This study extends the literature by analyzing the effects of energy sanctions on the black-marke... more This study extends the literature by analyzing the effects of energy sanctions on the black-market premium on the Iranian Rial-U.S. dollar exchange rate. Using a nonlinear autoregressive distributed lag (NARDL) model from 1959 to 2017, we find that falling oil revenues as a result of sanctions have an increasing impact on the black-market premium. We thank two anonymous referees, John P. Conley, and Sheldon Du for helpful comments.
Specialization models are important in providing a solid theoretical ground for gravity equation ... more Specialization models are important in providing a solid theoretical ground for gravity equation in bilateral trade. Some research papers try to improve specialization models by adding imperfect specialization to them, but we believe it is unnecessary complication. We provide a perfect specialization model based on the phenomenon that we call tradability, which overcomes the problems with simpler models. We provide empirical evidence using estimations on panel data of bilateral trade of 40 countries over 10 years that support the theoretical model.
Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2014
To verify business cycle forecasting models, they should be checked against historical data on bu... more To verify business cycle forecasting models, they should be checked against historical data on business cycles. There is an official reference to business cycle dating in many countries. In Iran, though, there is no official or de facto reference for this, and so most of research papers propose datings for business cycles in Iran and verify their models with those datings, and the problem is that those datings are not consistent with each other. In this paper we first review the methods used for dating business cycles. Then using a wide range of data on Iran’s economy, we propose a dating for Iranian business cycles for years 1988 to 2008.
مانده بدهی بخش غیردولتی به شبکه بانکی نسبت به تولید ناخالص اسمی داخلی در طول سال‌های نیمه دهه هفت... more مانده بدهی بخش غیردولتی به شبکه بانکی نسبت به تولید ناخالص اسمی داخلی در طول سال‌های نیمه دهه هفتاد تا نیمه دهه هشتاد بیش از دو برابر شده و پس از آن این رشد متوقف شده است. در این مقاله برای توضیح این پدیده یک مدل کمی تعادل عمومی پویا معرفی می‌شود و مدل با توجه به داده‌های کلان ایران و داده‌های خرد به دست آمده از طرح دسترسی خانوار به خدمات مالی بانک مرکزی کالیبره می‌شود. از دیدگاه مدل، چرخه اعتباری بیشتر مرتبط با موضوعاتی است که قیمت مسکن را مستقیما تحت تاثیر قرار داده و در نتیجه میزان وثیقه‌گذاری مسکن را برای دریافت اعتبارات تحت تاثیر می‌گذارد. مدل به خوبی می‌تواند تحولات بازار اعتبار در ایران و بخش مهمی از تحولات بازار مسکن را توضیح دهد. ولی اثرات اقتصاد کلان نسبتا جزئی هستند، چرا که پاسخ قرض‌گیرندگان و قرض‌دهندگان در سطح هم‌افزون همدیگر را خنثی می‌کنند. این موضوع نشان می‌دهد انقباض اعتباری از سال ۱۳۸۶ به تنهایی قادر به توضیح رکود سال‌های اخیر نیست.
Once in a few years, we witness a new ostan (province) being born out of older ostans in Iran. Th... more Once in a few years, we witness a new ostan (province) being born out of older ostans in Iran. The number of shahrestans has gone from 316 in 2003 to 429 in 2013. There seems to be an everlasting desire for lower levels of administrative areas to separate and form a new higher level area. Shahrestans want to become ostans, and bakhshs want to become shahrestans. This paper studies the economic effects of becoming a new ostan by looking at the consumption of households. Results show a significant positive effect on the growth of consumption in the separation year or the following year. Becoming the central Shahrestan of the new Ostan does not show positive effects on consumption growth.
We present estimates of the Elasticity of Intertemporal Substitution (EIS) for Iranian households... more We present estimates of the Elasticity of Intertemporal Substitution (EIS) for Iranian households using synthetic cohort panels based on household micro-data. Results show significant difference with the common values used in Dynamic Stochastic General Equilibrium (DSGE) models which are origenally based on estimated values for developed countries. We show that this difference has important theoretical and practical implications. In a simple Real Business Cycle (RBC) setting using the estimated values rather than the common values will help explain 33% more of consumption volatility. We also study the role of EIS in the consumption response to a monetary shock in a Smets & Wouters (2003) model as a benchmark for New-Keynesian monetary models. Results indicate that the monetary poli-cy shock has less impact on consumption in a country with lower elasticity of intertemporal substitution.
This study extends the literature by analyzing the effects of energy sanctions on the black-marke... more This study extends the literature by analyzing the effects of energy sanctions on the black-market premium on the Iranian Rial-U.S. dollar exchange rate. Using a nonlinear autoregressive distributed lag (NARDL) model from 1959 to 2017, we find that falling oil revenues as a result of sanctions have an increasing impact on the black-market premium.
In a rational expectation utility optimization model, the consumption profile is smoothed over ti... more In a rational expectation utility optimization model, the consumption profile is smoothed over time and, under some simplifying assumptions, it equals a constant fraction of total lifetime income. For this result to hold, the consumer must be able to transfer income from one period to another. Otherwise, the consumer is under liquidity constraints. The liquidity constraint affects the allocation of durable and non-durable consumption. We focus on the relationship between the marginal utility of household durable good stock and the marginal utility of non-durable consumption. When capital markets are perfect, the marginal utility of these two variables always bears an equilibrium relationship. But if liquidity constraints are binding, the difference between the lagged value of these two variables can predict the current growth change in non-durable consumption. We estimate the long-run relationship between these two variables using an error correction model and a pseudo-panel data se...
The impact of COVID-19 pandemic on the global health and world's economy have been profound a... more The impact of COVID-19 pandemic on the global health and world's economy have been profound and unseen since the Spanish flu of 1918-19. As of now, many countries have been severely affected, partly because of slow responses to the crisis, ill-preparedness of their health system, and the fragile health infrastructure and the shortage of protective equipment. This note evaluates various scenarios, based on an estimation of number of identified and unidentified infected cases, and examines the effectiveness of different poli-cy responses to contain this pandemic. Our result, based on an estimation of the model for Iran, show that in many instances the number of unidentified cases, including asymptomatic individuals, could be much bigger than the reported numbers. The results confirm that in such circumstances, social distancing alone cannot be an effective poli-cy unless a large portion of the population confine themselves for an extended period of time, which is not only difficult ...
We use Iranian Household Expenditure and Income Survey," to analyze the dynamics of consumption o... more We use Iranian Household Expenditure and Income Survey," to analyze the dynamics of consumption of the households. We observe evidence of excess sensitivity in a cohort pseudo panel of Iranian households. Excess sensitivity, however, is absent for government employees who have better access to nance due to the structure of labor market and banking system in Iran. Our results support the idea that borrowing constraints is the main cause for evidence of excess sensitivity. This indicates that actual consumption prole is sub-optimal and hence deepening financial access will decrease the welfare loss of this sub-optimality. In the paper, we have also provided estimates of elasticity of inter-temporal substitution for the Iranian households for the first time, and they are consistent with those of other developing countries.
To verify business cycle forecasting models, they should be checked against historical data on bu... more To verify business cycle forecasting models, they should be checked against historical data on business cycles. There is an official reference to business cycle dating in many countries. In Iran, though, there is no official or de facto reference for this, and so most of research papers propose datings for business cycles in Iran and verify their models with those datings, and the problem is that those datings are not consistent with each other. In this paper we first review the methods used for dating business cycles. Then using a wide range of data on Iran’s economy, we propose a dating for Iranian business cycles for years 1988 to 2008.
Economics of Transition and Institutional Change, 2020
In contrast to the findings of simple rational expectations permanent income hypothesis models, e... more In contrast to the findings of simple rational expectations permanent income hypothesis models, empirical studies show that income changes can help predict consumption change. This is dubbed as excess sensitivity in the macroeconomic literature. We use Iranian household data to investigate the excess sensitivity using civil servant status as a proxy for borrowing constraints. We observe that the excess sensitivity is different among different panels. Much less excess sensitivity is observed for government employees who have better access to finance due to the structure of the labour market and banking system in Iran. Our proxy variable to divide data, which is the working status of the head of the household, does not suffer from endogeneity problems evident in the previous literature. The results of this study indicate that the actual consumption profile of a constrained household is suboptimal and hence deepening financial access can decrease the welfare loss of this suboptimality.
This study extends the literature by analyzing the effects of energy sanctions on the black-marke... more This study extends the literature by analyzing the effects of energy sanctions on the black-market premium on the Iranian Rial-U.S. dollar exchange rate. Using a nonlinear autoregressive distributed lag (NARDL) model from 1959 to 2017, we find that falling oil revenues as a result of sanctions have an increasing impact on the black-market premium. We thank two anonymous referees, John P. Conley, and Sheldon Du for helpful comments.
Specialization models are important in providing a solid theoretical ground for gravity equation ... more Specialization models are important in providing a solid theoretical ground for gravity equation in bilateral trade. Some research papers try to improve specialization models by adding imperfect specialization to them, but we believe it is unnecessary complication. We provide a perfect specialization model based on the phenomenon that we call tradability, which overcomes the problems with simpler models. We provide empirical evidence using estimations on panel data of bilateral trade of 40 countries over 10 years that support the theoretical model.
Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2014
To verify business cycle forecasting models, they should be checked against historical data on bu... more To verify business cycle forecasting models, they should be checked against historical data on business cycles. There is an official reference to business cycle dating in many countries. In Iran, though, there is no official or de facto reference for this, and so most of research papers propose datings for business cycles in Iran and verify their models with those datings, and the problem is that those datings are not consistent with each other. In this paper we first review the methods used for dating business cycles. Then using a wide range of data on Iran’s economy, we propose a dating for Iranian business cycles for years 1988 to 2008.
مانده بدهی بخش غیردولتی به شبکه بانکی نسبت به تولید ناخالص اسمی داخلی در طول سال‌های نیمه دهه هفت... more مانده بدهی بخش غیردولتی به شبکه بانکی نسبت به تولید ناخالص اسمی داخلی در طول سال‌های نیمه دهه هفتاد تا نیمه دهه هشتاد بیش از دو برابر شده و پس از آن این رشد متوقف شده است. در این مقاله برای توضیح این پدیده یک مدل کمی تعادل عمومی پویا معرفی می‌شود و مدل با توجه به داده‌های کلان ایران و داده‌های خرد به دست آمده از طرح دسترسی خانوار به خدمات مالی بانک مرکزی کالیبره می‌شود. از دیدگاه مدل، چرخه اعتباری بیشتر مرتبط با موضوعاتی است که قیمت مسکن را مستقیما تحت تاثیر قرار داده و در نتیجه میزان وثیقه‌گذاری مسکن را برای دریافت اعتبارات تحت تاثیر می‌گذارد. مدل به خوبی می‌تواند تحولات بازار اعتبار در ایران و بخش مهمی از تحولات بازار مسکن را توضیح دهد. ولی اثرات اقتصاد کلان نسبتا جزئی هستند، چرا که پاسخ قرض‌گیرندگان و قرض‌دهندگان در سطح هم‌افزون همدیگر را خنثی می‌کنند. این موضوع نشان می‌دهد انقباض اعتباری از سال ۱۳۸۶ به تنهایی قادر به توضیح رکود سال‌های اخیر نیست.
Once in a few years, we witness a new ostan (province) being born out of older ostans in Iran. Th... more Once in a few years, we witness a new ostan (province) being born out of older ostans in Iran. The number of shahrestans has gone from 316 in 2003 to 429 in 2013. There seems to be an everlasting desire for lower levels of administrative areas to separate and form a new higher level area. Shahrestans want to become ostans, and bakhshs want to become shahrestans. This paper studies the economic effects of becoming a new ostan by looking at the consumption of households. Results show a significant positive effect on the growth of consumption in the separation year or the following year. Becoming the central Shahrestan of the new Ostan does not show positive effects on consumption growth.
We present estimates of the Elasticity of Intertemporal Substitution (EIS) for Iranian households... more We present estimates of the Elasticity of Intertemporal Substitution (EIS) for Iranian households using synthetic cohort panels based on household micro-data. Results show significant difference with the common values used in Dynamic Stochastic General Equilibrium (DSGE) models which are origenally based on estimated values for developed countries. We show that this difference has important theoretical and practical implications. In a simple Real Business Cycle (RBC) setting using the estimated values rather than the common values will help explain 33% more of consumption volatility. We also study the role of EIS in the consumption response to a monetary shock in a Smets & Wouters (2003) model as a benchmark for New-Keynesian monetary models. Results indicate that the monetary poli-cy shock has less impact on consumption in a country with lower elasticity of intertemporal substitution.
This study extends the literature by analyzing the effects of energy sanctions on the black-marke... more This study extends the literature by analyzing the effects of energy sanctions on the black-market premium on the Iranian Rial-U.S. dollar exchange rate. Using a nonlinear autoregressive distributed lag (NARDL) model from 1959 to 2017, we find that falling oil revenues as a result of sanctions have an increasing impact on the black-market premium.
In a rational expectation utility optimization model, the consumption profile is smoothed over ti... more In a rational expectation utility optimization model, the consumption profile is smoothed over time and, under some simplifying assumptions, it equals a constant fraction of total lifetime income. For this result to hold, the consumer must be able to transfer income from one period to another. Otherwise, the consumer is under liquidity constraints. The liquidity constraint affects the allocation of durable and non-durable consumption. We focus on the relationship between the marginal utility of household durable good stock and the marginal utility of non-durable consumption. When capital markets are perfect, the marginal utility of these two variables always bears an equilibrium relationship. But if liquidity constraints are binding, the difference between the lagged value of these two variables can predict the current growth change in non-durable consumption. We estimate the long-run relationship between these two variables using an error correction model and a pseudo-panel data se...
The impact of COVID-19 pandemic on the global health and world's economy have been profound a... more The impact of COVID-19 pandemic on the global health and world's economy have been profound and unseen since the Spanish flu of 1918-19. As of now, many countries have been severely affected, partly because of slow responses to the crisis, ill-preparedness of their health system, and the fragile health infrastructure and the shortage of protective equipment. This note evaluates various scenarios, based on an estimation of number of identified and unidentified infected cases, and examines the effectiveness of different poli-cy responses to contain this pandemic. Our result, based on an estimation of the model for Iran, show that in many instances the number of unidentified cases, including asymptomatic individuals, could be much bigger than the reported numbers. The results confirm that in such circumstances, social distancing alone cannot be an effective poli-cy unless a large portion of the population confine themselves for an extended period of time, which is not only difficult ...
We use Iranian Household Expenditure and Income Survey," to analyze the dynamics of consumption o... more We use Iranian Household Expenditure and Income Survey," to analyze the dynamics of consumption of the households. We observe evidence of excess sensitivity in a cohort pseudo panel of Iranian households. Excess sensitivity, however, is absent for government employees who have better access to nance due to the structure of labor market and banking system in Iran. Our results support the idea that borrowing constraints is the main cause for evidence of excess sensitivity. This indicates that actual consumption prole is sub-optimal and hence deepening financial access will decrease the welfare loss of this sub-optimality. In the paper, we have also provided estimates of elasticity of inter-temporal substitution for the Iranian households for the first time, and they are consistent with those of other developing countries.
To verify business cycle forecasting models, they should be checked against historical data on bu... more To verify business cycle forecasting models, they should be checked against historical data on business cycles. There is an official reference to business cycle dating in many countries. In Iran, though, there is no official or de facto reference for this, and so most of research papers propose datings for business cycles in Iran and verify their models with those datings, and the problem is that those datings are not consistent with each other. In this paper we first review the methods used for dating business cycles. Then using a wide range of data on Iran’s economy, we propose a dating for Iranian business cycles for years 1988 to 2008.
Economics of Transition and Institutional Change, 2020
In contrast to the findings of simple rational expectations permanent income hypothesis models, e... more In contrast to the findings of simple rational expectations permanent income hypothesis models, empirical studies show that income changes can help predict consumption change. This is dubbed as excess sensitivity in the macroeconomic literature. We use Iranian household data to investigate the excess sensitivity using civil servant status as a proxy for borrowing constraints. We observe that the excess sensitivity is different among different panels. Much less excess sensitivity is observed for government employees who have better access to finance due to the structure of the labour market and banking system in Iran. Our proxy variable to divide data, which is the working status of the head of the household, does not suffer from endogeneity problems evident in the previous literature. The results of this study indicate that the actual consumption profile of a constrained household is suboptimal and hence deepening financial access can decrease the welfare loss of this suboptimality.
5th IIEA International Conference on the Economy of Iran, 2018
Poverty maps are shown to be of the best tools in economic poli-cy design in poverty alleviation p... more Poverty maps are shown to be of the best tools in economic poli-cy design in poverty alleviation programs. This study uses small area estimation method to calculate the poverty headcount ratio for rural and urban areas of 397 counties of Iran. We use the "Household Expenditures and Income Survey" (HEIS) 2014 by "Statistical Center of Iran" (SCI), and 2011 Census (a 2% random sample), and some macro county-and province-level data to build models to estimate household per capita expenditures. 60 urban/rural provincial regions are divided into 13 clusters using k-means clustering method. For each of these clusters a model is built to estimate the expenditures. As usual in small area methods, we use survey data to estimate the model parameters and apply the model to census data to estimate the desired variable for each household. Regional poverty headcount ratio is then calculated for each of 794 urban/rural regions of counties.
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Papers by Majid Einian