Mofid UniversityThe Journal of Economic Studies and Policies2423-46482220160220Government Financial Sustainability in Iran with Cointegration ApproachGovernment Financial Sustainability in Iran with Cointegration Approach32625890FAAkbarKomijaniProfessor, Faculty of Economics, University of TehranYazdanGudarzi FarahaniPhD student at Tehran UniversityJournal Article20151122Government financial sustainability refers to government flows of revenues and expenditures. According to the monetary theory of the price-level (MTPL) and financial theory of the price-level (FTPL), it can be stated that causes of increase in price level are government financial debt and monetary provision of debt. The purpose of this study is to investigate the financial sustainability of the government deficit. In order to investigate this relationship and because of dynamics of the model, dynamic cointegration models and dynamic ordinary least square models (DOLS) are applied. For this purpose, we used data from the annual period 1971 -2013. Empirical results for the variables indicate that variables for government’s expenditures and government’s revenues are first order cointegrated which suggest that there exists a long run relationship between the variables. For this purpose, three kinds of government revenues including tax revenues, taxes, and oil revenues, and tax incomes, oil and seigniorage are regressed over costs which result in weak financial sustainability, strong financial sustainability and inconsistency in government financial sustainability, respectively. Therefore, it is recommended that in order to maintain financial sustainability, governments invest oil revenues, to the extent possible, in capital assets and by reforming their cost structures attempt to balance their income and cost flows. Also, since government financial debt and debt financing through seigniorage are two important reasons for inflation, governments should be more disciplined in their financialGovernment financial sustainability refers to government flows of revenues and expenditures. According to the monetary theory of the price-level (MTPL) and financial theory of the price-level (FTPL), it can be stated that causes of increase in price level are government financial debt and monetary provision of debt. The purpose of this study is to investigate the financial sustainability of the government deficit. In order to investigate this relationship and because of dynamics of the model, dynamic cointegration models and dynamic ordinary least square models (DOLS) are applied. For this purpose, we used data from the annual period 1971 -2013. Empirical results for the variables indicate that variables for government’s expenditures and government’s revenues are first order cointegrated which suggest that there exists a long run relationship between the variables. For this purpose, three kinds of government revenues including tax revenues, taxes, and oil revenues, and tax incomes, oil and seigniorage are regressed over costs which result in weak financial sustainability, strong financial sustainability and inconsistency in government financial sustainability, respectively. Therefore, it is recommended that in order to maintain financial sustainability, governments invest oil revenues, to the extent possible, in capital assets and by reforming their cost structures attempt to balance their income and cost flows. Also, since government financial debt and debt financing through seigniorage are two important reasons for inflation, governments should be more disciplined in their financialhttps://economic.mofidu.ac.ir/article_25890_fbba25691bea73e74b93b6f510b74033.pdfMofid UniversityThe Journal of Economic Studies and Policies2423-46482220160220The Factors Influencing Banks Credit Risk in IranThe Factors Influencing Banks Credit Risk in Iran275625899FAMohsenMehr AraProfessor, Faculty of Economics, University of TehranElaheBohlool VandMaster of Islamic Banking, University of TehranJournal Article20160102The issues of bank’s credit risk as well as overdue receivable are among the critical concerns of banking industry, in a sense that they can be regarded as the main determinants of bankruptcy of banks in the world. The economic crisis of America rooted in the increasing of credit risk has revealed the significance of considering this notion more than ever. Recently, the enhancement of overdue receivable to banks resulted from the economic recession coupled with inflation has threaten banking system. To address this subject, this study aimed at investigating the influence of macro-economic as well as intra-banking factors on credit risk in Iran’s banking system, employing Bayesian method. The data were collected from 14 Iranian active banks in a period of 10 years (2003-2013). The result indicated that liquidity risk, loans to deposit ratio, return to asset, capital to asset ratio, and bank size with 100 percent, and efficiency ratio with that of 97 percent were respectively the best predictors of credit risks of banks in Iran. Having 25 percent, the rest of variables such as the net interest margin, the structured finance, deposit ratio, and macro-economic variables did not significantly impact the credit risk. It seems that these variables, especially the macro ones might affect the credit risk through intra-banking factors.The issues of bank’s credit risk as well as overdue receivable are among the critical concerns of banking industry, in a sense that they can be regarded as the main determinants of bankruptcy of banks in the world. The economic crisis of America rooted in the increasing of credit risk has revealed the significance of considering this notion more than ever. Recently, the enhancement of overdue receivable to banks resulted from the economic recession coupled with inflation has threaten banking system. To address this subject, this study aimed at investigating the influence of macro-economic as well as intra-banking factors on credit risk in Iran’s banking system, employing Bayesian method. The data were collected from 14 Iranian active banks in a period of 10 years (2003-2013). The result indicated that liquidity risk, loans to deposit ratio, return to asset, capital to asset ratio, and bank size with 100 percent, and efficiency ratio with that of 97 percent were respectively the best predictors of credit risks of banks in Iran. Having 25 percent, the rest of variables such as the net interest margin, the structured finance, deposit ratio, and macro-economic variables did not significantly impact the credit risk. It seems that these variables, especially the macro ones might affect the credit risk through intra-banking factors.https://economic.mofidu.ac.ir/article_25899_1d32607ab01409c4b6916c5cae13b269.pdfMofid UniversityThe Journal of Economic Studies and Policies2423-46482220160220Study of the Effect of Using the Participation Contracts in Non-Usury Banking of Iran in Two
Bust and Boom RegimesStudy of the Effect of Using the Participation Contracts in Non-Usury Banking of Iran in Two
Bust and Boom Regimes578425904FAMohammad NaqiNazarpourAssociate Professor, Faculty of Economics, Mofid UniversityFarshidSalimiPhD student in the Faculty of Economics, Mofid UniversityJournal Article20150824participation, Mudaraba) facilities during boom and bust periods have managed to steer national economy to production, employment, and investment in production segment in the face of highly volatile and crises and inflation-affected market. To do so, by using Markov-Switching Models of regime change, we explore the effect of participation-based facilities on production, employment, and investment. The study period of the research starts from 1984, i.e. the start of usury-free banking in Iran, and ends by 2012. The results of the estimation of Markov Model for bust and boom phases indicate that in the second regime namely boom and by an increase in participation-based contracts the rate of real interest, investment, and production increase, but the important issue in Iran’s economy is the enduring level of boom and bust phases, in that the extent to which the economy faces bust phase for the study period is 15 periods in contrast with 9 periods of boom according to the results of model estimation; as a result, the risk of using participation-based contracts will go up under such circumstances. Furthermore, since expectations play an important role in making decision on investment, any form of economic instability can have a negative impact on investment, production, and employment, as the results of the estimation of the two regimes confirm this.participation, Mudaraba) facilities during boom and bust periods have managed to steer national economy to production, employment, and investment in production segment in the face of highly volatile and crises and inflation-affected market. To do so, by using Markov-Switching Models of regime change, we explore the effect of participation-based facilities on production, employment, and investment. The study period of the research starts from 1984, i.e. the start of usury-free banking in Iran, and ends by 2012. The results of the estimation of Markov Model for bust and boom phases indicate that in the second regime namely boom and by an increase in participation-based contracts the rate of real interest, investment, and production increase, but the important issue in Iran’s economy is the enduring level of boom and bust phases, in that the extent to which the economy faces bust phase for the study period is 15 periods in contrast with 9 periods of boom according to the results of model estimation; as a result, the risk of using participation-based contracts will go up under such circumstances. Furthermore, since expectations play an important role in making decision on investment, any form of economic instability can have a negative impact on investment, production, and employment, as the results of the estimation of the two regimes confirm this.https://economic.mofidu.ac.ir/article_25904_b15780f320ec1c2819defb6d337eef1f.pdfMofid UniversityThe Journal of Economic Studies and Policies2423-46482220160220The Effect of Week-of-the-Month on Iranian Foreign Exchange MarketsThe Effect of Week-of-the-Month on Iranian Foreign Exchange Markets8510425907FANaserElahiAssistant Professor, Faculty of Economics, Mofid University0000-0002-3313-3366RezaIzadiFaculty member of Allameh Mohaddes Nouri UniversityJournal Article20140309This paper investigates the effect of week-of-the-month on Iranian Foreign Exchange during 2006-2013. The weekly data for testing the hypothesis include foreign exchange rates of the free and official markets among the Iranian Rials (IR), US dollar (USD) and European Euro (EUR). Due to the clustered errors and conditional heteroskedasticity, ARCH models (Asymmetric ARCH) are applied to test the hypothesis. The findings reveal that free market rates exhibit turn-of-the-month effect. More precisely, the week-of-the-month effect was significantly positive and negative for dollar in the first week and fourth week respectively, and positive in the first and second weeks and negative in the fourth and fifth weeks for Euro respectively in the free market. In addition, in the official market, the weekly return for dollar in the first week and for Euro in the first and second weeks was significantly positive. These results could challenge the weak form of the efficient market hypothesis during the investigating period.This paper investigates the effect of week-of-the-month on Iranian Foreign Exchange during 2006-2013. The weekly data for testing the hypothesis include foreign exchange rates of the free and official markets among the Iranian Rials (IR), US dollar (USD) and European Euro (EUR). Due to the clustered errors and conditional heteroskedasticity, ARCH models (Asymmetric ARCH) are applied to test the hypothesis. The findings reveal that free market rates exhibit turn-of-the-month effect. More precisely, the week-of-the-month effect was significantly positive and negative for dollar in the first week and fourth week respectively, and positive in the first and second weeks and negative in the fourth and fifth weeks for Euro respectively in the free market. In addition, in the official market, the weekly return for dollar in the first week and for Euro in the first and second weeks was significantly positive. These results could challenge the weak form of the efficient market hypothesis during the investigating period.https://economic.mofidu.ac.ir/article_25907_7c32d4206894bc0681aeb78e53b3eebd.pdfMofid UniversityThe Journal of Economic Studies and Policies2423-46482220160220Determinants of Firms R&D Intensity: Panel Data Approach (2SLS Method)Determinants of Firms R&D Intensity: Panel Data Approach (2SLS Method)10513025908FAAbolfazlShahabadiAssociate Professor, Faculty of Economics and Social Sciences, Bu Ali Sina UniversityArashHidariHamadan Faculty of Economics and Social SciencesJournal Article20150901Research and development (R&D) as one of the inputs of innovation can increase firm's productivity through improving product quality or reducing average cost of production, and can have a positive effect on firm's profitability. So, the country's economic success, is that manufacturing firms that are innovative and produce goods that have the power to compete with similar foreign goods. Therefore, the aim of this study is to answer the question of what factors determine the firm's investment in research and development. For this purpose, both developed and developing countries have been selected to investigate determinants of their business enterprise research and development (BERD based on panel data approach using the 2SLS (two-stage least squares) method during the period 1995-2012. In this study, endogeneity of intellectual property rights are considered. Estimation results indicate a positive and significant effect of intellectual property rights, and university R&D intensity on business enterprise research and development (BERD) intensity. Access to internal funds variable has positive effect that is measured with domestic savings to GDP ratio with one period lag, which is significant only in developed countries. Also, the exports of high-tech variable has positive effect and significant for both groups of countries.Research and development (R&D) as one of the inputs of innovation can increase firm's productivity through improving product quality or reducing average cost of production, and can have a positive effect on firm's profitability. So, the country's economic success, is that manufacturing firms that are innovative and produce goods that have the power to compete with similar foreign goods. Therefore, the aim of this study is to answer the question of what factors determine the firm's investment in research and development. For this purpose, both developed and developing countries have been selected to investigate determinants of their business enterprise research and development (BERD based on panel data approach using the 2SLS (two-stage least squares) method during the period 1995-2012. In this study, endogeneity of intellectual property rights are considered. Estimation results indicate a positive and significant effect of intellectual property rights, and university R&D intensity on business enterprise research and development (BERD) intensity. Access to internal funds variable has positive effect that is measured with domestic savings to GDP ratio with one period lag, which is significant only in developed countries. Also, the exports of high-tech variable has positive effect and significant for both groups of countries.https://economic.mofidu.ac.ir/article_25908_4a3b7cb8e155fef333abe4d5690b20a1.pdfMofid UniversityThe Journal of Economic Studies and Policies2423-46482220160220Estimation Natural Gas Demand Function in Provinces of Tehran and Esfahan (with Price Decomposition and Dynamic Panel Method)Estimation Natural Gas Demand Function in Provinces of Tehran and Esfahan (with Price Decomposition and Dynamic Panel Method)13115425911FAVidaVarahramiAssistant Professor, Faculty of Economics, Shahid Beheshti UniversityHasan AliGhanbari MemanAssistant Professor, Faculty of Economics, Shahid Beheshti UniversityPariaAminiMaster student of Shahid Beheshti University, Faculty of EconomicsJournal Article20151125In this paper, we survey provinces of Tehran and Esfahan which have the most volume of gas consumption in Iran. We estimate natural gas demand function of these two provinces in industry sector at 2000-2012 with dynamic panel method and price decomposition. Our hypothesis is that gas price has asymmetric effect on it's demand. Our estimation results reveal that short run price and output elasticities are less than long run and income elasticity of natural gas in short run and long run are high, because energy consumption in these provinces are more than international standards. Results reveal that natural gas price has asymmetric effect on natural gas in two provinces, elasticity of demand to increasing price is more than decreasing prices and lag of quantity of demand has high effect on current natural gas demand.In this paper, we survey provinces of Tehran and Esfahan which have the most volume of gas consumption in Iran. We estimate natural gas demand function of these two provinces in industry sector at 2000-2012 with dynamic panel method and price decomposition. Our hypothesis is that gas price has asymmetric effect on it's demand. Our estimation results reveal that short run price and output elasticities are less than long run and income elasticity of natural gas in short run and long run are high, because energy consumption in these provinces are more than international standards. Results reveal that natural gas price has asymmetric effect on natural gas in two provinces, elasticity of demand to increasing price is more than decreasing prices and lag of quantity of demand has high effect on current natural gas demand.https://economic.mofidu.ac.ir/article_25911_24b482e0e7581adb4d2f9ec2a4abf347.pdf