The effect of stock price index on foreign exchange rate markets in the selected countries (D-8) : use of Quantile Regression
احمدعلی
رضایی
دانشگاه اصفهان
author
احسان
نوشادی
دانشگاه اصفهان
author
لیلا
ترکی
دانشگاه اصفهان
author
text
article
2016
per
This paper estimate the impact of stock price index on foreign exchange rate, for five members of D8 countried including Iran, Indonesia, Malaysia, Pakistan and Turkey. On the basis of balanced portfolios, demand for foreign investment means investing in the stock market stabilization and subsequent increase in demand for currency, these two variables should have a negative relationship. However, the evidence obtained from the traditional method of ordinary least squares estimation is not optimal, Quantile regression model to show the impact on the stock market, the foreign exchange market under different market conditions were considered.the results show an interesting relationship between the two markets, which indicates a negative relationship between stock markets and foreign exchange, and the exchange rate is too high or low, this relationship is more pronounced.
مجله علمی پژوهشی اقتصاد مقداری
دانشگاه شهید چمران اهواز
2008-5850
13
v.
2
no.
2016
1
19
http://jqe.scu.ac.ir/article_12367_4ec1261d0373a74258947e456a4f87ce.pdf
dx.doi.org/10.22055/jqe.2016.12367
The Innovative Opportunities and Technical Arbitrage Opportunities Index Using Data Envelopment Analysis
shahin
javadi
دانشجوی دکتری کارآفرینی /دانشگاه تهران- عضو هیات علمی/مرکز پژوهشهای مجلس
author
Mahmoud
Motevaseli
عضو هیات علمی/ دانشگاه تهران
author
Jahangir
Yadollahi Farsi
عضو هیات علمی/دانشگاه تهران
author
Hamed
Shakouri Ganjavi
عضو هیات علمی/دانشگاه تهران
author
text
article
2016
per
Despite the impressive development of theories in entrepreneurship, without the development of measurement theories, further advancement of the field is problematic. In particular, the notion of opportunities, central to entrepreneurship research, requires adequate macro-level quantitative measurements. In this paper we demonstrate how to employ data envelopment analysis (DEA) to calculate not only innovative opportunities, but also technological arbitrage opportunities. We provide an illustrative example based on a sample of 96 countries during the period of 1995–2012. We include estimates of innovative and technical arbitrage opportunities for possible use by other scholars, demonstrate how both innovative and technical arbitrage opportunities correlate with the rates of New Business Density. Then, the countries of the world in terms of indicators of innovative and technical arbitrage opportunities classified into four groups. Finally, comparison between oil-exporting and non-oil exporting countries shows that relatively oil-exporting countries (including Iran) are less among the countries that have high innovation opportunities utilization index, and are with a large proportion among the countries that do not exploit technical arbitrage opportunities.
مجله علمی پژوهشی اقتصاد مقداری
دانشگاه شهید چمران اهواز
2008-5850
13
v.
2
no.
2016
21
40
http://jqe.scu.ac.ir/article_12368_a23d4754fa5abcef673316c16002f5a8.pdf
dx.doi.org/10.22055/jqe.2016.12368
Energy price reform and optimal monetary policy: DSGE approach
حسن
فرازمند
دانشگاه چمران
author
سید عزیز
آرمن
دانشگاه چمران
author
Syed Morteza
Afgheh
دانشگاه شهید چمران اهواز
author
mojtaba
ghorbannezhad
shahid chamran university of ahvaz
author
text
article
2016
per
The aim of this study is to design a dynamic stochastic general equilibrium model to consider the effects of energy price reform on macroeconomic and optimal reaction of central bank in Iran. In this regard, we design a dynamic stochastic general equilibrium model for economy of Iran, so that energy is included in the household bundle as a separate commodity and in the production function as an input. To investigate the role of monetary Authority, first, we used a reaction function for the central bank, so that indicating the discretionary behavior of central bank. Using calibration and solving the model, the effects of energy price shock on macroeconomic variables were investigated. To evaluate the optimal response of the central bank to the energy price shock, optimal monetary rule is obtained using stochastic optimal control. Finally, by substituting the optimal rule rather than the central bank reaction function, the impact of energy price shock is investigated. The results indicate that the central bank can use the optimal monetary policy rule have better responses to energy price shock and reduce the effect of its stagflation.
مجله علمی پژوهشی اقتصاد مقداری
دانشگاه شهید چمران اهواز
2008-5850
13
v.
2
no.
2016
41
69
http://jqe.scu.ac.ir/article_12369_ed128690b93c78035e433609a15bc0bb.pdf
dx.doi.org/10.22055/jqe.2016.12369
Assessing the effectiveness of monetary policy on the economy: FAVAR approach
hossin
marzban
fuaclty member
author
zahra
dehghan
fauclty member
author
REZA
AKBARIAN
عضو هیات علمی
author
mehdi
farahani
expert
author
text
article
2016
per
The purpose of this study, is evaluating the effectiveness of monetary policy on the economy. Accordingly, in this study using the Factor Augmented Vector Auto Regressive model and maximization expectations algorithm and 120 economic variables with 1368 to 1392 has been studied to assess the effectiveness of monetary policy in Iran. Considering that interest rates in the banking operations cannot be regarded control tool for the monetary authorities, in this study, using an alternative interest rate. The results indicate that, interest rate shocks have a delayed effect on the money market. So that, in this case one standard deviation hit to interest rates shock, money market has reactions after three months delays to show shock which mainly due to stickiness of contracts related to investment deposits respectively. This Issue, In the labor market and product market reaction is similar.On the other hand, according to the factor agmented vector autoregressive model based on the estimated model with different factor and lags operator, to be appear, according to Bernanke et al (2005) is a trade - off between the number of factors and lags in Iran's economy, so that by increasing the number of operating of factors reduced lags.
مجله علمی پژوهشی اقتصاد مقداری
دانشگاه شهید چمران اهواز
2008-5850
13
v.
2
no.
2016
71
92
http://jqe.scu.ac.ir/article_12370_fefa7b64922e5253c3849d40c25df7e6.pdf
dx.doi.org/10.22055/jqe.2016.12370
Structural Model of Real Exchange Rate with Emphasis on the Terms of Trade Effect: (Separation Non-Oil and Oil Producing Countries)
Seyed Hamed
Fahimifard
PhD Economics Student of Ferdowsi University
author
Mohammadali
Falahi
Professor of Economic Department of Ferdowsi University
author
Mostafa
Karimzadeh
Professor of Economic Department of Ferdowsi University
author
Mohammad Taher
Ahmadi Shadmehri
Professor of Economic Department of Ferdowsi University
author
text
article
2016
per
Despite the weakness of structural models in determination exchange rate movements, observations show it responds to some fundamental variables. Due to growing foreign sector in most economies, recent studies pay special attention to terms of trade (TOT) effect on exchange rate. This study deals structural model of real exchange rate (RER) between the 70 currencies during the period of 1980-2013 in panel data model. Empirical micro-founded model are based on general equilibrium method. Static and dynamic models have confirmed TOT impact on RER, one percent increases in TOT increase RER by 0.167 percent. Engle-Granger and Sims tests show causality is from TOT to RER. Other variables such as trade balance, real interest rate and technological progress influenced RER. Estimation of Oil and non-oil countries models suggest that exchange rate, against non-oil countries, has a significant impact on RER in oil producing countries. So controlling the supply foreign exchange reserves in oil producing countries, despite lacking the same resources in the non-oil countries, makes it reasonable.
مجله علمی پژوهشی اقتصاد مقداری
دانشگاه شهید چمران اهواز
2008-5850
13
v.
2
no.
2016
93
119
http://jqe.scu.ac.ir/article_12371_852a4d402753a55c8ce6a03a56fcfd19.pdf
dx.doi.org/10.22055/jqe.2016.12371
Measuring the Political Preference function
(Case Study for Iran's Automobile Market
محمد نبی
شهیکی تاش
زاهدان خیابان دانشگاه _دانشگاه سیستان و بلوچستان _دانشکده اقتصاد (گروه اقتصاد )کد پستی : 98165
9128166922
author
عماد
کاظم زاده
دانشگاه سیستان و بلوچستان
author
اذر
شیخ زین الدین
دکترای اقتصاد دانشگاه شیراز
author
text
article
2016
per
The Political Preference function shows how economic decisions are affected by non-market paradigms and political bargaining process. Given the corresponding function, the role of beneficiary groups in determination of endogenous policies can be identified. This study aims to extract the political preference function for the Iran's Automobile market during the period 1995-2011.We first estimate the weight of producer, consumer and government as the basic players in the market and then measure the welfare surplus of the beneficiary groups relative to the equilibrium price. The findings indicate that the producer and government have had the largest and lowest weight in the market respectively. So that, accordingly the total welfare surplus for producers, consumers and government is 4275 billion rials, -69245 billion rials and 8992 billion rials respectively. Additionally, the value for the political function is obtained -37085.198 billion rials. That is, the political economy equilibrium of the three players leads to negative welfare (social loss).
مجله علمی پژوهشی اقتصاد مقداری
دانشگاه شهید چمران اهواز
2008-5850
13
v.
2
no.
2016
121
144
http://jqe.scu.ac.ir/article_12372_54dbaeae9b4ce195460406f9cc15e5f7.pdf
dx.doi.org/10.22055/jqe.2016.12372