Financial monetary economy
Mohammadtaher Ahmadishadmehri; fariba osmani; mahdi cheshomi
Abstract
Today, one of the problems of developing countries is increasing inflation. On the other hand, the political situation of many developing countries is also unstable. In addition, with the emergence and growth of new technologies and complex products, the effects and how the change of new structures affects ...
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Today, one of the problems of developing countries is increasing inflation. On the other hand, the political situation of many developing countries is also unstable. In addition, with the emergence and growth of new technologies and complex products, the effects and how the change of new structures affects the inflation rate are unclear.The aim of this study is to investigate the effect of economic complexity and political stability on the inflation in a panel of 15 developing countries in Asia during the years 1997-2018 using panel-quantile regression. In addition, the variables of GDP per capita, liquidity and exchange rate were considered as the explanatory variables.The results of quantile regression showed that the increase in liquidity and exchange rate increases inflation. As the economic complexity increases, the inflation rate decreases in all quantiles. In addition, increasing political stability helps to improve economic conditions and reduce inflation. Therefore, it can be concluded that inflation in developing countries is not only a monetary phenomenon and political and economic factors also affect it. In addition, the results of this study show that there is no significant relationship between GDP per capita and inflation, which indicates the verticality of the Phillips curve in the group of developing countries.
raha sadat ramezanian; Mohammadtaher Ahmadishadmehri; mohamad javad razmi; Mohammad Hossein Mahdavi Adeli
Abstract
INTRODUCTION
Pension funds, as intergenerational financial institutions, should be able to finance individuals in old age and disability by accumulating the micro-savings of the insured and investing in them. Therefore, one of the concerns of the mentioned funds is how to invest the micro-savings ...
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INTRODUCTION
Pension funds, as intergenerational financial institutions, should be able to finance individuals in old age and disability by accumulating the micro-savings of the insured and investing in them. Therefore, one of the concerns of the mentioned funds is how to invest the micro-savings of the insured in different areas. In Iran, pension funds under the Ministry of Cooperatives, Labor and Social Welfare play a significant role in the capital market and more than 53% of the daily value of the assets of these funds belong to the listed companies (47% of non-listed capital), which possess more than 13% of the total market daily value (stock exchange and over-the-counter).
THEORETICAL FRAMEWORK
Minimizing portfolio risk, investors can obtain an efficient portfolio for a certain return. Continuation of this process leads to the development of efficient portfolios, called the mean-variance efficiency frontier. The following data are required to apply the Markowitz model:
Expected return on stock i, denoted by E(Ri).
The standard deviation of the expected return on ith stock, considered as an indicator for the risk of every stock, denoted by Si.
Covariance, as an indicator of coordination between the return rates of different stocks, denoted by δij.
METHODOLOGY
To determine the optimal portfolio, first the returns of the days in which the transaction did not take place were interpolated by MATLAB and interpolation method and a matrix of 1354 × 9 was obtained. Then, at a 15 percent confidence level, the normality of the time series of returns of each group of industries was investigated by Jarque-Bera (JB) test. Next, the Markowitz model was solved and the weights were determined for each stock in the optimal portfolio of the Social Security Pension Fund. Research data were collected daily for the period 2015:03:25 – 2020:09:21 from the website of the Financial Information Processing Center of Iran and the Social Security Investment Company.
RESULTS & DISCUSSION
Findings show that for investment in the Social Security Pension Fund, among real portfolio, the Markowitz model portfolio and the VaR model portfolio, the Markowitz model optimal portfolio is better than the VaR portfolio and the real portfolio as it has the highest return-to-risk ratio. In order to optimize the investment portfolio, this fund should increase its investment share in the groups of pharmaceutical materials and products by 7%, investments by 2% and the base metals by 1%. It should also reduce its investment share in the groups of multidisciplinary companies by 3%, chemical products by 3%, cement, gypsum and lime by 2% and petroleum products by 2%.
CONCLUSIONS & SUGGESTIONS
Since the results of the study show that the proposed portfolio of this study based on the Markowitz model is optimal for investing in the stock industries of the Social Security Fund, it is suggested to the authorities and planners of this fund to change their existing investment portfolio to the proposed portfolio and especially increase their share of investment in the group of pharmaceutical materials and products as the Social Security Organization (TPICO Holding) has an advantage in this industry on a national scale and its development is consistent with the organization's strategies. It is also suggested that the Social Security Fund reduce the dispersion of investment in markets-industries and over-investment in company management as it has always posed a great risk to pension funds around the world.
afsane javadi
Abstract
General Studies conducted in the field of the Phillips curve, in addition to past periods of inflation, output gap, unemployment, and real marginal cost of production used to show as effective variable on the right in Iran and other developing countries. This is while the New Keynesian paradigm ...
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General Studies conducted in the field of the Phillips curve, in addition to past periods of inflation, output gap, unemployment, and real marginal cost of production used to show as effective variable on the right in Iran and other developing countries. This is while the New Keynesian paradigm suggests that each country requires different models according to the specific conditions of its economy. Theorical Framework In this Phillips study curve in New Keynesian paradigm’s frame work will be modeled and estimated sticky prices. Work’s idea is very simple. central Bank can to reduce Domestic money value unexpectedly. It does this work with increased supply in foreign exchange market. Finally increase in the money supply lead to increase the prices. However, prices and bondage, markets will be settled after a while and also there will be a combination of the read male of the lower currency and average inflation above equilibrium. In this story modeling was do according to important role of oil in Iran’s economy. Study’s model has two sections: household and Business. Economic hous eholds maximize their utility are the functional from them consume and time work due to the balances of the whole economy (In addition to the profits of securities purchased by households, it’s income includes income from fixed existing sales from natural resource with random global prices in international market and the cost is the cost of buying inner mediate materials). Businesses also maximize their profits (which are a function of income from the sale of their goods at sticky prices and costs from purchasing imported raw materials and employment labor). But since export of find good produced in Iran is very weal and oil and gas formed the main exports of Iran. Therefore, with this theory that economic has the fixed existential from natural resource that sale in international market with random global prices can to said that extreme of export income is an exogenous variable them inter economic situation. Currency supply in Iran is stable and exchange rate change effect on currency demand and import rate and prices of important goods. Hence the change in the exchange rate on the one hand due to the increase in the prices of imported input was used in production. Through the optimization function, the producer profit changes the optimal price and itself to change in the optimal rate of labor hours of the labor force become through the production function and its desirability change by the consumer optimization function desirability. Consumer desirability changes their request for final goods and the service of the economy. Therefor change the prices. So, increase in optimal rate leads to a general level change in prices. This study is about Iran’s economic that is very depended to goods export such as oil, gas ond raw materials. This good formed major share of Iran’s export and inter produced exported goods is very weak in this country. The common Phillips curve includes the output gap (which is the difference between output and its flexibile price level). This level of the flexible production prices is not known and is usually estimated by the Log-linearization, or the quadratic trend or the trend obtained by using Hodrick-Prescott Filter and Band-Pass Filter. Methodology Philips curve estimating quarterly data for Iran’s economic since 1980-2018. Price indicator for consumer and inter gross generation has exploited from Iran central Bank’s data. Price indicator for foreigner consumer was used from American’s data to exploited U.S. Department of Labor Bureau of Labor Statistic. Estimation do in two section. First, digression red rate of optimal will computed from basic worth and then this deviation will have used in Philips curve regression. The Hadrick Prescott filter was used to estimate the deviation of the real exchange rate from the steady state value. After designing the research model, it is time to estimate it. Rational expectation Philips carves regression (with forward expectations) cannot to be estimated by ordinary least squares method directly because; error terms depend on estimators. One solution is to exchange current’s inflation, to inflational expectation. Therefore, Generalized Method of Moments which is estimated in a simple linear mode by the instrumental variable method has been used. Estimate show that coefficient of real exchange rate gap in estimated regression recommended. J. Hanson statistics which is used to test the number of over-identified constraints (equal to the value of the minimum objective function), confirms the validity of model. Sargan Test shows the correlation of instruments with error term. The result express that this model stated properly and the selected tools are valid. Results and Discussion The results show that the standard New Keynesian Phillips curve can be expressed as an exchange between inflation and the real exchange rate for oil-exporting countries, including Iran. The intuition of such an equation is simple and not new: the central Bank can temporarily devalue the domestic currency at the expense of imposing additional inflation on the economy. The results confirm the exchange between inflation and the real exchange rate under the Phillips curve based on the real exchange rate. Conclusions and Suggestions If the standard Philips New Keynesian Curve (according to what was done in this article) can be expressed as an exchange between inflation and the real exchange rate for oil-exporting countries, including Iran, it will have a significant impact on economic policy. As a policy proposal, the central bank temporarily devalues the domestic currency, but must consider this will impose additional inflation on the economy.
behnam elyaspour; mohammadtaher ahmadi shadmehri; mohammadreza lotfalipour; mohammadali falahi
Abstract
The exchange rate has always been a fundamental issue in the economic literature because of its significant effect on economic performance. Iran is a country that earns important part of its income from foreign exchange earnings by selling mineral materials. This study, therefore, investigates the effect ...
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The exchange rate has always been a fundamental issue in the economic literature because of its significant effect on economic performance. Iran is a country that earns important part of its income from foreign exchange earnings by selling mineral materials. This study, therefore, investigates the effect of exchange rate uncertainty on Iran’s non-oil trade balance for the period 1989-2015. Stochastic volatility model is used for calculating uncertainty index of exchange rate. Then, the effect of exchange rate uncertainty on Iran’s Non-Oil trade balance is estimated by using Rose and Yellen (1989) model and Johansen and Juselius (1990) cointegration procedure. The results indicate that real exchange rate and its uncertainty have a negative effect on Iran’s non-oil trade balance in long-run. Therefore, the Marshall-Lerner condition is not met. In addition, J-Curve is rejected due to impulse response functions.
Keyword: Real Exchange Rate, Non-Oil Trade Balance, Uncertainty, Stochastic Volatility Model, Cointegration
JEL Classification: C32, D80, F10, F31
Introduction
Since the advent of the current float in 1973, most countries have been concerned about the uncertainty that floating exchange rates have introduced into world markets. Most European countries have tried to avoid this uncertainty by joining the Euro zone and adopting a common currency, which has flavors of a fixed exchange-rate system. However, most other countries still have to deal with the side effects of exchange rate uncertainty since their exchange rates float.
There are several channels through which exchange rate volatility could affect the trade flows. First, if traders are risk averse, they could reduce their activities due to exchange rate uncertainty in order to avoid any loss. Second, exchange rate uncertainty could directly affect the trade volume by making prices and profits uncertain, especially in countries where forward markets do not exist such as the developing world. Even if forward markets do exist in some industrial countries, some studies indicate that forward markets are not very effective in completely eliminating exchange rate uncertainty. Third, if exchange rate volatility persists over a longer period of time, it could induce domestic producers to switch buying from foreign sources to domestic sources, reducing the volume of trade, especially traded inputs. Finally, exchange rate uncertainty could also affect direct foreign investment decisions which in turn could lower the volume of trade. To reduce the price fluctuation due to exchange rate volatility, production facilities would be located near final markets, leading to change in pattern of trade.
Considering the numerous economic changes affecting the exchange rate in the studied period (1989-2015) in Iran, like the oil price shocks, the change of commercial policies, and changing foreign exchange policies and economic sanctions, studying the effect of exchange rate fluctuations on the non-oil trade balance is essential.
Theoretical Framework
The relationship of exchange rate and trade balance is explained by various theoretical approaches like the elasticity approach, absorption approach, Marshall-Lerner Condition, J-Curve approach, monetary approach and the two countries imperfect substitution model approach.
Of these, the two countries imperfect substitution model of the Rose and Yellen (1989) is used in this paper to model the relationship between exchange rate and trade balance. This approach shows the nature of the relationship of real exchange rate on trade balance in both short and long run. It stipulates that depreciation of the real exchange rate improves trade balance. Besides, the model assumes that there are no perfect substitutes in the imports and exports for the locally produced goods and services.
Rose and Yellen (1989) start with a specification of the import demand equations. As in Marshallian demand analysis, the volume of imported goods demanded by the home (foreign) country is determined by real domestic (foreign) income and the relative price of imported goods. Clearly, real income has a positive impact on the volume of import demand, and the relative price of imported goods has a negative relationship
Methodology
This study, investigates the effect of exchange rate uncertainty on Iran’s non-oil trade balance for the period 1989-2015. Stochastic volatility model (SV) is used for calculating uncertainty index of exchange rate. Then, the effect of exchange rate uncertainty on Iran’s non-oil trade balance is estimated using Rose and Yellen (1989)’s model and Johansen and Juselius (1990)’s cointegration procedure.
An alternative to GARCH-type models is the class of stochastic volatility models, which postulate that volatility is driven by its own stochastic process. Estimation and inference of SV models are more complicated than for GARCH models. On the other hand, SV models have some advantages compared with GARCH models. For example, SV models offering a natural economic interpretation of volatility are easier to connect with continuous-time diffusion models with SV, and are often found to be more flexible in the modeling of financial returns. A variety of estimation methods have been proposed to estimate the SV models, in this paper MCMC methods are used to estimate of SV model.
Results and Discussion
The results show that all variables in trade balance model are integrated of first order or in short hand are I(1) and cointegration test suggests one cointegrating vector for this variables.
Briefly, the results of estimate vector show that real exchange rate, volatility of real exchange rate and GDP of Iran have negative effect on non-oil trade balance and GDP of the world has positive effect on Non-Oil trade balance.
Conclusions and Suggestions
The results of estimating trade balance in long-run show that real exchange rate has negative effect on non-oil trade balance; therefore, the Marshall-Lerner condition is not met. In addition to, J-Curve is rejected due to impulse response functions. Also, uncertainty of the real exchange rate has negative effect on non-oil trade balance; therefore, policy makers must adopt policies to help stabilize the real exchange rate.
fatemeh gerivani; Majid Ferakhshani; mostafa noori; Mohammadtaher Ahmadishadmehri
Abstract
One of the common goals of economic growth and development of communities of all time. Therefore it is very important factors contributing to the improvement of the target. Among the sectors that plays a significant role in the growth and economic development can be traced to the insurance industry. ...
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One of the common goals of economic growth and development of communities of all time. Therefore it is very important factors contributing to the improvement of the target. Among the sectors that plays a significant role in the growth and economic development can be traced to the insurance industry. Among the ways that lead to the development of the insurance industry can be categorized as insurance companies The ranking results in transparency, increase efficiency and non-price competition in the market leads. By focusing on the goal of the present study to be rated insurance companies in North Khorasan province in the years 1391 and 1392 Based on indicators of premium, policy number, amount and method of compensation Topsis deals. Data is provided by insurance companies in the province. To determine the contribution of each of the indicators, the AHP method is used. The results show that the only public insurance company ranked first Among 13 insurance companies in both Two consecutive years has been in business.
Shahab Matin; Mohammad Taher Ahmadi Shadmehri; Mohammad Ali falahi
Abstract
One of the major economists’ interests in the recent decades has been oil and its causes. Oil is one of the key strategic commodities in the world that plays a major role in setting the political and economic relations among countries. The economic structure of the petroleum exporting countries' dependency ...
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One of the major economists’ interests in the recent decades has been oil and its causes. Oil is one of the key strategic commodities in the world that plays a major role in setting the political and economic relations among countries. The economic structure of the petroleum exporting countries' dependency on oil revenues causes the affection of global economy in recession boom to economy of such countries. In most oil-exporting countries (e.g. Iran), oil revenues are the government's and state-owned. As the recipient of oil revenues, leads the current and development budgets of these revenues to different economic sectors. To make a good decision and to improve their societies, the governments need to design the budget. To do its functions, a government uses budget as a planning and financial tool. Accordingly, oil price fluctuations have a major influence on the government's spending of oil revenues as a major source for financing different expenditure categories. Iran has a history of more than a century in the exploration and production of oil; the first successful well exploration was Masjid Suleiman on May 26, 1908. Since then, based on the latest oil and gas reports, 145 hydrocarbon fields and 297 oil and gas reservoirs have been discovered in Iran, with many fields having multiple pay zones. Proved oil reserves in Iran, according to the government, ranks as the fifth largest one in the world at approximately 150 billion barrels as in 2014, although it ranks as the third country if Canadian reserves of unconventional oil be excluded. This is roughly 10% of the world's total proven petroleum reserves.
Oil sector in most of the oil exporting countries (such as Iran) is a state-run sector and oil revenues belong to government. Iran is an energy superpower in which the petroleum industry plays an important part. In 2004, Iran produced 5.1 percent of the world’s total crude oil (3.9 million barrels per day), which generated revenues of US$25 billion to US$30 billion and was the country’s primary source of foreign currency. In 2006 levels of production, oil proceeds represented about 18.7 percent of gross domestic product (GDP). However, the importance of the hydrocarbon sector to Iran’s economy has been far greater. The oil and gas industry has been the engine of economic growth, directly affecting public development projects, the government’s annual budget, and most foreign exchange sources. In 2009, the sector accounted for 60 percent of total government revenues and 80 percent of the total annual value of both exports and foreign currency earnings. Oil and gas revenues are affected by the value of crude oil on the international market. It has been estimated that at the Organization of the Petroleum Exporting Countries (OPEC) quota level (December 2004), a one-dollar change in the price of crude oil on the international market would alter Iran’s oil revenues by US$1 billion. In 2006, exports of crude oil totaled 2.5 million bpd, or about 62.5 percent of the country’s crude oil production. The direction of crude oil exports changed after the Revolution because of the U.S. trade embargo on Iran and the marketing strategy of the NIOC. Initially, Iran’s post-revolutionary crude oil export policy was based on foreign currency requirements and the need for long-term preservation of the natural resources. In addition, the government expanded oil trade with other developing countries. While the shares of Europe, Japan, and the United States declined from an average of 87 percent of oil exports before the Revolution to 52 percent in the early 2000s, the share of exports to East Asia (excluding Japan) increased significantly. In addition to crude oil exports, Iran exports oil products. In 2006, it exported 282,000 barrels of oil products, or about 21 percent of its total oil product output. Iran plans to invest a total of $500 billion in the oil sector before 2025. In 2010, Iran, which exports around 2.6 million barrels of crude oil a day, was the second-largest exporter among the Organization of Petroleum Exporting Countries. Several major emerging economies depend on Iranian oil: 10% of South Korea’s, 9% of India’s and 6% of China's oil imports come from Iran. Moreover, Iranian oil makes up 7% of Japan’s and 30% of all Greek oil imports. Iran is also a major oil supplier to Spain and Italy. This study investigates the asymmetric effects of oil price fluctuation on government expenditure based on Mork's (1989) and Hamilton's (1996) definitions. In order that, To this end, the oil prices, total government expenditure, current and development expenditures of the government, per capita total expenditure, per capita current and development expenditures and the deviation of the real exchange rate during the period of 1965 to 2011 have been used within the framework of the vector autoregressive model.
The results indicated that fluctuations in oil prices have asymmetric effects on government expenditure. According to both definitions, oil prices increase relative to oil prices decrease has a greater effect on government spending; however, the effect of oil prices decrease on government spending is more sustainable than oil prices increase. Also, such changes in oil prices rise or fall have more impact on construction costs compared to current expenditures that verifies the stickiness of current expenditures.
Mohammad Taher Ahmadi Shadmehri; Mohammad Ahmadi
Abstract
تجزیه و تحلیل رابطه قیمت در طول زنجیرة تولید از تولیدکننده به مصرفکننده، ابزاری رایج برای اندازهگیری درجه کارآیی و رقابتپذیر بودن بازارهای مختلف در دهه اخیر بوده ...
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تجزیه و تحلیل رابطه قیمت در طول زنجیرة تولید از تولیدکننده به مصرفکننده، ابزاری رایج برای اندازهگیری درجه کارآیی و رقابتپذیر بودن بازارهای مختلف در دهه اخیر بوده است. در این مقاله، روابط قیمت و چگونگی انتقال قیمت بین دو سطح تولیدکننده و مصرفکننده برای محصول پنیر در ایران بررسی شده است. دادههای مورد استفاده شامل شاخص قیمت تولیدکننده و مصرفکننده محصول پنیر است که بهصورت ماهانه دورة زمانی 91 ماهه از فروردین سال 1380 تا مهر 1387 را پوشش میدهد. از شیوۀ همانباشتگی یوهانسن – یوسلیوس و رابطه علیّت گرنجری برای آزمون وجود رابطه بین دو شاخص و تعیین جهت علیّت استفاده شده است. تجزیه و تحلیل رفتار انتقال قیمت بر مبنای روش سنتی هاک و بکارگیری مدل ECM ون کرامون تابادل – لوی Von Cramon Taubadel-Loy1998)) است. نتایج نشان داد که جهت علیّت از قیمتهای مصرفکننده به قیمتهای تولیدکننده در هر دو دوره کوتاه مدت و بلندمدت وجود دارد. نتایج، فرضیۀ انتقال نامتقارن قیمت را بین قیمتهای تولیدکننده و مصرفکننده رد میکند. با توجه به نقش تعیینکننده مصرفکننده در تعییین قیمت، مطالعات بیشتر در زمینه مسائل رفاهی و مقایسه هزینهها و منافع ناشی از اتخاذ سیاستهای مختلف دولت در این بازار مورد نیاز است.
