Asian Economic and Financial Review

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Online ISSN: 2222-6737
Print ISSN: 2305-2147
Total Citation: 1219

No.5

Oil Price Shocks-Macro Economy Relationship in Turkey


Pages: 846-857
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Oil Price Shocks-Macro Economy Relationship in Turkey

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DOI: 10.18488/journal.aefr/2015.5.5/102.5.846.857


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Feride Ozturk 
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Feride Ozturk  (2015). Oil Price Shocks-Macro Economy Relationship in Turkey. Asian Economic and Financial Review, 5(5): 846-857. DOI: 10.18488/journal.aefr/2015.5.5/102.5.846.857
This paper analyzes the impact of oil price shocks on the selected macroeconomic variables in Turkey for the period of 1990Q1-2011Q4. Vector Autoregression (VAR) models and bivariate Granger causality tests are applied to determine the oil price shocks - macro economy relationship. The empirical findings show that both symmetric and positive oil price shocks decrease industrial production, money supply, and imports while the negative oil price shocks increase imports. Granger causality analysis demonstrate that symmetric and positive oil price shocks Granger-cause industrial production and imports in Turkey.

Contribution/ Originality
This study contributes in the existing literature by analyzing the impact of oil price shocks on net oil importing developing Turkish economy. This study also departs from previous studies relating Turkish economy and oil price shocks by considering the effects of both positive and negative oil price shocks on industrial production, imports, inflation, and money supply in Turkey.
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  3. Cunado, J. and F.P. Gracia, 2003. Do oil price shocks matter? Evidence for some European countries. Energy Economics, 25(2): 137–154.
  4. Cunado, J. and F.P. Gracia, 2005. Oil prices, economic activity and inflation: Evidence for some Asian countries. Quarterly Review of Economics and Finance, 45(1): 65-83.
  5. Dickey, D.A. and W.A. Fuller, 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of American Statistical Association, 74(336): 427-431.
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  11. Hamilton, D.J., 2003. What is an oil shock? Journal of Econometrics, 113(2): 363-398.
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  14. Mendoza, O. and D. Vera, 2010. The asymmetric effects of oil shocks on an oil-exporting economy. Cuadernos De Economia, 47(5): 3-13.
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The Study of Consumer Perception on Corporate Social Responsibility towards Consumers Attitude and Purchase Behavior


Pages: 831-845
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The Study of Consumer Perception on Corporate Social Responsibility towards Consumers Attitude and Purchase Behavior

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Hojatollah Vahdati --- Najmedin Mousavi --- Zohre Mokhtari Tajik 
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Hojatollah Vahdati --- Najmedin Mousavi --- Zohre Mokhtari Tajik  (2015). The Study of Consumer Perception on Corporate Social Responsibility towards Consumers Attitude and Purchase Behavior. Asian Economic and Financial Review, 5(5): 831-845. DOI: 10.18488/journal.aefr/2015.5.5/102.5.831.845
In today's competitive conditions which many of competitive indices of companies are similar, corporate social responsibility and morality have found a special place. Environmental issues like environmental pollution, greenhouse gases, ozone depletion, paying more attention to humanitarian (philanthropic) activities, morality, and economic issues and etc. make the importance of corporate social responsibility more prominent, so it can be used as a factor for developing a positive attitude to the product by the customers, thereby you can benefit from the market by making yourself different than other competitors and gaining the competitive advantage in order to increase the market share. This paper examines the impact of CSR on customer buying behavior regarding the role of mediator towards the company. Statistical population of the study is consisted of all consumers of dairy products companies including Pegah and Kaleh in Ahwaz . All the customers were selected by Cluster Sampling method and due to the infinite populations in statistical research and by considering the error level of 0.05 and the estimate accuracy rate of 0.07 and the success ratio of 0.5, around 200 households were estimated. Wong Szeki (2012) and Galbreath (2010) questionnaires have been used for collecting data. Research findings indicate that costumer positive attitude to corporate social responsibility has positive and direct impact on buying behavior.

Contribution/ Originality
This paper,s primary contribution is finding that corporate social responsibility has a very important role in creating positive attitude in the consumer,s and it leads to buying behavior. So all of companies can use this way to improve of sale in Iran or other countries in all of the world.
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Quanto Interest-Rate Exchange Options in a Cross-Currency Libor Market Model


Pages: 816-830
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Quanto Interest-Rate Exchange Options in a Cross-Currency Libor Market Model

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DOI: 10.18488/journal.aefr/2015.5.5/102.5.816.830


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Tsung-Yu Hsieh --- Chi-Hsun Chou --- Son-Nan Chen 
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Tsung-Yu Hsieh --- Chi-Hsun Chou --- Son-Nan Chen  (2015). Quanto Interest-Rate Exchange Options in a Cross-Currency Libor Market Model. Asian Economic and Financial Review, 5(5): 816-830. DOI: 10.18488/journal.aefr/2015.5.5/102.5.816.830
The purpose of this paper is to price quanto interest-rate exchange options (QIREOs) based on a practical and easy-to-use interest-rate model. According to the payoff structure of QIREOs, the cross-currency LIBOR market model (CLMM), in which the initial LIBOR market model (LMM) is extended from a single-currency economy to a cross-currency economy, is suitable to be adopted to price four different types of quanto interest-rate exchange options in this article. Our pricing formulae represent the general formulae in the framework of the CLMM. Hedging strategies are also provided for practical implementation.

Contribution/ Originality
This study originates new formulas for valuing different types of quanto interest-rate exchange options (QIREOs) under the framework of cross-currency LIBOR market model (CLMM). Our QIREO-pricing formulas are more tractable and feasible for practical implementation.
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Causality Analysis of Volatility in Exchange Rate and Stock Market Prices: A Case Study of Pakistan


Pages: 805-815
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Causality Analysis of Volatility in Exchange Rate and Stock Market Prices: A Case Study of Pakistan

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Rana Ejaz Ali Khan --- Rafaquat Ali 
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Rana Ejaz Ali Khan --- Rafaquat Ali  (2015). Causality Analysis of Volatility in Exchange Rate and Stock Market Prices: A Case Study of Pakistan. Asian Economic and Financial Review, 5(5): 805-815. DOI: 10.18488/journal.aefr/2015.5.5/102.5.805.815
This study attempted to investigate the direction of causation between the volatilities of exchange rate and stock market prices in Pakistan. Monthly time series data of Karachi Stock Exchange prices (KSE-100 Index) and exchange rate of Pakistan (Rupee against US Dollar) is used for the period of January 1992 to February 2013. Philips Perron (PP) unit root test is applied to check the stationarity. PP test results show that all variables were stationary at first difference. GARCH model is applied on each variable to measure the volatility. Then the series of each variable are used for Granger causality analysis. The results of Granger causality test show a bidirectional relationship between the exchange rate volatility and the variability of stock market prices in Pakistan.

Contribution/ Originality
This study is one of very few studies which have investigated the relationship of the variability of stock prices and exchange rate in Pakistan. In this study, we use conditional standard deviation of each variable as a measure of volatility and then use causality analysis.
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  21. Pilinkus, D. and V. Boguslauskas, 2009. The short-run relationship between stock market prices and macroeconomic variables in Lithuania: An application of the impulse response function. Engineering Economics, 5(65): 15-25.
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  28. Yusuf, M.M. and H.A. Rahman, 2012. The granger causality effect between the stock market and exchange rate volatility in the ASEAN countries. IEEE Symposium on Business, Engineering and Industrial Applications, Malaysia.
  29. Zia, Q.Z. and Z. Rahman, 2011. The causality between stock market and foreign exchange market of Pakistan. Interdisciplinary Journal of Contemporary Research in Business, 3(5): 906-919.

A Comparative Study of Efficiency between Conventional and Islamic Banks in Indonesia


Pages: 790-804
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A Comparative Study of Efficiency between Conventional and Islamic Banks in Indonesia

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Shinta Amalina Hazrati Havidz --- Chandra Setiawan 
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Shinta Amalina Hazrati Havidz --- Chandra Setiawan  (2015). A Comparative Study of Efficiency between Conventional and Islamic Banks in Indonesia. Asian Economic and Financial Review, 5(5): 790-804. DOI: 10.18488/journal.aefr/2015.5.5/102.5.790.804
This paper investigates the bank efficiency as a basis performance measurement in the Conventional and Islamic banks in Indonesia in the period of January 2008 ? September 2013 using quarterly-published report data of Central Bank (Bank Indonesia) with 6 Conventional banks and 3 Islamic banks in Indonesia as the samples of the research. The Bank efficiency in this research is measured using financial ratios and macroeconomics as determinants of Return on Assets (ROA) and non-parametric approach DEA (Data Envelopment Analysis). In term of variables that determine ROA using panel least square by estimating Fixed Effect Method (FEM), the findings reveal that there are significant effects of Loans to deposit ratio (LDR), Operational efficiency ratio (OER) and GDP growth rate to ROA and there are no significant effects of Capital Adequacy ratio (CAR), Size and inflation rate in the Conventional banks in Indonesia. On the other hand, all the independent variables have significant effect to ROA, except financing to deposit ratio (FDR) in the Islamic banks in Indonesia. GDP growth rate is the highest coefficient among the determinant variables used in this research that affect ROA of both Conventional and Islamic banks and the weakest coefficient that affects ROA is CAR in the Conventional banks and FDR in the Islamic banks. The findings of DEA indicate that the bank inefficiency is caused of not-well function of banks and managers of banks are not able to use the firms? given resources.

Contribution/ Originality
This research aims to compare the efficiency of Conventional and Islamic banks in Indonesia through parametric and non-parametric approach as one of few studies in the research of comparison banking area conducting two approaches at once.
  1. Al-Qudah, A.M. and M.A. Jaradat, 2013. The impact of macroeconomic variables and banks characteristics on Jordanian islamic banks profitability: Empirical evidence. International Business Research, 6(10): 153-162.
  2. Athanasoglou, P.P., S.N. Brissimis and M.D. Delis, 2005. Bank-specific, industry specific and macroeconomic determinants of bank profitability. Working Paper No. 25: 5-35.
  3. Bader, M.K., S. Mohamad and T. Hassan, 2008. Cost, revenue, and profit efficiency of islamic versus conventional banks: International evidence using data envelopment analysis. Islamic Economic Studies, 15(2): 24-76.
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  6. Firdaus, M.F. and M.N. Hosen, 2013. Efficiency of syariah commercial banks using two-stage data envelopment analysis approach. Buletin Ekonomi Moneter dan Perbankan, 16(2): 167-188.
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  12. Hesti, D.A., 2010. Analisis pengaruh ukuran perusahaan, kecukupan modal, kualitas aktiva produktif (KAP), dan likuiditas terhadap kinerja keuangan. Semarang: Universitas Diponegoro.
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Impact of Working Capital Management on Firm Profitability: The Case of Listed Manufacturing Firms on Ho Chi Minh Stock Exchange


Pages: 779-789
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Impact of Working Capital Management on Firm Profitability: The Case of Listed Manufacturing Firms on Ho Chi Minh Stock Exchange

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DOI: 10.18488/journal.aefr/2015.5.5/102.5.779.789


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Tran Viet Hoang 
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Tran Viet Hoang  (2015). Impact of Working Capital Management on Firm Profitability: The Case of Listed Manufacturing Firms on Ho Chi Minh Stock Exchange. Asian Economic and Financial Review, 5(5): 779-789. DOI: 10.18488/journal.aefr/2015.5.5/102.5.779.789
This study is aimed at investigating the relationship between working capital management and profitability. This study is based on a panel data of 98 manufacturing firms listed on Ho Chi Minh City Stock Exchange for a period 6 years (from 2009 to 2014). The results of Pearson?s correlation and fixed effects multiple regression analysis found significant negative relationships between cash conversion cycle, net trade cycle, average collection period, average inventory period, average payment period and return on assets. So managers can improve the firm?s profitability by reducing cash conversion cycle, net trade cycle and it?s components to an optimal level. Further, the control variables including liquidity, leverage, firm size and firm growth also have significant effects on firm profitability. In particular, the findings also imply that managers can use net trade cycle instead of cash conversion cycle confidentially.

Contribution/ Originality
The paper's primary contribution is finding that it is significant negative relationships between working capital management (WCM) and return on assets. In which, WCM variable include: cash conversion cycle, net trade cycle, average collection period, average inventory period, average payment period and return on assets
  1. Arunkumar, O.N. and R.T. Radha, 2013. Working capital management and profitability: A sensitivity analysis. International Journal of Research and Development, 2(1).
  2. Daniel, M.M. and J. Ambrose, 2013. Working capital management and firm profitability: Empirical evidence from manufacturing and construction firms listed on Nairobi securities exchange, Kenya. International Journal of Accounting and Taxation, 1(2).
  3. Ebrahim, M. and J.M. Datin, 2012. The effect of working capital management on firm’s profitability: Evidence from Singapore. Interdisciplinary Journal of Contemporary Research in Business, 4(5).
  4. Jayarathne, T.A.N.R., 2014. Impact of working capital management on profitability: Evidence from listed companies in Sri Lanka. Proceeding of the 3rd International Conference on Management and Economics, Oral Presentations. pp: 269-274.
  5. Joana, F.L.G., 2011. The impact of working capital management upon companies’ profitability: Evidence from European companies. FEP Working Papers No. 438.
  6. Kesseven, P., 2006. Trends in working capital management and its impact on firms performance: An analysis of Mauritian small manufacturing firms. International Review of Business Research Papers, 2(2): 45-58.
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  8. Mohammad, A., 2011. Working capital management and corporate profitability: Evidence from Iran. World Applied Sciences Journal: 1093-1099. ISSN: 1818-4952.
  9. Shaskia, G.S., 2012. The effects of working capital management on the profitability of Dutch listed firms. Working Paper, University of Twente.
  10. Stephen, K.K., 2012. Analysis of effects of working capital management on profitability of manufacturing companies: A case study of listed manufacturing companies on Nairobi securities exchange. Working Paper, Kabarak University.
  11. Tendai, Z. and M. Enard, 2014. The association between working capital management and profitability of non-financial companies listed on the Zimbabwe stock exchange. International Journal of Research in Social Sciences, 3(8).
  12. Thair, A.K. and Z.R. Imad, 2012. Profitability and working capital management: The Jordanian case. International Journal of Economics and Finance, 4(4).

Inflation And Unemployment Nexus In Nigeria: Another Test of the Phillips Curve


Pages: 766-778
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Inflation And Unemployment Nexus In Nigeria: Another Test of the Phillips Curve

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DOI: 10.18488/journal.aefr/2015.5.5/102.5.766.778


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Anthony Orji --- Onyinye .I. Anthony-Orji --- Joan C. Okafor 
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Anthony Orji --- Onyinye .I. Anthony-Orji --- Joan C. Okafor  (2015). Inflation And Unemployment Nexus In Nigeria: Another Test of the Phillips Curve. Asian Economic and Financial Review, 5(5): 766-778. DOI: 10.18488/journal.aefr/2015.5.5/102.5.766.778
This research work examines the inflation and unemployment nexus in Nigeria by testing if the original Phillips curve proposition holds for Nigeria. The study adopted a distributed lag model with data covering the period 1970-2011. The consumer?s price index (a measure of inflation rate), was regressed on unemployment rate, growth rate of money supply, budget deficit, real gross domestic product, interest rate and the lag of current interest rate. The result reveals that unemployment is a significant determinant of inflation and that there is a positive relationship between inflation and unemployment rate in Nigeria. This finding invalidates the original proposition on the Phillips curve hypothesis in Nigeria. The study therefore recommends that the economy should be diversified and appropriate policies should be put in place by Government and the monetary authorities in order to curb the menace of inflation and unemployment and consequently reduce the problem of stagflation in Nigeria. Again, there is a need for strong institutional collaboration in dealing with these two macroeconomic variables; unemployment and inflation as have been recommended in the paper.

Contribution/ Originality
This study contributes to the existing literature by using a distributed lag model to Inflation and Unemployment Nexus in Nigeria. The result reveals that there is a positive relationship between inflation and unemployment rate in Nigeria. This finding invalidates the original proposition on the Phillips curve hypothesis in Nigeria.
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Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange


Pages: 757-765
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Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange

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Ahmad Mohammad Obeid Gharaibeh --- Abdullah Ali Tami Swailem Al Azmi
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Ahmad Mohammad Obeid Gharaibeh --- Abdullah Ali Tami Swailem Al Azmi (2015). Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange. Asian Economic and Financial Review, 5(5): 757-765. DOI: 10.18488/journal.aefr/2015.5.5/102.5.757.765
This study examines the presence of the day-of-the-week effect anomaly in the Kuwait Stock Exchange (KSE) using Ordinary Least Square Method (OLS). The day-of-the-week effect is a phenomenon that constitutes a form of anomaly of the efficient capital markets theory. According to this phenomenon, the average daily return of the market is not the same for trading days of the week, as we would expect on the basis of the efficient market theory. This study investigates day of the week effect on the available data of daily returns on the weighted index in the Kuwait Stock Exchange with the period from January 2002 to September 2011. The findings show that KSE exhibits positive returns on the first and the last day of the week with significant negative returns on the Second day of the Trading week.

Contribution/ Originality
This study is one of very few studies which have investigated the presence of the day-of-the-week effect anomaly in the Gulf Cooperation Council (GCC) countries in general and in the state of Kuwait in particular. The study uses new estimation methodology as the trading days in Kuwait changed from (Saturday-Wednesday) to (Sunday-Thursday) during the study period due to the change in the weekend in September 2007).
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  5. Al-Mutairi, 2010. An investigation of the day-of-the-week effect in the Kuwait stock exchange. Research Journal of Internat?onal Stud?es, 16(September): 192-193.
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  20. Mehdian, S. and J.P. Mark, 2001. The reversal of the monday effect: New evidence from U.S. Equity markets. Journal of Business Finance and Accounting, 28(7 & 8): 1043-1065.
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Investigating the Housing Price Bubble in Metropolises of Iran during 2000-2006


Pages: 747-756
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Investigating the Housing Price Bubble in Metropolises of Iran during 2000-2006

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Abdalali Monsef --- Abolfazl Shahmohammadi Mehrjardi --- Maryam Khorsandi --- Hamed Monsef 
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Abdalali Monsef --- Abolfazl Shahmohammadi Mehrjardi --- Maryam Khorsandi --- Hamed Monsef  (2015). Investigating the Housing Price Bubble in Metropolises of Iran during 2000-2006. Asian Economic and Financial Review, 5(5): 747-756. DOI: 10.18488/journal.aefr/2015.5.5/102.5.747.756
Non-optimal allocation of resources, increased levels of speculative activities, increased transfer of capital in asset market can be considered as the main results of housing price bubble. The main reason for the importance of study of housing price bubble, separate from its importance as an asset, is that its price has a significant effect on household and government decisions. Therefore, the identification of the price bubble in the housing market is very important for the policymakers to take the proper policy. In this study, the panel data method is used to estimate the housing demand function and identify the housing price bubble in 11 metropolises of Iran during 2000-2006. Then, the residual term of estimated model is considered as the housing price bubble. The results indicate the existence of price bubbles in metropolises such as housing price bubble in Tehran declined since the 2002 and continued until 2006. But due to this recession, the housing market in other provinces prospered so that it reflects the increased price bubble during intended period.

Contribution/ Originality
This study is one of particular studies which have investigated the housing price bubble in metropolises of Iran (11 metropolis) during 2000-2006. In this study, the panel data method has been used to estimate the housing demand and the relationship between housing price bubble and GDP, stock price, the price of gold, housing, bank loans and inflation have been investigated for the first time as well.
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An Investigation into the Efficiency of Monetary and Fiscal Policies in Iran Case Study: The 4th Economic Development Plan


Pages: 734-746
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Mansour Zarra-Nezhad --- Sahar Motamedi --- Amir Hossein Montazer Hojat --- Ebrahim Anvari 
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Mansour Zarra-Nezhad --- Sahar Motamedi --- Amir Hossein Montazer Hojat --- Ebrahim Anvari  (2015). An Investigation into the Efficiency of Monetary and Fiscal Policies in Iran Case Study: The 4th Economic Development Plan. Asian Economic and Financial Review, 5(5): 734-746. DOI: 10.18488/journal.aefr/2015.5.5/102.5.734.746
This study investigates the efficiency of the quantitative targets of monetary and fiscal policies of Iranian 4th economic development plan using dynamic simulation approach. An open macro economy model was designed and eleven behavioral equations were estimated for different economic sectors of Iran for the period of 1971-2004 using autoregressive distributed lag model (ARDL). When the accuracy of the model was determined, the quantitative targets of monetary and fiscal policies of the plan were implemented through a scenario and their effects on some of macroeconomic variables were anticipated for the period of 2005-2013. The comparison of anticipated, realized and targeted values suggests that a more contractionary monetary policy can be used to decline inflation. It should be noted, however, that this policy reduces production and causes depression. To minimize the negative effects of contractionary monetary policy on production sector, more concentration on improved productivity, cost efficiency and improved economic infrastructures are recommended. Judgment concerning the efficiency of fiscal policy targets requires deliberation. The large government size in Iranian economy raises incomes and increases government expenditure. Government income and expenditure should be set and allocated in a manner that it can prepare the prerequisite for minimizing government role in economy and developing the private sector activities. To determine the achievable quantitative targets for fiscal policies it is necessary to determine the optimal government size for Iranian economy, considering the lags of fiscal policies and a long-term planning with the least possible deviation during implementation.

Contribution/ Originality

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