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Majid Aghaei; Mahdieh Rezagholizadeh; samira chavoshani
Abstract
The stock and housing markets, as two major asset markets in the Iranian economy, may be influenced both by their mutual interactions and by macroeconomic variables such as interest rate, inflation rate, and exchange rate. Accordingly, the present study investigates the dynamics of return and volatility ...
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The stock and housing markets, as two major asset markets in the Iranian economy, may be influenced both by their mutual interactions and by macroeconomic variables such as interest rate, inflation rate, and exchange rate. Accordingly, the present study investigates the dynamics of return and volatility spillovers between these two markets over the period 2006–2021 using monthly data. In this regard, total and frequency spillovers were first extracted using the Diebold–Yilmaz and Baruník–Křehlík spillover indices, and then the effects of macroeconomic variables on return and volatility spillovers were examined using the Ordinary Least Squares (OLS) method. The results indicate that the intensity of return and volatility spillovers between the stock and housing markets in Iran is generally limited, and that most of the dynamics of each market are driven by its own internal factors. However, frequency-domain analysis shows that return spillovers are more pronounced in the medium-term horizon, whereas volatility spillovers are relatively stronger in the short term. The findings also reveal that the housing market acts, to a limited extent, as a net receiver of return spillovers in the medium term, while the stock market is a net receiver of volatility spillovers in the short term. The results further suggest that exchange rate and inflation have more persistent explanatory power and statistical significance than interest rates in explaining return and volatility spillovers. Rising exchange rates and inflation, through intensifying inflation expectations and increasing macroeconomic uncertainty,
Masoud Saadatmehr; Nasrin Mansori
Abstract
Iran's economy has been facing the phenomenon of inflation for many decades, which has been unbridled inflation in many periods. Therefore, in order to control the inflation rate, some policy makers are looking towards applying a contractionary monetary policy by increasing the required reserve rate. ...
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Iran's economy has been facing the phenomenon of inflation for many decades, which has been unbridled inflation in many periods. Therefore, in order to control the inflation rate, some policy makers are looking towards applying a contractionary monetary policy by increasing the required reserve rate. But this policy has been criticized due to the fact that it reduces production and economic growth and as a result creates recession in the economy. To what extent the increase in the required reserve rate with the aim of controlling inflation will reduce production and economic growth is a central question that the present research was made to answer. For this purpose, the system of simultaneous equations using the 3SLS method has been used. The data used in the present research is a time series of 1979-2018, which was collected from the database of the Central Bank of the Islamic Republic of Iran. The results showed that the variables of the required reserve rate and the excess reserve rate have a negative effect and the monetary base growth rate has a positive effect on the volume of money in Iran's economy. Also, the results showed that increasing the required reserve rate as a contractionary monetary policy can reduce the growth rate of the money volume and the inflation rate in the Iranian economy without changing the real production.
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Zahra Sharif; Masoud Nonejad; Ali Haghighat; Mehrzad Ebrahimi
Abstract
The fundamental question of this study is whether the variables that generally lead to increase in the general price level of goods and services in an economy over a period of time can reduce the prices level with the same intensity and during the same time period? To answer this question, according ...
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The fundamental question of this study is whether the variables that generally lead to increase in the general price level of goods and services in an economy over a period of time can reduce the prices level with the same intensity and during the same time period? To answer this question, according to the stylized facts and evidence of Iran’s economy, the results of the most important studies available, and the accurate official statistics, we investigate the main economic factors affecting the inflation in Iran. In this regard, using monthly time series data of economic factors (which include the liquidity, GDP, Iran's crude oil prices, and openness) over the period from November 2008 to October 2018, an error correction model based on hidden cointegration approach, CECM (Crouching Error Correction Model), has been used to differentiate between the asymmetric behaviour of variables through decomposing the variables into positive and negative components to distinguish the accurate relationships between the variables when they increase and decrease. The results of this study, while confirming the existence of the significant asymmetric relationships between the economic factors and inflation, emphasised on the incomplete pass-through of all of the factors mentioned above into the inflation rate. Furthermore, these results have confirmed the crucial role of the liquidity and real GDP in comparison to the other research variables to control the inflation rate. The results also highlighted that the period of returning the inflation rate to its long-run equilibrium would be significantly different if the policy of increase or decrease in each of the economic factors occurs; consequently, this issue should be taken into account in inflation-targeting policies.
Behzad Alipour; Mehdi Pedram; Soheila Mojadami
Volume 4, Issue 14 , May 2014, , Pages 74-63
Abstract
Employment is one of the triple basic factors of production i.e. land, labor, and capital; unlike other factors, labor cannot be stored, and this power will be lost if it cannot be used in production. Therefore, the necessity of the analysis of the employment is of special importance. The question of ...
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Employment is one of the triple basic factors of production i.e. land, labor, and capital; unlike other factors, labor cannot be stored, and this power will be lost if it cannot be used in production. Therefore, the necessity of the analysis of the employment is of special importance. The question of the involvement and the role of the State in the economy also has been one of the phenomena of interest to economists. The extent and the size of government and its effect on macroeconomic variables have a decisive role in the status of the economy. In this study, variables of government size, economic growth rate, the rate of inflation and the rate of private sector investment are as the explanatory variables, and the variable of employment is dependent variable in the form of a multiple variables regression. Finally the results of the model showed that size of government has a negative effect on employment, and the economic growth rate, the inflation rate and the rate of private sector investment have a positive effect on employment. The results of the estimation in period 1976 -2011 using the self-explanatory Auto Regressive Distributed Lag (ARDL) and Bound Testing Approach devised by Pesaran, Shin and Smith, showed that our dynamic pattern goes towards the long term pattern. Also the results of the error correction model indicate that it is corrected from its long-term path in each period at a rate of 56%.
Amir Mansoor Tehranchian; Ahmad Jafari Samimi; Roozbeh Balounejad Nouri
Volume 3, Issue 11 , September 2013, , Pages 28-19
Abstract
This study is devoted to test the inflation persistence in Iran. For this purpose, respect to the time series data on inflation in Iran (1972 - 2011), Autoregressive Fraction- ally Integrated Moving Average model is used. The results of this study show that based on methods of maximum likelihood and ...
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This study is devoted to test the inflation persistence in Iran. For this purpose, respect to the time series data on inflation in Iran (1972 - 2011), Autoregressive Fraction- ally Integrated Moving Average model is used. The results of this study show that based on methods of maximum likelihood and modified maximum likelihood degrees of differencing, respectively, are d1=0.482 and d2=0.483. Therefore, based on these findings, the inflation persistence hypothesis is not rejected in Iran. Gradual vanishing of inflation shocks, possibility of inflation is structural and regard to monetary discipline is the most important recommendations of this study.
