GMM model

The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized Method of Moments (GMM). The data were used daily during the period 2010-2017. Also, the effect of positive and negative fluctuations were separated and included as independent variables in the model. The results of fitting the model indicate that the effect of exchange rate and oil price fluctuations on the Stock index of Tehran Stock Exchange is direct. The results of the model estimation showed that the effect of the positive and negative fluctuations of the exchange rateon Stock Index of Tehran Stock Exchange is asymmetric, so that the effect of the exchange rate increase on the Stock index of stock exchange is far greater than the effect of its reduction. Oil price fluctuations have a direct relationship with the Stock index of Tehran stock exchange. JEL Classification: D82, C51,E32, G00.

In the discussions of trading, unemployment and income distribution inequality, this question is raised by economists that in economic development of developing and developed countries, which policy is necessary in the first stage. Is trading liberalization the pre-requirement of transfer from a close economy to a relative open economy and is it necessary for the developed economy compared to other policies, or after achieving an economic growth level and reduction of class difference, poverty and unemployment, the countries should start trade liberalization. By this pre-requirement, a two-stage systematic generalized method of moments technique (GMM) presented by Blundell & bond (1998) during 1991-2008 is applied to evaluate the relationship between three main indices for both groups of selected developed and developing countries. The results of study show that in both groups of countries, high production and increasing foreign direct investment provide open economy and can create employment and reduce unemployment but by increasing population growth rate, unemployment and inflation in both groups of countries, household income inequality is increased. The turning point of this study is regarding household income inequality as increased by increasing economic growth rate and control of open economy in developing counties but in developed countries, increasing economic growth rate and open economy, household income distribution is improved.  JEL Classification: C33, C36, D31, F43.