vector auto regressive

Open Access Article

1 - Survey of Effect of Financial Repression on Inflation at Iran Economy
اعظم احمدیان حسین امیری

One of the most important goals of economic policy maker is accessing to lowinflation. Accessing to this goal, promote the life standards. For this purpose variedpolicy is decided. One of these in Iran is financial repression. Financial repressioninclusive decreasing at More

One of the most important goals of economic policy maker is accessing to lowinflation. Accessing to this goal, promote the life standards. For this purpose variedpolicy is decided. One of these in Iran is financial repression. Financial repressioninclusive decreasing at interest rate, increasing at liquidity rate and legal reserve rate.In this essay we analyses effect of financial repression on inflation. To carry outthis analysis, we employed vector auto regressive method from 1352 t0 1387, timeseries data of Iran. The result shows increasing at legal reserve rate, increasinginflation. Manuscript profile

Open Access Article

2 - Variables affecting the volatility of Tehran Stock Exchange Price Index (TEPIX)
عزت اله عباسیان سامان فلاحی حبیب سهیلی احمدی

The uncertainty and volatility of the stock market is peculiar features of capital markets. This paper examines the volatility of Tehran Stock Exchange Price Index (TEPIX) due to the degree of uncertainty in the relevant macroeconomic variables. To analyze the relations More

The uncertainty and volatility of the stock market is peculiar features of capital markets. This paper examines the volatility of Tehran Stock Exchange Price Index (TEPIX) due to the degree of uncertainty in the relevant macroeconomic variables. To analyze the relationship, we have used Vector Auto Regressive (VAR) and Conditional Variance Models (CVM) with quarterly data for the period of 1373-1388. Our findings show that a significant share of unpredictability in the TEPIX is due to its own endogenous variables. Moreover, the results indicate that price fluctuations in the parallel markets including housing and gold market also play an important role in the degree of the volatility. Manuscript profile

Open Access Article

3 - The Effect of Exchange Rate and its Volatility on Stock Price Index in Iran
Azadeh Mehrabian Ilnaz Chegeni

One of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates an More

One of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates and its volatility on stock price index can be different. This article uses monthly mean of Tehran price index (TEPIX) and real exchange rate between 1380/M1-1391/M3 with purpose of studying the effect of exchange rate and its volatility on TEPIX. By Using Eviews6 software, at first, volatility of exchange rate is calculated by GARCH method and then the effect of exchange rate and its volatility on TEPIX is estimated by VAR model. The results indicate that in all periods the effect of exchange rate is more than its volatility. Based on the results of Johansen test, exchange rate and its volatility has a significant long-run equilibrium relationship with TEPIX. Exchange rate has negative effect on TEPIX and its volatility has a positive one.   Manuscript profile

Open Access Article

4 - The effect of oil price increase; on employment in the industrial sector
نادر مهرگان محمود حقانی سالار عبدالهی حقی

Due to an abundance of energy and human resources; Iran has enjoyed an expansion of its industrial sector. Low energy prices, however has increased the dependency of these industries on cheap energy and increased the production of energy inefficient consumer goods. In t More

Due to an abundance of energy and human resources; Iran has enjoyed an expansion of its industrial sector. Low energy prices, however has increased the dependency of these industries on cheap energy and increased the production of energy inefficient consumer goods. In this article we examine the relationship between energy prices and industrial employment according to Auto Regressive Distributed Lag Method (ARDL) and Vector Auto Regressive model (VAR). We conclude that there is a meaningful relationship between employment and the overall price of energy, prices of oil products, electricity and natural gas. The results of Vector Auto Regressive (VAR) also confirm the hypothesis that energy price shocks have an impact on the level of industrial employment. Manuscript profile

Open Access Article

5 - Investigating the Reaction of Economic Complexity to Information and Communication Technology Shocks in Iran(Using the Vector auto Regressive Model)
Ashkan Rahimzadeh

Introduction With the characteristics of knowledge, information and communication technology creates spillover effects in production and causes economic complexity. This technology has advantages such as reducing costs, overcoming geographical boundaries, increasing th More

Introduction With the characteristics of knowledge, information and communication technology creates spillover effects in production and causes economic complexity. This technology has advantages such as reducing costs, overcoming geographical boundaries, increasing the flow of information, ensuring transactions due to quick access to information and increasing competitiveness. Method The statistical data used in this research is from the World Bank and the MIT University website during the years 2000-2020, and Eviews software was used to estimate the proposed model. In this research, the vector auto regressive model is used, and according to the Schwartz Bayesian criterion, the optimal interval is determined. To perform the cointegration test, Johansen's cointegration test is used. In the inference related to a vector auto regressive model, attention is paid to shock response functions and variance decomposition. A shock response separates the components of the endogenous variables into shocks with mutations to specific variables. We examine the impact of this shock over a 10-year plan. Results The time series data of this study are all stationary and based on the Schwartz-Bayesian criterion, the optimal interval is one. The results of the Johansen test indicate the existence of a long-term relationship between the research variables and the estimate shows the positive impact of Internet users and the import of ICT goods on economic complexity in the long term. The F statistic in the estimation of the research model based on vector auto regressive is significant and 87% of the economic complexity changes are explained by the model variables. The impact of the ICT product import shock on economic complexity is positive in all years and this impact is positive for Internet users in all years except the second to third year. Also, the effect of variance analysis of economic complexity shows that the import of ICT goods and Internet users has a positive role in explaining the changes of economic complexity and the share of import of the desired goods is higher. Discussion This research states that if the economy can transfer a large amount of knowledge and skills to Internet users in the form of large networks of people, and also the necessary platforms are provided through ICT products, which are important in this field, a diverse set of Knowledge goods are produced and a more complex economy is obtained. Manuscript profile

Open Access Article

6 - Measuring and Analyzing the Bullwhip Effect in a Two-Product and Two Echelon Supply Chain Using Control Theory Approach
Ahmad Sadeghi

Manuscript profile

Open Access Article

7 - Evaluating the effects of fiscal policy (changes in the Tax Income) on the employment in Iran
Mahdieh Rezagholizadeh

Due to the impact of Government’s fiscal policy on macroeconomic variables, awareness of short-run and long-run impacts of these policies need to be applied in order to anticipate their consequences and appropriate policies. We will investigate the effects of fisc More

Due to the impact of Government’s fiscal policy on macroeconomic variables, awareness of short-run and long-run impacts of these policies need to be applied in order to anticipate their consequences and appropriate policies. We will investigate the effects of fiscal policy (changes in the Tax Income) on the employment in Iran by using Vector Auto Regressive, Impulse Response Function and Variance Decomposition and also the short-run and long-run relationships between variables will be evaluated. For this purpose, the time series data for the years 1350 to 1391 were used to estimate the model. According to the long- run equations and coefficients that are significant, we can say that there is a long-run equilibrium relationship between increasing in taxes and employment and during the period of study, rising taxes had a negative impact on employment. Manuscript profile

Open Access Article

8 - Analyzing the Impact of Exchange Rate Unification on TOT (Terms of Trade) in IRAN
سید کمیل طیبی محسن نظری فارسانی احمد گوگردچیان زهرا زمانی

AbstractTerms of trade is one of the most important tools using for analyzing macroeconomic problems because, during time, it is a good criteria for assessing a country’s profit from international trade and its changes have direct effects on countries’ welfa More

AbstractTerms of trade is one of the most important tools using for analyzing macroeconomic problems because, during time, it is a good criteria for assessing a country’s profit from international trade and its changes have direct effects on countries’ welfare.Besides, unification of exchange rate is an important issue in economical policiesConsidering the impact of exchange rate changes on terms of trade as well as to the terms of the importance of exchange rate unification policy,the purpose of this study is to analyze the effect of exchange rate unification on the terms of trade in Iran during the years 1991-2015. For this purpose, the structural vector autoregression (SVAR) model is used.Results of structural vector auto regressive model for Iran’s economy during the period under reviewsuggest that exchange rate unification destroys the trade relationship in the short run but improves in the long run. If the rate of exchange rate unification is higher, it will have a greater effect on the trade relationship. Manuscript profile

List of Articles vector auto regressive

Sanad

Links

Related Centers

Technical Support

Official pages