امیری, حسین
دانشگاه خوارزمی
[ 1 ] - مدل سازی شوک های مارک آپ با استفاده از مدل DSGE (مورد ایران)
This paper investigates the effects of markup shocks of domestic and export goods prices on macroeconomic variables by using a Dynamic Stochastic General Equilibrium (DSGE) model for Iran, in order to examine the effect of the growth of market power and monopoly in domestic and exporting markets from a macroeconomic viewpoint. To this end, the optimal pricing process of domestic, importing and ...
[ 2 ] - Investigating the effects of demographic change on the financial sustainability of the pension fund using the Overlapping Generation Model based on the DSGE model
This study examines the effects of demographic changes including decreasing fertility and increasing life expectancy and retirement age on the financial sustainability of the pension fund in Iran using the overlapping generation model and the Stochastic Dynamic General Equilibrium (DSGE) approach. The results of simulation and evaluation of impulse response functions and evaluation of correlati...
[ 3 ] - The effect of shadow banking on overdue receivables of the banking network: Evidence from Markov regime change models
In the present study, the effect of exchange rate and shadow banking along with the added value of different production sectors on the overdue receivables of the banking network in the period 2008: 2-2018: 4 has been investigated using the Markov regime change pattern. The results show that the effect of research variables in different regimes of overdue receivables is different, so that if def...
[ 4 ] - Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange
This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...
[ 5 ] - Investigating the Effects of Monetary and Financial Shocks on the Key Macroeconomic Variables, Focusing on the Intermediary Role of Banks Using DSGE Models
This study investigates monetary and financial shocks on macroeconomic variables, focusing on the role of banking intervention. For this purpose, a Keynesian dynamic stochastic general equilibrium (DSGE) model is designed for Iran’s economy that involves financial and banking sectors. The results of the model simulation show that the financial accelerator theory works in the Iranian economy. Al...
[ 6 ] - The effect of central bank interventions on exchange rate instability using the quantile method in Iran
The purpose of this study is to investigate the effect of central bank interventions in the foreign exchange market on exchange rate instability in Iran. Multiple regression method has been used to estimate the research model. The GARCH model (1, 1) has also been used to estimate exchange rate volatility. The Stavarek index was used to calculate the central bank intervention index. The closer t...