Showing 6 results for Uncertainty
Dr Hassan Heidari, Sahar Bashiri,
Volume 3, Issue 9 (10-2012)
Abstract
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.
Shahram Fattahi, Kiomars Sohaili, Hamed Abdolmaleki,
Volume 5, Issue 17 (10-2014)
Abstract
The fluctuations in the oil price with uncertainty, as an exogenous variable, is the most important factor affecting the fluctuations in the GDP of the countries especially OPEC. This study examines the effect of oil price uncertainty on the Iran’s GDP growth using the seasonal data for the period 1988(1)-2011(4). The model used in this study is the asymmetric VARMA, MVGARCH-M and the estimated method is quasi maximum likelihood (QML). The results indicated that there is a negative and significant relationship between oil price and economic growth over the period. Furthermore, the results show that the conditional variance-covariance process underlying output growth and change in oil price exhibits non-diagonality and asymmetry.
Ali Akbar Bajelan, Saeed Karimi Potanlar, Ahmad Jafari Samimi,
Volume 10, Issue 35 (3-2019)
Abstract
The purpose of current paper is to survey the asymmetric effects of inflation's positive and negative shocks on inflation uncertainty in short-run and long-run. For this end, first, the Ball model (1992) has been extended through the decomposition of inflation shocks to money demand's positive and negative shocks and money supply's positive and negative shocks. Then, through using nonlinear autoregressive distribution lag model and time series data of Iranian economy from 1978 to 2017 the positive and negative effects of inflation on inflation uncertainty, which is from the exponential generalized autoregressive conditional heteroskedasticity model, has been analyzed. The results of the study show that the effects of the inflation's positive shocks on inflation uncertainty in short-run and long-run are positive and significant. In contrast, the negative shocks have not any effects on inflation uncertainty in short-run and long-run. In other words, the rise in inflation causes an increase in inflation uncertainty in Iran; whereas, decrease in inflation has not had effects on inflation uncertainty.
Mr Hamed Pourakbar, Dr Eskandari Sabzi, Dr Amir Ali Farhang, Dr Rostam Garehdaghi,
Volume 13, Issue 50 (3-2023)
Abstract
Recently, time-varying uncertainty has attracted a lot of attention from policymakers and academics and has led to the growth of literature identifying the transmission mechanisms of uncertainty shocks. Precautionary pricing incentive is an important mechanism that amplifies uncertainty shocks. The conclusion from the comparison of allocations under optimal monetary policies is modeled in two common pricing approaches, Calvo and Rotemberg. The main goal of this research is to investigate the optimal monetary policy with uncertainty in Iran's economy under different pricing conditions by modeling two common pricing approaches, Calvo and Rotemberg, which is based on a dynamic stochastic general equilibrium model based on the new Keynesian perspective using The available information and statistics of Iran's economy from 2001 to 2021, have been designed according to the realities of Iran's economy. The results showed that the uncertainty shocks under Calvo and Rotemberg's pricing assumptions when the monetary policy is adjusted based on Taylor's empirical law are spread differently in the Iranian economy. In such a way that they behave like cost pressure shocks under Calvo pricing and negative demand shocks under Rotemberg pricing. However, the optimal monetary policy leads to the stabilization of both inflation and output gap under both pricing assumptions. In other words, adopting optimal monetary policies can lead to economic stability. Because optimal monetary policy removes not only the discretionary savings incentive of households but also the discretionary pricing incentive of firms, the key channel differentiates Calvo's pricing prediction from Rothenberg's pricing prediction under empirical Taylor. According to the results of the present research, it is suggested to use the monetary rule for policy-making to create a nominal anchor for economic actors and not to use discretionary policies in order not to create inflationary expectations in the economy.
Mr Reza Etesami, Mr Mostafa Lashkari, Dr Mohsen Madadi, Dr Reza Ashrafganjoei, Dr Mashallah Mashinchi,
Volume 14, Issue 54 (2-2024)
Abstract
Although many factors in economic growth and development are scientific, but the global impact and energy consumption have a prominent role in the economy according to the evidence. In the meantime, we should not ignore the consequences of environmental destruction. In the present study, the effect of uncertainty of globalization and energy consumption on CO2 gas emission has been investigated with the help of fuzzy regression model with symmetric and asymmetric coefficient for the time period of 1369-1400. According to the average scale of the phased vessel model, the three boundaries and the bottom are calculated for each of the investigated changes under different uncertainty conditions using the particle swarm algorithm. Examining the effect of the limits related to the uncertainty of globalization and energy consumption on the amount of CO2 gas emissions indicates that as the degree of membership approaches 0.1 to the degree of membership 0.9, first, the amount of CO2 gas emissions up to be Membership increased by 0.4 and then decreased in a downward trend of CO2 emissions. This impressive trend is also true for the middle and lower limits. From this, it can be stated that the effect of the uncertainty of energy consumption on the amount of CO2 emissions is similar to an inverted U. It is noteworthy that the trend of energy consumption compared to globalization increases the amount of CO2 emissions, so it can be said that the amount of CO2 emissions is not the result of the refugee hypothesis.
Ali Moridian, Hassan Heidari, Seyed Mehdi Hosseini, Heshmatollah Asgari,
Volume 16, Issue 60 (9-2026)
Abstract
Objective: This study examines the effects of economic policy uncertainty, exchange rate, and oil price on inflation in Iran during the period 2008 to 2023. The main objective is to identify the short-term, medium-term, and long-term nature of these effects and analyze inflation dynamics using modern wavelet and machine learning methods.
Materials and Methods: Regularized least squares regression with wavelet kernel (WKRLS) and nonparametric wavelet quantile causality (WNQC) are used to analyze nonlinear and scale-dependent relationships between variables. The data include inflation index, economic policy uncertainty (EPU), unofficial exchange rate, and oil price on a monthly basis. The generalized wavelet quantile Dickey-Fuller test (Wavelet-QADF) is also used to examine the stationarity of time series.
Results: The results show that key variables of the Iranian economy are stationary in most quantiles and time scales. According to WKRLS estimates, the effect of economic policy uncertainty on inflation is weak in the short run, decreasing but still significant in the medium run, and increasing non-linearly and acceleratingly in the long run. The exchange rate has the greatest impact on inflation, especially in the short run due to the Iranian economy’s heavy dependence on imports. Oil prices also have a significant impact on inflation and its volatility in the long run. WNQC findings show that economic policy uncertainty and exchange rate uncertainty have a stronger effect in the low and middle quantiles of inflation, while oil prices mainly amplify inflation fluctuations in the long run.
Conclusion: The findings emphasize the importance of stable economic policies, reducing dependence on oil revenues, and controlling exchange rate fluctuations for managing inflation in Iran. Also, combining wavelet and machine learning methods allows for a more comprehensive analysis of inflation dynamics in different conditions.
