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کاربرد نوع شرط:
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی: inflation,Kalman Filter,C22,E31,E24,NAIRU,Keywords: Augmented-Expectations Phillips Curve,Supply Shock,Unemployment. JEL Classification: C13
- چکیده:
- چکیده انگلیسی: 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
- انتشار مقاله: 14-04-1398
- نویسندگان: Nassim Nasseri Oskouie,Hossien Abbasinejad,Mohsen Mehrara
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی: Banking System,H62,E51,G21,Keywords: Budget Deficit,Off-budget Operations,Fiscal Dominance,Money Supply. JEL Classification: E62
- چکیده:
- چکیده انگلیسی: ran's economy still has a two-digit inflation rate with high fluctuations, which is mainly caused by fiscal dominance. According to the relevant literature, the most important fiscal dominance mechanism is borrowing from the central bank. After prohibiting direct borrowing from the Central Bank by Iran's government, the budget deficits are partially addressed by off-budgeting operations, achieved from the banking system. In addition to introducing the Off-budgeting mechanism of fiscal dominance through the banking system, this study aimed to detect whether fiscal dominance in Iran was the result of the government’s borrowing from the banks and consequently, its indirect borrowing from the Central Bank. The bank ledgers data from March 2007 to June 2018 was used in this study, and it was revealed that an increase in the government’s debts to the banks had a significant positive effect on the banks’ debt to the Central Bank; the effect is more highlighted in specialized and privatized banks, respectively. This finding is robust when the banks’ balance sheet status, banking health status, and macroeconomic status have controlled.
- انتشار مقاله: 16-06-1399
- نویسندگان: Ali Taiebnia,Mohsen Mehrara,Seyed Hamid Pourmohammad Gelsefidi
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی: Diversification,Mutual Funds,Keywords: Fama Decomposition Model,Net Selectivity,Risk. JEL Classification: G11,G23
- چکیده:
- چکیده انگلیسی: T he main purpose of this paper is to analyze the performance of mutual funds in Iran by using Fama decomposition model (1972). Thus, daily data of 55 mutual funds during a four-year period from 21/3/2014 to 21/3/2018 were investigated. To achieve this goal, firstly, the performance of mutual funds was broken down into Fama components, and it was shown that the diversification performance and risk performance of mutual funds were negative, but net selectivity performance was positive. Finally, the panel method was used to investigate the effect of Fama's components on the performance of mutual funds. The results indicated that the effect of Fama's components on the performance of mutual funds is positive, and the effects of the net selectivity and risk are more than diversification.
- انتشار مقاله: 20-02-1399
- نویسندگان: Samira Sadeghi Goghari,Ali Souri,Hossein Abbasinejad,Mohsen Mehrara
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی: Value at Risk,Nonparametric approach,Parametric Approach,Semi-Parametric Approach
- چکیده:
- چکیده انگلیسی: The purpose of this study is estimation of daily Value at Risk (VaR) for total index of Tehran Stock Exchange using parametric, nonparametric and semi-parametric approaches. Conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated VaR and also to compare the performance of mentioned approaches. In most cases, based on backtesting statistics Results, accuracy of calculated VaR is approved for historical, Monte Carlo and Volatility-Weighted historical simulation methods. It is also approved for GARCH type of volatility models under normal distribution and Riskmetrics model under student-t distribution. On the other hand, it is observed that parametric approach measures VaR value more than non-parametric and semi-parametric approaches. This result indicates that GARCH type of volatility models under student-t distribution overestimate magnitude of value at risk. Finally, four volatility models of parametric approach including NARCH, NAGARCH and APGARCH under normal distribution and Riskmetrics under student-t distribution are selected best methods to measure accurate value of VaR.
- انتشار مقاله: 09-12-1393
- نویسندگان: Bagher Adabi Firouzjaee,Mohsen Mehrara,Shapour Mohammadi
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی: Bayesian,Shock,Output,Keywords: Oil,VAR
- چکیده:
- چکیده انگلیسی: In this paper, we analyze the effects of oil revenue shocks on different sectors of the Iranian economy. We use quarterly data of the Iranian economy from 1988:2 to 2011:1 to analyze a time-varying parameter VAR model with the Bayesian method. The results show that in the late 1980s and early 1990s, the positive effects of oil revenue were mostly emerged in the industrial and oil sectors, having almost no effect on services sector and negative effect on agricultural sector. In the 2000s, oil revenue is relatively less effective in the industrial sector, while more effective in the agricultural and services sectors.
- انتشار مقاله: 27-01-1392
- نویسندگان: Mohsen Mehrara,Farkhondeh Jabalameli,Ramin Mojab
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Economic Review
- نوع مقاله: Journal Article
- کلمات کلیدی:
- چکیده:
- چکیده انگلیسی:
- انتشار مقاله: 28-02-1392
- نویسندگان: Hamid Abrishami,Mohsen Mehrara,Ali Sadeghein
- مشاهده
- جایگاه : پژوهشی
- مجله: Advances in Mathematical Finance and Application
- نوع مقاله: Journal Article
- کلمات کلیدی: conditional risk,conditional Sharpe ratio,dynamic condition correlation,exchange rate
- چکیده:
- چکیده انگلیسی: In the first nine months of 2018, the triple increase of dollar price made the stock market an attractive place for speculation, especially for non-professional investors. Hence, this study was aimed to investigate the profitability of speculation in the foreign exchange market (dollar) and to compare it with investment in three indices of sugar, oil products, and basic metals. First, the conditional Sharpe ratio was calculated separately for these four assets. Then, six investment portfolios were developed for these four assets. The results showed although dollar speculation with mean daily return of 0.6% had the highest return among the ten investment assets, dollar speculation was ranked last, or tenth (0.096) in terms of performance and profitability by considering the standard deviation or daily conditional risk using conditional Sharpe ratio. Moreover, the results indicated that from among the six portfolios with equal weight, three investment portfolios consisting of merely Tehran Stock Exchange indices had a better performance than three investment portfolios comprising dollar speculation and each stock exchange index. It was also found that the risk of lack of capital diversification by investors was higher than that of accepting a higher-level risk.
- انتشار مقاله: 24-07-1398
- نویسندگان: Mohsen Mehrara,Saeid Tajdini
- مشاهده