https://economic.mofidu.ac.ir/ The Journal of Economic Studies and Policies en daily 1 Fri, 20 Feb 2026 00:00:00 +0330 Fri, 20 Feb 2026 00:00:00 +0330 https://economic.mofidu.ac.ir/article_735074.html https://economic.mofidu.ac.ir/article_733408.html The yield curve plays a pivotal role in assessing government financing costs, measuring risk, and forming interest rate expectations. As dependence on public debt rises, accurate yield curve estimation becomes increasingly critical. While previous empirical studies in Iran have focused exclusively on Islamic Treasury Bills (ITBs), this study estimates the yield curve using a combined dataset of ITBs and Government Murabaha Bonds (GMBs) through the Nelson-Siegel (NS), Nelson-Siegel-Svensson (NSS), and spline models. Incorporating GMBs enhances curve fitting, although ITBs alone provide adequate estimates. The Diebold-Mariano test indicates no significant differences among models when using only ITBs. However, with the combined dataset, the baseline model outperforms the spline approach, though without a statistically significant advantage over the Nelson-Siegel model. Collinearity is rejected for the NS specification but confirmed for the NSS model. Analysis of the level (β₀) and slope (β₁) factors reveals stationary dynamics, suggesting stable underlying processes. Given the limited maturity diversity and low trading volumes in Iran's debt market, the NS model is recommended for practical applications. Several policy measures—including issuing securities with broader maturity ranges, introducing short-term zero-coupon and long-term inflation-indexed instruments, publishing a transparent issuance calendar, and enhancing coordination between the Ministry of Economy and the Central Bank—would improve data quality, yield curve continuity, and monetary policy effectiveness https://economic.mofidu.ac.ir/article_733411.html In an era marked by growing income inequality that threatens social stability and sustainable growth, and amid the evident inefficiencies of traditional redistribution mechanisms, Artificial Intelligence (AI) emerges as a dual-edged sword. While AI offers powerful tools for designing more equitable policies, it also risks exacerbating disparities by accelerating skill-biased technological change. This study first outlines a normative framework for justice to guide the design of equitable algorithms, addressing critical challenges such as algorithmic bias, privacy concerns, and lack of transparency. It emphasizes integrating principles of distributive justice, participatory design, human-in-the-loop oversight, and privacy-by-design into AI systems. Focusing on AI’s role as a policymaking tool, the study demonstrates its potential to optimize the equity-efficiency trade-off using an agent-based simulation. A virtual economy was modeled with four intelligent household agents and a social planner (government), testing three fiscal scenarios: zero, heavy, and balanced taxation. Results indicate that the balanced tax policy, compared to the zero-tax scenario, improved equity by 6.18% at the cost of a 4.83% efficiency reduction. Moreover, relative to the heavy-tax scenario, it enhanced efficiency by 12.2% with only a 1.9% equity reduction. This rebalancing ultimately raised social welfare—by 0.79% compared to the zero-tax scenario and by 10.27% compared to the heavy-tax scenario. These findings highlight the value of AI-driven simulation as a policy laboratory for designing smarter, more equitable fiscal systems. https://economic.mofidu.ac.ir/article_724394.html This study introduces a novel framework for nowcasting Iran's quarterly GDP growth by leveraging sentiment analysis of economic news. A web crawler was employed to collect economic news articles from March 2005 to December 2023. The sentiment orientation (negative, neutral, positive) and intensity of each article were quantified using the Persian adaptation of the SentiStrength lexicon. Quarterly aggregation of these scores formed a composite news sentiment index. Statistical analysis reveals a significant correlation between this index and quarterly economic growth, offering valuable insights into Iran's short-term economic fluctuations. Furthermore, incorporating the sentiment index into a forecasting model leads to superior performance metrics compared to a benchmark univariate time-series model. By capturing shifts in economic sentiment in real-time, this approach provides a more timely and comprehensive understanding of Iran's economic trajectory, even prior to the release of official GDP statistics. https://economic.mofidu.ac.ir/article_731249.html Economic growth stands as one of the most pivotal macroeconomic objectives for Iran. Consequently, identifying and examining the factors influencing the country's economic growth is of paramount importance. This study employs a Mixed Data Sampling (MIDAS) approach to investigate the impact of exports on economic growth during the period 2004-2023 (1383-1402 in the Persian calendar). The findings reveal that the effect of exports on economic growth is contingent upon the prevailing monetary policy stance and the rate of exchange rate growth. Specifically, the results demonstrate that when low export levels coincide with a contractionary monetary policy and high exchange rate growth, economic growth exhibits a strong positive response to the export situation. Conversely, under an expansionary monetary policy, the response of economic growth to exports is conditional on exchange rate movements. If the exchange rate remains stable amid a high number of exchange rate interventions, economic growth shows little responsiveness to exports. This research underscores that the impact of exports on economic growth is not direct, but rather mediated by the interplay between monetary policy and exchange rate dynamics.    https://economic.mofidu.ac.ir/article_731600.html Productivity stands as a fundamental driver of economic growth and development, commanding significant attention from both advanced and developing economies in recent decades. The growth of productivity is shaped by various factors contingent upon national conditions and economic environments. Notably, the digital economy—supported by the expansion of information and communication technology (ICT) and its infrastructure—offers substantial opportunities for enhancing productivity. This study examines the effect of digital economy indicators on total factor productivity (TFP) in a selection of developing Asian countries from 2003 to 2022 using a panel data model with fixed effects. Estimation results reveal that the E-Government Development Index and the E-Commerce Index exert a positive and statistically significant impact on TFP. Furthermore, a composite digital economy index also demonstrates a positive and significant influence on TFP. These findings suggest that policymakers in developing Asian economies can foster total factor productivity by strategically advancing digital economy indicators. https://economic.mofidu.ac.ir/article_734335.html This study investigates the impact of government financial commitments on capital budget deviation in Iran over the period 2001–2023. Utilizing the Autoregressive Distributed Lag (ARDL) framework, the empirical results demonstrate that an increase in financial obligations—including debt servicing and subsidy payments—exacerbates deviations in the capital budget in both the short run and the long run. Furthermore, reliance on oil revenues and growth in current expenditure significantly amplify such deviations, whereas higher tax revenues and economic growth serve to mitigate them. These findings suggest that budget deviations arise not merely from economic constraints but also from political pressures. Grounded in public choice theory, the analysis implies that policymakers facing resource scarcity tend to prioritize immediate commitments over long-term investments as a strategy to secure short-term political support. The insignificance of the election-year variable indicates that electoral competition predominantly centers on current spending rather than on infrastructure projects. Ultimately, the burden of financial commitments impedes the realization of budget targets. Accordingly, comprehensive reforms in subsidy policies, debt management, reduction of oil dependency, and strengthening of the tax base are essential to curbing budget deviations and enhancing fiscal efficiency. https://economic.mofidu.ac.ir/article_724393.html This study aimed to analyze bank stability with an emphasis on the role of macroeconomic shocks in Iran's economy. Employing the Factor Augmented Vector Autoregression (FAVAR) approach, the research was conducted annually on a relatively small scale over the period 1991–2022 to examine macroeconomic shocks and bank stability. Recent studies indicate growing attention towards models that incorporate a wide range of economic information in their framework. This has been facilitated by augmenting traditional Vector Autoregression (VAR) models with one or more unobserved factors. The effects of shocks to output, inflation, the exchange rate, oil revenues, and the money supply were investigated. Four indicators were used to estimate the latent variable of bank stability, including Return on Assets (ROA), liquidity risk, leverage, and the Z-score. According to the results, shocks to the money supply, inflation, output, oil revenues, and the exchange rate generate ripple effects within the banking sector, persisting for approximately 3 to 6 years. Furthermore, the impact of inflation, money supply, and the exchange rate on the banking sector is more prolonged and persistent than that of output and oil revenue shocks. The banking sector responds to inflation and exchange rate shocks more promptly than to other shocks. Notably, an increase in the money supply does not immediately translate into production and investment activities, suggesting a probable delayed transmission. Additionally, an inflation shock exerts a stronger impact on bank stability in the short term, with its effect diminishing over the long term. https://economic.mofidu.ac.ir/article_729279.html Exchange rate volatility poses a significant challenge to MENA economies, adversely affecting economic stability, foreign trade, and investment flows. This study investigates the impact of budget deficits and central bank transparency on exchange rate volatility in selected MENA countries from 2010 to 2022. Employing a Wavelet Quantile Regression approach, the analysis captures nonlinear relationships across different time horizons and distribution quantiles. The findings reveal that both budget deficits and monetary policy transparency significantly influence exchange rate volatility, with distinct temporal patterns: monetary policy transparency exerts stronger effects in the short term, while budget deficits demonstrate more pronounced impacts in the short and medium terms. These effects notably diminish in the long run. The study underscores that enhancing central bank transparency and implementing prudent fiscal policies are crucial for mitigating exchange rate volatility and promoting economic stability in the region. https://economic.mofidu.ac.ir/article_733407.html The implementation of monetary policy in developing economies, such as Iran, confronts substantial challenges due to asymmetric information concerning inflation expectations, the volume of active liquidity, and sectoral shocks. This study employs the framework of mechanism design theory to propose a monetary policy structure that enables the central bank to approximate optimal decision-making, even in the presence of such hidden information. To this end, an incentive-compatible monetary policy rule is first formulated, utilizing observable indicators—including the free-market exchange rate, the money-to-liquidity ratio, and the official inflation rate—as behavioral signals. Subsequently, the performance of this proposed rule is evaluated against the conventional Taylor rule using monthly data from the Iranian economy spanning 2006 to 2023. Estimation results from a vector autoregressive (VAR) model indicate that the proposed rule outperforms the Taylor rule, yielding a significant reduction in the overall policy error. Furthermore, impulse response functions illustrate that the reactions of key variables, such as the exchange rate and inflation, to policy shocks exhibit more stable and controllable dynamics within the proposed mechanism framework. https://economic.mofidu.ac.ir/article_724395.html This study aims to design an optimal investment portfolio to minimize risk and enhance returns. Using daily data from 10 active companies listed on the Tehran Stock Exchange from October 30, 2016, to April 29, 2023, we employ the Time-Varying Parameter Vector Autoregression (TVP-VAR) model. Portfolio optimization is conducted using the Minimum Variance Portfolio (MVP), Minimum Correlation Portfolio (MCP), and Minimum Connectivity Portfolio (MCoP) approaches. The results show that the MVP strategy yields the highest cumulative portfolio returns. Under normal market conditions, the largest optimal weights are allocated to Damavand (19%), Tapico (18%), and Seshahd (15%), whereas asset compositions shift significantly during bullish and bearish markets. Dynamic weight analysis indicates that certain companies, such as Shetran and Tapico, play a crucial role in risk hedging during specific periods. This study demonstrates that using dynamic, time-varying models improves analytical accuracy and aligns more closely with market realities. It also emphasizes the importance of educating investors on dynamic portfolio management and advanced tools for adjusting investment portfolios. The findings offer valuable insights for policymakers and market participants, highlighting the need for flexible investment strategies that can adapt to evolving market conditions. https://economic.mofidu.ac.ir/article_731599.html This study investigates the impact of price bubbles in Tehran's stock market, foreign exchange market, and oil market on the boom and recession cycles of Iran's economy. Using quarterly data from Spring 2008 to Spring 2024, price bubbles in these financial markets were identified via the Generalized Supremum Augmented Dickey-Fuller (GSADF) test, while business cycles were extracted using the Hodrick-Prescott (HP) filter. The influence of these bubbles on Iran's business cycles was then analyzed through Markov-Switching Regression. The results from the estimated models indicate that fluctuations in gross fixed capital formation, inflation rate, and financial crises exert negative effects on business cycles, whereas labor force fluctuations have a positive effect. A key finding is that price bubbles in the stock, currency, and oil markets exert an asymmetric effect: they have a positive impact during recessionary periods, thereby exacerbating economic downturns, and a negative impact during boom periods, consequently curtailing economic growth. https://economic.mofidu.ac.ir/article_734271.html Oil revenues constitute a fundamental determinant of the economic performance and structural development of oil-rich and oil-exporting nations. Given this significance, it is plausible that governance indicators exert a considerable influence on investment within this sector, while the size and role of the government are often subject to fluctuations in global oil prices. This study aims to investigate the causal relationship between governance indicators and investment in the oil sector. It examines six key governance indicators—Voice and Accountability, Political Stability and Absence of Violence/Terrorism, Government Effectiveness, Regulatory Quality, Rule of Law, and Control of Corruption—in relation to oil sector investment in Iran and eight selected countries over the period 1996–2022. Utilizing Granger causality and the Hsiao causality method, the empirical analysis reveals a bidirectional causal relationship between oil sector investment and all selected governance indicators, with the sole exception of the Voice and Accountability index. These findings underscore the critical importance of legislative frameworks and the significant impact of public sector productivity and efficiency on investment dynamics in the oil industry. Consequently, streamlining government operations and enhancing the quality of laws and regulations are identified as pivotal measures for fostering substantial and effective transformation within the oil sector. https://economic.mofidu.ac.ir/article_734373.html A key distinction between the Basel II and Basel III frameworks lies not only in the heightened capital requirements under the latter but also in the imposition of additional capital surcharges on systemically important financial institutions. This study examines the differential effects of these two regulatory regimes on systemic risk within the Iranian banking sector using an agent-based model that simulates interactions among key economic agents—households, firms, banks, and the central bank. The model is calibrated using actual balance sheet data from Iranian banks and the Central Bank of Iran for 2021. Systemic risk is measured via the DebtRank index, which captures the propagation of financial distress through interbank exposures. The simulation results indicate that adopting the Basel III framework reduces systemic risk. However, this improvement in financial stability is accompanied by a contraction in interbank market activity and a decline in overall economic efficiency. These findings suggest that the additional capital surcharges imposed on systemically important banks under Basel III may generate procyclical side effects, potentially constraining credit provision and real economic growth during non-crisis periods. https://economic.mofidu.ac.ir/article_735171.html This study examines the impact of inflation on economic growth and the non-life insurance sector in MENA countries over the period 1994–2017. Given the potential bidirectional relationship between non-life insurance development and economic growth, we first employ the Demetrescu and Herlin (DH) causality test to determine the direction of causality. The results confirm a two-way causal relationship between the two variables. To account for this endogeneity, a system of simultaneous equations is estimated using both instrumental variables (IV) and the generalized method of moments (GMM). To address issues of heterogeneity and heteroskedasticity, the model is estimated under three alternative specifications: a baseline model, a heterogeneity-robust model, and a clustered robust model accounting for both heterogeneity and heteroskedasticity. The findings consistently indicate a significant and negative relationship between inflation and both economic growth and non-life insurance penetration. These results highlight the detrimental role of inflationary pressures on macroeconomic performance and insurance market development in the region. https://economic.mofidu.ac.ir/article_735172.html This study investigates the impact of oil price shocks on the stock returns of export-oriented companies in Iran over the period from January 2014 to April 2020, employing a structural vector autoregressive (SVAR) model. To disentangle temporary from permanent oil price shocks, the Blanchard-Quah decomposition technique is applied. The results reveal that the response of stock returns to temporary oil price shocks varies across industries. In the pharmaceutical, machinery and equipment, food industries, and tile and ceramic sectors, stock returns respond positively from the first to the third period; however, from the fourth period onward, the effect diminishes and is fully absorbed in the long run. Conversely, in the automotive and parts, chemical industries, cement, lime and plaster, and basic metal industries, stock returns exhibit a negative response during the first two periods, turning positive and increasing from the third period before fully adjusting to zero in the long run. Regarding permanent oil price shocks, the findings indicate an immediate negative response in stock returns across export companies during the first period, followed by a gradual increase from the second period, with positive effects persisting through the fourth period. From the fifth to the tenth period, however, the positive response is completely adjusted, suggesting that permanent oil price shocks exert only transitory effects on the stock returns of exporting firms.