List of Articles مدل (EGARCH)

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  1 - The Effect of Uncertainty in the Current and Constructional Governments Expenses on the Investment of Private Section in Iran Economy
  karim emami leila Ahmadi
  This study is aimed to analyze the effect of uncertainty in the current and constructional Governments Expenses on the investment of private sector in Iran during 1959-2006. Other descriptive variables such as Gross National Product (GNP) and inflation rate are consider More

  This study is aimed to analyze the effect of uncertainty in the current and constructional Governments Expenses on the investment of private sector in Iran during 1959-2006. Other descriptive variables such as Gross National Product (GNP) and inflation rate are considered. For calculating the uncertainty, an Exponential Generalized Auto Regressive Conditional Heteroscedaticity Model is used (EGARCH (0, 1)). Finally, by the determination of optimal lag and long-term relation, error correction model of VEC was estimated.The results explain that uncertainty of the current and constructional expenses of the government has negative effect on the investment of the private sector in long term. According to this, in short term, uncertainty of the current governmental expenses is not statistically significant on the investment of the private sector, but uncertainty of the governmental constructional expenses has a positive effect on it. The effect of Inflation rate and GNP variables, in short and long term, is negative and positive on the investment of the private sector. Manuscript profile