Tag: C22

EFFECT OF COMMODITY PRICES ON INFLATION PERSISTENCE: PARTIAL ADJUSTMENT APPROACH

SURIANI

Department of Islamic Economics, Faculty of Economics and Business, Universitas Syiah Kuala, Banda Aceh, Indonesia

suriani@unsyiah.ac.id

Fuad RIDZQI

Department of Development of Economics, Faculty of Economics and Business, Universitas Syiah Kuala, Banda Aceh, Indonesia

fuadrizqi@rocketmail.com

Abstract

The objective of this study is to measure the inflation persistence level in Aceh Province. By using the autoregressive model, the level of persistence counted in general and the level of inflation persistence of commodity groups counted from forming consumer price index (CPI). In addition, this study also explores the source of inflation pressure from these commodity groups by using a partial adjustment model (Partial Adjustment Model). The observation period is the year 2005-2014 using monthly data. The results of this study found that the inflation persistence rate in Aceh Province was relatively low. However, there are several inflation rate variables for CPI commodity groups that exceed the inflation persistence level in common. The source of inflationary pressure discovered also comes from two variables with relatively high persistence levels from other variables, namely foodstuff commodity group variables (BM) and housing, water, electricity, gas, fuel (PERAL) commodity groups. These variables represent the components of inflation of volatile foods and administered price inflation. This study provides recommendations to relevant policymaker in coordinating, preventing, and overcoming the effects of volatile foods and administered prices on inflation by maintaining the supply of goods (supply stock) and regulating prices that are in line with people’s purchasing power

Keywords: Inflation Persistence, Autoregressive, Commodity Prices

JEL classification: C22, E31, E52
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OPTIMAL PORTFOLIO SELECTION WITH VALUE AT RISK CRITERION IN SELECTED TEHRAN STOCK EXCHANGE COMPANIES (PSO AND MPSO APPROACHES)

Hamidreza FAALJOU

Assistant Professor of Economics, Urmia University

h.faahjou@urmia.ac.ir

Kiumars SHAHBAZI

Associate Professor of Economics, Urmia University

K.shahbazi@urmia.ac.ir

Ebrahim NASIRIAN

Ph.D. of Economics, Urmia University, Corresponding Author

nasirian1353@gmail.com

Abstract

The optimal portfolio selection problem has always been the most important issue in the modern economy.  In this Study, It has been shown that how an investment with n risky share can achieve the certain profits with less risk that spread between stocks. Such a portfolio, it is called an efficient portfolio and it is necessary to find solving the optimization problem. Hence, the Improved Particle Swarm Optimization algorithm is used. The value of Portfolio and its risk are applied as the parameters in optimizing aim and criterion value exposed to contingent risk. Three intended applications have been indicated to the portfolio. In the next stage ,to evaluate and validate the method and to estimate the value of the portfolio in the next days and hold the series of the stock prices ,within a specified period, to predict the price and The Autoregressive method algorithms is used for modeling of the time-series. Practical result achieved for solving the portfolio optimization problem in Tehran Stock Exchange for the next day, by choosing the basket which includes 20 companies among the 30 most active industry indicates the performance and high capability of the algorithms and used in solving constrained optimization and appropriate weighted portfolios.

Keywords: Portfolio Selection, Conditional Value at Risk, Particle Swarm Optimization algorithm, Price and Return Forecasting

JEL classification: C22, G12, G24
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THE RELATIONSHIP BETWEEN HEALTH CARE AND TOURISM DEMAND IN IRANIAN ECONOMY

Majid FESHARI

Assistant Professor of Economics, Kharazmi University (Corresponding Author)

majid.feshari@gmail.com

Hedayat HOSSEINZADEH

Assistant Professor, Department of Economics, Payame Noor University, Iran

hedhus@gmail.com

Abstract

The relationship between health care and international tourism is one of the important issues in tourism literature. The main objective of this study is to investigate the correlation between health care and international tourism in the long-run and short-run by using a fully modified ordinary least square (FMOLS) and Toda-Yamamoto approach over the time period of 1971-2016. The empirical results of this study indicate that there is a long-run relationship between health care and tourism. Health care has a positive and significant effect on the tourists’ arrivals as a proxy for international tourism demand. Moreover in the short-run, the results suggest that there is unilateral causality from health care to international tourism. Hence, the main implication policy of the study is that policy makers should adopt policies to improving health care and attract more international tourists.

Keywords: Health Care, International Tourism, FMOLS, Toda and Yamamoto Approach

JEL classification: C22, I10
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