A central problem in empirical macroeconomics is to determine when and how much the exchange rate is misaligned. This paper clarifies and calculates the concept of the equilibrium real exchange rate, using a structural vector auto regression (VAR) model. By imposing long-run restrictions on a...

This paper explores the relation between inflation and economic growth in Iran using annual data for the period 1959-2004 to check whether this relation has a structural breakpoint effect. The results indicate the threshold level of inflation above which inflation significantly slows growth is...

In this paper various ARCH models and relevant news impact curves including a partially nonparametric (PNP) one are compared and estimated with daily Iran stock return data. Diagnostic tests imply the asymmetry of the volatility response to news. The EGARCH model, which passes all the tests and...

The difficulty in gasoline price forecasting has attracted much attention of academic researchers and business practitioners. Various methods have been tried to solve the problem of forecasting gasoline prices however, all of the existing models of prediction cannot meet practical needs. In this...

Using a bivariate GARCH model, we investigate the causal relationships between inflation, growth, inflation uncertainty (nominal uncertainty) and output uncertainty (real uncertainty) for seasonally adjusted quarterly data in Iran. Our results indicate that increased inflation is associated with...

This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test recently proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three...

This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test recently proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three...

In this paper the Auto Regressive Distributed Lag(ARDL) model has been utilized in order to study the long-terun relations among the elements of direct taxes on the income distribution within the years 1971-2004 and during the third Five-Year Economic Development Plan. Long-terun relations imply...

In this study, we attempted to determine the key factors leading to economic growth for Iran economy over the period 1960–2006. In particular, we sought to clarify whether the growth of Iran was driven mainly by factor accumulation or by improvements in efficiency namely, debate of K (factor...

This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three...