1 2228-6454 Kharazmi University 1249 انرژی، منابع و محیط زیست Forecasting Risk Premium in Crude Oil futures Market with BVAR behradmehr nafiseh b mehrara mohsen c mazraati mohammad d dadafarid hadi e b university of tehran c university of tehran d Institute for International Energy Studies e university of tehran 1 10 2017 8 29 7 35 20 07 2016 09 10 2017 In this paper, risk-premium (the difference between the future prices and expected future spot price) in US crude oil futures market over the period of 1989:1 to 2012: 11 is investigated, and then variability of risk-premium through time is explained. In addition, risk premium in different time horizons of US crude oil futures market is predicted using BVAR and VAR models. The results showed that significantly 10% risk-premium existence in US crude oil futures market is approved for all time horizons (one month, two months, three months and four months), and on the other hand,by comparing RMSE of BVAR and VAR models, the results generally confirmed better predictions of risk premium by BVAR models in comparison with VAR models.
1541 انرژی، منابع و محیط زیست Economic Impacts of Adopting Non-Price Energy Consumption Policies Khoshkalam Musa f f Alzahra university 1 10 2017 8 29 37 72 09 05 2017 26 11 2018 Price policies are one of the most permissive policies in Iranian economic for controlling energy carrier's consumption. In addition, the non-price policies such as energy efficiency improvement are effective for controlling energy carrier's consumption. This paper assesses the economic impacts of energy efficiency improvement (in gasoline, gasoil and electric) as a non-price policy. For the purposes of this paper computable general equilibrium (CGE) model based on social accounting matrix (SAM) is used. The social accounting matrix is aggregated in 12 activities and 14 commodities. The CGE model blocks are: production block, institution block, trade block, Investment block and system constraint block. The results show that, first 10 percent improvement in energy efficiency makes the highest rebound effects (of gasoline) in the transport sector with 29.8 percent, the highest rebound effect (of gasoil) in the transport sector with 24.7% and the highest rebound effect (of electricity) in the other services sector with 24.5 percent. Second 10 percent improvement in energy efficiency causes the greatest increase in the output level of sectors (related to gasoline, gasoil and electricity) respectively, in the "transport", "transport" and "other services" by 0.62, 0.51 and 0.32 percent. Thirdly 10 percent improvement in energy efficiency increases the GDP respectively 0.17, 0.15 and 0.11 percent. 1380 پولی و مالی Measuring Probability of Informed Trading in Tehran Stock Exchange Rahmaniani Moloud g Taleblo Reza h g Allameh Tabatabii University h Allameh Tabatabii University 1 10 2017 8 29 73 98 03 05 2016 07 11 2017 The level of asymmetric information in financial markets is important for its impact on the market formation, price levels and its interaction with investment risk. Also, determining the optimal rules by policy makers and determining the trading strategy by investors is done according to the level of information symmetry in the market. In financial literature, many metrics have been developed to measure the asymmetry of market information. In recent years, another measure known as probability of informed trading (PIN) has been introduced to measure the level of asymmetric information, based on the framework of market microstructure. Larger PINs from 0 to 1 range indicate higher information asymmetry levels. In this study, using the Easley, O'Hara (1992) approach, the probability informed trading as a measure of the level of market information asymmetry for the 12 selected companies from listed companies in Tehran Stock Exchange is estimated. We used maximum likelihood to estimate parameters with R package. The results show that average of PIN varies from 0.35 to 0.4 for different companies. 1565 رشد و توسعه و سیاست های کلان Spatial Analysis of Industrial Investment Spillover in Provinces of Iran Barati Javad i Karimi-Moughari Zahra j Mehregan Nader k i Tourism Economics, Tourism Research Institute of Khorasan Razavi j university of Mazandaran k Bu-ali Sina University 1 10 2017 8 29 99 132 21 04 2016 06 10 2017 Investment spillover effects include regional growth factors around the developed centers, which this study aimed investigate effects of industrial investment spillover in provinces of Iran and the quantifying of these effects. Accordingly, it uses the spatial econometrics to explore the indirect effects or industrial investment spillover. The results indicate that provinces with a higher gravity index, which are respectively Tehran, Isfahan, Khorasan Razavi, Khuzestan and Fars with a coefficient of 0.152, 0.090, 0.085, 0.083 and 0.077 respectively, have more industrial investment spillover than other provinces. In contrast, provinces with more great geographical distance from developed provinces such as Ardabil, Sistan and Baluchestan, northern Khorasan and Ilam, respectively with coefficients of 0.029, 0.031, 0.037 and 0.038, have less benefit of industrial investment spillover Compared to other regions. Also, industrial investment spillover effects for different regions, very different from each other. As for some provinces, the indirect effects are much less than direct effects and for some provinces, the indirect effects are close to direct effects. This can be due to geographical location, politics, government regulation and exposure to developed provinces. 1220 پولی و مالی Asymmetric Effects of Monetary Shocks on Business Cycles in Iran (Approach: DSGE Model) Sahabi Bahram l Asgharpur Hossein m Qorbani Saeed n l Tarbiat Modares Universit m Tabriz university n Tarbiat Modares Universit 1 10 2017 8 29 133 168 24 04 2016 16 10 2017 In this study, using Dynamic Stochastic General Equilibrium Model (DSGE model) the hypothesis of asymmetry of monetary shocks in the Iranian business cycle during the period of 1979-2012 is tested on macroeconomic variables. The designed model broadens the analytical framework of dynamic equilibrium models with respect to the economic characteristics of an oil-exporting country. To extract business cycles, the Hodrick-Prescott filtering process has been used. The results of the research indicate that the effects of positive and negative monetary shocks during ascendancy and economic prosperity are asymmetric, so that the effect of positive shock during the recession period in the Iranian economy during the studied period was stronger than the negative shock level. On the other hand, the results show that the effect of positive shocks during the boom period in the Iranian economy on the price level changes its size in proportion to the size of the shock; however, the effect of negative shocks during the boom on the level of prices initially reduced inflation and then after a short time Inflation increases again. Therefore, it can be stated that in the economy of Iran both inflation and economic boom will increase. In the case of production and investment, this asymmetry is in a way that results in a broader expansionary policy in a recession and, in economic prosperity, the optimal political policy is contractionary. 1185 انرژی، منابع و محیط زیست Stochastic and Beta Convergence in Per Capita Energy Use among OPEC Member Countries Fallahi Firouz o Ranjpour Reza p Shokri Tohid o University of Tabriz p University of Tabriz University of Tabriz 1 10 2017 8 29 169 200 03 06 2016 07 11 2017 The stochastic and β convergences of per capita energy use (PCEU) in the OPEC member countries are examined during the period 1971-2011. Several unit root tests, including the test introduced by Lee and Strazicich (2003) are used to examine the existence of the stochastic convergence in the series. Next, to study the possibility of the existence of β-convergence, the approach of Perron and Yabu (2009) is employed. Both methods allow for an endogenous structural break point in the series. In addition, the approach of Perron and Yabu (2009) is robust to the presence of a unit root and the results remain the same for the unit-root and stationary series. The results show that the PCEU in Angola, Ecuador, Iran, Nigeria, Qatar, and Venezuela had experienced beta convergence during the first regime (the period before the break point). In the second regime, the PCEU in Algeria, Angola, Saudi Arabia, Ecuador, UAE, Iran, Iraq, Libya, and Qatar shows a convergent pattern. In addition, the estimated break points are clustered and correspond to the major energy and economic crises. 1545 پولی و مالی A Systematic Approach for Asset Liability Management of Pension Funds in a Fuzzy Environment Izadbakhsh Hamidreza Soleymanzadeh Ahmad Davari Ardakani Hamed Zarinbal Marzieh Kharazmi University Kharazmi University Kharazmi University Information and Science Research Institute 1 10 2017 8 29 201 239 24 09 2016 10 09 2017 Since pension funds are among the most important and effective organizations in economic and social environments, it is critical to study their problems ahead. Asset and liability management (ALM) is a useful tool to study pension funds and their stakeholders. This paper tries to understand the key factors effecting on ALM and to analyze them using system dynamics. Fuzzy inference engine is also used to quantify the important risks in ALM. Results show that considering ALM and stakeholders’ benefits as whole and paying attention to risk factors such as changing population are the key factors for successful ALM.