پژوهشی
Mansour Zarra Nejad; Ali Raoofi
Abstract
Forecasting economic and financial variables is of high significance to economic policymakers and investors; however, it is a difficult and complicated task due to the volatile and complex nature of such data.
Numerous studies have been conducted concerning different methods of forecasting macroeconomic ...
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Forecasting economic and financial variables is of high significance to economic policymakers and investors; however, it is a difficult and complicated task due to the volatile and complex nature of such data.
Numerous studies have been conducted concerning different methods of forecasting macroeconomic and financial variables so far. Although frequent and sophisticated methods have been applied to forecast such variables, the nature of data under consideration has not sufficiently been taken into consideration. In terms of complexity, type and nature of data might impact the accuracy of forecasting models. In other words, linear or non-linear behaviors of data can be effective in the selection of the forecasting model. Recent research indicates that a better understanding of the generating process of variable data (linear/ non-linear) leads to easier and more accurate forecasts. If, for instance, the variable follows a linear behavior, linear models, such as ARMA , will produce more acceptable accuracy. On the contrary, using more complex modeling methods such as ANN and ANFIS is more justifiable when the variable behavior is non-linear and chaotic. Using complex models for a variable with linear behavior might lead to excessive model dependency on unnecessary volatility and, in turn, reduced forecast accuracy. This paper focuses on the study of linearity, non-linearity, and/or chaotic nature of TEPIX from March 25th, 2009 to October 15th, 2011 (625 observations) using BDS test . This test was administered in three stages to determine linearity, non-linearity, or “chaotic-ness” of TEPIX: First, the test was administered on daily stock market index return; second, the test was applied to ARMA model residuals; and finally, the test was carried out for ANFIS, GARCH , and ANN residuals. The results suggest that TEPIX return variable follows a non-linear behavior. Therefore, it is expected that non-linear models are better capable of forecasting this variable.
Then, different prediction techniques in ARMA linear model were compared with those of non-linear models including ANN, ANFIS, and GARCH. According to the evaluation criteria at hand (RMSE , MAE , U-Thiel, and MAPE), the accuracy of forecasts was compared . The results show that non-linear models enjoy better performance than ARMA model regarding all the criteria above. In addition, among non-linear models, ANFIS model displays the best performance in forecasting daily stock market index return. Taking the non-linear nature of data used into account, such results were predicable.
Keywords: Adaptive Neuro-Fuzzy Inference System (ANFIS), Neural Network, GARCH model, Non-linear Models, Chaos Theory, Stock Returns
JEL: G10, C52, C45, C22
پژوهشی
sayyed mohamad mirhashemi dehnavi; Mostafa Salimifar; Mohammad Ali Falahi
Abstract
Iran’s economy and also stock market can affected by oil price shocks. With regarding importance of oil price changes on Iran economy, the aim of this study is to investigate the asymmetric impacts of oil price shocks on Tehran Exchange Price Index (TEPIX).
In this study, the relationship between ...
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Iran’s economy and also stock market can affected by oil price shocks. With regarding importance of oil price changes on Iran economy, the aim of this study is to investigate the asymmetric impacts of oil price shocks on Tehran Exchange Price Index (TEPIX).
In this study, the relationship between oil price shocks and TEPIX from 2000:6 to 2010:11 have been investigated. For this aim, the mothod of vector autoregressive regression (VAR), impulse response function and variance decomposition with three control variables of liquidity, constraction price index and gold price have been used.
The investigation of the asymmetric effects of oil price shocks on TEPIX by Mork (1989) and Hamilton’s approach revealed that oil price shocks have asymmetric impacts on TEPIX and in both approaches, oil price decrease has greater share in explanation of forcasting error variance of TEPIX respect to oil price increase.
پژوهشی
Saeed Samadi; Nasrin Ebrahimmi; Fariba Aghili
Abstract
Abstract
Given that gold is a commodity sensitive and strategic and its global price has been trend over the past years, in this study, we investigated the factors influencing the price of gold coins. The most important factors that can influence the price of gold in Iran: Global gold prices, Inflation ...
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Abstract
Given that gold is a commodity sensitive and strategic and its global price has been trend over the past years, in this study, we investigated the factors influencing the price of gold coins. The most important factors that can influence the price of gold in Iran: Global gold prices, Inflation expectations, Exchange rate fluctuations, Fluctuations in the stock index and the international sanctions. Also consider these results can be useful for investors and planners as well.
Because of the importance of the foreign exchange market and stock market, in this study, an attempt is In addition to the gold price and exchange rate fluctuation on the stock prices of gold coins In Iran from April 1380 to September 1390 to be considered. In order to study ARCH model be used to measure volatility.
The results show that the factors affecting the price of coins, exchange rate in the short term and in the long term, the most effective agent. Global gold prices are also a factor in the long-term and short-term is positive and significant.Although the long-term coefficients are larger than the short-term coefficients. This shows that in the long-term price of gold coins reacts more fluctuations in exchange rates and changes in the world price of gold.
پژوهشی
mahin dokht kazemi; Hadise Gerivani
Abstract
Efficiency is the (often measurable) ability to avoid wasting materials, energy, efforts, money, and time in doing something or in producing a desired result. In a more general sense, it is the ability to do things well, successfully, and without waste.In more mathematical or scientific terms, it is ...
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Efficiency is the (often measurable) ability to avoid wasting materials, energy, efforts, money, and time in doing something or in producing a desired result. In a more general sense, it is the ability to do things well, successfully, and without waste.In more mathematical or scientific terms, it is a measure of the extent to which input is well used for an intended task or function (output). It often specifically comprises the capability of a specific application of effort to produce a specific outcome with a minimum amount or quantity of waste, expense, or unnecessary effort. Efficiency of course refers to very different inputs and outputs in different fields and industries.
In recent years, financial institutions have experienced a dynamic, fast-paced, and competitive environment at a cross-border scale. One of the fastest growing industries is banks.The banking industry around the globe has been transformed in recent years by unprecedented consolidation and cross-border activities.The bank efficiency ratio is a quick and easy measure of a bank's ability to turn resources into revenue. An increase in the efficiency ratio indicates either increasing costs or decreasing revenues. Considering efficiency of banks in each country is one of the main fundamentals of the financial market and a necessary step to achieve economic growth and development.Especially, in recent years with addition managementresponsibility, this matter became premiere. An efficient bank with use of human force, Deposits, Buildings, equipment and materials obtain output and efficient maximum.
A Famous method for efficient calculationis DEA method.Data envelopment analysis (DEA) is a nonparametric method in operations research and economics for the estimation of production frontiers.It is used to empirically measure productive efficiency of decision making units (or DMUs). Although DEA has a strong link to production theory in economics, the tool is also used for benchmarking in operations management, where a set of measures is selected to benchmark the performance of manufacturing and service operations.Data Envelopment Analysis (DEA) has been recognized as a valuable analytical research instrument and a practical decision support tool. DEA has been used for both production and cost data. Utilizing the selected variables, such as unit cost and output, DEA software searches for the points with the lowest unit cost for any given output, connecting those points to form the efficiency frontier. Any company not on the frontier is considered inefficient. A numerical coefficient is given to each firm, defining its relative efficiency. Different variables that could be used to establish the efficiency frontier are: number of employees, service quality, environmental safety, and fuel consumption.
As regards, banks accept control on their branches operation and work in this study we measured the efficiency of Mellat bank branches in the North Khorasan province for the years 1386-1388. The studies are in four distinct categories: (1)Presentation of past research short description, (2)Present of Data envelopment analysis (DEA) method, research model and variables,(3)Interpretation of model estimation result, (4) researchDeduction and suggestion.
Types of performance calculated in this study are consist of technical efficiency, allocative efficiency and economic efficiency that they are investigated with two assumption constant returns to scale (CRS) and variable returns to scale (VRS). Technical efficiency is the effectiveness with which a given set of inputs is used to produce an output. A firm is said to be technically efficient if a firm is producing the maximum output from the minimum quantity of inputs, such as labor, capital and technology. Allocative efficiency is a state of the economy in which production represents consumer preferences; in particular, every good or service is produced up to the point where the last unit provides a marginal benefit to consumers equal to the marginal cost of producing. Economic efficiency is implies an economic state in which every resource is optimally allocated to serve each person in the best way while minimizing waste and inefficiency. When an economy is economically efficient, any changes made to assist one person would harm another. The CRS assumption only may operate, if corporation isoperated in optimum scale. The various questions caused institution don’t operation inoptimum scale, for example:competitive effects, financial constraint and whatnot.The CRS assumption, as long as,all institutes don’t operation inoptimum scale,technical efficiencyamounts is computed will be disturbed.In use ofvariable returns to scale is cause technical efficiency (Inclusive:scale efficiency quantity and management efficiency) analyze exactly.
In the DEA method use two variablespack: A) entry variable (inputs), B)output variables. Accordingly, the research variables was determinant according to the Intermediate attitude, therefore the input variables are including deposits, fixed assets and personnel and the output variables are including interest-free loans and facilities in the form of swap contracts.
The research results show that in average three-year(1386-1388), technical efficiency, allocation efficiency and economic efficiency, with assumption of the CRS, respectively were 0/747, 0/79, 0/59, and with assumption of the VRS, were 0/91, 0/88 and 0/80. Also, in years 1386 to 1388, respectively 33, 27 and 40 percent of branches in both CRS and VRS were efficient. Furthermore, the average economic performance in both CRS and VRS has not changed much. Although, resultswith assumption of theVRS have superioraverage, but that operation only show Short termefficiency and short termefficiencysize cannot be suitable criterion for adjustmentefficiencyrecovery plan.
پژوهشی
sadegh bafandeh imandoust; Mohsen Rastin
Abstract
Export growth hypothesis increased export can perform the role of “engine of economic growth” because it can increase employment, create profit, trigger greater productivity and lead to rise in accumulation of reserves allowing a country to balance their finances.
Export earnings assume vital importance ...
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Export growth hypothesis increased export can perform the role of “engine of economic growth” because it can increase employment, create profit, trigger greater productivity and lead to rise in accumulation of reserves allowing a country to balance their finances.
Export earnings assume vital importance not only for developing, but also for developed countries. Developed countries mainly export capital and final goods, while the main part of export of developing countries consists of mining-industry goods especially natural resources.
Wood and paper industry could be very important for economic development as non-oil export. Because of fraternity and value added aspect in these industries, it has especial effect on country economic.
The main objective of this study is to analyze the impact of changes in the real exchange rate on Wood and Paper Industry Export and to suggest policy proposals which may be useful for policymakers in non-oil export promotion issues.
Theoretical frame work
There is huge number of studies that investigate the impact of exchange rate on export. But according to our research objective we try mainly to focus on studies that investigate this relationship in case of oil dependent economies like Iran.
For investigating relationship between Real Exchange Rate and Export different methods can be utilized like: The Elasticities Approach, The Absorption Approach and MonetaryApproach.
Methodology
The vector autoregression (VAR) is an econometric model used to capture the linear interdependencies among multiple time series. VAR models generalize the univariate autoregressive model (AR model) by allowing for more than one evolving variable. All variables in a VAR are treated symmetrically in a structural sense (although the estimated quantitative response coefficients will not in general be the same); each variable has an equation explaining its evolution based on its own lags and the lags of the other model variables. VAR modeling does not require as much knowledge about the forces influencing a variable as do structural models with simultaneous equations: The only prior knowledge required is a list of variables which can be hypothesized to affect each other intertemporally.
This paper investigates the impact of the real exchange rate on wood industry export during 1977-2010 has been studied. For this purpose vector auto regressive (VAR) model has been used and by Johansson approach, supply and demand of export will be estimated, then by using of error correlation model (ECM) short term and long term relationship have been combined.
Results & Discussion
Based on findings of present study can be concluded that appreciating real exchange rate has positive and significant effect on supply and demand of wood and paper industries. In addition, tariff rate of import has negative effect on export supply.
Since promotion of non-oil export is one of the urgent issues of the strategic economic policy of Islamic Republic of Iran then findings of this study may be useful for policymakers.
Conclusions& suggestions
Real Exchange Rate and Wood& Paper Industry Export are strongly connected. Although, based on findings, increasing real exchange rate has positive and significant effect on supply and demand of wood and paper industries, but worth of national money should be moderate in short range.
In account of high rate of Competition in the world hiking the export price should be avoided.
پژوهشی
Mehdi Yazdani; Seyed Komail Tayebi; Nafiseh Yazdani
Abstract
Economists believe that except the commitment of central bank about price stability, this institution should consider some arrangements for financial stability in macro level of economic. However, financial stability leads to smoothly and uniformly performance in different parts of financial system such ...
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Economists believe that except the commitment of central bank about price stability, this institution should consider some arrangements for financial stability in macro level of economic. However, financial stability leads to smoothly and uniformly performance in different parts of financial system such as financial institutions, markets and system of financial pay off (Cihak, 2007; Oosterloo and De Haan, 2004).
Moreover, the major parts of economic literatute have emphasized on central bank independence rather than price stability. Available studies discus that in addition to the price stability, the dependence of central bank leads to financial stability, so that regulatory and supervisory independence are necessary to achieve and maintain stability in financial sector of economic (Klomp and De Haan, 2009; Meade and Crowe, 2007; Cukierman, 2008).
This study tries to evaluate the relation between the dependence of central bank and some indices of financial stability using a dynamic panel data model during 1980-2012 in selected emerging market countries (namely are Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Morocco, Peru, Philippine, Russia, South Africa, Thailand, Turkey and Iran). In the paper, different types of financial instability indices have been used which have been divided in three categories. The first category is as banking system indices (including change in ratio of bank liabilities to GDP, change in ratio of bank liquid reserves to bank assets, change in ratio of bank capital to assets, change in domestic credit provided by banking sector (% of GDP) and change in domestic credit to private sector (% of GDP)), the second is as risk and return indices (including change in real interest rate, change in interest rate spread and change in risk premium on lending) and the third is monetary authorities indices (including change of money and quasi money (M2) to GDP and change in net foreign assets to GDP).
The macroeconiomic control variables are the inflation rate, the economic growth rate, the change in exchange rate and the shocks of term on trade. Moreover gross domestic product per capita to mesure the differences in development level of countries, the budget deficit as an influent variable on central bank independence, the financial liberalization since of its role on risk of financial instutions and the insurance of deposits have been includeed to model. Also to consider the effect of globalization on financial instability, this variable has been added to model which may have positive or negative sign dependent on quality of golobalization phenomenon. Finally the net financial flows as a represenetive variable for international capital flows phenomena (including bonanza, sudden stop and capital flight) has been added to model which can consider the vulnerability of financial sytem to this outcomes.
The estimated results show that the dependence variable of central bank including political, economic and overall dependence variables, lead to decrease the financial instability in selected emerging market countries. Moreover, for other control variables, the theoretical expectations have been confirmed where the relationship between economic growth and financial instability is negative and the movements in term of trade, exchang rate and inflation lead to financial instability. Also the coefficient of budeget deficit shows that there is a direct link between rasie in budget deficit and financial instability via its effects on regularity of central bank. According to results, the insurance of deposit is a way which policy makers can control financial istability. Finally the effects of globalization on financial istability is positive which the phenomenon can arise some difficulties for emertging market economies.
As a policy implication for Iranian economy based on estimated results of model: i) the independence of central bank is critical for Iranian economy to stabilize the dynamic financial system, ii) the regular and sytematinc fiscal policies are necessitate for financial stability in Iranian econmy, iii) introducing new financial instruments and derivates such as deposit insurance are vital for financial stability in Islamic Banking and finally, iiii) as a buffering element for unfavorable effects of globalization on financial instability, the independence of central bank is determinant too.
پژوهشی
mahdi ghaemiasl; Mahmod Hossin Mahdvi Adeli; shhab matin; sayed mahdi mosavi barrodi
Abstract
Iran has more than a century of history in exploration and production; the first successful exploration well was Masjid Suleiman-1 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 ...
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Iran has more than a century of history in exploration and production; the first successful exploration well was Masjid Suleiman-1 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 its government, rank fifth largest in the world at approximately 150 billion barrels as of 2014, although it ranks third if Canadian reserves of unconventional oil are excluded. This is roughly 10% of the world's total proven petroleum reserves.
Oil sector in most of oil exporting countries (such as Iran) is a state-run sector and oil revenues belong to government. Iran is an energy superpower and the Petroleum industry in Iran plays an important part in it. 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. At 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.
The main hypothesis of this study is that the government's dependence on oil revenues has been caused policy passivity in Iran's economy. Fiscal policy and monetary policy are the two tools used by the state to achieve its macroeconomic objectives. While for many countries the main objective of fiscal policy is to increase the aggregate output of the economy, the main objective of the monetary policies is to control the interest and inflation rates. Traditionally, both the policy instruments were under the control of the national governments. Thus traditional analyses were made with respect to the two policy instruments to obtain the optimum policy mix of the two to achieve macroeconomic goals, lest the two policy tools be aimed at mutually inconsistent targets. In case of an active fiscal policy and a passive monetary policy, when the economy faces an expansionary fiscal shock that raises the price level, money growth passively increases as well because the monetary authority is forced to accommodate these shocks. But in case both the authorities are active, then the expansionary pressures created by the fiscal authority are contained to some extent by the monetary policies.
In other word the central bank's monetary policy and fiscal policy of the government have a heavy reliance on oil revenues and budgeting and monetary changes, instead of being active and effective, have an affective and passive nature and are subject to oil shocks.
In this study in order to investigate this hypothesis, seasonal data of 1369:1 to 1389:4 of oil revenues, government expenditures (as a representative of fiscal policy), monetary base (as a representative of monetary policy), GDP, exchange rate and GDP deflator (as a representative of price index) in a Factor-Augmented Bayesian Vector Autoregressive model have been used. If a small number of estimated factors effectively summarize large amounts of information about the economy, then a natural solution to the degrees-of-freedom problem in VAR analyses is to augment standard VARs with estimated factors. In this paper we consider the estimation and properties of factor-augmented vector autoregressive models (FAVARs).
Results of impulse response function and variance decomposition clearly confirm the passive monetary and fiscal policy in the Iranian economy. In other words, among the variables of model, the most affected variables respectively are the monetary base and government expenditures. According to the authors, there are two basic ways to deal with policy passivity, which are sterilization and stabilization of oil revenues through the correct management of stabilization funds and diversification of exports. Sterilization is, not to bring all the revenues into the country all at once, and to save some of the revenues abroad in special funds and bring them in slowly. In developing countries, this can be politically difficult as there is often pressure to spend the boom revenues immediately to alleviate poverty, but this ignores broader macroeconomic implications. Sterilisation will reduce the spending effect, alleviating some of the effects of inflation. Another benefit of letting the revenues into the country slowly is that it can give a country a stable revenue stream, giving more certainty to revenues from year to year. Also, by saving the boom revenues, a country is saving some of the revenues for future generations. In addition Oil stabilization funds are usually designed to address the problems created by the volatility and unpredictability of oil revenues, the need to save part of the oil revenues for future generations or both.
پژوهشی
Sohrab Delangizan; Kiomars Sohaili; Minoo Mohammadi Tirandazeh
Abstract
Abstract:
Introduction
Over the past years, Iranian foreign exchange system encountered with many changes. This matter has increased the possibility of deviation of the real exchange rate from its equilibrium path. So, realizing the long run equilibrium path deviations and their impact on macroeconomic ...
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Abstract:
Introduction
Over the past years, Iranian foreign exchange system encountered with many changes. This matter has increased the possibility of deviation of the real exchange rate from its equilibrium path. So, realizing the long run equilibrium path deviations and their impact on macroeconomic variables can provide economic policymakers with suitable solutions. In specialists discussions, the correct exchange rate that meets the needs of all sectors of economy, from producers to the consumers in the best conditions, is among the most important and challenging issues.
Theoretical frame work
According to the extent of government and central bank intervention there are several exchange rate systems are: 1) fixed exchange rate regime, 2) managed floating exchange rate regime and 3) floating exchange regime. According to Nurks, deviation of exchange rate from long-term equilibrium path leads to internal and external balance simultaneously. The Real exchange rate balance can be determined with respect to three perspectives: Purchasing Power Parity method, The Elasticities Approach, and General-Functional Balance method. The nominal exchange rate can be determined according to: 1) PPP model, 2) Fundamental Equilibrium Exchange rate model, 3) Behavioral Equilibrium Exchange rate model, 4) Permanent Equilibrium Exchange rate model, 5) Natural Rate of Exchange .(Siregar& Rahan,2006)
Methodology
This Study attempts to estimate the deviation of nominal exchange rate of Iranian Rial against U.S. dollar from its long-run equilibrium level, using the model of Coudert and Couharde (2007), based on FEER, applying the method of Johansson cointegration (1999).
Results & Discussion
None of the variables is stationary in level (TRGOVER/GDP), CPIIRWHOLS, and CPIIR . We apply the Johansen- Juselius test (1999), for testing the existence of cointegration relationship between time series. Vector Error Correction Model (VECM) related to this model is as follow:
〖∆Y〗_t=β_1 〖∆Y〗_(t-1)+β_2 〖∆Y〗_(t-2)+⋯+β_(ρ-1) 〖∆Y〗_(t-ρ-1)+∏▒Y_(t-ρ) +φD_t+Uu_t
After estimation of import and export function and the their effect on exchange rates deviation, the deviations in official exchange rate according to trade balance in public and private sectors is:
me (=[(tb) ̌-tbgovertarget-tbprovtarget])/(φ+(a/0.698273))
a=φ〖*τ〗_g+ϑ*ε*τ_ρ-ϑ*έ-ϑ
Conclusion & Suggestion
The result shows that the official exchange rate of the Rial against U.S. dollar has been over-valued by about 64.75 percent. Therefore the Iranian rial should be allowed to depreciate by this amount in order to achieve the internal and external equilibrum. The important point that must be considered by policymakers is that iranan country is the importer of many raw and intermediary goods, and with increasing exchange rate, the costs of production of final goods will increase. Therefore this condition leads to inflation, so that by increasing exchange rate, competition capacity of final producs in Iran decreases in comparing with the production of the same goods in other countries.A recommendation for solving this problem is that for importing raw and intermediary goods, subsides should be paid to the producers, so that the competition capacity of domestic producers increase against foreign producers.
Keywords: Exchange Rate Deviation, the Fundamental Equilibrium Exchange Rate, Internal Balance, External Balance, Trade Balance.
JEL: F32, F31
پژوهشی
Mohammad Rezaei; Alireza Bastani
Abstract
Abstract
The consumer price index (CPI) measures changes in the price level of a market basket of consumer goods and services purchased by households. Consumer price index (CPI) is used for determining whether general prices are higher, lower or stable over time, calculating annual rate of inflation, ...
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Abstract
The consumer price index (CPI) measures changes in the price level of a market basket of consumer goods and services purchased by households. Consumer price index (CPI) is used for determining whether general prices are higher, lower or stable over time, calculating annual rate of inflation, and converting nominal values to real. A Producer Price Index (PPI) measures the average changes in prices received by domestic producers for their output. It is one of several price indices. Its importance is being undermined by the steady decline in manufactured goods as a share of spending.
What is the causal relationship between PPI and CPI? Do producer prices cause consumer prices or consumer prices cause producer prices? There are two basic approaches about PPI and CPI causality relationship, namely supply side and demand side in literature (Akcay, 2011).
According to supply side approach, PPI and CPI are connected by production chain. Advocates of supply side approach claimed that crude materials serve as inputs to the production of intermediate goods, which in turn serve as inputs to the production of final goods. Changes in prices of crude materials should pass through to prices of intermediate and final goods and ultimately to consumer prices (Clark, 1995, p.26). Therefore, changes in PPI lead or cause CPI. According to demand side approach ‘demand for final goods and services determines the demand for inputs between competing uses’. Thus, ‘the cost of production reflects the opportunity cost of resources and intermediate goods, which in turn reflects demand for the final goods and services’ (Caporale, Katsimi and Pittis, 2002, p.705). Consequently, consumer prices can affect producer prices (Akcay, 2011).
The causality between PPI and CPI remains a controversial issue in empirical findings. There are three different empirical evidences about PPI and CPI nexus, namely one way, two-way and no causality in literature (Akcay, 2011).
There are many studies examining the directions of causality between Producer Price Index and Consumer Price Index in many countries over periods of time. Caporale et al. (2002) examine the causal relationship between wholesale and consumer prices for G7 countries. Their results indicate that WPI Granger-cause CPI. Akdi et al. (2006) investigate the relationship between the consumer price index (CPI) and the wholesale price index (PPI) using the Turkish data. Their finding shows cointegration between the series and both variables Granger-cause each other. Ghazali, Yee and Muhammed (2008), using monthly data from Malaysia between January 1986 and April 2007. They found a unidirectional causality from the PPI to the CPI. Gang et al. (2008), studying the relationship between the PPI and the CPI. They found a long-term connection between them. Their finding showed a bi-directional causality.
Sidaoui et al. (2010) found there is long-term cointegration between both indexes (PPI and CPI) and causality goes from the PPI to the CPI. Shahbaz et al. (2009) investigated the relationship between PPI and CPI using monthly data for Pakistan. Their results have verified the existence of long run relationship between producer and consumer prices. They also found that there is bidirectional causality but it is stronger from producer to consumer prices.
Akcay (2011) conducted a study for five selected European countries, using seasonally-adjusted monthly data between August 1995 and December 2007. He used the causality test by Toda and Yamamoto (1995). The results indicate that there is a unidirectional causality between producer price index and consumer price index, running from producer price index to consumer price index in Finland and France and bidirectional causality between two indices in Germany. In the case of the Netherlands and Sweden, no significant causality is detected. Muhammad et al. (2012) analyze the Granger causality in the frequency domain between the CPI and the WPI in Pakistan, using monthly data between 1961 and 2010. They found the causality between the CPI and the WPI varies, depending on the frequency domain. They also discovered the CPI Granger-causes the WPI in low and medium frequencies, as well as in high frequencies, which reflects long, medium and short-term cycles.
The purpose of this study is to investigate causality between PPI and CPI for Iran. So, the methodology proposed by Granger (1969) and Sims (1972) is used to analyze if the PPI causes CPI. Also, we used time-series Vector Error Correction Model (VECM) approach of stationarity test, cointegration test, stability test and Granger causality test. This study uses monthly PPI and CPI data over the period March 1999 to March 2011, for Iran. We find there is a long-term cointegration between both indexes and causality goes from the PPI to the CPI.
The result suggest that in Iran economy, demand-side factors have played a more important role than supply-side factors, although the two sides both have influences on domestic inflation trend which is measured by CPI.
پژوهشی
mahmoud lari; Mahdi Salehi; Alireza Shafiebeyk Mohammadi
Abstract
Abstract
Purpose – Economic survival in current interntational and even domestic markets is heavily dependent on competition with fierce competitiors. Consistent with this view, business enteties can not survive as a going concern unless they consider profitability and wealth creation as key and premier ...
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Abstract
Purpose – Economic survival in current interntational and even domestic markets is heavily dependent on competition with fierce competitiors. Consistent with this view, business enteties can not survive as a going concern unless they consider profitability and wealth creation as key and premier organizational factors and accordingly hold themselves accountable for meeting their clients’ demands and expectations. In this regard, the establishment of a system comprised of operational dos and don’ts within different organizational functions, particularly financial department, should do the trick. The aforementioned operational requirements are currently being imposed by large firms for supply chain firms. Therefore, the present paper aims to investigate the effect of financial requirements of supply chain firms imposed by Iran Khodro Industerial Group (also known as IKCO) on the profitability of automotive component suppliers.
Design/Methodology/approach – The authors examine their hypotheses by performing KS test and using t statistic on a sample of 24 observations druing 2008-2009. The time frame is chosen based on the fact that the IKCO implemented its financial requirements from the 2008 onwards. Indeed, the paper utilizes the profitability information of automotive component suppliers both pre and post implementation periods.
Findings – After analyzing the IKCO financial requirements (e.g. financial unit obligation to participate in investement feasibility studies, financial unit obligation to design and implement quality costing system and logistic costing system; management and employees obligation to propose alternative approaches to meet target costing objectives, financial unit obligation to participate in cost management activities in line with target costing, financial unit obligataion to prepare and monitor financial ratio reports and also take necessary follow-up actions; the automotive component manufacturers obligation to establish and control cost budgeting system and also prepare cost deviation reports on a periodic basis, the automotive component manufacturers obligation to establish automated integral financial system calculating cost of goods sold (CGS) and prepare necessary reports in order to enhance the CGS), our findings indicate that the IKCO financial requirements not only meet the qualitative needs of the IKCO, but also increase the profitability of automotive component manufacturers.
Research limitations/implications – The present study is subject to following limitations. First, the obstinate refusal of automotive component manufacturers to provide detailed information about projects on the improvement of operational and supporting processes. Second, the unwillingness of automotive component manufactures to contribute to studies concerning the financial affairs of business entities.
Originality/value – The authors’ research contributes to current accounting literature by providing empirical evidence regarding a positive relationship between financial requirements and the profitability of supply chain firms.
