Semnan UniversityJournal of Econometric Modelling2345-654X7120220522Banking Crisis Prediction: A Dynamic Early Warning SystemBanking Crisis Prediction: A Dynamic Early Warning System938649010.22075/jem.2022.25793.1686FASeyed SalehAkbar MousaviPh.D. in Economics, Faculty of Economics and Management,
University of TabrizBehzadSalmaniProfessor in Economics, Faculty of Economics and Management,
University of TabrizJafarHaghighatProfessor in Economics, Faculty of Economics and Management,
University of TabrizHosseinAsgharpourProfessor in Economics, Faculty of Economics and Management,
University of TabrizJournal Article20220103The purpose of this study is to Prediction the possibility of a banking crisis in a dynamic early warning system framework. We using data compiled from 10 middle-income countries for the period 1996-2017 and estimate static and dynamic logit model. The estimation results show that the dynamic logit model is better than the static model. We find that broad liquidity ratio, domestic credit to GDP ratio and stock market index are early warning signs of banking crisis. Also, the dynamic variable (lagged banking crisis) shows that if a banking crisis occurs in a year ago, there is a possibility of crisis in this year. Our result shows the possibility of continuation and persistence of banking crises for consecutive years. Then, the evaluation results of warning system show dynamic early warning system turns out to exhibit significantly better predictive abilities than the existing static one, both in- and out-of-sample.The purpose of this study is to Prediction the possibility of a banking crisis in a dynamic early warning system framework. We using data compiled from 10 middle-income countries for the period 1996-2017 and estimate static and dynamic logit model. The estimation results show that the dynamic logit model is better than the static model. We find that broad liquidity ratio, domestic credit to GDP ratio and stock market index are early warning signs of banking crisis. Also, the dynamic variable (lagged banking crisis) shows that if a banking crisis occurs in a year ago, there is a possibility of crisis in this year. Our result shows the possibility of continuation and persistence of banking crises for consecutive years. Then, the evaluation results of warning system show dynamic early warning system turns out to exhibit significantly better predictive abilities than the existing static one, both in- and out-of-sample.https://jem.semnan.ac.ir/article_6490_3d387d2612f9027154ed3b99a7427da1.pdfSemnan UniversityJournal of Econometric Modelling2345-654X7120220522The effect of financial decentralization on the quality of education in the provinces of Iran: A panel co-integration approachThe effect of financial decentralization on the quality of education in the provinces of Iran: A panel co-integration approach3969649110.22075/jem.2022.26785.1718FAElhamFatholahiPh.D Student in Economics, Department of Economics, Lorestan UniversityMohammadAlizadehAssociate Professor in Economics, Department of Economics, Lorestan UniversityMasoudSaadatmehrAssitant Professor in Economics, Payame Noor University of Tehran0000-0002-6560-1507Journal Article20220406Over the past few decades, there has been a global trend towards the decentralization of governments to the efficient provision of public goods and services. Providing uniform and one-sided training under centralized system supervision may lead to lack of competition and inefficient use of public resources. In this regard, this study seeks to investigate the relationship between financial decentralization and the quality of education in the provinces of Iran. In order to obtain a long-term relationship, FMOLS, DOLS and PMG methods have been used for the period 2006 to 2018. The results showed that the effect of financial decentralization on the number of high school graduates is negative and significant. In other words, financial decentralization has had a negative effect on the number of high school graduates. Also, the effect of income decentralization on educational per capita is positive and significant. This means that increasing income decentralization has increased the per capita education of each student, which increases the quality of education in schools. But the decentralization relationship is cost negative and significant. In addition, the effect of financial decentralization on the teacher-student ratio is positive and significant. Therefore, income and cost decentralization will increase the teacher-student ratio and thus increase the quality of education.Over the past few decades, there has been a global trend towards the decentralization of governments to the efficient provision of public goods and services. Providing uniform and one-sided training under centralized system supervision may lead to lack of competition and inefficient use of public resources. In this regard, this study seeks to investigate the relationship between financial decentralization and the quality of education in the provinces of Iran. In order to obtain a long-term relationship, FMOLS, DOLS and PMG methods have been used for the period 2006 to 2018. The results showed that the effect of financial decentralization on the number of high school graduates is negative and significant. In other words, financial decentralization has had a negative effect on the number of high school graduates. Also, the effect of income decentralization on educational per capita is positive and significant. This means that increasing income decentralization has increased the per capita education of each student, which increases the quality of education in schools. But the decentralization relationship is cost negative and significant. In addition, the effect of financial decentralization on the teacher-student ratio is positive and significant. Therefore, income and cost decentralization will increase the teacher-student ratio and thus increase the quality of education.https://jem.semnan.ac.ir/article_6491_cd17d3ce3b64f227987cd92cd701cc58.pdfSemnan UniversityJournal of Econometric Modelling2345-654X7120220522Jump test and Estimate the Size and Probability of Jump in the Stock Market Using Stochastic Volatility ModelsJump test and Estimate the Size and Probability of Jump in the Stock Market Using Stochastic Volatility Models7196652410.22075/jem.2022.25338.1662FAAlirezaNajjarpourPhd Student of Finance ,Faculty of Administrative Science and Economics, University Isfahan0000-0003-4262-7883MojtabaRostamiPostdoctoral Researcher, Iran national science foundJournal Article20211123New findings show that volatility models with jump component are more successful than without jumping models in modeling stylized facts about the stock market. This study focuses on the role of jump in the return of the total index of Tehran Stock Exchange from the beginning of the trading day 1396 to the last trading day 1399. The empirical approach used for this purpose is different from the usual procedure for estimating parameters and performing diagnostic tests. In this approach, jump times, jump size and volatility are estimated. These estimates provide a dynamic picture of the role of these factors and are useful for analyzing periods of market pressure. The results of the jump existence test using Bayesian factor show the superiority of the stochastic<strong> </strong>volatility model with jump component and leverage effect (SVLJ) over other models. The results of estimating the SVLJ model show that only two jumps in the total index yield occurred with a probability between 0.015 and 0.02 in the time interval between the data of this study and six jumps with a probability greater than 0.01 occurred in the return. However, the jump component accounts for up to 15.75% of the efficiency changes, which, if not included in the modeling, will lead to inaccurate results in volatility and risk measurements. This is important because it is important to determine the share of jumps in periods of market stress, as the risk of a jump in returns usually cannot be covered, and investors may need to risk premium to bear these risks.New findings show that volatility models with jump component are more successful than without jumping models in modeling stylized facts about the stock market. This study focuses on the role of jump in the return of the total index of Tehran Stock Exchange from the beginning of the trading day 1396 to the last trading day 1399. The empirical approach used for this purpose is different from the usual procedure for estimating parameters and performing diagnostic tests. In this approach, jump times, jump size and volatility are estimated. These estimates provide a dynamic picture of the role of these factors and are useful for analyzing periods of market pressure. The results of the jump existence test using Bayesian factor show the superiority of the stochastic<strong> </strong>volatility model with jump component and leverage effect (SVLJ) over other models. The results of estimating the SVLJ model show that only two jumps in the total index yield occurred with a probability between 0.015 and 0.02 in the time interval between the data of this study and six jumps with a probability greater than 0.01 occurred in the return. However, the jump component accounts for up to 15.75% of the efficiency changes, which, if not included in the modeling, will lead to inaccurate results in volatility and risk measurements. This is important because it is important to determine the share of jumps in periods of market stress, as the risk of a jump in returns usually cannot be covered, and investors may need to risk premium to bear these risks.https://jem.semnan.ac.ir/article_6524_534488729ab74ff059356cb58c9907ef.pdfSemnan UniversityJournal of Econometric Modelling2345-654X7120220522Modeling the Determinant of Risk Aversion in the Iranian EconomyModeling the Determinant of Risk Aversion in the Iranian Economy97121664910.22075/jem.2022.23694.1608FAMahdiAminiradPh. D of Economics, Department of Economics, Bu-Ali Sina University, Hamedan, IranNaderMehreganProf of Economics, Department of Economics, Bu-Ali Sina University, Hamedan, IranAbolfazlShahabadiProf of Economics, Department of Economic, Alzahra University, Tehran, IranDavodJafarisereshtAssistant Prof of Economics, Department of Economics, Bu-Ali Sina University, Hamedan, IranJournal Article20210615In this study, risk aversion behavior in the Iranian economy has been explained. For this purpose, using various econometric methods, risk aversion parameter and sanctions intensity index in the Iranian economy during the period of April 2007 to March 2020 has been estimated. Then the average individual and social characteristics in Iranian society and inequality index using households' income and expenditur survey data and household income is calculated. The results show that the increase in the average age of the population, rental rates, gender ratio of women in society, the share of the married population in the population, fluctuations in GDP and the intensification of sanctions lead to an increase in risk aversion in the economy. Also, increasing economic growth, years of education, urbanization, household size, increasing income inequality, improving labor market conditions and car ownership rates are factors in improving risk taking in the economy.In this study, risk aversion behavior in the Iranian economy has been explained. For this purpose, using various econometric methods, risk aversion parameter and sanctions intensity index in the Iranian economy during the period of April 2007 to March 2020 has been estimated. Then the average individual and social characteristics in Iranian society and inequality index using households' income and expenditur survey data and household income is calculated. The results show that the increase in the average age of the population, rental rates, gender ratio of women in society, the share of the married population in the population, fluctuations in GDP and the intensification of sanctions lead to an increase in risk aversion in the economy. Also, increasing economic growth, years of education, urbanization, household size, increasing income inequality, improving labor market conditions and car ownership rates are factors in improving risk taking in the economy.https://jem.semnan.ac.ir/article_6649_0baf163c24ed14b515aaf57a9de5501c.pdfSemnan UniversityJournal of Econometric Modelling2345-654X7120220522Investigating the relationship between entrepreneurship, economic growth and employment; panel VAR approachInvestigating the relationship between entrepreneurship, economic growth and employment; panel VAR approach123153665010.22075/jem.2022.25702.1680FAAliBadraghnezadMSC student of Entrepreneurial management, Faculty of Humanities and physical education, Gonbad Kavous UniversityMohsenMohammadi KhyarehAssistant Professor, Department of Administrative Sciences and Economics, Faculty of Humanities and physical education, Gonbad Kavous University0000-0003-3977-0929BagherAdabi FirouzjaeeAssistant Professor, Department of Administrative Sciences and Economics, Faculty of Humanities and physical education, Gonbad Kavous UniversityJournal Article20211225the main purpose of this study was to investigate the endogenous interaction between entrepreneurship, economic growth, and employment in selected 30 emerging countries by means of Panel Vector Autoregressive Method (PVAR) and System Generalized Method of Moments (GMM-SYS) from 2009-2019. The empirical results show that, firstly, entrepreneurship with a rest period has a significant positive impact on employment. Secondly, economic growth leads to an increase in employment, but with a delay, and vice versa. Thirdly, there is a bidirectional causal relationship between entrepreneurial activity and employment, which suggests a dynamic interaction between entrepreneurship and employment. However, the relationship between entrepreneurship and economic growth (and vice versa) was not significant in the countries studied. This result is due to impact of different macroeconomic environments in emerging economies. In addition, the number of small-scale, informal, self-employed, and often non-productive entrepreneurs is greater than the number of productive entrepreneurs in these countries.the main purpose of this study was to investigate the endogenous interaction between entrepreneurship, economic growth, and employment in selected 30 emerging countries by means of Panel Vector Autoregressive Method (PVAR) and System Generalized Method of Moments (GMM-SYS) from 2009-2019. The empirical results show that, firstly, entrepreneurship with a rest period has a significant positive impact on employment. Secondly, economic growth leads to an increase in employment, but with a delay, and vice versa. Thirdly, there is a bidirectional causal relationship between entrepreneurial activity and employment, which suggests a dynamic interaction between entrepreneurship and employment. However, the relationship between entrepreneurship and economic growth (and vice versa) was not significant in the countries studied. This result is due to impact of different macroeconomic environments in emerging economies. In addition, the number of small-scale, informal, self-employed, and often non-productive entrepreneurs is greater than the number of productive entrepreneurs in these countries.https://jem.semnan.ac.ir/article_6650_126c2da128e5b044dc53405c25b4d8de.pdfSemnan UniversityJournal of Econometric Modelling2345-654X7120220522The effects of Economic Policy Uncertainty on the Insurance Industry (PMG approach)The effects of Economic Policy Uncertainty on the Insurance Industry (PMG approach)155178671410.22075/jem.2022.27386.1732FAAmir AliFarhangassistant professor.department of economics,payame noor universityJournal Article20220604The purpose of this study is to investigate the effects of Economic Policy Uncertainty (EPU) on the insurance industry in the Middle East and North Africa in the period 2000 to 2020. In this study, for the EPU variable, a composite index consisting of four policy variables is defined and calculated. The results of PMG estimation method for all three models of the present study show that EPU increases the premium in the short and long term and its long-term effect is greater than the short-term effect. Also, the variables of income, education, population, financial development index and institutional quality have increased premiums (in general, life and non-life) and their impact is positive and significant, but inflation variables have a negative and significant effect on premiums in all it has research models. Based on the research results, it is recommended to adopt appropriate and sustainable economic policies, pay attention to financial development, promote financial literacy and the quality of institutions for the prosperity of the insurance industry.The purpose of this study is to investigate the effects of Economic Policy Uncertainty (EPU) on the insurance industry in the Middle East and North Africa in the period 2000 to 2020. In this study, for the EPU variable, a composite index consisting of four policy variables is defined and calculated. The results of PMG estimation method for all three models of the present study show that EPU increases the premium in the short and long term and its long-term effect is greater than the short-term effect. Also, the variables of income, education, population, financial development index and institutional quality have increased premiums (in general, life and non-life) and their impact is positive and significant, but inflation variables have a negative and significant effect on premiums in all it has research models. Based on the research results, it is recommended to adopt appropriate and sustainable economic policies, pay attention to financial development, promote financial literacy and the quality of institutions for the prosperity of the insurance industry.https://jem.semnan.ac.ir/article_6714_e42ad93f7491f2a38ba2ec1416ef6f55.pdf