درخت حوزه‌های تخصصی

In recent decades, many countries have improved systematic control over monetary policy and stabilized inflation at moderate levels. There is a great literature on how to conduct a monetary policy. A lot of macroeconomists (for example Taylor, McCallum, Woodford and others) proposed specific monetary policy strategies, regimes and rules. This paper considers a dynamic stochastic general equilibrium (DSGE), and two basic factors have been applied. The first one is a belief that monetary policy has impact on real economic activity in the short run. This effect comes from the presence of rigidities, which give rise to non-neutral effects of a monetary policy. The second factor is a considerable improvement under theoretical frameworks used for monetary policy analysis. The research also presents a sensitivity analysis of the optimal rules to deep structural parameters and investigate properties of an optimal simple rule with respect to prevailing type of shocks. Finally, the study highlights how an optimal policy rule depends on model structure, on the model calibration and nominal rigidities. According to the research findings, based on the theoretical expectations, the effect of a positive shock inflicted on the government investment leads to increase and gradual accumulation of fixed capital formation in the public sector. Among estimated parameters consumption is first affected and reduces, then employment increases consequently, finally production will also be affected. Also with the shock of oil revenues, increased oil revenues results in public investment at first, because the increase in oil revenues, the government increases development expenditure. Though increase in development expenditure is more than Increase in current expenditure. Enhancing development expenditure & construction spending causes total spending increase and as a result of increased production of oil income, consumption and total investment will rise. This increase leads to inflation too. Though by increasing the inflation resulted from oil revenues, the monetary authority will react through reducing the growth rate of the monetary base.

Liquid assets are critical for banking operations. They guarantee avoiding liquidity risk and widens managerial decision options to invest in emerging profitable projects; however, holding extra liquidity entails opportunity costs. Accordingly, empirical literature does not provide a conclusive relationship between liquidity and profitability. The purpose of this research is to analyze the asymmetric effects of holding liquid assets by commercial banks on their profitability. Parallel to a detailed review of contradicting theories and empirical evidence, we have developed an econometric model to capture the nonlinear effects of liquidity on performance. The proposed model is tested for a sample of seven listed Iranian commercial banks during 2006-2018 by Arellano-Bond dynamic panel-data estimation. We found that the nonlinear relationship, if any, is not an inverse U as Bordeleau and Graham (2010) suggested. Results show a positive (holding more liquid assets increases the profitability of Iranian banks), and even an accelerating effect for liquidity, likely due to the low level of liquid assets maintained by Iranian banks.

One of the essential factors that lead to severe disruptions in financial markets is price bubbles and subsequent crashes. Numerous models for detecting bubbles have been developed, one of which (LPPLS) has lately attracted considerable interest. This study aims to utilize this model to detect price bubbles in Tehran Stock Exchange's index (TEDPIX). Confidence multi-scale indicators for this model are presented by fitting the LPPLS model to the data of the TSE index from 2009 through 2020. The bubble is detected when the number of fits that are in our filter conditions increases which means the growth of the indicator's value. By applying this method on TSE data two significant crashes in 2013 and 2020 are detected. The proposed technique can be useful for market participants to detect financial crashes and bubbles.

This paper concentrates on the modelling of optimal stock portfolio selection based on Risk Assessment and Behavioral Financial Approach Mental Accounting and 28 expert’s opinion. In this approach developing the model approved by the opinion of academic and practical experts using quantitative and qualitative methods.  Using quarterly return data of industrial indices for ten years in form of eight training and two test years indicates that the performance of DMSS and MVO based portfolios is equal however by regarding the value at risk and liquidity constraints in modeling, DMSS based portfolios perform higher than MVO portfolios.

Eliminating poverty and reducing income inequality is the most difficult task of economic policy making when considered with an economic growth. Therefore, the impacts of economic growth and development on income distribution largely depend on the growth model. Thus, determining an effect of economic growth on poverty is uncertain and relies on its country's growth pattern. The basic question of this paper which we are looking for is that have economic growth and income distribution had an impact on the poverty in Iran? To respond the question, we employed fuzzy regression for analyzing the variables relationship. The article also under the fuzzy logic presents an analytical framework at the aim of appraising the relationship between poverty, income distribution and economic growth. The results show that there is a positive relationship between the economic growth and poverty, in other words the economic growth has had negative impacts on the poverty reduction in Iran. Computational results based on fuzzy logic in Iran implies that the most ideal conditions come when the economic growth is 8 percent on overage and Gini coefficient is nearly 38.5 percent.