond the actual level. Furthermore, export potentials are asymmetrically distributed among members. Turkey, Iran and Pakistan are the only countries representing positive export potentials towards the group. In particular, Turkish export potentials to Iran are 3.5 times larger than those of Iran to Turkey. That is, free trade among ECO nations may result in regional trade deficit for some members.

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    This study aims at determining the optimal environmental tax policy in the context of a dynamic model. For this purpose, clean technology diffusion was added to the AK growth model and the theoretical model has been generalized to the open economy. The main feature of the economy is creating pollution in the process of economic growth and its negative impact on social welfare. The diffusion of clean technology reduces pollution emission and has a positive effect on environmental quality and social welfare.

  The Hamiltonian solution of the model indicates that the steady state growth rate and optimal tax pollution is affected by the consumer preference toward consumption and environmental quality, pollution elasticity with respect to production, clean technology diffusion, foreign growth rate, inverse elasticity of intertemporal substitution , depreciation rate of capital and trade parameters.

  The results show that the optimal tax rate in Iranian economy is about 15 percent. Furthermore, sensitivity analysis shows that the emission elasticity of pollution subject to the production and environmental preference parameters have larger impacts on optimal tax rate than foreign growth rate and trade parameters.

 

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  The allocation of opportunities affects income distribution and income inequality. This paper analyzes the economic impacts of initial allocation of resources and redistribution of opportunities. In this study, we apply a computable general equilibrium (CGE) model focusing on distribution of opportunities and allocation of available resources. The differences between households' income are caused by differences in labor income (skilled and unskilled) and the household's income from capital stock. The model is calibrated based on micro consistent matrix (MCM) of Iranian economy. We found that, the redistribution of opportunities and re-allocation of resources can reduce inequality. In other words, improvement in equality of opportunities leads to more equal society. The important finding of the study is that an increase in inequality of opportunity may cause the income gap grows faster. So, big reduction in inequality of income after small reduction in inequality of opportunities can be witnessed.

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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.

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  Despite the belief of many economic scholars, women have played a significant role in the industrialization process of communities. Unfortunately, although women have the necessary competence to accept society responsibilities, inappropriate behavior and discriminatory is imposed to them and this problem has caused the women's participation rate slower than the participation rate of men. As women's economic participation rate is the measure of progress and development in developed and developing nations, the issue of women's economic participation is of great importance. This study aims at estimating the women’s participation in Iranian economy using macroeconomic data and econometric method of panel data. Results show that women's economic participation rate in 28 provinces of Iran is affected by the main variable of wage rate and also by the control variables such as gross domestic production per capita, unemployment rate etc. Results also show that increasing the share of industrial and agricultural sectors in supplying new occupations has positive effect on women’s participation while an increase in the share of services sector in the supply of new occupations has a negative effect.

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There are a lot of techniques and methods for prediction of bankruptcy among them “Statistical methods” or econometrics techniques are more popular. As dependent variable in our study is qualitative it is convenient to use qualitative discrete models. Mixed Logit model is one of the powerful and flexible techniques of discrete choices that allow the coefficients to be random with distribution function. Explanatory variables are financial ratios which derived from Zmijewski’s model. The sample data are from Tehran Stock Exchange’s Brokerage Companies during 2001-2008. We selected two random samples, one for estimation and another for prediction power test. Results show that the degree of successfulness of the model is over 90 percent.

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  This research aims to analyze the effects of industrial agglomeration on regional economic growth in the Iranian provinces. For this aim, this study is divided into theoretical and applied sectors.

  In the theoretical point of view, the research has proposed a simple theoretical framework to study the impacts of industrial agglomeration on regional economic growth. In applied sector, we have specified econometrics models and estimated them by using a system of simultaneous equations using Panel Data for 28 provinces of Iran over the period 2000-2006.

  Results show that regional economic growth is positively affected by industrial agglomeration and regional knowledge level and negatively affected by human capital mobility cost and per capita income. Results also show that regional economic growth, transportation cost, household expenditure and human capital mobility cost have positive effects on industrial agglomeration in the Iranian provinces.

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This study investigates predictability, chaos analysis, wavelet decomposition and the performance of neural network models in forecasting the return series of the Tehran Stock Exchange Index (TEDPIX). For this purpose, the daily data from April 24, 2009 to May 3, 2012 is used. Results show that TEDPIX series is chaotic and predictable with nonlinear effect. Also, according to obtained inverse of the largest lyapunov exponent, we are able to predict the future values of the series up to 31 days. Besides, our findings suggest that multi-layer feed forward neural network model and fuzzy model based on decomposed data, are of superior performances in predicting the return series. It is worth mentioning that, among these models, MFNN reveals the best performance.

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  It is more likely that the monetary policy in Iran is discretionary and not based on a rule or a target. Besides, what is clear is that there have been explicit targets for inflation and economic growth in all five-year development plans (except the fifth plan). However, the question is that do policy makers observe the targets of development plans? Using an adjusted New Keynesian DSGE model for Iran, in this study we investigate the monetary policy under fiscal dominance and implicit inflation targeting of Iran. The results show that in most plans monetary authorities do not observe the explicit targets of five-year plans. The estimated monetary reaction function is only able to explain the period 2001-2011. The other result is that implementation delays of public projects have considerable effects on output and private consumption.

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  This paper investigates the relationship between real exchange rate uncertainty and stock price index in Tehran stock exchange for the period of 1995-2009 by using monthly data and applying Bivariate Generalized Autoregressive Conditional Heteroskedasticity model (Bivariate GARCH). The results show that there is a negative and significant relationship between real exchange rate uncertainty and stock price index. However, the relationship between stock price uncertainty and real exchange rate is insignificant. Therefore, our results recommend that the policies which cause more volatility in the exchange market and also more volatility in the real exchange rate should be avoided to ensure the sustainable growth of the stock market and its price index.

  

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  In recent years, financial economists have increasingly recognized the interaction between market structure and capital structure or financial decisions of the firms.

  This research analyzes the relationship between market structure (power) and the capital structure (leverage ratio) of listed companies in Tehran Stock Exchange (TSE) based on static and dynamic approach. In this research we study a balanced panel dataset of 101 firm-year observations from 2006 to2010 and test significant relationship for testing hypothesis.

  First we use pooled regression to determinant the relationship between capital structure, market structure (Tobin's Q) and five control variables including profitability, size, collateral value of assets, growth rate of assets and uniqueness of assets. After employing chow and hausman test, we selected fixed effect panel data model. Also we employed GMM method to have more efficient result and also to cope with the unobservable firm-specific characteristics and endogeneity problems.

  Our results suggest that the relationship between leverage and market structure is non-linear (cubic) due to the complex interaction of market conditions, agency problems and bankruptcy costs. The study finds a negative relationship between capital structure and profitability and also positive relation between capital structure and the size. So, profitable companies tend to use internal financing such as retained earnings and issuing new shares instead of debt financing. Also big companies prefer to use more leverage due to desirable conditions for getting loans. Our evidence shows that Iranian listed companies are generally more subject to agency cost theory (limited liability effect) and tax shield theory. Finally, the system-GMM results reveal that managers of Iranian firms tend to adjust dynamically their leverage ratios over time.

 

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A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric. This implies that size (large-versus-small exchange rate changes) and direction (currency appreciations-versus-depreciations) have similar effects. In this paper these assumptions have investigated for Iran's export prices. So, this paper examines the asymmetric exchange rate pass-through to the monthly import price index in Iran during 1997:1–2010:9. Therefore positive and negative exchange rate shocks have been separated using Mork Criteria and large and small exchange rate changes by determining a threshold. The results show that the response of export prices to currency appreciation and depreciation is asymmetric. So, the negative exchange rate shocks have a greater effect on the export prices than the positive exchange rate shocks. According to our estimation results, there is a threshold at 1.3% of monthly changes in exchange rate of Iran and also export prices react asymmetrically to exchange rate at around this threshold. If both direction and size effects are considered, we find that export prices respond asymmetrically to large and small appreciations and depreciations.

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  Parties and candidates in the election campaign try to raise the community to vote for them by offering a variety of social policies. However, the public health expenditures have been raised among the candidates as one of the most important tools to attract votes. Thus, this study uses panel data to investigate whether the components of electoral cycle have affected the growth of public health expenditures in both developed and developing countries over the period of 1994-2010. Using the related tests, two methods of static panel (random effects) and dynamic panel estimation were selected. According to the results, the presence of electoral cycles could not be rejected in both types of countries. Based on these results, politicians in every country increase the public health expenditures before the election in hopes of gaining a greater share of people's votes.

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  In this paper we revisited the recent study examines the determinants of Intra-Industry Trade (IIT) in the agriculture, industry and services sectors between Iran and European :::union:::, ECO, GCC and ASEAN countries in the period 1980-2009, using a dynamic panel data.

  This study uses country-specific characteristics as explanatory variables. The results indicate that IIT is a negative function of the difference in GDP per capita between Iran and trade partners. There is also a statistically significant relationship between IIT and the countries demand similarities. Results also reveal the importance of the size of economy and product diversification in intra industry trades. Finally the hypothesis that trade increases by a decrease in transportation costs can’t be rejected.

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  Oil revenues play a significant role in the government budget in Iran and have also an important impact on GDP. This study aims at providing a practical solution for the question of how oil revenues should be managed. In this regard, a Computable General Equilibrium (CGE) model has developed to examine the direct effect of distribution of oil revenues on GDP in both static and dynamic approaches .

  The results of static model show that the direct distribution of oil revenues to households has a negative effect on the government expenditures and therefore decrease the GDP . The dynamic model allows the conversion of savings into investment and capital formation. So the results of running this model show the positive effect of direct distribution of oil revenues on GDP and also the negative effect of this policy on the government current spending. Therefore, the results confirm that direct distribution of oil revenues is an effective policy in reducing the dependence of government on oil revenues and also in relying more on people and the tax revenues .

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The estimation of output supply and inputs demand in farming sector with the assumption of full economic efficiency may result in false policy decisions. This article investigates the effects of irrigated wheat economic inefficiency on output supply and inputs demand in the period 2001-2009. After estimating the economic inefficiency by the use of production and cost stochastic models, the output supply and inputs demand of irrigated wheat are obtained through seemingly unrelated regression method. Results show that technical, allocative and economic inefficiency in irrigated wheat production in Iran are 21, 23 and 38 percent respectively. Moreover, the slope of output supply function is strongly affected by the related economic inefficiency in profit function and inefficiency changes input’s demand coefficients. Results also show that technical inefficiency has a greater effect on inputs demand compared to the allocative inefficiency.

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Informal economy i.e. unrecorded economy, is one of the important problems in developing countries which affects the efficiency of economic activities in formal sector. Informal economy is also an important source of air pollution. This paper aims at estimating informal economy in Iran over the period 1980-2009 based on the mount of CO2 emissions and the country forest areas and using Kalman Filter approach. The results indicate that: 1) there is a significant and long run relationship between CO2 emissions, the size of forest areas and firm’s industrial activities and total national product, 2) Total national product is more than recorded data in the study period so the existence of informal economy can’t be rejected during this period. 3) The average share of informal economy in total GDP is about 35.6 %.

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  Storing the electrical energy in large scale is impossible. So, it is necessary to identify the factors affecting the electricity demand. Researchers have used different methods to forecast the future demand of electricity, among them intelligent methods and fuzzy based methods are more popular. Since ANFIS structure is based on researcher’s experience about phenomenon, the created structure may not have the best result. Therefore, we used PSO-ANFIS structure.

  In this paper long term electricity demand is forecasted until the year 2025 by hybrid PSO-ANFIS algorithm. The results confirm the high power of the Adaptive Neural based Fuzzy Inference System in forecasting the electricity demand. Results also indicate that the forecasted electricity demand will be 401 billion KWh in 2025. The prediction performance of the proposed technique is more accurate than the ARIMA model.

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  The aim of this study is to calculate the marginal private and social costs of two thermal power plants in Isfahan region for a particular day in January 2010. For this purpose a nonlinear planning model with linear constraints has been used. The objective function (social cost) which is a twofold objective function is calculated by the summation of variable costs and external costs of power plants in the above mentioned region.

  The results of minimizing the objective function of private cost and also minimizing objective function of social cost indicate a significant difference between marginal social cost and marginal private cost. This difference is considered as marginal external cost in peak hours of electricity consumption and has had an obvious increase to the off-peak hours of electricity consumption in the region of the study. Taking into account the social costs of electricity generation, green power generation technologies can compete with thermal power plants.

 

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  Today the quantitative assessment of economic and social impacts of petroleum products supply constraints is one of the main policy issues in Iran. This issue arises from the fact that importing gasoline, gasoil and liquefied petroleum gas (LPG) is restricted by international sanctions. In this paper, we showed that a demand driven Social Accounting Matrix (SAM) is not a suitable tool for answering the above question. So, a modified SAM, known as mixed supply driven SAM is suggested. For this purpose the energy SAM of 2006 is used.

  The overall results reveal that: 1) Petroleum products supply constraints have the most impacts on crude oil and natural gas, retail and wholesale, chemical and agricultural sectors.2) Operating surplus has the most reduction among the other production factors. Results also showed that the fall of urban income as a consequence of supply constraints is more than rural labor either relatively or absolutely.