bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 Testing Existence of Rational Price Bubble in foreign exchange Market of Iran: Application of sequential Unit Root Tests Testing Existence of Rational Price Bubble in foreign exchange Market of Iran: Application of sequential Unit Root Tests 1 20 1231 FA Ahmad Jafari Samimi Roozbeh Balounejad Nouri 0000-0002-9355-2554 Journal Article 2014 08 16 Beside inflation and interest rates, Exchange rate is one of the most important determinants of economic performance in the each country. Given the importance of the exchange rate in the economy, the main objective of this study is to investigate the existence of price bubbles in the foreign exchange market. To this end, a series of unit root tests that have recently been introduced in economics and monthly data of exchange rate (rial- dollar) for the period 1369:1-1392:12 is used. Based on Generalized Supremum Augmented Dickey- Fuller Test, multi price bubbles hypothesis was confirmed in the foreign exchange market of Iran (In Period 1372:11-1373:3, 1377:11-1378:11, 1381:3-1381:6, 1386:11-1387:2, 1387:9-1387:11, 1389:6-1392:6). Also Relative prices of tradable and non-tradable goods using shown that a part of explosive behavior of the exchange rate, due to the relative prices of tradable goods. Beside inflation and interest rates, Exchange rate is one of the most important determinants of economic performance in the each country. Given the importance of the exchange rate in the economy, the main objective of this study is to investigate the existence of price bubbles in the foreign exchange market. To this end, a series of unit root tests that have recently been introduced in economics and monthly data of exchange rate (rial- dollar) for the period 1369:1-1392:12 is used. Based on Generalized Supremum Augmented Dickey- Fuller Test, multi price bubbles hypothesis was confirmed in the foreign exchange market of Iran (In Period 1372:11-1373:3, 1377:11-1378:11, 1381:3-1381:6, 1386:11-1387:2, 1387:9-1387:11, 1389:6-1392:6). Also Relative prices of tradable and non-tradable goods using shown that a part of explosive behavior of the exchange rate, due to the relative prices of tradable goods.

https://aes.basu.ac.ir/article_1231_6c14da109e294d1e8155be8aa4b1ce8e.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 The Impact of Internal R&D Capital, Imported Capital Goods Stock and Human Capital on Iranian High-Tech Industries' Value Added The Impact of Internal R&D Capital, Imported Capital Goods Stock and Human Capital on Iranian High-Tech Industries' Value Added 21 54 1232 FA Gholamhosein Rahnema Mohammad Ali Motafaker Azad 0009-0006-5928-3422 Reza Ranjpoor Journal Article 2014 01 20 This paper tries to investigate the impact of internal R&D capital, imported capital goods stock and human capital on value added of Iranian high-tech industries. To that end, we use a panel data set of Iranian four-digit ISIC high-tech manufacturing industries, over the period 1995-2010. The results show that internal R&D capital, imported capital goods stock and human capital have positive and significant effect on value added of high-tech industries. So this study recommends government to support the activities of R&D which include direct financial incentives (direct government grants such as subsidies) and indirect financial incentives (tax forgiveness). Also, government can have a direct effect on R&D spending and activities, and its capability of impact on the value-added of hi-tech industries, by creating the necessary infrastructure such as rules and regulations, definition, assurance and enforcing intellectual property rights, the openness degree of the economy and its competitiveness, ... Also, due to positive impact of imported capital goods stock on value added of hi-tech industries, it is recommended that government should try to remove sanctions against the country by targeting the interaction with the global economy and adopting policies. This paper tries to investigate the impact of internal R&D capital, imported capital goods stock and human capital on value added of Iranian high-tech industries. To that end, we use a panel data set of Iranian four-digit ISIC high-tech manufacturing industries, over the period 1995-2010. The results show that internal R&D capital, imported capital goods stock and human capital have positive and significant effect on value added of high-tech industries. So this study recommends government to support the activities of R&D which include direct financial incentives (direct government grants such as subsidies) and indirect financial incentives (tax forgiveness). Also, government can have a direct effect on R&D spending and activities, and its capability of impact on the value-added of hi-tech industries, by creating the necessary infrastructure such as rules and regulations, definition, assurance and enforcing intellectual property rights, the openness degree of the economy and its competitiveness, ... Also, due to positive impact of imported capital goods stock on value added of hi-tech industries, it is recommended that government should try to remove sanctions against the country by targeting the interaction with the global economy and adopting policies.

https://aes.basu.ac.ir/article_1232_e53a0a2978c28872a4505bdb51db06dc.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 The effect of the factors affecting the size of government in the provinces of Iran The effect of the factors affecting the size of government in the provinces of Iran 55 80 1233 FA Gholamali Haji 0000-0002-0329-9760 Akbar Komaijani Kambiz Hozhabrkiyani 0000-0002-0191-2138 Journal Article 2014 10 15 The determination of factors affecting government expenditure has been raised in the economy of public sector from the long ago. Adolf Wagner (1967), the German economist has studied the growth of public sector of some European countries, the United States and Japan, and his theory is based on these experiences. Based on the theory, by increasing income in these countries, the government expenditure has increased more. Most of the studies conducted on the Wagner theory have been at the macro-level for Iran or between country, and only one study has been done in provinces of the country by cross section data for 1994. In this study, it is tried the impact of the economy size (income and per capita income) on the size of the government (government expenditure, government expenditure relative to income and per capita government expenditure) in the form of Four Alternative Specification of the Wagner's hypothesis for the provinces of Iran in 2001-2012 are to taken into account using the panel data. For this purpose, the effect of income, population density, the urbanization rate and the unemployment rate are examined on the size of the government. The results indicate the acceptance of Wagner’s law in provinces of Iran. The determination of factors affecting government expenditure has been raised in the economy of public sector from the long ago. Adolf Wagner (1967), the German economist has studied the growth of public sector of some European countries, the United States and Japan, and his theory is based on these experiences. Based on the theory, by increasing income in these countries, the government expenditure has increased more. Most of the studies conducted on the Wagner theory have been at the macro-level for Iran or between country, and only one study has been done in provinces of the country by cross section data for 1994. In this study, it is tried the impact of the economy size (income and per capita income) on the size of the government (government expenditure, government expenditure relative to income and per capita government expenditure) in the form of Four Alternative Specification of the Wagner's hypothesis for the provinces of Iran in 2001-2012 are to taken into account using the panel data. For this purpose, the effect of income, population density, the urbanization rate and the unemployment rate are examined on the size of the government. The results indicate the acceptance of Wagner’s law in provinces of Iran.

https://aes.basu.ac.ir/article_1233_e034fb6b66aacc1d48f445ddfb08da98.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 Qu & Perron Methodology Application in Recognition of the Iranian Economy Oil Shocks Qu & Perron Methodology Application in Recognition of the Iranian Economy Oil Shocks 81 105 1234 FA Abolghasem Esna Ashari Kamran Nadri Asghar Abolhasani Nader Mehreghan Mohammad Reza Babaee Semiromi Journal Article 2014 12 08 Iran as one of the OPEC members, with a considerable amount of revenue from the sale of oil, is dependent on this revenue considerably. Inflation, liquidity and growth are the main macroeconomic variables so any Shock in oil revenues will distort the Development programs of the Petroleum Exporting Countries. In this study, the oil revenues as an exogenous variable and variable inflation, liquidity and economic growth as endogenous variables in the model were considered. Three oil shocks were identified by Qu & Perron (2007) methodology during the quarterly studied period (1988:02-2014:01) for Iranian Economic, which were 1995:02, 2000:02 and 2005:2. The impact of oil revenues on inflation, economic growth, and money was calculated. The variables uncertainty mentioned in each regime. The results show that the most effect of oil incomes on inflation was in the first regime(1988:02- 1995:02) and the lowest was in the second regime(1995:03-2000:02). The most effect of oil incomes on money was in the second regime and the lowest was for the last regime (2005:03-2014:01). The impact period of oil revenues on economic growth in the last regime was the greatest. Management of foreign exchange reserves of oil and protection of domestic production were the main suggestions of this paper. Iran as one of the OPEC members, with a considerable amount of revenue from the sale of oil, is dependent on this revenue considerably. Inflation, liquidity and growth are the main macroeconomic variables so any Shock in oil revenues will distort the Development programs of the Petroleum Exporting Countries. In this study, the oil revenues as an exogenous variable and variable inflation, liquidity and economic growth as endogenous variables in the model were considered. Three oil shocks were identified by Qu & Perron (2007) methodology during the quarterly studied period (1988:02-2014:01) for Iranian Economic, which were 1995:02, 2000:02 and 2005:2. The impact of oil revenues on inflation, economic growth, and money was calculated. The variables uncertainty mentioned in each regime. The results show that the most effect of oil incomes on inflation was in the first regime(1988:02- 1995:02) and the lowest was in the second regime(1995:03-2000:02). The most effect of oil incomes on money was in the second regime and the lowest was for the last regime (2005:03-2014:01). The impact period of oil revenues on economic growth in the last regime was the greatest. Management of foreign exchange reserves of oil and protection of domestic production were the main suggestions of this paper.

https://aes.basu.ac.ir/article_1234_81dc9bdb52d04dc20036dbd8313ed055.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 The Investigation of Oil Revenues Management Strategy on Macroeconomic Performance in Iran The Investigation of Oil Revenues Management Strategy on Macroeconomic Performance in Iran 107 131 1235 FA Hojat Parsa Ebrahim Hadian faculty member Ali Hossein Samadi faculty member 0000-0002-8491-6192 Mansor Zibaei faculty member Journal Article 2014 12 29 This study investigates the effects of oil revenues management on macroeconomic performance in Iran. "Spend- as –you- go" strategy then the "Gradual –Scaling-up" Strategy as a counterfactual one. For this purpose ,We have used Iran’s data economy during 1344-1390(1965-2011) and employed a New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model. Based on the first strategy, government allocated all oil revenues surplus obtained from the long run trend to the current and reconstructive expenditures. The findings of the first strategy illustrate that, fluctuations in oil revenues, decreases public and private investments. As a result, we have a reduction in production and economic growth. Moreover, the effective consumption, which is a combination of private and government consumption expenditure, as public goods, declines. The cause of this problem is waste in public expenditure. Based on the second strategy, known as counterfactual strategy, government reserves the oil revenues’ surplus and invests the returns of these reserves in reconstructive activities, gradually but consistently. Based on the second strategy, even with the fluctuation in oil revenues, production boosts due to persistence and continuance of government and private investments. Furthermore, effective consumption and inflation increase. As a whole, the results show that in the second counterfactual strategy; i.e. gradual –Scaling-up, The Oil fund acts as a buffer against decline in oil revenues. This study investigates the effects of oil revenues management on macroeconomic performance in Iran. "Spend- as –you- go" strategy then the "Gradual –Scaling-up" Strategy as a counterfactual one. For this purpose ,We have used Iran’s data economy during 1344-1390(1965-2011) and employed a New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model. Based on the first strategy, government allocated all oil revenues surplus obtained from the long run trend to the current and reconstructive expenditures. The findings of the first strategy illustrate that, fluctuations in oil revenues, decreases public and private investments. As a result, we have a reduction in production and economic growth. Moreover, the effective consumption, which is a combination of private and government consumption expenditure, as public goods, declines. The cause of this problem is waste in public expenditure. Based on the second strategy, known as counterfactual strategy, government reserves the oil revenues’ surplus and invests the returns of these reserves in reconstructive activities, gradually but consistently. Based on the second strategy, even with the fluctuation in oil revenues, production boosts due to persistence and continuance of government and private investments. Furthermore, effective consumption and inflation increase. As a whole, the results show that in the second counterfactual strategy; i.e. gradual –Scaling-up, The Oil fund acts as a buffer against decline in oil revenues.

https://aes.basu.ac.ir/article_1235_9996535e07258a7bbfd8b132435c5962.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 The effects of monetary, fiscal, exchange rate, and trade policies on the export and employment of industrial sectors of iran The effects of monetary, fiscal, exchange rate, and trade policies on the export and employment of industrial sectors of iran 133 148 1236 FA Hamidreza Ashrafzadeh Mitra Rahmani Journal Article 2014 12 09 A simultaneous Panel data model is created for industrial subsectors of Iran and estimated using EC3SLS, to find the effects of various economic policies on exports, value added, employment and investment in these sectors. Results are very good and promising, show that with increasing government consumption and money volume, exports will reduced and so value added. while by increasing exchange rate and interest rate exports will increased and imports reduced. In addition the imported inflation is about 18 percent and for industrial goods is about 35 percent. A simultaneous Panel data model is created for industrial subsectors of Iran and estimated using EC3SLS, to find the effects of various economic policies on exports, value added, employment and investment in these sectors. Results are very good and promising, show that with increasing government consumption and money volume, exports will reduced and so value added. while by increasing exchange rate and interest rate exports will increased and imports reduced. In addition the imported inflation is about 18 percent and for industrial goods is about 35 percent.

https://aes.basu.ac.ir/article_1236_7bccfde7714a1ebadf06c5f4cea752c1.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 Effect of Energy Price on Cereal Price Using Mixed Data Sampling Regression Models (Generalized OLS-based ARDL Approach) Effect of Energy Price on Cereal Price Using Mixed Data Sampling Regression Models (Generalized OLS-based ARDL Approach) 149 160 1237 FA Fatmeh Sayadi Reza Moghaddasi Journal Article 2014 05 23 The relationship between energy and agricultural products prices is an important and influential factor on food price surge. On the other hand, data availability in different frequencies is a dilemma facing time series econometricians, because by averaging of the data some valuable information in high frequency data will be lost. MIDAS regression models have recently been developed as an alternative dealing with mixed frequency data problem. This study applies generalized ARDL approach to estimate MIDAS regression for prediction of cereal prices using quarterly data on exchange rate and annual data on energy prices, interest rate, and inflation for the period 1982-2008. Prediction accuracy Statistics show that MIDAS model provides more accurate prediction of cereal price compared to simple averaging method. The relationship between energy and agricultural products prices is an important and influential factor on food price surge. On the other hand, data availability in different frequencies is a dilemma facing time series econometricians, because by averaging of the data some valuable information in high frequency data will be lost. MIDAS regression models have recently been developed as an alternative dealing with mixed frequency data problem. This study applies generalized ARDL approach to estimate MIDAS regression for prediction of cereal prices using quarterly data on exchange rate and annual data on energy prices, interest rate, and inflation for the period 1982-2008. Prediction accuracy Statistics show that MIDAS model provides more accurate prediction of cereal price compared to simple averaging method.

https://aes.basu.ac.ir/article_1237_a9eb812238f753132652ae09963a05e9.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 A study of the Effect of Macroeconomic Variables on the GDP Gap with a New Keynesian Model in the Iranian Economy A study of the Effect of Macroeconomic Variables on the GDP Gap with a New Keynesian Model in the Iranian Economy 161 182 1238 FA Hashem Zare Assistant Professor, Department of Economics, Islamic Azad University, Shiraz 0000-0002-4141-0589 Forogh Motevaseli graduate Journal Article 2014 11 23 The gross domestic product gap is one of the most important indicators by which the recession or inflation economic conditions can be determined and based on which the application of the economic policies is possible. Hence, the identification of the effect of macroeconomic variables on the output gap is extremely important. The main objective of the present study is to investigate the effect of the demand side, inflation, nominal exchange rate and growth rateof monetary base shocks on the output gap in the Iranian economy. In this context, the the New Keynesian SVAR model with a forward-looking perspective was used. The seasonal data of the period 1372-1391 were used to estimate the model. The results obtained from the impulse response functions reveal that all of the shocks have negative impacts on the output gap. According to the results of the variance analysis, the shock of the growth rateof monetary base has the largest contribution in the fluctuations of the output gap. The gross domestic product gap is one of the most important indicators by which the recession or inflation economic conditions can be determined and based on which the application of the economic policies is possible. Hence, the identification of the effect of macroeconomic variables on the output gap is extremely important. The main objective of the present study is to investigate the effect of the demand side, inflation, nominal exchange rate and growth rateof monetary base shocks on the output gap in the Iranian economy. In this context, the the New Keynesian SVAR model with a forward-looking perspective was used. The seasonal data of the period 1372-1391 were used to estimate the model. The results obtained from the impulse response functions reveal that all of the shocks have negative impacts on the output gap. According to the results of the variance analysis, the shock of the growth rateof monetary base has the largest contribution in the fluctuations of the output gap.

https://aes.basu.ac.ir/article_1238_d38901788c533e8286cb6400b40b386d.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 Fiscal capacity, alternative to oil revenues in Iran Fiscal capacity, alternative to oil revenues in Iran 183 199 1239 FA Ezatallah Abbasian 0000-0001-8364-6461 Farzaneh Fashi Journal Article 2015 03 15 This paper examines the approach in getting rid of oil funds and lack of reliance on revenues from natural resources deals. Fiscal capacity is an alternative to achieve this goal. Fiscal capacity estimates in two stages. In the first stage, estimation is done by the stochastic frontier model by using ARDL, and then followed by Laffer curve estimation. The aggregate income is estimated according to the optimal fiscal ratios. Therefore, the calculated values of the collected amounts are optimal. Considering the fiscal capacity, help us to correct market failures and the redistribution of resources. The study findings show that the capacity of government revenue in some years is less than actual and with such a large source of income, oil revenues are not satisfied. This paper examines the approach in getting rid of oil funds and lack of reliance on revenues from natural resources deals. Fiscal capacity is an alternative to achieve this goal. Fiscal capacity estimates in two stages. In the first stage, estimation is done by the stochastic frontier model by using ARDL, and then followed by Laffer curve estimation. The aggregate income is estimated according to the optimal fiscal ratios. Therefore, the calculated values of the collected amounts are optimal. Considering the fiscal capacity, help us to correct market failures and the redistribution of resources. The study findings show that the capacity of government revenue in some years is less than actual and with such a large source of income, oil revenues are not satisfied.

https://aes.basu.ac.ir/article_1239_b3ba8f1bee1238a2f37603d90b58898d.pdf

bu ali sina university Journal of Applied Economics Studies in Iran 2322-2530 4 15 2015 10 23 Investigating the effective factors on human capital accumulation in Iran in the period 1971-2012 Investigating the effective factors on human capital accumulation in Iran in the period 1971-2012 201 228 1240 FA Farzaneh Ahmadian Yazdi Taghi Ebrahimi Salari 0000-0002-5290-6934 Fereshteh Jandaghi Nahid Rajab Zadeh Moghani Journal Article 2015 02 14 Study about the effect of natural resource abundance is one of the important issues especially in developing countries. This study is investigated effective factors on human capital accumulation in Iran with emphasize on oil rent in the framework ARDL model during the period 1971-2012. To investigate this relationship, the ratio of oil rent as a percent of GDP, as an indicator of the resource abundance is defined and other variable like population, GDP, domestic investment and Government's expenditure are used as control variables. Based on the results, resource abundance and domestic investment have negative effect on human capital accumulation in Iran. Also the results indicates that population and economic growth have positive effect on human capital accumulation that is accommodate with the theoretical literature. Study about the effect of natural resource abundance is one of the important issues especially in developing countries. This study is investigated effective factors on human capital accumulation in Iran with emphasize on oil rent in the framework ARDL model during the period 1971-2012. To investigate this relationship, the ratio of oil rent as a percent of GDP, as an indicator of the resource abundance is defined and other variable like population, GDP, domestic investment and Government's expenditure are used as control variables. Based on the results, resource abundance and domestic investment have negative effect on human capital accumulation in Iran. Also the results indicates that population and economic growth have positive effect on human capital accumulation that is accommodate with the theoretical literature.

https://aes.basu.ac.ir/article_1240_a9078e8653368c9c291ae2f8b74012e7.pdf