This paper aims to study the role of gold, stock and foreign currency as hedges against inflation... more This paper aims to study the role of gold, stock and foreign currency as hedges against inflation in Iran based on monthly data over period 2000-2016 by using a novel approach with nonlinear autoregressive distributed lags (NARDL). To achieve this goal, the effect of positive and negative inflation shocks on price of these assets is estimated separately. The results show that all assets (foreign currency, gold and stock) are hedges against inflation in Iranian economy. As inflation rate increases, the prices of these assets also increase, but the magnitude and type of their hedge against inflation vary in different time horizons. The results show that the effects of both positive and negative inflation shocks on gold price are symmetric in the short-run, but in the long run, the effect of positive inflation shocks on gold price are more than negative shocks. The results of the inflationary coverage of foreign currency show that the effects of the positive and negative inflation shoc...
Extended Abstract Tourism industry is now being considered in most countries as an economic secto... more Extended Abstract Tourism industry is now being considered in most countries as an economic sector playing an important role in development. Tourism is also a potential resource that enables nations to reach substantially social, cultural and economic benefits. The main purpose of this study is investigating spatial spillover effects of tourism on economic growth of Iran's selected provinces and also the role of tourism in the convergence rate of them. For this purpose, the β convergence of the economic growth of Iran's 18 provinces is estimated with Spatial Durbin Model during the periods 2006 to 2014, and then the role of tourism on speed of convergence has been investigated. The results of Spatial Durbin Model indicate that economic growth of selected provinces has spatial effects and economic growth of each province is influenced by its neighbors is confirmed between provinces. Tourism is also one of the variable effecting on the provinces economic growth and its effects...
ABSTRACT The main purpose of this paper is to estimate the foreign tourism demand for Australia d... more ABSTRACT The main purpose of this paper is to estimate the foreign tourism demand for Australia during 1976–2012. This study applies the time-varying parameter approach to tourism demand modelling. To this end, the behavioural change of tourists over time is traced using the Kalman filter approach. The findings show that the income elasticity, price elasticity, and habit formation have a steady declining trend over time. The elasticity of tourism demand with respect to the world per capita income is greater than that of the “cost of living” and “habit formation” indicators. The foreign tourism appears to be a luxury good and inelastic to the domestic prices.
The main purpose of this paper is to investigate the effects of monetary and fiscal policies on t... more The main purpose of this paper is to investigate the effects of monetary and fiscal policies on the business cycles in the Iranian economy during the period 2004-2016. Markov Switching model has been used with time varying transitional probabilities for the recognition of the business cycle and identifying the influencing factors on the probability of staying in a period of recession and boom or the transition from one situation to another. The results of the MSIH(2)-AR(2)[1] model show that both expansionary monetary and fiscal policies increase expansion period, but expansionary monetary policy is more effective in expansionary fiscal policy. During the recession regime, fiscal policy has a greater impact than a monetary policy in the transition from the recession regime. Also, findings show that business cycles in Iranian economy have comovements with changes of oil revenues, but the effect of changes in oil revenues has a different effect on the staying or transition of business...
Environmental Science and Pollution Research, 2019
Current economic policy planning places much emphasis on balancing development and environmental ... more Current economic policy planning places much emphasis on balancing development and environmental protection. Hence, it is important to determine the drivers of environment pollution from the theoretical, scientific, and policymaking aspects in the context of continuous economic growth. This paper investigates the factors affecting per capita CO 2 emissions in 30 provinces in Iran from 2009 to 2014 with emphasis on spatial spillover effects using the Spatial Durbin Model. The findings show that per capita CO 2 emissions are positively and significantly affected by per capita GDP, industrialization, and urbanization but negatively affected by changes in population. The results of the spatial section of the model indicate that both the more and the lesspolluted provinces tend to cluster together, indicating positive spatial dependence for CO 2 emissions in the provinces. Also, the spatial spillover of per capita GDP and the growth of urbanization have a negative and significant effect on per capita CO 2 emissions in the provinces, while the spatial effect of changes in population is significant but positive. In other words, the economic development and rise in urbanization in one province are the results of changes in pollution levels in neighboring provinces.
After deregulation in electricity markets, lots of studies were conducted especially in designing... more After deregulation in electricity markets, lots of studies were conducted especially in designing new systems and energy pricing in order to improve efficiency of power systems and increase investors’ profit. Investment’s profit could be increased by better contracts and better price bidding for buying and selling energy in electricity market, as a consequence price forecasting is essential. The main objective of this paper is to predict the price of electricity in Iran’s electricity market by using a combination of fuzzy-neural network and particle swarm optimization (PSO). In this paper, past prices, past loads, working and nonworking days, day hours and effect of seasons in 2015 have been taken into account as the effective factors in forecasting mechanism. The combined model is more precise than other methods like ARIMA, neural network, neural-fuzzy network, and a combination of fuzzy-neural and genetic algorithm. In the following, the process of price fluctuations has been disc...
The presence of bubbles in the markets and its formation has been regarded by economists and they... more The presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. In this paper, first, the formation of bubbles is tested using the new unit root test known as Phillips test (Generalized Sup ADF test) for 50 companies in the Tehran Stock Exchange during the period of August 2011 to March 2013, and periods of bubble is shown by one and zero if otherwise. Then, the behavior of amateur and professional investors’ impact on the probability of the formation of speculative bubbles in the Tehran Stock is investigated and estimated using Panel Data Models for Binary Choice (Logit) model. Phillips test shows that 49 companies from 50 samples of Tehran Stock Exchange at different periods of time have experienced price bubbles. The results of the Panel Logit regression model indicate that the impact of trading amateur investors on the probabilit...
S tock returns of companies listed on the stock exchange is one of the most important criteria in... more S tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. This study investigates the effect of exchange rate Volatility on the stock exchange Returns of D8 countries. It takes monthly data during the period (2008:1-2015:6) constituting 90 observations. At first we used Panel-GARCH model to estimate Exchange Rate Volatility Index, and then we used Panel data method to investigate the effect of index on the stock exchange return of D8 countries. Simulation results show that exchange rate volatility affects positively and significantly on stock exchange return in four countries, namely Iran, Pakistan, Indonesia and Bangladesh. The variables of oil price, real interest rate, inflation rate, real exchange rate and gold price have been utilized for model analysis. Results show that the variables of real exchange rate and inflation rate have negative effects but oil price has positive effect on stock returns, while inter...
This paper provides a method to forecast day-ahead electricity prices based on autoregressive int... more This paper provides a method to forecast day-ahead electricity prices based on autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroskedastic (GARCH) models. In the competitive power market environment, electricity price forecasting is an essential task for market participants. However, time series of electricity price has complex behavior such as nonlinearity, nonstationarity, and high volatility. ARIMA is suitable in forecasting, but it is not able to handle nonlinearity and volatility are existent in time series. Therefore, GARCH models are used to handle volatility in the in time series forecasting. The proposed method is computed using the daily electricity price data of Iran market for a five-year period from March 2013 to February 2018. The results reported in this paper illustrate the potential of the proposed ARMA-GARCH model and this combined model has been successfully applied to real prices in the Iranian power market.
This paper aims to study the role of gold, stock and foreign currency as hedges against inflation... more This paper aims to study the role of gold, stock and foreign currency as hedges against inflation in Iran based on monthly data over period 2000-2016 by using a novel approach with nonlinear autoregressive distributed lags (NARDL). To achieve this goal, the effect of positive and negative inflation shocks on price of these assets is estimated separately. The results show that all assets (foreign currency, gold and stock) are hedges against inflation in Iranian economy. As inflation rate increases, the prices of these assets also increase, but the magnitude and type of their hedge against inflation vary in different time horizons. The results show that the effects of both positive and negative inflation shocks on gold price are symmetric in the short-run, but in the long run, the effect of positive inflation shocks on gold price are more than negative shocks. The results of the inflationary coverage of foreign currency show that the effects of the positive and negative inflation shoc...
Extended Abstract Tourism industry is now being considered in most countries as an economic secto... more Extended Abstract Tourism industry is now being considered in most countries as an economic sector playing an important role in development. Tourism is also a potential resource that enables nations to reach substantially social, cultural and economic benefits. The main purpose of this study is investigating spatial spillover effects of tourism on economic growth of Iran's selected provinces and also the role of tourism in the convergence rate of them. For this purpose, the β convergence of the economic growth of Iran's 18 provinces is estimated with Spatial Durbin Model during the periods 2006 to 2014, and then the role of tourism on speed of convergence has been investigated. The results of Spatial Durbin Model indicate that economic growth of selected provinces has spatial effects and economic growth of each province is influenced by its neighbors is confirmed between provinces. Tourism is also one of the variable effecting on the provinces economic growth and its effects...
ABSTRACT The main purpose of this paper is to estimate the foreign tourism demand for Australia d... more ABSTRACT The main purpose of this paper is to estimate the foreign tourism demand for Australia during 1976–2012. This study applies the time-varying parameter approach to tourism demand modelling. To this end, the behavioural change of tourists over time is traced using the Kalman filter approach. The findings show that the income elasticity, price elasticity, and habit formation have a steady declining trend over time. The elasticity of tourism demand with respect to the world per capita income is greater than that of the “cost of living” and “habit formation” indicators. The foreign tourism appears to be a luxury good and inelastic to the domestic prices.
The main purpose of this paper is to investigate the effects of monetary and fiscal policies on t... more The main purpose of this paper is to investigate the effects of monetary and fiscal policies on the business cycles in the Iranian economy during the period 2004-2016. Markov Switching model has been used with time varying transitional probabilities for the recognition of the business cycle and identifying the influencing factors on the probability of staying in a period of recession and boom or the transition from one situation to another. The results of the MSIH(2)-AR(2)[1] model show that both expansionary monetary and fiscal policies increase expansion period, but expansionary monetary policy is more effective in expansionary fiscal policy. During the recession regime, fiscal policy has a greater impact than a monetary policy in the transition from the recession regime. Also, findings show that business cycles in Iranian economy have comovements with changes of oil revenues, but the effect of changes in oil revenues has a different effect on the staying or transition of business...
Environmental Science and Pollution Research, 2019
Current economic policy planning places much emphasis on balancing development and environmental ... more Current economic policy planning places much emphasis on balancing development and environmental protection. Hence, it is important to determine the drivers of environment pollution from the theoretical, scientific, and policymaking aspects in the context of continuous economic growth. This paper investigates the factors affecting per capita CO 2 emissions in 30 provinces in Iran from 2009 to 2014 with emphasis on spatial spillover effects using the Spatial Durbin Model. The findings show that per capita CO 2 emissions are positively and significantly affected by per capita GDP, industrialization, and urbanization but negatively affected by changes in population. The results of the spatial section of the model indicate that both the more and the lesspolluted provinces tend to cluster together, indicating positive spatial dependence for CO 2 emissions in the provinces. Also, the spatial spillover of per capita GDP and the growth of urbanization have a negative and significant effect on per capita CO 2 emissions in the provinces, while the spatial effect of changes in population is significant but positive. In other words, the economic development and rise in urbanization in one province are the results of changes in pollution levels in neighboring provinces.
After deregulation in electricity markets, lots of studies were conducted especially in designing... more After deregulation in electricity markets, lots of studies were conducted especially in designing new systems and energy pricing in order to improve efficiency of power systems and increase investors’ profit. Investment’s profit could be increased by better contracts and better price bidding for buying and selling energy in electricity market, as a consequence price forecasting is essential. The main objective of this paper is to predict the price of electricity in Iran’s electricity market by using a combination of fuzzy-neural network and particle swarm optimization (PSO). In this paper, past prices, past loads, working and nonworking days, day hours and effect of seasons in 2015 have been taken into account as the effective factors in forecasting mechanism. The combined model is more precise than other methods like ARIMA, neural network, neural-fuzzy network, and a combination of fuzzy-neural and genetic algorithm. In the following, the process of price fluctuations has been disc...
The presence of bubbles in the markets and its formation has been regarded by economists and they... more The presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. In this paper, first, the formation of bubbles is tested using the new unit root test known as Phillips test (Generalized Sup ADF test) for 50 companies in the Tehran Stock Exchange during the period of August 2011 to March 2013, and periods of bubble is shown by one and zero if otherwise. Then, the behavior of amateur and professional investors’ impact on the probability of the formation of speculative bubbles in the Tehran Stock is investigated and estimated using Panel Data Models for Binary Choice (Logit) model. Phillips test shows that 49 companies from 50 samples of Tehran Stock Exchange at different periods of time have experienced price bubbles. The results of the Panel Logit regression model indicate that the impact of trading amateur investors on the probabilit...
S tock returns of companies listed on the stock exchange is one of the most important criteria in... more S tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. This study investigates the effect of exchange rate Volatility on the stock exchange Returns of D8 countries. It takes monthly data during the period (2008:1-2015:6) constituting 90 observations. At first we used Panel-GARCH model to estimate Exchange Rate Volatility Index, and then we used Panel data method to investigate the effect of index on the stock exchange return of D8 countries. Simulation results show that exchange rate volatility affects positively and significantly on stock exchange return in four countries, namely Iran, Pakistan, Indonesia and Bangladesh. The variables of oil price, real interest rate, inflation rate, real exchange rate and gold price have been utilized for model analysis. Results show that the variables of real exchange rate and inflation rate have negative effects but oil price has positive effect on stock returns, while inter...
This paper provides a method to forecast day-ahead electricity prices based on autoregressive int... more This paper provides a method to forecast day-ahead electricity prices based on autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroskedastic (GARCH) models. In the competitive power market environment, electricity price forecasting is an essential task for market participants. However, time series of electricity price has complex behavior such as nonlinearity, nonstationarity, and high volatility. ARIMA is suitable in forecasting, but it is not able to handle nonlinearity and volatility are existent in time series. Therefore, GARCH models are used to handle volatility in the in time series forecasting. The proposed method is computed using the daily electricity price data of Iran market for a five-year period from March 2013 to February 2018. The results reported in this paper illustrate the potential of the proposed ARMA-GARCH model and this combined model has been successfully applied to real prices in the Iranian power market.
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