سیاستگذاریهای اقتصادی و مالی در حوزههای فوقالذکر در سطوح ملی، منطقهای و جهانی
parisa Mohajeri; Reza Taleblou
Abstract
The Probability of Informed Trading (PIN) is one of the important measures of market microstructure that is generally used to estimate the level of information asymmetry. Estimating PIN can be challenging due to boundary solutions, local maxima, and Floating Point Exceptions (FPE). Additionally, the ...
Read More
The Probability of Informed Trading (PIN) is one of the important measures of market microstructure that is generally used to estimate the level of information asymmetry. Estimating PIN can be challenging due to boundary solutions, local maxima, and Floating Point Exceptions (FPE). Additionally, the prevailing assumption of the existence of only one information layer per trading day in PIN is inconsistent with the real-world empirical evidence and exposes it to a considerable underestimation bias. In this paper, we estimate information asymmetry for 55 listed companies in the energy sector during the period from 2017:Q1 to 2023:Q2, utilizing the Multi-Layer Probability of Informed Trading (MPIN) model introduced by Ghachem and Ersan (2023). The findings indicate: First, the assumption of a single information layer is satisfied for only 2.67% of the 1,200 stock/season observations, which implies the necessity of using MPIN to estimate information asymmetry. Second, the use of PIN not only leads to significant underestimation bias, but also provides an inaccurate picture of the ranking of companies from the perspective of information asymmetry. Third, the energy sector faces an average information asymmetry of 34.4%, and estimations reveal that private information reached its peak in the summer of 2020, exceeding 49%. Fourth, the symbols "Bepeyvand" from the electricity, gas, and steam sub-sector and "Shapna" from the refining sub-sector hold the highest (64.75%) and lowest (18.9%) information asymmetry, respectively.
• مطالعات اقتصادی مرتبط با حاملهای انرژی (فسیلی، تجدیدپذیر و برق)
parisa Mohajeri; Ali Faridzad; Fatemeh Amirjahani
Abstract
Oil and natural gas production is not uniformly and homogeneously distributed across all provinces of Iran, whereas a major part of oil and gas incomes is consumed in provinces that do not have any significant role in oil and gas production. Therefore, any disruption in the production of oil and gas ...
Read More
Oil and natural gas production is not uniformly and homogeneously distributed across all provinces of Iran, whereas a major part of oil and gas incomes is consumed in provinces that do not have any significant role in oil and gas production. Therefore, any disruption in the production of oil and gas might expose the GDP growth of all provinces at risk. In this paper, the multiregional input-output table is calculated for the year 2015. Then, the hypothetical extraction method introduced by Dietzenbacher and Lahr (2013) is employed for estimating the effect of partial and complete extraction of oil and gas production in Khuzestan and other oil-oriented regions on the value-added of 71 economic activities in each of the regions. The findings reveal that firstly, following the extraction of oil and gas production in Khuzestan, the value added of this region reduces about %32 , while the extraction of the corresponding sector in other oil-related regions will mitigate this region’s value added by %14. Secondly, the relative reduction in the value added of economic sectors and each sector’s contribution of value-added reduction in each region depend on the economic structure of the interested region. The highest share of the total value-added reduction in each region belongs to the service sector in Tehran and agriculture in other non-oil regions. It seems that diversifying energy resources as well as supplying regions, enhancing fuel consumption efficiency, and renovating the transportation system are the most important policies to have more resilience.
• مطالعات اقتصادی مرتبط با حاملهای انرژی (فسیلی، تجدیدپذیر و برق)
parisa Mohajeri; reza Taleblou; Fatemeh KhanAhmadi
Abstract
Firm investment is one of the important financial decisions in the economy, which affects the value of companies and the wealth of shareholders, which can result in increasing welfare. Despite neglecting the effects of uncertainty in traditional investment theories, modern theories have introduced various ...
Read More
Firm investment is one of the important financial decisions in the economy, which affects the value of companies and the wealth of shareholders, which can result in increasing welfare. Despite neglecting the effects of uncertainty in traditional investment theories, modern theories have introduced various mechanisms for the impact of uncertainty on investment expenditures. Using the daily data of oil prices and the data of 131 companies listed on the Tehran Stock Exchange market during the period of 2008-2020, the factors affecting the investment of the companies are identified by emphasizing the oil price uncertainty. For this purpose, in the first step, the stochastic volatility model in the framework of the space-state approach is the basis for estimating the oil price uncertainty, and in the next, according to the results of the Hausman endogeneity test, the instrumental variable method is used to estimate the coefficients of the variables affecting investment. The findings indicate that first, the volatility of oil prices has no significant effect on investment. Second, firm size, profitability, inflation, and Tobin’s Q affect investment positively and significantly. Third, the financial leverage, which is reflected in the capital structure polices, has a significant negative effect on investment, meaning that more focus on debt financing leads to less corporate investment expenditures.
Ali Takroosta; Parisa Mohajeri; Teymour Mohamadi; Abbas Shakeri
Abstract
Considering the source of oil shocks, this study aims to investigate the effect of oil price shocks on the key macroeconomic variables of the OPEC countries. Even though oil shocks are originated by various factors, political risks are of great importance. Using structural vector-autoregressive model, ...
Read More
Considering the source of oil shocks, this study aims to investigate the effect of oil price shocks on the key macroeconomic variables of the OPEC countries. Even though oil shocks are originated by various factors, political risks are of great importance. Using structural vector-autoregressive model, we disentangled oil shocks and studied their impacts on OPEC’s GDP growth and inflation, using a Panel-VAR for 1994:1-2016:4. Our results highlight that among oil shocks, the oil price shocks stemming from the political risk of OPEC countries have the most significant impact on the OPEC's economic growth, while not having any significant impact on inflation of the countries. We also learned that oil supply shocks could also boost economic growth and increase inflation rates in OPEC countries, although these increases are not significant. Other oil price shocks will only lead to higher inflation in these countries without affecting OPEC's economic growth.
