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Energy-saving Effect of Technological Progress in Iranian Economic Sectors: A Growth Accounting Application 伊朗经济部门技术进步的节能效应:一个增长性核算应用
Q4 Economics, Econometrics and Finance Pub Date : 2020-12-01 DOI: 10.22059/IER.2020.78828
A. Faridzad, A. Salem, Saba Rahimi
E nergy as an input of production is one of the main production factors in Iranian economic growth. Unfortunately, this growth leads to the high energy intensity in economic sectors in which its management is essential for policymakers and planners in Iran. One of the main issues in energy management is the impact of technological progress on saving energy. Respectively, this study is to analyze the relation of energy intensity and technological progress by Cob-Douglas production function between 1979 and 2015 for the Iranian agriculture, industry, and service sector with using panel data analysis and growth accounting model. The results indicate that technological progress will reduce the growth rate of energy intensity in the industry sector by 6.1%, in the agriculture sector by 8.9%, and in the service sector by 7.2%. Also, unlike the agriculture and service sector, the impact of technological progress on energy saving in the industry sector explains only 64% of total variations. The rest of changing in the energy intensity of the industrial sector is about 36% due to a decline in labor employment during the study period.
能源作为一种生产投入是伊朗经济增长的主要生产要素之一。不幸的是,这种增长导致经济部门的高能源强度,而伊朗的政策制定者和规划者对这些部门的能源管理至关重要。能源管理中的一个主要问题是技术进步对节约能源的影响。本研究分别运用面板数据分析和增长会计模型,利用Cob-Douglas生产函数分析1979 - 2015年伊朗农业、工业和服务业的能源强度与技术进步的关系。结果表明,技术进步将使工业部门的能源强度增长率降低6.1%,农业部门降低8.9%,服务业降低7.2%。此外,与农业和服务业不同,工业部门的技术进步对节能的影响只能解释总变化的64%。由于研究期间劳动力就业的下降,工业部门能源强度的其余变化约为36%。
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引用次数: 0
The Effect of Key Macroeconomic Shock Variables on GDP in Iran: A Sign-Restricted Bayesian VAR Approach 关键宏观经济冲击变量对伊朗GDP的影响:符号限制贝叶斯VAR方法
Q4 Economics, Econometrics and Finance Pub Date : 2020-12-01 DOI: 10.22059/IER.2020.78839
Eisa Maboudian, M. Ehsani
This paper is to study the effect of key macroeconomic shock variables including exchange rate, broad money, stock price index, and supply shock effect on GDP growth rate in Iran by using a novel econometric method namely sign-restricted vector autoregressive (SRVAR). We use 5 variables in the model including GDP growth rate, broad money, exchange rate, stock price index, and inflation rate as well as quarterly data from 1370Q2 to 1395Q4 (1991Q3–2017Q1). We identify shocks by using Arias et al. (2014) algorithm. The empirical findings from impulse response functions indicate that negative supply shock declines the growth rate for about 5 periods. Positive exchange rate shock reduces the growth rate for about 4 periods and thereafter raises the growth rate. The monetary shock declines the growth rate after a short period. A positive stock market shock has a positive effect on the growth rate for about 3 periods, and thereafter decreases it. The forecast error variance decomposition (FEVD) indicates that the negative supply shock, monetary shock, and exchange rate shocks are the most important explainers of the GDP growth rate shock.
本文采用一种新的计量方法,即符号限制向量自回归(SRVAR),研究了汇率、广义货币、股价指数和供应冲击效应等关键宏观经济冲击变量对伊朗GDP增长率的影响。我们在模型中使用了5个变量,包括GDP增长率、广义货币、汇率、股价指数和通货膨胀率,以及1370Q2至1395Q4(1991Q3-2017Q1)的季度数据。我们使用Arias等人(2014)算法识别冲击。脉冲响应函数的实证结果表明,负供给冲击使经济增长率下降约5个时期。正汇率冲击在大约4个时期内降低了增长率,之后又提高了增长率。货币冲击在短期内降低了增长率。预测误差方差分解(FEVD)表明,负供给冲击、货币冲击和汇率冲击是GDP增长率冲击的最重要解释因素。
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引用次数: 0
Estimating Production Gap and NAIRU in Iran's Economy by Using State-Space Model 利用国家空间模型估算伊朗经济中的生产差距和NAIRU
Q4 Economics, Econometrics and Finance Pub Date : 2020-12-01 DOI: 10.22059/IER.2020.78831
Masoud Kiumarthi, M. Salimifar, H. Abrishami, M. Shadmehri
T he purpose of this paper is to estimate the output gap and NAIRU for Iran's economy, both of which are among the most important variables in determining the economic status. Since these variables are unobservable, to estimate them, one needs modern econometric techniques rather than conventional tools. For this reason, this paper uses the Kalman filter tool in the form of a state-space model. Since there are several different specifications for a state-space structure, seven different models are tested by using seasonal data from 1989 to 2014. Results show that only two specifications have suitable estimation results. The first one is a structural model consisting of output and unemployment rate decomposition, plus the relationship between the inflation rate and the output gap in the form of the Phillips curve, and the second is a system that only includes unemployment rate decomposition. The early model can show the periods of inflationary recession between 1992 and 1995, and a severe economic recession during the period of 2010–2013 due to economic sanctions imposed on Iran. The latter model can depict NAIRU gap fluctuations following the inflation fluctuations. In addition to the compatibility of these results with what is observed in reality, the parameters are also statistically significant.
本文的目的是估计伊朗经济的产出差距和NAIRU,这两个变量都是决定经济状况的最重要变量之一。由于这些变量是不可观测的,因此要估计它们,需要现代计量技术而不是传统工具。出于这个原因,本文使用卡尔曼滤波器工具的状态空间模型的形式。由于状态空间结构有几种不同的规范,因此使用1989年至2014年的季节性数据对七种不同的模型进行了测试。结果表明,只有两个规范具有合适的估计结果。第一个是由产出和失业率分解组成的结构模型,加上菲利普斯曲线形式的通货膨胀率和产出差距之间的关系,第二个是只包括失业率分解的系统。早期模型可以显示1992年至1995年期间的通货膨胀衰退期,以及2010年至2013年期间由于对伊朗实施经济制裁而出现的严重经济衰退期。后一个模型可以描述通货膨胀波动之后的NAIRU缺口波动。除了这些结果与现实中观察到的结果相一致之外,这些参数也具有统计学意义。
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引用次数: 0
Examining the Nexus between Inflation and Unemployment (NAIRU Estimation) in Iran 检视伊朗通货膨胀与失业之间的关系(NAIRU估计)
Q4 Economics, Econometrics and Finance Pub Date : 2020-12-01 DOI: 10.22059/IER.2020.78843
Nassim Nasseri Oskouie, Hossien Abbasinejad, M. Mehrara
T his paper aims to estimate Iran’s time-varying Non-Accelerating Inflation Rate of Unemployment (NAIRU) over the period 1986–2018. The NAIRU is estimated step by step starting with the constant NAIRU and then the time-varying NAIRU. The time-varying NAIRU is estimated by the Kalman filter and is compared to HP filter estimates. This model relies on the standard “triangle model” approach that includes various measures of supply and demand shocks in the specification of the Phillips curve. Results show that the NAIRU has been raised during the period, and according to the econometric results, there is a structural unemployment gap in the long-run, and the actual unemployment rate is approaching full employment[Z1] . In other words, there is not any significant gap between the actual unemployment rate and the estimated one (NAIRU). It shows that the high rate of unemployment is related to the structural elements and cannot be reduced by exerting monetary policies in long run. However, what these policies do in short term is reduce the unemployment rate temporarily and in long run is increasing inflation.    [Z1]Vague  conclusion
他的论文旨在估计1986年至2018年期间伊朗随时间变化的非加速通货膨胀失业率(NAIRU)。从常数NAIRU开始,然后是时变NAIRU,一步一步地估计NAIRU。通过卡尔曼滤波器估计时变NAIRU,并将其与HP滤波器估计进行比较。该模型依赖于标准的“三角模型”方法,该方法包括菲利普斯曲线规范中的各种供需冲击指标。结果表明,NAIRU在此期间有所提高,根据计量经济学结果,长期存在结构性失业缺口,实际失业率接近充分就业[Z1]。换句话说,实际失业率和估计失业率之间没有任何显著差距。研究表明,高失业率与结构性因素有关,从长远来看,货币政策不可能降低失业率。然而,这些政策在短期内所做的是暂时降低失业率,从长远来看是增加通货膨胀。[Z1]模糊结论
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引用次数: 1
The Role of Government Health and Education Expenditure on Economic Growth in Iran and OPEC Countries 伊朗和欧佩克国家政府卫生和教育支出对经济增长的作用
Q4 Economics, Econometrics and Finance Pub Date : 2020-12-01 DOI: 10.22059/IER.2020.78837
E. Anvari, Abdolmajid Ahangari, E. Jafari
E conomic growth is one of the goals of development in the economic plans of every country. Achieving self-development in OPEC member takes precise awareness of the amount and cause of the impact of economic variables on each other and it is, determining the policies and efficient, appropriate strategies for each case. Among these variables, oil revenues, total government expenditure, government expenditure for education, government expenditure for health, and economic growth could be mentioned. An examination of the trend of changes in health expenditure in Iran shows up until 2011. After that, there has been a leap in these expenditures. The share of government education expenditure in the total government budget in Iran has been showing a steady decline in these expenditures. panel data, we study the relationship between health expenditure and education expenditure and economic growth in OPEC countries and Iran from 2004 to 2016. Hence, the panel data method has been applied to estimate models and the panel VAR method has been applied to examine the causality relationships between variables. The results show a positive meaningful relationship between oil revenues, total government expenditure, government expenditure for education, government expenditure in health, and economic growth of OPEC countries and Iran. Furthermore, the result of the Granger Causality test suggests that there is a practical, mutual relationship between oil revenues and economic growth, total government expenditure and economic growth, and also a practical one-sided relationship of economic growth with government expenditure for education and also one-sided relationship of economic growth with government expenditure for health in OPEC countries and Iran.
经济增长是每个国家经济计划中的发展目标之一。欧佩克成员国实现自我发展需要准确认识到经济变量对彼此影响的程度和原因,并为每种情况确定政策和有效、适当的战略。在这些变量中,可以提到石油收入、政府总支出、政府教育支出、政府卫生支出和经济增长。对伊朗医疗支出变化趋势的调查显示,直到2011年。在那之后,这些支出出现了飞跃。伊朗政府教育支出在政府总预算中所占的份额一直在稳步下降。面板数据,我们研究了2004年至2016年欧佩克国家和伊朗的卫生支出、教育支出与经济增长之间的关系。因此,面板数据法已被应用于估计模型,面板VAR法已被用于检验变量之间的因果关系。结果表明,石油收入、政府总支出、政府教育支出、政府卫生支出以及欧佩克国家和伊朗的经济增长之间存在正相关关系。此外,Granger因果关系检验的结果表明,石油收入与经济增长、政府总支出与经济增长之间存在着实际的相互关系,以及欧佩克国家和伊朗的经济增长与政府教育支出的实际单边关系,以及经济增长与卫生支出的单边关系。
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引用次数: 2
Price Jump Diffusion in Iranian Housing Market (Merton Model and NGARCH Approach) 伊朗住房市场的价格跳跃扩散(Merton模型和NGARCH方法)
Q4 Economics, Econometrics and Finance Pub Date : 2020-11-01 DOI: 10.22059/IER.2020.78380
Khadijeh Dinarzehi, Mohammad Nabi Shahiki Tash
The purpose of this paper is to model the behavior of the housing price in the Iranian market using stochastic differential equations. The data of this study include monthly observations on housing prices for the period from 2009 to 2018. To model the behavior of the housing market, three stochastic differential equations have been used: Black-Scholes model, Merton model, and geometric Brownian motion with nonlinear GARCH. Also, in order to estimate the coefficients of equations, we used the maximum likelihood approach, and the drift and diffusion parameters are calculated. The findings suggest that the efficient-market hypothesis does not hold in the Iranian housing market since the sudden jump under systematic risks is indicative of an increase in inefficiencies in the housing market. In this paper, we also use the non-linear GARCH (NGARCH) model based on the Merton model to investigate the impact of good and bad news and positive and negative shocks. According to the results of the NGARCH model, the housing price is more affected by bad news and negative shocks. In total, according to the estimated equations in the Iranian housing market and given the maximum likelihood function, the geometric Brownian model with stochastic NGARCH-based fluctuations has more explanatory power than the Merton model and the geometric Brownian model with constant fluctuations.
本文的目的是使用随机微分方程对伊朗市场的房价行为进行建模。这项研究的数据包括2009年至2018年期间对房价的月度观察。为了对住房市场的行为进行建模,使用了三个随机微分方程:Black-Scholes模型、Merton模型和具有非线性GARCH的几何布朗运动。此外,为了估计方程的系数,我们使用了最大似然方法,并计算了漂移和扩散参数。研究结果表明,有效市场假说在伊朗住房市场中不成立,因为系统性风险下的突然跳跃表明住房市场的低效率增加。在本文中,我们还使用基于Merton模型的非线性GARCH(NGARCH)模型来研究好消息和坏消息以及正负冲击的影响。根据NGARCH模型的结果,房价受坏消息和负面冲击的影响更大。总之,根据伊朗住房市场的估计方程,在给定最大似然函数的情况下,具有随机NGARCH波动的几何布朗模型比具有恒定波动的Merton模型和几何布朗模型具有更大的解释力。
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引用次数: 0
Analyzing the Effectiveness of Fiscal decentralization in Economic Growth: The Role of Institutions 财政分权对经济增长的有效性分析:制度的作用
Q4 Economics, Econometrics and Finance Pub Date : 2020-10-10 DOI: 10.22059/IER.2020.78144
Muhammad Arif, M. Chishti
Decentralization is expected, theoretically, to be a route to efficient provision of the local public services. This efficient utilization of scarce resources is further expected to translate into boosting economic growth. Despite strong theoretical footings, the existing empirical literature presents mixed results for the presumed positive relationship between decentralization and economic growth. It is important to note here that the second generation theories of fiscal federalism talk about the enabling environment for decentralization to yield positive results; talking explicitly, an enabling institutional setup is required. Therefore, the current study examines the complementarity between fiscal decentralization and institutions in stimulating growth. A sumptuous cross country panel data for the period from 1990 to 2018 is used for analysis. Results suggest that fiscal decentralization and institutions both are instrumental in economic growth, and there is complementarity between the two. However, over-exposure of local representatives seems to divert their attention from service provision to countering opponents’ strategies.
理论上,预期权力下放是有效提供地方公共服务的途径。这种对稀缺资源的有效利用有望进一步转化为促进经济增长。尽管有很强的理论基础,但现有的实证文献对权力下放与经济增长之间假定的积极关系提出了不同的结果。值得注意的是,第二代财政联邦制理论讨论的是分权产生积极结果的有利环境;明确地说,需要一个有利的制度设置。因此,本研究考察了财政分权与制度在刺激增长方面的互补性。本文使用了1990年至2018年期间的丰富的跨国面板数据进行分析。研究结果表明,财政分权和财政制度对经济增长都有促进作用,两者之间存在互补性。然而,地方代表的过度曝光似乎将他们的注意力从提供服务转移到对抗对手的战略上。
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引用次数: 6
Exchange Rates, Gold Coin Prices, and Herding in the Stock Market 汇率、金币价格和股票市场中的羊群效应
Q4 Economics, Econometrics and Finance Pub Date : 2020-10-10 DOI: 10.22059/IER.2020.78143
G. Asadi, H. A. Tabrizi, S. Farazmand
This study investigated the occurrence of herding in the Iranian stock market and the effects of gold prices and currency exchange rates on this phenomenon. For this purpose, the rate at which herding occurs in the Tehran Stock Exchange was calculated and analyzed, after which stock price data were classified on the basis of gold prices and currency exchange rates. Herding under different exchange rates and gold price returns was also examined. Results showed that herding in the stock market was significant at the 1% level during sharp changes in gold and currency prices.
本研究考察了伊朗股票市场羊群现象的发生以及黄金价格和货币汇率对这一现象的影响。为此,计算和分析德黑兰证券交易所的羊群率,然后根据黄金价格和货币汇率对股票价格数据进行分类。对不同汇率和黄金价格回报下的羊群效应进行了研究。结果表明,在黄金和货币价格剧烈变化时,股票市场的羊群效应在1%水平上是显著的。
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引用次数: 0
An Investigation of the Impact of External and Internal Shocks on the Government Budget: A CGE Model Approach 外部和内部冲击对政府预算影响的调查:CGE模型方法
Q4 Economics, Econometrics and Finance Pub Date : 2020-10-10 DOI: 10.22059/IER.2020.78145
Rezgar Feizi, K. Ahmadzadeh, B. Javaheri
The exchange rate and international oil prices are the key variables that indicate the impact of external economic developments, agreements, and relationships. Since in countries like Iran, the government’s revenues mostly come from oil exports in the international markets in the form of foreign exchange, the impact of two variables on the economy has a significant outcome, and fluctuation in both of variable can change the policy. Moreover, the impact of the oil price on the production of goods changes the supply level of economic sectors and incomes of institutions through changing the factors of production and value of intermediate imports. It is significant that the government budget one of the crucial resources to make the fundamental structure of policy to cover expenses. This research has been done using the Computable General Equilibrium (CGE) model in which all markets have settled simultaneously to explore the effects of exchange rate fluctuations and international oil prices on Iran's economy in different scenarios using the Social Accounting Matrix (SAM) of 2011. Results show that any increase in exchange rates and oil prices lead to an increase in government revenues from sales of production factors, and it is more sensitive about oil price shocks, as well as the government faces budget surpluses. Also, when the government faces a surplus or deficit, consumption, saving, and payments change as the model is optimal. Besides, it should be noted that for Iran, using the uniform direct tax policies is more optimal because the budget is less unstable.
汇率和国际油价是表明外部经济发展、协议和关系影响的关键变量。由于在伊朗这样的国家,政府的收入主要来自以外汇形式在国际市场上的石油出口,因此两个变量对经济的影响具有显著的结果,两个变量的波动都可以改变政策。此外,石油价格对商品生产的影响通过改变中间进口的生产要素和价值,改变了经济部门的供给水平和机构的收入。重要的是,政府预算是制定报销政策基本结构的关键资源之一。本研究采用可计算一般均衡(CGE)模型,其中所有市场同时结算,利用2011年社会会计矩阵(SAM)探讨汇率波动和国际油价在不同情景下对伊朗经济的影响。结果表明,汇率和油价的任何上升都会导致政府生产要素销售收入的增加,并且对油价冲击和政府面临的预算盈余更为敏感。此外,当政府面临盈余或赤字时,消费、储蓄和支付随着模型的最优而变化。此外,需要注意的是,对于伊朗来说,使用统一的直接税政策更为理想,因为预算的不稳定性较小。
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引用次数: 0
2050 Projections of the Persian Gulf Economies 2050年波斯湾经济预测
Q4 Economics, Econometrics and Finance Pub Date : 2020-09-29 DOI: 10.22059/IER.2020.77976
Pierre Rostan, Alexandra Rostan
Projections of Persian Gulf Economies are obtained by forecasting their GDPs (constant 2010 US$) with spectral analysis until 2050. Persian Gulf Economies being oil-driven, the special relationship between oil price and Persian Gulf Economies is unfolded with Multiscale Principal Component Analysis and integrated in the forecasts. The GDPs are decomposed in simpler signals called approximations and details in the framework of the one-dimensional discrete wavelet analysis. The simplified signals are recomposed after Burg extension. Spectral analysis forecasts are all bullish for the eight economies of the Persian Gulf. 2050 spectral analysis projections rank Iraq first with an annual growth rate annually compounded of +2.37% and Iran second with +2.19%. The two laggers among the 2050 spectral analysis projections are Saudi Arabia (+1.37%) and Kuwait (-0.04%). 2024 spectral analysis projections rank Iran first with an annual growth rate annually compounded of +4.12% and Iraq second with +3.79% when IMF projections rank Iraq first (+3.17%) and United Arab Emirates (+2.92%). The two laggers among the 2024 spectral analysis projections are Qatar (0.22%) and Kuwait (-3.74%) when the two laggers among the 2024 IMF projections are Saudi Arabia (+2.15%) and Iran (-0.30%). In 2020, the COVID-19 pandemic has brutally hurt Persian Gulf Economies following a collapse in the global demand for oil and an oversupplied industry. The individual impact on these economies will depend on the response brought by their respective governments.
波斯湾经济体的预测是通过光谱分析预测其国内生产总值(恒定的2010年美元),直到2050年。波斯湾经济体是石油驱动型经济体,通过多尺度主成分分析揭示了油价与波斯湾经济之间的特殊关系,并将其整合到预测中。在一维离散小波分析的框架中,gdp被分解为称为近似和细节的更简单的信号。对简化后的信号进行Burg扩展重构。频谱分析预测都看好波斯湾的八个经济体,2050年的频谱分析预测显示,伊拉克以2.37%的年复合增长率排名第一,伊朗以2.19%的年复合增长率排名第二。在2050年的光谱分析预测中,两个落后的国家是沙特阿拉伯(+1.37%)和科威特(-0.04%)。2024年光谱分析预测伊朗以年复合增长率+4.12%排名第一,伊拉克以+3.79%排名第二,而国际货币基金组织预测伊拉克(+3.17%)和阿拉伯联合酋长国(+2.92%)排名第一。2024年光谱分析预测中的两个落后者是卡塔尔(0.22%)和科威特(-3.74%),而2024年IMF预测中的两个落后者是沙特阿拉伯(+2.15%)和伊朗(-0.30%)。2020年,在全球石油需求崩溃和行业供过于求之后,2019冠状病毒病大流行严重损害了波斯湾经济体。对这些经济体的个别影响将取决于它们各自政府的应对措施。
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引用次数: 0
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Iranian Economic Review
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