Economic  Modeling: 4 (35)

Open Access Article

1 - Money Growth Uncertainty and Currency Substitution in IRAN: A Multivariate GARCH Approach
Sima Eskandari Sabzi Asad Allah Farzinvash Kambiz Hojabr Kiani Hamid Shahrestani

The aim of this paper is surveying the effects of money growth uncertainty on currency substitution. For this, bivariate GARCH model and VAR-BEKK method was used on the base of data for 1979 to 2014. The results show that money growth uncertainty affects currency substi More

The aim of this paper is surveying the effects of money growth uncertainty on currency substitution. For this, bivariate GARCH model and VAR-BEKK method was used on the base of data for 1979 to 2014. The results show that money growth uncertainty affects currency substitution positively. Also, currency substitution, affected by its own past shock and the currency growth. On the other hand, there have been spillover of fluctuations from the currency growth to currency substitution and vice versa. Due to the existence of currency growth effective relationship on the currency substitution in Iran, it is necessary for controlling currency growth and preventing from currency irregular growth by policy makers.    Manuscript profile

Open Access Article

2 - Investigating Unemployment Invariability Hypothesis in Iran's Provinces
Hasan Daliri

This paper pursues the relation of economic participation effects on unemployment   rate in Iran՚ provinces and unemployment invariability hypothesis test. For this, the data 2005-Q2- 2015-Q4 and single-equation different methods, equation system and panel dat More

This paper pursues the relation of economic participation effects on unemployment   rate in Iran՚ provinces and unemployment invariability hypothesis test. For this, the data 2005-Q2- 2015-Q4 and single-equation different methods, equation system and panel data was used.  The results show that in most provinces and also, in the country’ average, the mentioned hypothesis is confirmed due to short run shocks in economic participation; so, in order to decreasing long run unemployment rate, it needs to some changes in macroeconomic policy making and in labor demand too.  It should be noted that labor supply changes have only short run effects in unemployment control. Manuscript profile

Open Access Article

3 - Non-Interest Income, Profitability and Risk in Banking Industry
Amir Ali Farhang Abolghasem Esna Ashari Asghar Abolhasani Mohammad Reza Ranjbar Fallah Jahangir Biabani

The aim of this study is evaluating the effect of non-interest income on the risk and profitability of the banking industry by using systematic GMM during 1384 to 1393. The findings show that the increase of non-interest income results in the increase of profitability a More

The aim of this study is evaluating the effect of non-interest income on the risk and profitability of the banking industry by using systematic GMM during 1384 to 1393. The findings show that the increase of non-interest income results in the increase of profitability and the decrease of risk in Iran's banking system and there is a significant positive relationship between the concentration index and bank risk in such a way that the increase of concentration index results in increase of banks' risks. On the base of the research results and current problems of Iran's banking system, paying attention to banks' money making ability through non-interest income can be considered as a major solution. Manuscript profile

Open Access Article

4 - Modeling Equity Premium Puzzle by Using Fuzzy Logic: A Number of Evidences from Iran
Alireza Erfani Solmaz Safari

This paper is intended to study the equity premium puzzle in basis of Consumption Capital Asset Pricing model in the period 1371-1393 in Iran seasonally. The results confirm the puzzle in the period. Consequently the paper introduces and proposes an experimental and the More

This paper is intended to study the equity premium puzzle in basis of Consumption Capital Asset Pricing model in the period 1371-1393 in Iran seasonally. The results confirm the puzzle in the period. Consequently the paper introduces and proposes an experimental and theoretical model to explain equity premium through Consumption Capital Asset Pricing model in habits formation model and combination of financial and economy regimes by Fuzzy Logic. Results derived from proposed model showed that equity premium and risk aversion have a counter- cyclical relation with economic regimes; so that in recession regime and reducing market,  consumption news increase relative risk aversion and equity premium. In this regime, the individual prefers to adventure only in lieu of high level of compensation and he or she also intends to allocate the funds into more certain fields such as bank deposits. While consumption news in the period of boom in economy and increasing market, decrease risk aversion and equity premium.  Manuscript profile

Open Access Article

5 - The Effective Factors on Survival Duration of Economic Expansion in Selected Countries of Islamic Cooperation Organization (Survival Analysis Approach)
Majid Feshari

The aim of this paper is to investigate the effect of inflation rate, investment, oil price and oil income and the ratio of devoted credits to private sector divided by survival duration of economic expansion in twenty five OIC countries during the period of 1994-2014. More

The aim of this paper is to investigate the effect of inflation rate, investment, oil price and oil income and the ratio of devoted credits to private sector divided by survival duration of economic expansion in twenty five OIC countries during the period of 1994-2014. For achieving this purpose, the research experiential model have been estimated by using cyclical models method by assuming Weibul distribution. The results from the estimated model indicate to positive affecting inflation, oil price, oil income, gross domestic fixed capital formation and the ratio of devoted credits to private sector divided by survival duration of economic expansion in the studding countries. So it can be suggested that the economic policy makers in the Islamic Cooperation Organization countries by increasing investment and by developing financial markets deal with increase of domestic production capacity and probability of more survival to economic expansion.        Manuscript profile

Open Access Article

6 - Economic Modeling of Agricultural Water Resource Management in Tehran Province with Emphasis on the Role of Water Market
Abolfazl Mahmoudi Abozar Parhizkari

In present study the formation effects of local and regional water markets in Tehran province were investigated and the potential of water transfer under water scarcity conditions in this province were analyzed. For this purpose, an economic modeling including positive More

In present study the formation effects of local and regional water markets in Tehran province were investigated and the potential of water transfer under water scarcity conditions in this province were analyzed. For this purpose, an economic modeling including positive mathematical programming (PMP) model and state wide agricultural production (SWAP) functions were used. The results showed that with establishment of the local and regional water markets in Tehran province; in addition to creation the balance between supply and demand of irrigation water and equilibrate the water trading between the studied regions, total irrigated lands 7/41% and total farmers’ gross profit 9/27% are increased. Finally, due to the supportive and constructive role of local and regional water markets, providing the required grounds to establishment and optimal use of this type of mechanism in Tehran province and other regions of the country where have shared water resources are suggested. Manuscript profile

Open Access Article

7 - Real Business Cycles Model with Habits Formation: A Resolution of the Equity Premium Puzzle
Seyed Fakhreddin Fakhrhoseini

In economic literature, habits formation has been succeed in reproducing some of the historical financial information and it can simplify the difficulties pertaining to simulating financial markets variables and business cycles. The aim in this paper is investigating pe More

In economic literature, habits formation has been succeed in reproducing some of the historical financial information and it can simplify the difficulties pertaining to simulating financial markets variables and business cycles. The aim in this paper is investigating performance of habits formation while inseparability between consumption and leisure.  The data are related to the constant prices in 1383 and annually from 1966 to 2014. So, the variables were been detrended   after taking logarithm of the variables by using Hodrick- Prescott filter. The final model equations have been specified around the linearized stabled situation through the Ohlig (1999) approach for linearized stochastic equations, in the form of a space-state model in Matlab programming. The results show that adding habits formation parameter can increase the Sharpe ratio or no risky asset fluctuations and inseparability between consumption and leisure can help explain the equity premium puzzle.  Manuscript profile

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