دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 Identifying the Determinants of Persistent and Transient Inefficiency in Iranian Thermal Power Plants: Evidence from a Four-Component Stochastic Frontier Analysis شناسایی عوامل ناکارایی پایدار و گذرا در نیروگاه‌های حرارتی تولید کننده برق ایران با استفاده از تحلیل مرز تصادفی چهار جزئی 1 37 28537 10.48311/ecor.2025.115452.0 FA مصطفی فرخفال دانشجوی دکتری اقتصاد، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه شهید باهنر کرمان، کرمان، ایران علیرضا شکیبایی استاد اقتصاد، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه شهید باهنر کرمان، کرمان، ایران زین العابدین صادقی دانشیار اقتصاد، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه شهید باهنر کرمان، کرمان، ایران Journal Article 2025 08 20 Abstract This paper identifies and disentangles the determinants of persistent and transient inefficiency in Iranian thermal power plants. To obtain reliable efficiency estimates, a four-component Stochastic Frontier Analysis (SFA) model with unbalanced panel data is employed, enabling the separation of persistent (time-invariant or long-term) inefficiency from transient (time-varying or short-term) inefficiency. This distinction facilitates more targeted policy recommendations aimed at reducing inefficiency, enhancing productivity, and lowering electricity generation costs. Steam, gas, and combined-cycle power plants operating between 2012 and 2022 are examined. The results indicate that, except for publicly owned steam power plants, most thermal power plants exhibit persistent efficiency levels exceeding 80%. The most influential determinant of transient inefficiency is the plant’s operation during peak load periods. Efficiency improved steadily until 2020; however, inefficiency increased in 2021 and 2022. Purpose/Aims: Since its introduction by Aigner et al. (1977), SFA has become one of the principal methods for measuring efficiency. In stochastic frontier models, the efficiency of production (or cost or profit performance) is assessed relative to an estimated production frontier. However, approaches to frontier estimation and inefficiency specification differ across model formulations. A defining feature of SFA models is the decomposition of the error term into two components: a symmetric statistical noise component and a non-negative inefficiency component. The statistical noise term captures random shocks and measurement error, whereas the non-negative component reflects technical inefficiency, defined as the shortfall of observed output from potential (frontier) output. Methodology & Framework: This study distinguishes between persistent and transient inefficiency determinants in Iranian thermal power plants by employing a four-component SFA model with unbalanced panel data. Specifically, we apply a third-generation SFA framework introduced by Colombi et al. (2014) and estimate a translog production function using R software. In this specification, the composite error term is divided into four components: plant-specific heterogeneity, random noise, persistent inefficiency, and transient inefficiency . Estimation is conducted using a single-stage maximum likelihood approach, which simultaneously estimates the production function parameters and the variance components associated with inefficiency determinants. This framework enables a clear separation between persistent (time-invariant or long-term) and transient (time-varying or short-term) inefficiency effects. Such differentiation allows for more precise policy recommendations aimed at improving productivity and reducing electricity generation costs. The empirical analysis covers steam, gas, and combined-cycle power plants over the period 2012–2022. Findings: The results indicate that fuel is the most influential input in electricity production, with an estimated elasticity of 0.925; thus, a 1% increase in fuel input increases output by approximately 0.925%. Capital is identified as the second most important production factor, with an elasticity of 0.164, whereas labor is statistically insignificant. The insignificance of labor likely reflects the high degree of mechanization in thermal power generation and the relatively limited role of labor in the production process. The estimated scale elasticity suggests slightly decreasing returns to scale (DRS) (–0.058). Output increases modestly over time (0.004), and although this growth accelerates slightly (0.002), the overall magnitude remains limited. Regarding transient inefficiency, the most important determinant is plant operation during peak load periods. A 1% increase in the peak load ratio (PLR) reduces the variance of transient inefficiency by 4.38%. Pollution intensity has a positive and statistically significant coefficient, while plant age has a negative and marginally significant coefficient, suggesting that older plants may exhibit lower transient inefficiency variance. In contrast, the producer price index and ambient temperature are statistically insignificant. In the persistent inefficiency component, transitioning toward gas (–1.611) and combined-cycle (–9.449) technologies, as well as private ownership (–1.306), significantly reduces inefficiency variance. Discussion: With the exception of publicly owned steam power plants, most thermal power plants demonstrate persistent efficiency levels exceeding 80%. Given this relatively high persistent efficiency, variations in total inefficiency are largely driven by differences in transient inefficiency. Plants exhibiting higher transient inefficiency consequently experience greater overall inefficiency. Among technologies, gas power plants display the lowest transient efficiency. Because transient efficiency is primarily influenced by the ratio of peak load to nominal capacity, the relatively higher transient efficiency of steam power plants can be attributed to operational constraints. Steam units require longer ramp-up times to return to maximum capacity; therefore, system operators tend to keep them online. In contrast, gas plants are more frequently taken offline during periods of lower demand, contributing to lower transient efficiency. Efficiency trends indicate marked improvement during most of the study period. Between 2012 and 2020, total efficiency increased from 50% to 66%, while transient efficiency rose from 67% to 77%, corresponding to growth rates of 32% and 14.9%, respectively. However, both indicators declined in 2021 and 2022. Although the overall trajectory remains positive, the average total efficiency remains relatively low. With respect to scale properties, steam power plants operate under nearly constant returns to scale (CRS), suggesting proximity to their optimal production scale given current technology. By contrast, gas power plants predominantly exhibit increasing returns to scale (IRS), indicating unrealized economies of scale. This pattern is particularly pronounced among privately owned gas plants, where scale efficiency improves over time. Conclusion & Implications: Despite substantial efficiency gains during most of the study period, the Iranian thermal power sector continues to operate below its potential. With an average total efficiency of approximately 60%, electricity generation could theoretically increase by around 66% using the same level of inputs if all plants operated on the production frontier. The analysis of scale properties using the Delta method highlights important structural differences across technologies. Overall, 13% of plants operate under DRS, with no gas plants in this category. Approximately 25% of steam and combined-cycle plants exhibit DRS. Combined-cycle plants show the highest prevalence of CRS, while gas plants display the strongest IRS. These findings underscore the importance of technology-specific policy design. In particular, expanding the operational scale of gas power plants may play a pivotal role in enhancing overall efficiency in the electricity sector. در این مقاله، به شناسایی و تفکیک عوامل ناکارآیی پایدار و گذرا در نیروگاه‌های حرارتی تولید کننده برق در ایران پرداخته شده است. به منظور تحلیل دقیق کارآیی این نیروگاه‌ها، از روش تحلیل مرز تصادفی (SFA) چهار جزئی با داده های پنل نامتقارن استفاده شده است که امکان جداسازی تأثیر عوامل ناکارآیی پایدار (مستقل از زمان یا بلندمدت) و گذرا (وابسته به زمان یا کوتاه‎مدت) را فراهم می‌سازد. این تفکیک، می‌تواند راهکارهای دقیق تری را برای کاهش ناکارآیی نیروگاه ها ارائه دهد و موجب افزایش بهره‌وری و کاهش هزینه‌های تولید برق در ایران گردد. دراین تحقیق، نیروگاه های بخاری، گازی و سیکل ترکیبی طی دوره 1391 تا 1401 مورد بررسی قرار گرفته است. نتایج نشان میدهد بجز نیروگاه های بخاری دولتی، بقیه نیروگاه های حرارتی کشور، کارآیی پایدار بیشتر از 80 درصد دارند. در واقع، بیشترین ناکارآیی مشاهده شده، مربوط به ناکارآیی گذرا است. همچنین مهمترین عامل در تعیین ناکارآیی گذرای یک نیروگاه، میزان حضور آن نیروگاه در بار پیک شناسایی شده است. نتایج تحقیق نشان میدهد، میزان کارآیی نیروگاه ها تا سال 1399 روند رو به بهبود داشته است اما در سال های 1400 و 1401 شاهد افزایش ناکارآیی بوده ایم. میتوان گفت، روند کلی رو به بهبود است، اما کارآیی کل هنوز پایین است (حدود 60 درصد)؛ یعنی اگر همه نیروگاه‌ها کاملاً کارا بودند، با همین سطح نهاده‌ها می‌توانستند 66 درصد برق بیشتر تولید کنند. همچنین بازده به مقیاس برای نیروگاه های گازی، صعودی شناسایی شده و نشان‏ دهنده پتانسیل رشد تولید این نیروگاه ها با افزایش مقیاس تولید است.

https://ecor.modares.ac.ir/article_28537_e41df6e75febb93d2a8244bd5e84db53.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 The Role of Good Governance in Shaping the Effects of Oil Rents and Carbon Taxation on Sustainable Development in Iran: Evidence from a QARDL Approach نقش حکمرانی خوب در اثرگذاری رانت نفت و مالیات کربن بر توسعه پایدار در ایران (رویکرد QARDL) 39 79 28538 10.48311/ecor.2025.115546.1000 FA بهاره بقایی پور دانشجوی دکتری گروه علوم اقتصادی، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران مرتضی سامتی استاد بازنشسته گروه اقتصاد، دانشگاه اصفهان، اصفهان، ایران. 0000-0003-1222-2105 تیمور محمدی استاد گروه اقتصاد نظری، دانشکدة اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران 0000-0001-9665-4778 Journal Article 2025 09 20 Abstract Sustainable development represents a central economic objective in oil-rich economies such as Iran and is shaped by institutional quality and policy instruments, including carbon taxation. Despite extensive discussion of resource dependence and environmental taxation, limited attention has been paid to the mediating role of good governance in the relationship between oil rents, carbon taxes, and sustainable development in Iran. This study addresses this gap by examining quarterly data from 1996:Q2 to 2024:Q1 using the Quantile Autoregressive Distributed Lag (QARDL) model, which captures nonlinear and asymmetric dynamics across different points of the conditional distribution. Data were sourced from reputable international databases. Descriptive statistics reveal a mean sustainable development index of 0.65 and non-normality in several variables, supporting the use of the QARDL framework. The long-run estimates demonstrate that good governance, oil rents, and carbon taxes exert positive effects on sustainable development at the lower (0.25), median (0.50), and upper (0.75) quantiles. However, the interaction between good governance and oil rents is negative across all quantiles, while the interaction between good governance and carbon taxes is negative at the median and upper quantiles. Marginal effect analysis reveals threshold effects: when the governance index exceeds 0.58 at the lower quantile and 0.74 at the median quantile, the effect of oil rents on sustainable development becomes negative. This finding suggests that improvements in governance quality may reduce rent-seeking incentives and shift the development process toward non-oil sectors. No governance threshold is identified for carbon taxation, and its positive contribution remains robust. Achieving sustainable development in Iran, therefore, requires effective management of oil revenues, efficient implementation of carbon taxation, and sustained improvements in governance quality through enhanced transparency, accountability, and anti-corruption measures Purpose/Aims: Sustainable development constitutes a fundamental dimension of societal welfare and progress, encompassing sustained economic growth, poverty reduction, and environmental preservation. In resource-rich countries, oil rents represent a major source of foreign exchange earnings; nevertheless, many such economies have not achieved comprehensive development. While some economists argue that oil revenues may stimulate economic growth—provided they do not crowd out private investment or weaken non-oil sectors—the nonrenewable and intergenerational nature of oil resources implies that excessive extraction may compromise the rights of future generations and constrain long-term development prospects. Moreover, the intensive use of fossil fuels has resulted in substantial emissions of greenhouse gases, particularly carbon dioxide, contributing to global warming and associated environmental and economic damages. To address such externalities, Pigou (1920) proposed environmental taxation as a corrective instrument to achieve Pareto efficiency and mitigate market failure. A carbon tax, or Pigouvian tax, directly prices carbon dioxide emissions by requiring fossil fuel users to bear the social costs of their emissions. From an institutional perspective, proponents of institutional economics emphasize that good governance plays a pivotal role in promoting sustainable development. However, some argue that the pursuit of good governance may slow development in the short term due to regulatory and institutional constraints. In oil-dependent economies, governance quality is particularly decisive in determining whether natural resource wealth facilitates development or entrenches structural dependence. Accordingly, this study aims to examine the role of good governance in moderating the effects of oil rents and carbon taxation on sustainable development in Iran. Methodology & Framework: This study analyzes the moderating role of good governance in the relationship between oil rents, carbon taxes, and sustainable development in Iran over the period 1996–2023 using the QARDL approach. The dependent variable is sustainable development. The independent variables include oil rents, carbon taxes, good governance, human development, and economic growth. To capture potential interaction effects, two multiplicative terms are incorporated: the interaction between carbon tax and good governance, and the interaction between oil rents and good governance. The QARDL framework enables the estimation of both short-run and long-run dynamics across different quantiles of the conditional distribution, thereby accounting for potential asymmetries and distributional heterogeneity. Findings: The empirical results indicate that good governance, oil rents, carbon taxes, and human development exert positive long-run effects on sustainable development at the lower (0.25), median (0.50), and upper (0.75) quantiles. Economic growth exhibits a negative effect at the lower quantile but positive effects at the median and upper quantiles. The interaction term between good governance and oil rents is negative across all quantiles, suggesting that governance quality conditions the influence of resource rents. Similarly, the interaction between good governance and carbon taxation is negative at the median and upper quantiles. Threshold analysis of long-run effects shows that when the governance index exceeds 0.58 at the lower quantile and 0.74 at the median quantile, the impact of oil rents on sustainable development becomes negative. These findings indicate that improvements in governance quality alter the transmission mechanism of oil rents, reducing rent-seeking incentives and encouraging structural diversification. Discussion: Good governance—characterized by transparency, accountability, rule of law, and institutional effectiveness—provides the institutional capacity necessary for the efficient management of economic, natural, human, and financial resources. Through these channels, it supports sustainable development. Carbon taxation internalizes environmental externalities by incorporating the social cost of emissions into production decisions. By increasing the cost of high-emission activities, it incentivizes the adoption of cleaner fuels and technologies and contributes to reductions in greenhouse gas emissions. When appropriately calibrated to a country’s economic conditions, carbon taxation can simultaneously support environmental objectives and sustainable economic growth. Natural resource rents, including oil revenues, may exert positive effects at relatively low levels by financing infrastructure, education, social protection, environmental preservation, and institutional strengthening. However, sustained and excessive dependence on resource rents is commonly associated with adverse consequences, including reduced innovation, diminished investment in renewable energy, lower total factor productivity, revenue mismanagement, and widening socioeconomic inequality. The overall impact of resource rents on sustainable development appears to be threshold-dependent. As governance quality improves beyond certain levels, institutional reforms reduce rent-seeking behavior, strengthen non-resource sectors, and promote structural transformation away from excessive resource dependence. Consequently, governance acts as a pivotal moderating factor in shaping the developmental outcomes of resource wealth. Conclusion & Implications: The findings underscore the importance of optimizing the management and equitable distribution of oil revenues across social groups. Strengthening public awareness of carbon taxation and its environmental and economic benefits may facilitate its acceptance and effectiveness. Policymakers should determine an optimal carbon tax rate that achieves meaningful emission reductions without imposing high costs on economic growth. Furthermore, sustained improvements in governance are essential. Policy priorities include combating corruption, enhancing regulatory quality, strengthening the rule of law, ensuring political stability, safeguarding citizens’ rights to participation and expression, increasing governmental accountability, and improving public sector effectiveness. These institutional reforms are critical to ensuring that both resource revenues and environmental taxation contribute effectively to sustainable development in Iran. توسعه‌پایدار به‌عنوان یکی از مهم‏ترین اهداف اقتصادی، در کشورهای برخوردار از رانت ‌نفت همچون ایران به عوامل نهادی از قبیل حکمرانی‌خوب و تصمیمات سیاستی دولت‌ها همچون برقراری مالیات‌کربن بستگی دارد. با این وجود، تحلیل نقش حکمرانی‌خوب در اثرگذاری رانت ‌نفت و مالیات‌کربن بر توسعه ‌پایدار، در ایران، کمتر مورد توجه قرار گرفته ‌است. مقاله حاضر، با هدف پوشش این خلأ مطالعاتی در ایران طی دوره زمانی 4: 1402- 1: 1375، با استفاده از روش خودتوضیحی با وقفه‌های توزیعی چندکی، که امکان بررسی روابط غیرخطی و نامتقارن را در چندک‌های مختلف فراهم می‌کند، انجام شده است. بر اساس نتایج بلندمدت حکمرانی‌خوب، رانت‌نفت و مالیات‌کربن در چندک‌های پایین، میانی و بالا، اثر مثبت بر توسعه‌پایدار داشته‌اند، درحالی‏که متغیر تعاملی حکمرانی‌خوب و رانت ‌نفت در هر سه چندک و متغیر تعاملی حکمرانی‌ خوب و مالیات کربن در چندک میانی و بالا، اثر منفی داشته‌اند. براساس اثر ‌نهایی در چندک پایین (میانی) گذر حکمرانی ‌خوب از حد آستانه 58/0 (74/0)، باعث منفی شدن تأثیر رانت ‌نفت بر توسعه ‌پایدار می‌شود. این امر، نشان می‌دهد که رسیدن حکمرانی ‌خوب به حد مشخص، با کاستن رانت‌جویی و تحکیم بنیان‌های زیرساختی، جامعه را به تولید سایر کالاها و کاهش وابستگی به نفت سوق داده ‌است. بنابراین، دستیابی به توسعه ‌پایدار، مستلزم مدیریت بهینه رانت ‌نفت، برقراری مالیات ‌کربن و بهبود حکمرانی ‌خوب می‌باشد.

https://ecor.modares.ac.ir/article_28538_9df811bc0ec3cd1b8ce8e8f1bab30be4.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 Modeling Systemic Risk and the Dependence Structure Between Oil and Stock Markets Using a VMD–Based Copula Approach مدلسازی ریسک سیستمی و وابستگی ساختاری بین بازارهای نفت و سهام :رویکرد ترکیبی تجزیه مود متغیر و کاپولا (VMD- Copula) 81 128 28539 10.48311/ecor.2025.116545.1003 FA ندا رحمانی خالط آباد دانشجوی دکترای گروه اقتصاد، دانشکده مدیریت و اقتصاد، واحد علوم تحقیقات ، دانشگاه آزاد اسلامی، تهران، ایران Farzaneh Haji Hassani استادیار گروه اقتصاد، دانشکده مدیریت و اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران 0000-0002-8202-916X کامبیز پیکارجو استادیار گروه اقتصاد، دانشکده مدیریت و اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران 0000-0002-7468-6549 Journal Article 2025 09 24 Abstract This study investigates the structural dependence and systemic risk transmission between crude oil (Brent) returns and the Tehran Stock Exchange Price Index (TEPIX) using daily observations over common trading days from August 12, 2015, to March 12, 2025. We propose a multiscale dependence framework that integrates Variational Mode Decomposition (VMD) with time-varying symmetric and asymmetric copula functions to capture nonlinear and tail-dependent co-movements across investment horizons. To model marginal dynamics and account for volatility clustering and long memory, return series are estimated using a generalized autoregressive conditional heteroskedasticity (GARCH) family specification, with the fractionally integrated generalized autoregressive conditional heteroskedasticity model with generalized error distribution (FIGARCH–GED) implemented in the empirical analysis. Dependence is evaluated through elliptical copulas (Gaussian and Student-t) and Archimedean copulas (Frank, Gumbel, and Clayton), thereby allowing for time variation and asymmetric tail behavior. Risk spillovers are quantified using conditional risk measures, including Value at Risk (VaR), Conditional Value at Risk (CoVaR), and ΔCoVaR, under both downside and upside market states to assess directional and asymmetric systemic risk transmission. The findings indicate that extreme market conditions intensify oil–equity dependence, suggesting that diversification benefits may deteriorate precisely when risk management is most critical Purpose/Aims: The primary objective of this study is to identify and quantify the dependence structure between oil returns and Iranian stock market returns and to determine whether this dependence varies across short-term and long-term investment horizons. A further objective is to assess whether the oil–stock linkage exhibits tail dependence, characterized by stronger co-movement during extreme positive or negative returns relative to normal market conditions. Additionally, the study aims to measure asymmetric risk spillovers between the two markets by comparing downside and upside conditional risk transmission using CoVaR-based metrics. By employing systemic-risk-oriented measures, the paper seeks to provide empirical evidence relevant to portfolio diversification, hedging effectiveness, and policy oversight in an inflation-prone economy in which oil price dynamics exert substantial macro-financial influence. Methodology & Framework: The empirical framework consists of three integrated stages: marginal modeling, multiscale decomposition, and dependence and risk-spillover estimation. First, each return series is modeled using a volatility specification drawn from the GARCH family. The FIGARCH–GED model is employed to capture heavy-tailed behavior and long-memory volatility dynamics in the marginal distributions. Second, VMD is applied to decompose return dynamics into components representing short-run and long-run characteristics. This multiscale decomposition enables horizon-specific analysis of dependence patterns. Third, the dependence structure is estimated using time-varying copula models, including Gaussian and Student-t copulas as well as Archimedean copulas (Frank, Gumbel, and Clayton). This specification accommodates both symmetric and asymmetric dependence and allows the strength of association to evolve over time. Finally, VaR and CoVaR measures, including ΔCoVaR, are computed to evaluate how distress (downside) and expansionary (upside) conditions in one market alter the conditional risk exposure of the other market. This approach provides a structured assessment of directional systemic risk transmission. Findings: The empirical results indicate that the Student-t copula provides the best representation of the dependence structure between oil and stock returns across both short-term and long-term horizons. This finding suggests the presence of significant upper- and lower-tail dependence, implying strengthened co-movement during extreme positive and negative market outcomes. The CoVaR-based analysis reveals asymmetric risk spillovers between the oil and stock markets. In particular, the reported downside-adjusted CoVaR differs from the upside CoVaR, indicating that the magnitude and direction of risk transmission vary across adverse and favorable market states. This asymmetric behavior carries important implications for hedge design and stress-period risk management. Discussion: The documented tail dependence indicates that oil and equity markets in Iran become more closely interconnected during turbulent or extreme periods, thereby weakening the effectiveness of conventional diversification strategies. The multiscale framework further demonstrates that dependence is horizon-dependent, meaning that short-term trading risk and long-term investment risk respond differently to oil price shocks and stock market fluctuations. The use of time-varying copulas is particularly important because linear correlation measures may underestimate nonlinear and tail co-movements, especially during episodes of financial stress. The presence of asymmetric CoVaR spillovers further suggests that portfolio risk responds differently to adverse versus favorable oil market movements. Accordingly, risk management frameworks should incorporate distinct downside- and upside-oriented stress scenarios rather than assuming symmetric risk transmission. In an economy exposed to inflationary pressures and oil-related macro-financial channels, these findings underscore the importance of monitoring oil price dynamics when formulating equity investment strategies and conducting regulatory risk assessments. Conclusion & Implications: This study concludes that the oil–stock relationship in Iran is characterized by nonlinear, horizon-dependent, and tail-relevant dependence, most effectively captured by the Student-t copula within the proposed VMD–copula framework. Since dependence intensifies during extreme market conditions, diversification between oil and equities may weaken during crises, thereby amplifying systemic risk when protection is most needed. The identified asymmetric CoVaR spillovers indicate that hedging effectiveness is state-dependent and that risk control mechanisms should differentiate between downside and upside transmission channels. From a practical perspective, the proposed framework can assist portfolio managers in designing multihorizon allocation and hedging strategies that explicitly account for tail dependence and time variation rather than relying solely on average correlations. For policymakers and financial supervisors, the results highlight the importance of cross-market monitoring and stress testing frameworks that explicitly incorporate oil market conditions as a determinant of equity market risk. هدف اصلی از این مطالعه، بررسی وابستگی ساختاری بین بازدهی بازارهای نفت و شاخص بورس اوراق بهادار تهران با استفاده از داده های روزانه طی دوره 12 آگوست 2015 تا 12 مارس 2025 است. این مطالعه روش تجزیه مود متغیر (VMD) و انواع مختلف توابع کاپولای متقارن و نامتقارن را برای بررسی ساختار وابستگی بین بازارهای نفت و شاخص بورس در افق‌های متفاوت سرمایه‌گذاری ترکیب می‌کند. در مدلسازی توزیع‌های حاشیه‌ای از الگوهای FIGARCH-GED استفاده شده است. نتایج مطالعه حاکی از آن است که بین بازدهی نفت و شاخص بورس ایران با استفاده از تابع کاپولای ارشمیدسی تابع کاپولای تی‌استیودنت، بهترین توضیح‌دهندگی را برای ساختار وابستگی آنها نشان می‌دهد. همچنین درکوتاه‌مدت و بلندمدت برای بازدهی‌ها، تابع کاپولای تی‌استیودنت بهترین توضیح‌دهندگی را برای ساختار وابستگی بین آنها نشان می‌دهد. این نتیجه، حاکی از این است که هر دو جفت از بازدهی، وابستگی به دنبالۀ بالایی و پایینی یکسانی دارند. لذا در بازدهی های مثبت و منفی حدی وابستگی بین هر دو، بیشتر از حالت معمولی است. این مهم نشان‌دهنده وجود سرایت در نوسانات این بازارها است. بدین ترتیب، می‌توان بیان داشت که در بازدهی های منفی و مثبت حدی بین بازدهی شاخص‌های مورد بررسی، وابستگی بیشتری رخ می‌دهد. همچنین از اندازه‌گیری‌های (CoVaR) و (ΔCoVaR) برای تعیین اثر نامتقارن سرریز ریسک در جهت صعودی و نزولی بین بازارهای سهام و نفت استفاده شد. نتایج حاصل از اثر سرایت ریسک بین بازارهای نفت و سهام، نشان‌دهنده سرریز ریسک نامتقارن بین بازارها است.

https://ecor.modares.ac.ir/article_28539_47cec7c0f18dcae6c157ede4849cbbf6.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 Nonlinear Dynamics and Chaotic Intensity of the USD–IRR Exchange Rate in Iran: Monetary Policy Implications (2009–2024) تحلیل پیشرفته شدت آشوب‌ناکی نرخ ارز در اقتصاد ایران؛ چشم‌اندازی جامع از تأثیر سیاست‌های ارزی (۱403–1388) 129 155 28540 10.48311/ecor.2025.115447.0 FA دلارا موسوی دانش‌آموخته کارشناسی ارشد اقتصادنظری، گروه اقتصاد، دانشکده اقتصاد دانشگاه اصفهان، اصفهان، ایران 0009-0007-5862-9898 احمد گوگرد چیان دانشیار گروه اقتصاد، دانشکده اقتصاد، دانشگاه اصفهان، اصفهان، ایران 0000-0003-0338-1411 Journal Article 2025 08 06 Abstract Within complex systems, chaos theory demonstrates that even simple interactions can generate highly intricate structures and interdependent dynamics, whereby minor perturbations—analogous to the butterfly effect—may substantially alter a system’s trajectory. The Iranian foreign exchange market represents such a nonlinear system, in which macroeconomic policies, geopolitical developments, and market expectations interact to produce behaviors that cannot be adequately explained by classical equilibrium-based frameworks. This study applies a comprehensive suite of nonlinear dynamical system techniques—including the Brock–Dechert–Scheinkman (BDS) test, Lyapunov exponents, fractal dimensions, the Hurst exponent, phase-space reconstruction, Poincaré maps, Kolmogorov–Sinai entropy, and the zero–one test for chaos—to examine the intrinsic dynamics of the USD–IRR exchange rate from 2009 to 2024. The analysis seeks to identify fundamental sources of instability and quantify the degree of chaoticity, independently of transient external shocks or superficial fluctuations. Comparative evaluation indicates that chaotic intensity varies systematically across monetary policy regimes and geopolitical contexts. Periods of heightened chaos coincide with abrupt currency surges and institutional uncertainty, whereas relatively stable intervals correspond to lower entropy, moderated chaotic behavior, and greater informational coherence. These findings offer a holistic characterization of the market’s intrinsic complexity and underscore the necessity of nonlinear, multi-metric analytical frameworks for understanding exchange rate dynamics and informing effective economic policy. Purpose/Aims: This study aims to systematically investigate the chaotic and complex dynamics of Iran’s USD–IRR exchange rate by disentangling endogenous fluctuations from exogenous disturbances. By quantifying chaotic intensity, identifying multifractal structures, and uncovering latent instability mechanisms, the research seeks to deepen understanding of currency market behavior in a politically sensitive emerging economy. Ultimately, the study aspires to generate policy-relevant insights for designing adaptive, complexity-aware interventions that acknowledge the irreducible uncertainty inherent in nonlinear financial systems. Methodology & Framework: A hybrid analytical framework integrating chaos theory with advanced nonlinear dynamical system methods was employed. Daily USD–IRR exchange rate data covering 2009–2024 were analyzed using complementary quantitative metrics to capture both temporal and structural complexity. The BDS test was applied to detect nonlinearity and assess the adequacy of linear stochastic specifications. Lyapunov exponents were estimated to quantify sensitivity to infinitesimal perturbations and evaluate the presence of deterministic chaos. Fractal dimension analysis was conducted to detect multifractal structures, while the Hurst exponent was calculated to assess long-range dependence. Phase-space reconstruction and Poincaré maps were used to visualize the underlying system geometry and identify recurrent dynamic patterns. Entropy-based measures—including Kolmogorov–Sinai entropy and permutation entropy—were computed to quantify information production and intrinsic disorder. Finally, the zero–one test for chaos was implemented to validate deterministic chaotic dynamics and ensure robustness against stochastic artifacts. This integrated methodological design enables a multidimensional assessment of exchange rate behavior, combining dynamical, geometrical, and informational indicators while mitigating potential biases associated with reliance on a single technique. Findings: The empirical results demonstrate that the Iranian exchange rate exhibits pronounced chaotic dynamics and substantial sensitivity to initial conditions. Positive Lyapunov exponents (λ ≈ 0.53) indicate rapid amplification of minor perturbations, confirming deterministic chaos. Estimated fractal dimensions (D₂ ≈ 1.34–1.57) reveal heterogeneous multifractal structures, and the Hurst exponent (H ≈ 0.56–0.62) indicates persistent long-term memory. Entropy measures reflect significant information generation, consistent with endogenous complexity and inherent unpredictability. Comparative analysis across distinct monetary policy regimes suggests that chaotic intensity increases during politically turbulent or interventionist periods, coinciding with abrupt exchange rate movements and heightened uncertainty. In contrast, relatively stable intervals are characterized by lower entropy, moderated chaoticity, and comparatively greater predictability. Discussion: The USD–IRR exchange rate appears to be driven primarily by internal feedback mechanisms, heterogeneous agent interactions, and nonlinear adjustment processes rather than by exogenous shocks alone. These findings are broadly consistent with international research documenting chaotic features in exchange rate dynamics, while also providing context-specific insights into the structural and institutional characteristics of Iran’s foreign exchange market. The evidence suggests that conventional linear or equilibrium-based models substantially underestimate the system’s complexity. Accordingly, advanced nonlinear analytical frameworks are essential for both empirical investigation and policy formulation in environments characterized by structural fragility and geopolitical sensitivity. Conclusion & Implications: The Iranian foreign exchange market operates as a chaotic, self-organizing system exhibiting pronounced sensitivity to initial conditions and persistent multifaceted fluctuations. Endogenous nonlinear feedback loops play a dominant role in shaping its evolution, thereby constraining long-term predictability. Effective monetary and regulatory strategies must therefore adopt adaptive, complexity-aware approaches. Such strategies may include real-time monitoring of chaos-sensitive indicators, phase-dependent policy calibration, and entropy-informed evaluation of market conditions. Calibrating interventions according to observed levels of chaotic intensity—ranging from incremental adjustments during relatively stable periods to coordinated regulatory responses during severe turbulence—may enhance systemic resilience, mitigate risk transmission, and support market confidence. This study contributes both methodologically and substantively to the analysis of exchange rate dynamics in emerging and geopolitically sensitive economies, demonstrating that understanding and managing nonlinear complexity is indispensable for sustaining macroeconomic stability. در دنیای سیستم‌های پیچیده، نظریه آشوب تصویری از جهانی ارائه می‌دهد که در آن، تعامل‌های ساده می‌توانند ساختارهای بی‌نهایت پیچیده و الگوهای درهم‌تنیده خلق کنند؛ جهانی که هر تکانه کوچک، همانند بال پروانه‌ای، توانایی تغییر مسیر کل دینامیک سیستم را دارد. بازار ارز ایران نمونه‌ای برجسته از چنین سامانه‌های غیرخطی است که تحت فشار سیاست‌های اقتصادی، تغییرات ژئوپلیتیکی و انتظارات فعالان بازار، رفتاری فراتر از مدل‌های کلاسیک و تعادلی از خود نشان می‌دهد. این پژوهش با بهره‌گیری از ابزارهای تحلیل سیستم‌های دینامیکی غیرخطی ازجمله آزمون BDS، نمای لیاپانوف، ابعاد فراکتالی، نمای هرست، بازسازی فضای فاز، نگاشت پوانکاره و شاخص‌های آنتروپی کولموگروف–سینای و جایگشتی، سازوکارهای پنهان نرخ ارز در بازه ۱۳۸۸ تا ۱۴۰۳ را کاوش می‌کند. هدف، آشکارسازی منابع ذاتی بی‌ثباتی و سنجش شدت آشوبناکی سیستم است، بدون اتکای صرف به شوک‌های خارجی یا داده‌های سطحی. تحلیل تطبیقی شاخص‌ها، نشان می‌دهد، شدت آشوب در دوره‌های مختلف سیاست‌گذاری ارزی با تحولات ژئوپلیتیکی و اقتصادی همگام است و دوره‌های آشوب گسترده با جهش‌های نرخ ارز و بی‌اعتمادی نهادی همراه بوده‌اند، در حالی که دوره‌های آرام با ثبات اطلاعاتی و کنترل نسبی آشوب، همزمان هستند. نتایج، تصویری جامع از پیچیدگی درونی دینامیک نرخ ارز ارائه می‌کند و بر اهمیت رویکردهای غیرخطی و چندشاخصه برای درک عمیق نوسانات و طراحی سیاست‌های مؤثر اقتصادی تأکید دارد.

https://ecor.modares.ac.ir/article_28540_29c5509d98ea56c71fcf591468c48f4f.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 Strategic Competition in the Global Pistachio Market: An Integrated Stackelberg–Cournot–Nash Analysis of Iran’s Trade Positions تحلیل استراتژیک تجارت پسته ایران در بازارهای بین المللی با مدل تلفیقی استاکلبرگ، بازی همزمان و کرنو 157 193 28541 10.48311/ecor.2025.116790.82878 FA مجتبی بهمنی دانشیار گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه شهید باهنر کرمان، کرمان، ایران مهدی نجاتی دانشیار گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه شهید باهنر کرمان، کرمان، ایران محمد امین عبدالله نژاد ماهانی دانشجوی دکتری، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه شهید باهنر کرمان، کرمان، ایران Journal Article 2025 10 04 Abstract This study analyzes strategic competition in the global pistachio market and identifies optimal trade strategies for Iran through an integrated game-theoretic framework. Five principal actors—Iran, the United States, China, the European Union, and the United Arab Emirates—are examined within a three-layer model. The framework combines: (1) a Stackelberg structure in which Iran acts as the price-setting leader; (2) a Cournot model in which the United States and China simultaneously determine output quantities; and (3) a simultaneous-move Nash framework capturing the roles of the European Union as a trade regulator and the United Arab Emirates as a logistics facilitator. The model enables simulation and quantification of the effects of key variables, including global prices, logistics costs, product processing levels, pistachio quality, sanctions, and trade tariffs, on Iran’s market share and export revenues. The findings indicate that improvements in product quality, reduction of trade barriers, enhancement of packaging and processing, and optimization of supply chains are decisive for maintaining and expanding Iran’s global market share. Furthermore, diversification into emerging markets and the adoption of flexible pricing strategies strengthen Iran’s capacity to respond to intensifying competition from the United States and China. Policy recommendations include targeted investment in export infrastructure, facilitation of access to destination markets, elevation of international quality standards, and reduction of transaction and transportation costs. The principal contribution of this study lies in integrating three strategic game-theoretic approaches to model a real agricultural market operating under sanction conditions. The proposed framework functions both as a predictive policy tool and as a practical guide for policymakers and stakeholders in designing and implementing effective trade strategies. Purpose/Aims: This study investigates the dynamics of strategic competition in the global pistachio market, with particular emphasis on strengthening Iran’s competitive position amid intensifying international rivalry. Given the central roles of Iran, the United States, China, the European Union, and the United Arab Emirates in shaping market outcomes, the research employs a multi-layer game-theoretic framework to capture the strategic interdependencies among these actors. By integrating Stackelberg, Cournot, and simultaneous-move Nash frameworks, the study develops a comprehensive analytical structure capable of simulating the effects of global prices, logistics costs, product quality, processing levels, and trade sanctions. The overarching objective is to introduce effective strategies for sustaining and enhancing Iran’s export performance under real-world constraints, thereby offering practical insights for policymakers and stakeholders in the agricultural export sector. Methodology & Framework: The study introduces a mixed analytical framework that integrates three complementary game-theoretic models within a unified structure. In the Stackelberg Competition, Iran is modeled as the price-setting leader that determines export prices while anticipating and incorporating the strategic reactions of competing exporters. In the Cournot Competition, the United States and China are treated as quantity-setting competitors that simultaneously adjust production levels in response to prevailing market conditions and Iran’s pricing strategy. In the simultaneous-move Nash framework, the European Union and the United Arab Emirates influence market equilibrium through regulatory and logistical channels. The European Union is modeled as a trade regulator affecting tariffs and quality standards, whereas the United Arab Emirates functions as a logistics facilitator shaping trade flows and transportation efficiency. Scenario-based simulations are conducted to assess the effects of variations in global market prices, logistics costs, transportation efficiency, processing levels, packaging quality, sanctions, and trade barriers. The integrated model quantifies the impact of these variables on Iran’s market share, export revenues, and overall competitiveness across different strategic configurations. Findings: The results demonstrate that improvements in product quality, reductions in trade barriers, and enhanced logistics efficiency are critical determinants of Iran’s global market share. Upgrading packaging, branding, and processing capabilities increases pricing power and strengthens customer retention. Expansion into emerging markets reduces dependence on traditional trading partners and enhances strategic flexibility. Flexible pricing strategies improve responsiveness to competitor actions and market fluctuations. Sanctions and trade restrictions exert a significant and nonlinear effect on export revenues, particularly when logistics costs are elevated. Under various simulated scenarios, optimal strategic adjustments enable Iran to stabilize or even expand its market share despite aggressive pricing behavior by competitors. Discussion: The findings confirm that an integrated game-theoretic framework provides a robust analytical tool for forecasting outcomes in complex agricultural trade markets. Modeling Iran as a Stackelberg leader yields realistic representations of competitive dynamics, especially in politically sensitive and sanction-constrained environments. The interaction among pricing leadership, quantity competition, and regulatory-logistical influences underscores the necessity of coordinated policy and market strategies. The mixed-model structure captures the layered nature of strategic behavior in international agricultural trade more effectively than single-model approaches. Conclusion & Implications: The analysis supports several policy recommendations. Strategic investment in export infrastructure—particularly storage facilities, transportation networks, and port logistics—can substantially enhance competitiveness. Facilitating market access through trade diplomacy and diversified supply chains reduces vulnerability to external shocks. Establishing and enforcing higher quality standards differentiates Iranian pistachios in premium segments. Furthermore, optimizing logistics and customs procedures reduces transaction costs and improves export efficiency. The integrated Stackelberg–Cournot–Nash framework offers a practical decision-support tool for policymakers, exporters, and trade analysts. By aligning production, pricing, and marketing strategies within a coherent strategic structure, Iran can maintain and strengthen its competitive position despite international trade constraints and intensifying global competition. این پژوهش با هدف تحلیل رقابت استراتژیک در بازار جهانی پسته و تبیین راهبردهای بهینه ایران، پنج بازیگر اصلی یعنی ایران، آمریکا، چین، اتحادیه اروپا و امارات را در یک چهارچوب ترکیبی نظریه بازی‌ها بررسی می‌کند. مدل پیشنهادی شامل سه لایه است: (۱) مدل استاکلبرگ که در آن، ایران به عنوان رهبر قیمت‌گذار عمل می‌کند؛ (۲) مدل کورنو که آمریکا و چین در آن تصمیمات مقداری خود را به‌طور همزمان اتخاذ می‌کنند، و (۳) بازی همزمان نش که اتحادیه اروپا (با نقش تنظیم‌گری تجاری) و امارات (با نقش تسهیل لجستیک) در آن اثرگذارند. این چهارچوب، قادر است که اثر متغیرهایی چون قیمت جهانی، هزینه‌های لجستیک، سطح فرآوری محصول، کیفیت پسته، تحریم‌ها و تعرفه‌های تجاری را بر سهم بازار و درآمد صادراتی ایران شبیه‌سازی و کمی‌سازی کند. یافته‌ها نشان می‌دهد که ارتقاء کیفیت محصول، کاهش موانع تجاری، بهبود بسته‌بندی و فرآوری، و بهینه‌سازی زنجیره تأمین، مهم‌ترین عوامل حفظ و افزایش سهم ایران در بازار جهانی هستند. همچنین، توسعه بازارهای نوظهور و اتخاذ استراتژی‌های انعطاف‌پذیر قیمت‌گذاری، توان مقابله ایران با رقابت فزاینده آمریکا و چین را تقویت می‌کند. پیشنهادهای سیاستی حاصل از این مطالعه شامل سرمایه‌گذاری هدفمند در زیرساخت‌های صادراتی، تسهیل دسترسی به بازارهای هدف، ارتقاء استانداردهای بین‌المللی کیفیت، و کاهش هزینه‌های مبادله و حمل‌ونقل است. نوآوری اصلی پژوهش، در ترکیب سه رویکرد بازی‌های استراتژیک برای مدل‌سازی یک بازار کشاورزی واقعی تحت شرایط تحریم است. این مدل، نه‌تنها ابزار پیش‌بینی پیامد سیاست‌ها را فراهم می‌کند، بلکه به‌عنوان یک راهنمای عملی برای سیاست‎گذاران و فعالان صنعت کشاورزی در طراحی و اجرای استراتژی‌های تجاری، قابل استفاده است.

https://ecor.modares.ac.ir/article_28541_9670c7ffe205da4e538326c9691fa4f2.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 The Outlook on Budget Deficits, Debt Securities, and Financial Sustainability of the Government in Iran's Economy: A Macroeconometric Approach چشم انداز کسری بودجه، اوراق بدهی و پایداری مالی دولت در اقتصاد ایران: رویکرد اقتصادسنجی کلان 195 230 28542 10.48311/ecor.2025.116650.82876 FA علیرضا ساعدی سارخانلو دانش آموخته دکتری گروه اقتصاد، دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی، تهران، ایران حسن درگاهی دانشیارگروه اقتصاد، دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی، تهران، ایران 0000-0001-7895-606X Journal Article 2025 09 28 Abstract The aim of this article is to examine the outlook for budget deficits and government debt in the Iranian economy within the framework of various scenarios, and to analyze the application of fiscal rules in financial sustainability. For this purpose, a medium-scale macro-econometric model was estimated by autoregressive distributed lags approach and simulated to analyze the interaction between government debt and the macroeconomy. The results of the baseline scenario over a five-year horizon indicated that with an average economic growth of 2.5%, the debt-to-GDP ratio would reach 58%. Even assuming inflation is controlled, due to the increase in real interest rates, the debt situation worsens. If the government wants to contain the debt-to-GDP ratio at 50 percent., it will need to raise the tax-to-GDP ratio to 11% by 2027, which will be accompanied by an economic recession. If the government borrows up to 40% of the budget deficit from the development fund, although economic growth increases, the debt ratio rises to 64%. Therefore, it is recommended that a fiscal rule for stabilizing G/GDP be implemented to manage the budget deficit and government debt, while simultaneously defining a stabilization fund within the framework of the National Development Fund. The results of the research model indicate that in this case, alongside improving the economic growth rate, the debt ratio would also decline to an acceptable range. Thus, stabilizing government expenditure relative to GDP, gradually increasing taxes, and controlling inflation while establishing a stabilization fund with a balance proportional to oil revenue trends can place the government debt ratio in a managed state Purpose/Aims: This article aims to evaluate the outlook of Iran’s budget deficit and public debt sustainability under multiple policy scenarios. The authors seek to determine how different fiscal and monetary policies particularly the introduction of fiscal rules and the creation of a stabilization fund can influence the government’s debt dynamics and long-term financial stability. In essence, the research investigates the two-way interaction between public debt and macroeconomic indicators in Iran, emphasizing how fiscal behavior affects inflation, growth, and real interest rate. Given the current budget deficit and the growing reliance on debt financing through Islamic securities (sukuk), the study tries to address a key policy question: Under what fiscal and macroeconomic conditions can Iran maintain debt sustainability without jeopardizing economic growth or stability? The authors’ contribution is novel in that they employ a comprehensive macroeconometric model to simulate the future trajectory of Iran’s debt-to-GDP ratio, considering the interlinkages between fiscal variables, monetary conditions, and oil revenue fluctuations. Methodology & Framework: The research adopts a medium-scale macroeconometric model using the Autoregressive Distributed Lag (ARDL) approach. This model captures the dynamic feedback among the government’s fiscal position, macroeconomic aggregates, and the financial sector. It integrates relationships across key components such as real GDP, inflation, real interest rate, public and private investment, consumption, and external trade. The model distinguishes between five scenarios to analyze the sensitivity of debt sustainability to different strategies: 1-Baseline Scenario: Continuation of current conditions with moderate recovery in oil exports. 2-Contractionary Monetary Policy: Reducing money supply through tighter monetary control. 3- Fiscal Policy: Via increasing tax revenues to stabilize the debt-to-GDP ratio around 50%. 4- Financing up to 40% of the deficit through borrowing from the National Development Fund (NDF). 5- Establishing an expenditure rule to stabilize government spending as a share of GDP while creating a stabilization buffer under the NDF framework. The framework links government debt accumulation to growth, inflation, interest rates, and real exchange rate movements. The model also allows for endogenous responses of monetary aggregates (money supply, credit, and interest rates) to fiscal imbalances. Validation tests confirm the model’s structural stability and its ability to replicate historical behavior of key variables. Findings & Discussion: The baseline simulation projects that if current fiscal and monetary trends persist, Iran’s debt-to-GDP ratio will rise from about 42 in 2022 to nearly 58% by 2027, surpassing the 50% ceiling envisioned in the Seventh Development Plan. Despite modest economic growth averaging 2.5% annually, persistent budget deficits (averaging around 8% of GDP) and inflation (above 30%) will lead to fiscal vulnerabilities. The findings reveal that oil continues to play a dominant role in budget stability, with roughly 70% of oil income being absorbed into government revenue. In the second scenario, applying a contradictory monetary policy lowers the inflation by roughly 4% points. However, the rising real interest rate worsens debt dynamics and dampens investment and output growth. As a result, the debt ratio increases further (reaching above 70% of GDP by 2027) illustrating a policy trade-off between inflation control and debt sustainability. Under the third scenario, the implementation of a tax-increase successfully limits the debt-to-GDP ratio to around 50%, but at the cost of economic slowdown. To achieve this stabilization, the tax-to-GDP ratio must increase to 11% by 2027, consistent with Article 47 of the Seventh Development Plan. Yet, without other necessary improvements, this approach risks intensifying the recessionary effects of fiscal tightening. The fourth scenario, involving borrowing from the National Development Fund, offers short-term relief for government financing and temporarily boosts growth. However, it increases the overall debt burden risk, as such loans must be repaid in foreign currency with interest of at least 10%. By 2027, the debt ratio could rise to 64% of GDP, while debt-servicing costs absorb nearly a quarter of oil export revenue. The analysis warns that reliance on NDF borrowing may undermine both fiscal transparency and exchange rate stability, particularly if oil prices decline. In contrast, the fifth scenario, which combines a fiscal expenditure rule with the establishment of a budget stabilization fund, yields the most balanced outcome. By capping government expenditure at about 22% of GDP and saving a small portion (around USD 1 billion annually) of oil revenues during the first half of the projection period, the government can create a financial buffer to smooth spending in later years. The results indicate that this policy improves economic growth by up to 1% point relative to the baseline while lowering the debt ratio to a sustainable level by 2027. Inflation also moderates slightly. Overall, the model demonstrates the critical role of coordinated fiscal-monetary management. Isolated actions—such as tightening money supply or raising taxes either deepen recession or accelerate debt accumulation. Sustainable fiscal adjustment, therefore, requires a hybrid approach combining expenditure discipline, tax base expansion, and countercyclical stabilization fund. Conclusion & Implications The study concludes that Iran’s fiscal sustainability is at risk if current policies persist. Under baseline conditions, public debt will exceed the manageable threshold within five years, driven by chronic budget deficits and high interest costs on government securities. Sole reliance on debt issuance to cover deficits will raise borrowing costs, and crowd out private investment. While contractionary monetary policy can temporarily control inflation, it paradoxically aggravates the debt ratio by increasing real interest payments. Similarly, an aggressive tax strategy may stabilize debt but risks weakening growth. Borrowing from the NDF increases fiscal exposure to exchange rate fluctuations. The authors therefore advocate for a comprehensive fiscal reform anchored in rules-based governance. A fiscal expenditure rule limiting government spending relative to GDP, implemented alongside a stabilization fund under the NDF, can smooth revenue volatility, mitigate debt accumulation, and support macroeconomic stability. This combination ensures that during periods of high oil revenue, part of the surplus is saved, while in downturns, withdrawals can finance essential spending without new borrowing. Ultimately, the research underscores that fiscal sustainability in Iran depends not merely on debt containment but on structural reform including expenditure efficiency, diversification of revenue sources, and credible commitment to macroeconomic stability. هدف از این مقاله، بررسی چشم‌انداز کسری بودجه و بدهی دولت در اقتصاد ایران در چهارچوب گزینه های مختلف، و به‌کارگیری قواعد مالی در تحلیل پایداری مالی است. بدین منظور، برای بررسی تعامل دوسویه بدهی دولت و اقتصاد کلان، یک الگوی اقتصادسنجی کلان با مقیاس متوسط با روش خودرگرسیون با وقفه‌های توزیعی، تصریح، برآورد، و مورد شبیه سازی قرار گرفت. سپس آثار به‌کارگیری برخی قواعد مالی با تأکید بر نقش یک صندوق ثبات ساز در بهبود وضعیت پایداری مالی دولت، بررسی و جمع بندی شد. نتایج سناریوی پایه در یک افق پنج ساله، نشان داد که در تداوم شرایط موجود و با رشد اقتصادی میانگین 5/2 درصدی، نسبت بدهی بهGDP به 58 درصد میرسد. با اجرای سیاست پولی انقباضی به‌منظور کاهش تورم، به‌دلیل افزایش نرخ سود حقیقی، وضعیت بدهی بدتر می‌شود. اگر دولت بخواهد نسبت بدهی را فقط با افزایش مالیات در سطح قانونی 50 درصد مهار سازد، باید نسبت مالیات به تولید را تا سال 1406 به 11 درصد افزایش دهد که باعث کاهش رشد اقتصادی خواهد شد. اگر دولت تا 40 درصد از کسری بودجه را از صندوق توسعه قرض کند، اگرچه رشد اقتصادی بیشتر می‌شود ولی نسبت بدهی به 64 درصد می‌رسد. نتایج الگوی پژوهش، نشان میدهد که برای کنترل کسری بودجه و پایداری مالی، دولت میتواند با اصلاحات مالی، یک قاعده هزینه های برای تثبیت مخارج دولت به GDP را اجرا و همزمان یک صندوق ثبات ساز بودجه در چهارچوب صندوق توسعه ملی تعریف کند. در این حالت، ضمن بهبود نرخ رشد اقتصادی، نسبت بدهی نیز به دامنه مورد قبول کاهش می‌یاید.

https://ecor.modares.ac.ir/article_28542_09bd2862fe3035ad3223816b439045e3.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 Prioritizing the Divestment of Pension Fund–Owned Enterprises Through Portfolio Optimization: New Evidence from the DCC–GARCH R² Decomposed Connectedness Approach اولویت بندی واگذاری بنگاه های اقتصادی زیر مجموعه صندوق های بازنشستگی با تاکید بر مدیریت سرمایه گذاری: شواهدی جدید از رویکرد DCC-GARCH R2 decomposed connectedness 231 260 28543 10.48311/ecor.2025.115460.0 FA حسن چنارانی استادیار گروه اقتصاد و بانکداری اسلامی، دانشکده اقتصاد، دانشگاه خوارزمی، تهران، ایران 0009-0006-2890-5874 سهیل رودری دکتری اقتصاد، گروه اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه فردوسی، مشهد، ایران 0000-0003-2050-4698 Journal Article 2025 09 07 Abstract Pension funds in Iran, as intergenerational financial institutions, play a pivotal role in safeguarding retirees’ financial security. Over recent decades, these funds have encountered significant challenges stemming from government policies, macroeconomic crises, and managerial inefficiencies. A central concern has been the suboptimal performance of affiliated enterprises in generating value added and sustainably financing pension obligations. In light of persistent resource deficits and structural financial imbalances, reforming governance structures and optimizing investment portfolios have become increasingly urgent policy priorities. One criterion for valuing enterprises subject to privatization is market capitalization, which depends fundamentally on stock market performance. Accordingly, the optimal portfolio weight of each enterprise, hedging effectiveness, beta coefficient, and Sharpe ratio should be evaluated across alternative portfolio management strategies—including the Minimum Variance Portfolio (MVP), Minimum Correlation Portfolio (MCP), Minimum Connectedness Portfolio (MCOP), Minimum Bivariate R2 Portfolio (MRP), and Minimum R2 Decomposed Connectedness Portfolio (MPG). The model yielding the highest Sharpe ratio can then be identified as the optimal approach. Under such a framework, enterprises may be prioritized for accelerated or delayed divestiture based on their return–risk profiles, consistent with the mandates of the country’s Seventh Economic Development Plan. To date, this issue has not been examined using the aforementioned methodological approaches, despite its substantial policy relevance Purpose/Aims: The primary objective of this study is to determine the prioritization of divesting pension fund–owned enterprises using novel portfolio optimization techniques. The analysis draws on daily return data for the selected firms over a 10-year period and applies advanced econometric models to estimate their optimal portfolio weights. Based on performance indicators—most notably the Sharpe ratio—the study identifies divestiture priorities. Policymakers may thus target enterprises with lower optimal weights and inferior Sharpe ratios for earlier divestiture, an analytical dimension that has not previously been addressed in the literature. Methodology & Framework: This study employs the Time-Varying Parameter Vector Autoregression (TVP–VAR) model developed by Antonakakis, estimated via the Kalman filter, to analyze dynamic correlations among assets. Portfolio optimization is conducted using the Broadstock approach. The TVP–VAR framework, with time-varying coefficients, enables the identification of structural shocks and volatility spillovers. Derived measures—including the Generalized Impulse Response Function (GIRF), Generalized Forecast Error Variance Decomposition (GFEVD), Total Connectedness Index (TCI), and Pairwise Connectedness Index (PCI)—are utilized to assess portfolio sensitivity to shocks, the role of individual assets in risk transmission, and overall market connectedness. In addition, the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity R-squared (DCC–GARCH R²) decomposed connectedness approach introduced by Cocca et al. (2024) is applied to estimate the MRP and MPG strategies. This integrated analytical framework provides detailed insights for dynamic and informed portfolio management, particularly in the context of state-owned enterprises. Findings: Conditional correlations among the examined symbols exhibit substantial time variation. Over the past year, FAKHAS displayed the lowest correlation with DERAZAK and the highest correlation with JAM. Conversely, JAM exhibited the lowest correlation with DERAZAK and the highest with FAKHAS. Over the past two years, FBAHONAR showed the highest conditional correlation with FAKHAS and the lowest with JAM. For DERAZAK, the minimum correlation occurred with JAM, while the maximum was observed primarily with FBAHONAR. Overall, dynamic conditional correlations between FAKHAS and FBAHONAR and the other symbols were relatively high. This finding indicates that, in portfolios already containing JAM and DERAZAK, the inclusion of FAKHAS and FBAHONAR increases overall portfolio risk. Regarding return transmission, FAKHAS and FBAHONAR emerged as the largest net transmitters of returns, whereas JAM and DERAZAK were identified as the largest net receivers. In terms of hedging effectiveness, JAM exhibited negative hedging effectiveness, suggesting that the examined assets did not provide effective risk reduction for this asset. Under bullish market conditions, the DERAZAK/JAM combination demonstrated the highest hedging effectiveness, whereas FAKHAS/JAM exhibited the lowest. Under bearish conditions, the FAKHAS/FBAHONAR combination provided the highest hedging effectiveness, while DERAZAK/JAM showed the weakest performance. Concerning the identification of the optimal portfolio strategy, the highest Sharpe ratio was achieved under the MRP approach. Accordingly, this method is identified as the optimal strategy for portfolio management and the prioritization of enterprise divestiture. Across all return scenarios, FAKHAS and FBAHONAR consistently received the lowest portfolio weights, indicating comparatively weak performance from a capital market perspective. Discussion: This study evaluates portfolio management and divestiture prioritization for four pension fund–owned enterprises—FBAHONAR, FAKHAS, JAM, and DERAZAK—over the period from January 1, 2015, to August 12, 2025, using the DCC–GARCH R2 Decomposed Connectedness framework proposed by Cocca et al. (2024). The results demonstrate that FAKHAS and FBAHONAR exhibit relatively high dynamic conditional correlations with other assets, implying that their inclusion in portfolios containing JAM and DERAZAK increases aggregate risk exposure. Moreover, both FAKHAS and FBAHONAR function predominantly as net transmitters of returns within the connectedness network. Conclusion & Implications: From a comprehensive portfolio management perspective, the MRP approach yields the highest Sharpe ratio and is therefore identified as the optimal strategy for managing pension fund assets and prioritizing enterprise divestiture. Under this framework, FAKHAS and FBAHONAR consistently receive the lowest optimal weights across return scenarios, reflecting suboptimal performance in terms of risk-adjusted returns. Given that return and risk constitute the fundamental pillars of investment decision-making, determining optimal asset weights under alternative portfolio strategies is essential. The findings of this study provide a rigorous and objective basis for prioritizing divestiture. Should sufficient institutional commitment to enterprise restructuring exist, the results offer a scientifically grounded criterion to guide policymakers in implementing divestment decisions consistent with national development objectives. در سال‌های اخیر، با توجه به کسری منابع صندوق‌های بازنشستگی و ناترازی مالی آن‌ها، موضوع اصلاح ساختار و بهینه‌سازی پرتفوی سرمایه‌گذاری این صندوق‌ها، اهمیت بیشتری یافته است. بر این اساس، در پژوهش حاضر، با در نظر گرفتن یک پورتفوی نوعی متشکل از نمادهای فباهنر، فخاس، جم و درازک در دوره زمانی 12/08/2025-01/01/2015 با استفاده از الگوی DCC-GARCH R2 decomposed connectednesss و از منظر مدیریت سرمایه گذاری، اولویت بندی واگذاری بنگاه های اقتصادی تحت مدیریت صندوق های بازنشستگی بررسی شده است. نتایج نشان داد که از ابتدای سال 1404 با توجه به تشدید تنش ها و ریسک های ژئوپلتیک، میزان ارتباط و اتصال میان دارایی ها افزایش یافته و امکان تنوع بخشی به پورتفو وجود ندارد و فرصت مناسبی جهت واگذاری بنگاه ها میباشد. همچنین بر اساس نتایج، رویکرد حداقل ضریب تعیین (MRP)، دارای بالاترین نسبت شارپ می‌باشد و کمترین وزن بهینه را به‌ترتیب، برای فخاس و فباهنر در نظر گرفته است. بر این اساس و در راستای انجام تکالیف برنامه هفتم توسعه کشور، بهتر است فخاس و فباهنر سریعتر ارزش گذاری شده و با طی فرایند قانونی واگذار شوند. نتایج پژوهش حاضر، میتواند به عنوان یک معیار در ارزیابی و اولویت بندی واگذاری بنگاه های اقتصادی مدنظر سیاست‌گذاران باشد.

https://ecor.modares.ac.ir/article_28543_11b53f23ad385f735495083c7327faf9.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 The Impact of Housing Price Volatility on Economic Growth and Stability تأثیر نوسانات قیمت مسکن بر رشد و ثبات اقتصادی 261 287 28544 10.48311/ecor.2025.115448.0 FA نوشین احمدی دانش‌آموخته کارشناسی ارشد، گروه اقتصاد، دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران شکوفه فرهمند دانشیار گروه اقتصاد، دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران. رزیتا مویدفر دانشیار، گروه اقتصاد، دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران Journal Article 2025 08 07 Abstract Housing is one of the key sectors of the economy that, beyond fulfilling the need for shelter, serves as a durable asset and a store of wealth. Due to its medium- and long-term combination of risk and return, housing has become an attractive investment—particularly in developing countries—often substituting for other asset classes. This dynamic has driven rising housing prices and intensified price volatility. Economic growth and stability, as major macroeconomic indicators, are highly sensitive to such fluctuations. This study investigates the effects of housing price volatility and the asymmetric impact of positive and negative price shocks on economic growth and stability across Iranian provinces over 2005–2021. The Panel Dynamic Ordinary Least Squares (PDOLS) estimator was employed to assess the impact of housing price changes on economic growth, while the Fixed Effects (FE), PDOLS, and Pooled Mean Group (PMG) estimators were used to examine their effects on output volatility, as a proxy for economic instability. The results reveal that housing price increases have a significant positive impact on economic growth, whereas price declines exert a stronger negative effect—highlighting the asymmetric nature of the impacts of housing price shocks. Moreover, housing price volatility amplifies output volatility, thereby undermining economic stability. These findings confirm the central role of the housing market in Iran’s economy and underscore the need for proactive, evidence-based policies to mitigate housing market fluctuations and enhance macroeconomic resilience. Purpose/Aims: The housing sector is a vital component of national economies, particularly in developing countries, where it often functions as both shelter and investment. In Iran, housing is perceived as a relatively secure asset due to underdeveloped financial markets and persistent inflation. This perception fuels continuous demand and contributes to housing price increases and volatility. These dynamics carry broader macroeconomic consequences. Housing markets are closely linked to consumption, investment, credit access, and employment. Thus, fluctuations in housing prices may significantly influence economic growth and stability. While many studies have addressed the relationship between housing prices and growth, less attention has been paid to the asymmetric effects of price increases and decreases, or to the role of housing price volatility in shaping economic stability. This study aims to fill that gap by investigating the effects of housing price changes and volatility on provincial economic growth and stability in Iran from 2005 to 2021. It particularly explores whether the effects of price increases differ from those of price decreases and examines how volatility in housing prices contributes to macroeconomic instability. Methodology & Framework: The study employs provincial panel data for 31 provinces in Iran from 2005 to 2021. Economic growth (measured by changes in real GDP) and economic stability (measured by output volatility) are used as the two dependent variables. The main independent variables are housing price growth and housing price volatility. Additional explanatory variables include population growth rate, labor force participation rate, and government expenditure, which are included to control for macroeconomic conditions at the provincial level. To estimate the long-run effects of housing price changes on economic growth, the Panel Dynamic Ordinary Least Squares (PDOLS) method is used, which accounts for cointegration and dynamic relationships between variables. In addition, to evaluate the effect of housing price volatility on economic instability, the study applies three econometric techniques for robustness: Fixed Effects (FE), PDOLS, and Pooled Mean Group (PMG). To explore asymmetry, housing price changes are divided into positive and negative movements, allowing for the estimation of their separate impacts on growth. This enables the identification of whether the economy responds differently to housing booms and busts. Findings: The results indicate that housing price changes have a positive and statistically significant impact on economic growth in Iranian provinces. This confirms the role of housing as a stimulus for economic activity through wealth generation and enhanced access to credit, which leads to greater consumption and investment. However, the analysis reveals an asymmetric relationship: while positive changes in housing prices stimulate economic growth, negative changes (i.e., price declines) have a stronger and more harmful effect. This suggests that downturns in the housing market can lead to sharp reductions in household wealth perception and investment confidence, resulting in more pronounced slowdowns in economic activity. In terms of economic stability, the study finds that housing price volatility increases output volatility, indicating a destabilizing effect. Provinces that experience greater fluctuations in housing prices are also more exposed to economic uncertainty and instability. This is particularly significant in Iran, where the housing and construction sector constitutes a considerable share of GDP and employment. Price volatility disrupts investment planning and leads to uncertainty in the broader economy, affecting both producers and consumers. Other findings show that labor force participation has a dual role: it supports economic growth and simultaneously helps reduce instability. Conversely, higher population growth and increased government expenditure are found to reduce growth and contribute to economic instability at the provincial level. Discussion: The results reveal the dual role of housing prices in Iran’s economy. While rising housing prices support economic growth through higher consumption and investment, price volatility and downturns generate significant macroeconomic risks. The analysis confirms an apparent asymmetric effect: negative housing price shocks have a more substantial adverse impact on economic growth than the positive effects of price increases. Moreover, housing price volatility amplifies output volatility, suggesting that fluctuations in the housing market are a key source of economic instability. These findings highlight the central role of housing markets in shaping both growth and stability in a developing-country context. Conclusion & Implications: This study concludes that housing price dynamics are a critical determinant of economic performance in Iran. Policies should therefore focus on mitigating housing market volatility and limiting the adverse effects of price declines. Targeted support for housing supply, regulation of speculative demand, improved land management, and coordination between housing and macroeconomic policies are essential to enhance stability. Stabilizing the currency and managing inflation expectations can further reduce the risk of housing bubbles. Overall, incorporating housing market dynamics into regional and national development strategies is crucial for achieving sustainable and stable economic growth. مسکن یکی از بخش‌های کلیدی اقتصاد است که علاوه‌ بر تأمین نیاز به سرپناه، به‌دلیل دوام، قابلیت ذخیره‌سازی ثروت و ترکیب ریسک و بازدهی در میان‌مدت و بلندمدت، به‌ عنوان دارایی، مورد توجه سرمایه‌گذاران ـ به‌ویژه در کشورهای در حال توسعه ـ قرار گرفته و گاه جایگزین سایر دارایی‌ها بوده و نیز، موجب افزایش قیمت مسکن و نوسانات آن شده است. رشد و ثبات اقتصادی، از متغیرهای کلان مهمی هستند که از تغییرات قیمت مسکن تأثیر می‌پذیرند. هدف از این پژوهش، بررسی اثر نوسانات قیمت مسکن و نامتقارن بودن اثر شوک‌های مثبت و منفی آن بر رشد و ثبات اقتصادی در استان‌های ایران طی سال‌های ۱۳۸۴ تا ۱۴۰۰ است. برای تحلیل اثر نوسانات قیمت مسکن بر رشد اقتصادی، از روش حداقل مربعات پویای تابلویی (PDOLS) و برای بررسی تأثیر آن بر نوسان تولید، به‌عنوان شاخص بی‌ثباتی اقتصادی، از روش‌های اثرات ثابت (FE)، PDOLS و میانگین گروهی تجمیعی (PMG) استفاده شده است. نتایج نشان می‌دهد که افزایش قیمت مسکن، اثر مثبت و معناداری بر رشد اقتصادی دارد، درحالی‌که کاهش قیمت‌ها، اثر منفی شدیدتری بر رشد داشته و بیانگر اثر نامتقارن شوک‌های قیمت مسکن است. همچنین، نوسانات قیمت مسکن، موجب افزایش نوسانات تولید و بی‌ثباتی اقتصادی می‌شود. این یافته‌ها، نقش محوری بازار مسکن در اقتصاد ایران را تأیید کرده و بر ضرورت سیاست‌گذاری فعال برای مهار نوسانات و تقویت ثبات اقتصادی تأکید دارند.

https://ecor.modares.ac.ir/article_28544_d4c46cea171bad8d235542b789c591f0.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 Monetary and Exchange Rate Policy Transmission to Inflation in the Iranian Economy بررسی نقش سیاست‌گذار پولی و ارزی بر تورم در اقتصاد ایران 289 321 28545 10.48311/ecor.2025.117145.82884 FA حسن اردیزی دانشجوی دکتری، گروه اقتصاد، دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی، تهران، ایران حسین صمصامی استادیار، گروه اقتصاد، دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی، تهران، ایران Journal Article 2025 10 19 Abstract Low and stable inflation is one of the fundamental indicators in evaluating the performance of countries’ economies, as it reflects the stability of a society across all dimensions. Consequently, maintaining inflation at low levels has long been a primary concern of economic policymakers. Achieving this objective requires a comprehensive and precise understanding of the determinants of inflation. This study investigates the factors influencing affecting inflation in Iran, with particular emphasis on the roles of monetary and exchange rate policy instruments. Using quarterly data covering the period 2005–2022, a system of simultaneous equations is specified and estimated. For this purpose, three equations for the general price level, money supply, and the unofficial exchange rate are formulated based on theoretical foundations and the characteristics of the Iranian economy. The estimation results indicate that increases in liquidity and the unofficial exchange rate significantly raise the general price level. Furthermore, the required reserve ratio, as a monetary policy instrument, exerts an inverse effect on liquidity and, consequently, on inflation. Specifically, a decrease (increase) in the required reserve ratio leads to an increase (decrease) in liquidity and, in turn, inflation. Finally, the findings suggest that exchange rate policy decisions aimed at narrowing the gap between official and unofficial rates contribute to further increases in the unofficial exchange rate, thereby intensifying inflationary pressures Purpose/Aims: Inflation generates adverse effects across various sectors of society, particularly within the economic sphere. The Iranian economy has experienced persistent double-digit inflation over several decades. The sustained upward trend in inflation during the past decade has underscored the urgency of examining this phenomenon both theoretically and from a policy perspective. A precise identification of the fundamental drivers of inflation is essential, as effective policy design depends on a rigorous understanding of its underlying mechanisms. A defining feature of inflation in Iran is its close interaction with monetary conditions and exchange rate dynamics. Persistent liquidity growth has been widely recognized as a key determinant of rising price levels. Simultaneously, fluctuations in the exchange rate—especially within the unofficial market—are rapidly transmitted to domestic goods and services prices. Therefore, analyzing inflation requires not only assessing the direct effects of liquidity and exchange rate movements but also examining the mechanisms through which these variables themselves evolve. Understanding inflation dynamics in Iran necessitates consideration of both the direct impact of liquidity and the unofficial exchange rate on the general price level and the indirect effects of monetary policy on money supply, as well as exchange rate policy in the official market on the unofficial rate. Identifying these transmission channels provides a more comprehensive account of how policy decisions influence inflation. Accordingly, the central research question of this study is: How is inflation in the Iranian economy affected by liquidity, the unofficial exchange rate, and real output, and through which channels do monetary and exchange rate policies exert direct or indirect effects? Methodology & Framework: To analyze the determinants of inflation, a system comprising three equations an inflation equation, a money supply equation, and an exchange rate equation is specified. Inflation equation: All variables are expressed in logarithmic form. The consumer price index (CPI), representing the general price level, is modeled as a function of money supply (M), real gross domestic product (Y), and the unofficial exchange rate (NE). Money supply equation: In this specification, money supply (M) depends on the unofficial exchange rate (NE), nominal gross domestic product (YN), the required reserve ratio (B), and the short-term deposit interest rate (I). All variables are expressed in logarithmic form except for the interest rate. Exchange rate equation: The unofficial exchange rate (NE) is modeled as a function of the lagged general price level ( ), per capita gross domestic product (YPOP)—serving as a proxy for economic and institutional and the official exchange rate (E). All variables are expressed in logarithmic form. Quarterly data spanning the first quarter of 2005 through the fourth quarter of 2022 were obtained from the Central Bank of Iran. The system comprises 11 variables and 14 parameters. Estimation was conducted using the Two-Stage Least Squares (2SLS) method within a simultaneous equations framework in EViews 13. Findings: The estimation results demonstrate that liquidity and the unofficial exchange rate exert significant and quantitatively similar positive effects on inflation. A one percent increase in liquidity raises the general price level by approximately 0.44 percent, while a one percent increase in the unofficial exchange rate increases it by about 0.40 percent. The money supply equation indicates that the required reserve ratio has a substantial negative effect on liquidity, whereas nominal gross domestic product and the unofficial exchange rate have positive effects. Specifically, a one percent decrease (increase) in the required reserve ratio leads, on average, to a 1.67 percent increase (decrease) in money supply. In contrast, a one percent increase in nominal gross domestic product increases money supply by approximately 0.70 percent, and a one percent increase in the unofficial exchange rate increases it by about 0.30 percent, holding other factors constant. The unofficial exchange rate equation reveals that institutional factors, proxied by real per capita income exert a significant negative effect (coefficient approximately −1.7). Conversely, lagged inflation and the official exchange rate have positive effects, with coefficients of 0.64 and 0.46, respectively. A comparison of the estimated equations indicates that monetary and exchange rate policy actions are indirectly transmitted to the general price level. A one percent decrease (increase) in the required reserve ratio increases (decreases) inflation by approximately 0.73 percent through the liquidity channel. Similarly, a one percent increase in the official exchange rate results in an estimated 0.18 percent increase in inflation via the unofficial exchange rate channel. Discussion: The findings suggest that inflation dynamics in Iran are shaped by the interaction between monetary conditions and exchange rate movements. Liquidity expansion and fluctuations in the unofficial exchange rate jointly transmit inflationary pressures, indicating that inflation cannot be attributed solely to direct monetary expansion. Liquidity dynamics are influenced by required reserve ratio, nominal gross domestic product, and the unofficial exchange rate. The required reserve ratio as a monetary policy instrument, affects liquidity and, consequently, inflation, while exchange rate movements and nominal gross domestic product contribute to liquidity expansion through different channels. The results also support the presence of endogenous money supply operating through the exchange rate channel: exchange rate increases raise firms’ costs and household expenditures, stimulate credit demand, and thereby expand money supply endogenously. Finally, the findings of the study show that changes in the unofficial exchange rate are primarily explained by two main factors: dollarization of the economy, with its underlying causes considered to be institutional factors and high inflation, and official exchange rate policy decisions. Improvements in institutional conditions reduce the unofficial exchange rate and, in turn, inflation. Conversely, increases in lagged inflation and in the official exchange rate lead to higher unofficial exchange rates and, consequently, higher inflation. Conclusion & Implications: Based on the results, the study’s policy implications can be summarized as follows. To curb inflation, policymakers can influence inflation by controlling the required reserve ratio and managing the official exchange rate. Moreover, by creating conditions that improve institutional factors, they can strengthen the foundations for inflation stability. However, given the confirmed endogeneity of money supply through the exchange rate channel, the effectiveness of monetary policy depends critically on prior stabilization of the exchange rate. The results also show that the unofficial exchange rate by increasing firms’ costs and household expenditures, fuels an endogenous rise in liquidity. Therefore, exchange rate stability is essential for effective liquidity management and, consequently, for controlling inflation. در ارزیابی عملکرد اقتصاد کشورها، تورم پایین از شاخصه‌های بنیادی است که ثبات یک جامعه را در تمام ابعاد به نمایش می‌گذارد. ازاین‌رو، کنترل تورم در سطوح پایین، همواره یکی از دغدغه‌های اصلی سیاست‌گذاران اقتصادی بوده و تحقق این امر، نیازمند شناخت جامع و صحیح عوامل مؤثر بر تورم است. در این راستا، در پژوهش حاضر، به بررسی عوامل مؤثر بر تورم با لحاظ نقش سیاست‌های سیاست‌گذار پولی و ارزی با استفاده از داده‌های فصلی طی بازه زمانی 1401-1384 و روش سیستم معادلات همزمان پرداخته شده است. برای این منظور، سه معادله برای سطح عمومی قیمت‌ها، عرضه پول و نرخ ارز غیررسمی با توجه به ادبیات نظری و مشخصه‌های اقتصاد ایران تصریح شده است. نتایج به‌دست‌آمده از تخمین معادلات، نشان داد که با افزایش متغیرهای نقدینگی و نرخ ارز غیررسمی، سطح عمومی قیمت‌ها افزایش می‌یابد. همچنین، نتایج مطالعه نشان داده است که متغیر نرخ ذخیره قانونی به‌عنوان یک سیاست پولی به‌صورت معکوس بر متغیر نقدینگی و به‌تبع، بر تورم اثر می‌گذارد؛ به‌طوری‌که، با کاهش (افزایش) نرخ ذخیره قانونی، نقدینگی و به‌تبع، تورم افزایش (کاهش) می‌یابد. درنهایت، یافته‌های پژوهش نشان می‌دهد که تصمیمات سیاست‌گذار ارزی در راستای کاهش فاصله نرخ بازار رسمی با نرخ بازار غیررسمی، به افزایش بیشتر نرخ ارز غیررسمی می‌انجامد که افزایش تورم را نیز به دنبال دارد.

https://ecor.modares.ac.ir/article_28545_02f838984bfa7e26567a1e06dd2728b5.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 Institutional Quality, Economic Complexity, and Countries’ Positions in Global Value Chains: Evidence from a Dynamic Panel Analysis اثر کیفیت نهادی و پیچیدگی اقتصادی بر موقعیت کشورها در زنجیره ارزش جهانی 323 355 28546 10.48311/ecor.2025.116906.82880 FA الهه قاسمی نیک دانشجوی دکتری اقتصاد بین‌الملل، گروه علوم اقتصادی، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران 0009-0000-7521-6517 حسن حیدری دانشیار، گروه علوم اقتصادی، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران 0000-0001-8915-6076 مهدی ذوالفقاری استادیار، گروه علوم اقتصادی، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران Journal Article 2025 10 09 Abstract Over recent decades, the globalization of production processes and the rapid expansion of global value chains (GVCs) have fundamentally reshaped the structure of international trade and the sources of national competitive advantage. A country’s position within these chains reflects not only its degree of integration into the global economy but also its technological capabilities, institutional quality, and capacity to generate domestic value added. Consequently, identifying the determinants of countries’ positions in GVCs has become a central concern in the international economics literature. This study employs a dynamic panel data framework to examine the effects of institutional quality and economic complexity on the relative GVC positions of 174 countries—including developed, emerging, and developing economies—over the period 1990–2018. The empirical analysis is conducted using a dynamic panel model estimated through the Generalized Method of Moments (GMM), which controls for unobserved cross-country heterogeneity and addresses potential endogeneity. The findings indicate that the governance index (as a proxy for institutional quality) and the Economic Complexity Index (ECI) both exert positive and statistically significant effects on countries’ positions within GVCs. Among the control variables, natural resource rents have a positive effect, whereas gross domestic product (GDP) per capita, foreign direct investment (FDI), and trade openness exhibit negative and significant relationships. Furthermore, the positive coefficient of the lagged dependent variable confirms the persistence of countries’ GVC positions over time. Overall, the results suggest that improvements in governance quality and the development of more complex production structures are critical for facilitating movement toward upstream activities in global value chains. Purpose/Aims: The globalization of production systems and the proliferation of GVCs have transformed patterns of international trade and countries’ sources of competitive advantage. A country’s position within GVCs reflects not only its level of global integration but also its technological sophistication, institutional environment, and capacity to generate domestic value added. In light of the growing importance of functional upgrading within GVCs, this study aims to empirically assess the impact of institutional quality and economic complexity on the relative GVC positions of 174 developed, emerging, and developing economies during the period 1990–2018. To provide a comprehensive account of the structural and policy determinants of GVC positioning, the analysis incorporates GDP per capita, FDI, trade openness, and natural resource rents as control variables. Methodology & Framework: To capture the dynamic nature of GVC positioning and address potential endogeneity concerns, the study adopts a dynamic panel data framework estimated using the Difference Generalized Method of Moments (Difference GMM) approach developed by Arellano and Bond (1991). This estimator eliminates unobserved country-specific effects, mitigates simultaneity bias, and permits the inclusion of a lagged dependent variable to account for persistence in GVC positions over time. The dependent variable is derived from the UNCTAD–Eora GVC database and measures countries’ upstream–downstream positions within global production networks. Institutional quality is proxied by the Worldwide Governance Indicators (WGI), calculated as the simple average of six dimensions: voice and accountability, political stability, government effectiveness, regulatory quality, rule of law, and control of corruption. Economic complexity is measured using the ECI, which captures the diversity and technological sophistication of a country’s productive structure. This methodological framework provides a robust setting for evaluating the combined effects of institutional systems and productive capabilities on countries’ positions in GVCs. Findings: The empirical results indicate that both institutional quality and economic complexity exert positive and statistically significant effects on countries’ GVC positions. Economies characterized by stronger governance structures and more diversified, knowledge-intensive production systems are more likely to move toward upstream, technologically sophisticated stages of global production. The coefficient on the lagged dependent variable is also positive and significant, confirming the persistence of GVC positions over time and suggesting that structural upgrading is gradual and path-dependent. With respect to the control variables, natural resource rents exert a positive and significant effect, implying that resource-rich economies can improve their GVC positions when they engage in higher value-added processing activities. In contrast, GDP per capita, FDI inflows, and trade openness display negative and significant relationships. These findings suggest that higher income levels, assembly-oriented foreign investment, and greater import penetration may be associated with downstream, final-stage activities within GVCs. Discussion: The results underscore the pivotal role of institutional frameworks and productive capabilities in shaping countries’ functional positions within GVCs. High institutional quality—manifested in effective governance, transparent regulation, reduced corruption, and strict rule of law—lowers transaction costs, enhances predictability, and fosters innovation. These institutional attributes facilitate participation in higher value-added segments of GVCs and support the coordination required for complex production processes. Economic complexity, reflecting accumulated productive knowledge and the capacity to manufacture diverse and sophisticated goods, constitutes another key driver of upstream upgrading. Countries with higher levels of economic complexity are better positioned to engage in design, advanced manufacturing, and innovation-related activities. The negative association between GDP per capita and GVC position may indicate that as countries attain higher income levels, economic structures increasingly shift toward domestic consumption and services, potentially reducing engagement in upstream industrial activities. Similarly, FDI inflows in many developing economies are concentrated in low-value-added assembly and processing operations, thereby limiting opportunities for functional upgrading. The negative effect of trade openness may reflect dependence on imported intermediate inputs and the predominance of downstream assembly in technologically constrained open economies. The positive contribution of natural resource rents suggests that resource-rich countries can enhance their GVC positions when resource extraction is complemented by domestic processing and value addition. However, the magnitude and sustainability of this effect are likely contingent upon supportive institutional and policy environments. Conclusion & Implications: The findings demonstrate that institutional quality and economic complexity are central determinants of countries’ movement toward upstream positions in GVCs. Strengthening governance systems—particularly in government effectiveness, regulatory quality, and control of corruption—combined with policies that enhance technological capabilities, education, innovation, and productive diversification, can substantially improve countries’ positions in global production networks. From a policy perspective, governments should pursue a dual strategy: first, improving institutional quality to create a stable, transparent, and innovation-supportive environment; and second, investing in productive knowledge, technological upgrading, and diversification to enhance economic complexity. Such an integrated approach can facilitate functional upgrading, increase domestic value capture within GVCs, and strengthen long-term structural competitiveness. در دهه‌های اخیر، جهانی‌شدن، فرایندهای تولید و گسترش زنجیره‌های ارزش جهانی، ساختار تجارت و مزیت‌های رقابتی کشورها را دگرگون کرده است. جایگاه کشورها در این زنجیره‌ها، نه‌تنها میزان مشارکت آن‌ها در اقتصاد جهانی را بازتاب می‌دهد، بلکه بیانگر سطح فناوری، کیفیت نهادی و توان خلق ارزش در اقتصاد داخلی است. از این‌رو، شناسایی عوامل مؤثر بر موقعیت کشورها در زنجیره‌های ارزش جهانی، به یکی از مباحث کلیدی در ادبیات اقتصاد بین‌الملل تبدیل شده است. بر این اساس، در پژوهش حاضر، با بهره‌گیری از داده‌های تابلویی پویا، به بررسی اثر کیفیت نهادها و پیچیدگی اقتصادی بر موقعیت نسبی ۱۷۴ کشور شامل اقتصادهای توسعه‌یافته، نوظهور و در حال توسعه طی دوره ۱۹۹۰ تا ۲۰۱۸ می‌پردازیم. برای تخمین روابط، از الگوی پویای داده‌های تابلویی و روش گشتاورهای تعمیم‌ یافته استفاده شده است تا ضمن کنترل ناهمگنی میان کشورها، مسئله درونزایی نیز برطرف شود. نتایج برآورد، نشان می‌دهد که شاخص حکمرانی به‌عنوان نماینده کیفیت نهادها و شاخص پیچیدگی اقتصادی، اثر مثبت و معناداری بر جایگاه کشورها در زنجیره‌های ارزش جهانی دارند. در میان متغیرهای کنترلی، رانت منابع طبیعی، اثر مثبت و تولید ناخالص داخلی سرانه، سرمایه‌گذاری مستقیم خارجی و بازبودن تجاری، اثر منفی و معناداری دارند. همچنین، ضریب مثبت وقفه متغیر وابسته، بیانگر پایداری نسبی جایگاه کشورها در طول زمان است. به‌طورکلی، یافته‌ها نشان می‌دهد که توسعه ساختارهای تولیدی پیچیده و بهبود شاخص حکمرانی، از مهم‌ترین عوامل مؤثر بر حرکت کشورها به‌سمت فعالیت های بالادستی در زنجیره‌های ارزش جهانی به شمار می‌روند.

https://ecor.modares.ac.ir/article_28546_b685ed5a90e50a5da1ee68da44ab612c.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 A Multidimensional Assessment of Resource-Curse Vulnerability Using the RCVI: Evidence from Club Convergence Across 54 Countries, 2010–2021 سنجش چندبعدی آسیب‌پذیری در برابر نفرین منابع با استفاده از شاخص RCVI: شواهدی از همگرایی باشگاهی در ۵۴ کشور (2010-2021) 357 408 28547 10.48311/ecor.2025.116593.1004 FA امید عدالتی دانشجوی کارشناسی ارشد اقتصاد، گروه اقتصاد دانشکده علوم اقتصادی و اداری، دانشگاه فردوسی مشهد، ایران 0009-0006-4583-7172 نرگس صالح‌نیا دانشیار اقتصاد، گروه اقتصاد دانشکده علوم اقتصادی و اداری، دانشگاه فردوسی مشهد، ایران 0000-0002-7505-5335 سید محمد سیدی دانشجوی دکتری اقتصاد، گروه اقتصاد دانشکده علوم اقتصادی و اداری، دانشگاه فردوسی مشهد، ایران Journal Article 2025 09 26 Abstract The “resource curse” remains a central concern in energy economics, as excessive reliance on natural resources frequently results not in sustainable development but in rent-seeking behavior, institutional fragility, export concentration in primary commodities, and limited economic diversification. Prior research has predominantly emphasized economic indicators while insufficiently addressing institutional and structural dimensions. This study analyzes 54 countries over the period 2010–2021 using a multidimensional Resource Curse Vulnerability Index (RCVI) that integrates economic, institutional, and structural components. The RCVI is first calculated for each country and subsequently examined through the Phillips–Sul club convergence framework to identify dynamic patterns. The results reveal the absence of overall convergence across the full sample. Instead, countries cluster into seven distinct clubs characterized by convergent or divergent trajectories. Economies with strong institutions, high transparency, and stable policy environments demonstrate the capacity to transform resource wealth into developmental opportunities, whereas countries marked by institutional weakness, corruption, and rent dependence persist within divergent or high-vulnerability clubs. These findings underscore the central role of institutional quality, effective governance, and economic diversification. They further demonstrate that multidimensional measures such as the RCVI offer a more comprehensive perspective on resource-curse vulnerability and provide policymakers with a practical instrument for reducing risk and promoting the sustainable management of natural resources Purpose/Aims: This study seeks to update and refine a multidimensional measure of resource-curse vulnerability for resource-dependent economies, quantify cross-country heterogeneity that remains obscured in single-indicator approaches, and determine whether countries follow a common long-run vulnerability trajectory or instead sort into multiple clubs with distinct dynamic paths. An additional objective is to translate these dynamic configurations into a policy-relevant typology capable of assisting governments in diagnosing whether their economies are converging toward resilience or toward a persistent high-risk equilibrium. Methodology & Framework: The empirical analysis covers 54 countries over the period 2010–2021, yielding 648 country-year observations. Countries were selected on the basis that their annual natural-resource rents exceed a minimum threshold, ensuring that resource dependence is macroeconomically salient. The RCVI is constructed from nine components encompassing governance quality, transparency, economic performance, human development, state fragility, and resource-rent intensity. Each component is normalized to a 0–1 scale. Indicators with positive normative implications are scaled such that higher values reflect more favorable conditions, whereas negatively oriented indicators are transformed so that lower values correspond to improved conditions. The normalized components are aggregated into a composite resilience score, which is subsequently converted into a vulnerability index. Dynamic behavior is evaluated in three steps. First, an overall log-t test is conducted to assess convergence across the full panel. Second, a club-formation algorithm identifies groups of countries with similar transitional dynamics. Third, a club-merging procedure consolidates initially fragmented clusters into statistically coherent clubs where appropriate. Findings: Descriptive statistics indicate moderate dispersion with pronounced tails. The RCVI exhibits a mean of 0.444 and a median of 0.469 (standard deviation = 0.170), with values ranging from 0.040 to 0.812. The first, second, and third quartiles are 0.381, 0.469, and 0.550, respectively. The overall convergence test decisively rejects the hypothesis of a single common trajectory (t = −64.9734), confirming the existence of multiple long-run regimes. The club identification procedure initially yields ten groups; following the merging process, the final structure comprises seven clubs and a residual set of countries without stable club affiliation. The final club composition is as follows: Club 1: Angola, Democratic Republic of Congo, Republic of Congo, Iran, Mozambique, Myanmar, Sudan. Club 2: Cameroon, Nigeria. Club 3: Azerbaijan, Bolivia, Brazil, Gabon, Kuwait, Mexico, Pakistan, Russia, Ukraine. Club 4: Bahrain, Bangladesh, Colombia, Côte d’Ivoire, Ecuador, Egypt, Ghana, India, Indonesia, Kazakhstan, Oman, Peru, Qatar, Saudi Arabia, Trinidad and Tobago, Tunisia. Club 5: Argentina, China, Malaysia, Vietnam. Club 6: Italy, Poland, Romania, United Arab Emirates, United States. Club 7: Canada, Germany. Nine countries remain unclassified: Algeria, Australia, Chad, Denmark, Iraq, the Netherlands, Norway, Thailand, and Uzbekistan. Importantly, convergence across clubs does not imply convergence toward similar vulnerability levels. Certain high-risk clubs exhibit convergence toward a persistent vulnerable equilibrium rather than toward sustained risk reduction. Discussion: The findings support a multi-equilibrium interpretation of the resource curse. Resource-rich countries may follow fundamentally different long-run trajectories depending on how institutional capacity, transparency, and structural conditions interact with resource dependence. Club membership, therefore, reflects not merely a cross-sectional ranking but the direction, stability, and persistence of vulnerability dynamics over time. A critical nuance emerges from the distinction between statistical and normative convergence. Convergence does not inherently signify improvement; countries may converge because shared structural weaknesses persist, reinforcing a high-vulnerability regime. Conversely, low-vulnerability clubs are consistent with institutional environments characterized by predictable rules, accountability, and effective constraints on rent-seeking behavior, enabling resource revenues to be directed toward diversification and human development. The unclassified group indicates unstable or idiosyncratic trajectories that defy stable clustering. For these countries, individualized diagnostic analysis may be more appropriate than benchmarking against peer groups. Conclusion & Implications: The evidence demonstrates that resource-dependent economies do not gravitate toward a universal vulnerability equilibrium. Instead, they cluster into distinct dynamic regimes, and in some cases exhibit no stable long-run pattern. From a policy perspective, uniform prescriptions are unlikely to be effective. High-vulnerability clubs highlight the need to strengthen rule-based governance, enhance transparency and public oversight, limit discretionary allocation of resource rents, and build institutional safeguards that reduce fragility and political instability. Mid-vulnerability clubs confront the challenge of preventing regression; governance reforms must be complemented by strategies that reduce fiscal and export dependence on primary commodities. Low-vulnerability clubs illustrate that resilience is compatible with resource wealth when rents are managed through stable institutional frameworks and invested in long-term capability development. Methodologically, integrating a multidimensional index with a dynamic club-convergence framework yields a robust monitoring instrument capable of detecting changes in vulnerability trajectories rather than merely static levels. Future research may extend the analysis beyond 2021, evaluate alternative weighting and aggregation schemes, and examine the relationship between club membership and outcomes such as growth volatility and economic diversification. پدیده «نفرین منابع» از مباحث کلیدی اقتصاد انرژی است، زیرا اتکای بیش از حد به منابع طبیعی به‌جای آنکه موتور توسعه باشد، اغلب به رانت‌جویی، ضعف نهادی، وابستگی به صادرات خام و نبود تنوع اقتصادی منجر می‌شود. بسیاری از مطالعات گذشته، تنها بر شاخص‌های اقتصادی تمرکز داشته‌اند و ابعاد نهادی و ساختاری را نادیده گرفته‌اند. بر این اساس، در پژوهش حاضر، با استفاده از شاخص چندبعدی آسیب‌پذیری در برابر نفرین منابع ( RCVI( که سه بُعد اقتصادی، نهادی و ساختاری را دربر می‌گیرد، وضعیت ۵۴ کشور طی دوره ۲۰۱۰ تا ۲۰۲۱ بررسی، و ابتدا شاخص RCVI برای کشورها محاسبه و سپس با روش همگرایی باشگاهی، مسیرهای پویای آن‌ها تحلیل شده است. یافته‌ها نشان می‌دهد، همگرایی کلی میان همه کشورها وجود ندارد و آن‌ها در قالب هفت باشگاه با الگوهای همگرا یا واگرا دسته‌بندی می‌شوند. کشورهایی با نهادهای کارآمد، شفافیت بالا و سیاست‌های پایدار توانسته‌اند منابع طبیعی را به فرصت تبدیل کنند، در حالی که کشورهایی با ضعف نهادی، فساد و وابستگی به رانت منابع، در باشگاه‌های واگرا باقی مانده‌اند. در مجموع، نتایج پژوهش بر اهمیت کیفیت نهادها، حکمرانی مطلوب و تنوع‌بخشی اقتصادی تأکید می‌کند و نشان می‌دهد که شاخص‌های چندبعدی مانندRCVI می تواند تصویری جامع‌تر از پدیده نفرین منابع ارائه دهند و ابزاری برای سیاست‌گذاران در کاهش آسیب‌پذیری و بهره‌گیری پایدار از منابع طبیعی باشند.

https://ecor.modares.ac.ir/article_28547_6abdec2606bd68762a72dc1a4038d1ff.pdf

دانشگاه تربیت مدرس پژوهش ها و چشم اندازهای اقتصادی 3115-9168 26 3 2026 09 23 Health Insurance Systems in Selected MENA Countries: Institutional Design, Financing Mechanisms, and Evidence from FMOLS and DOLS Models نظام بیمه سلامت کشورهای منتخب منا: چالش‌ها، اصلاحات و شواهد تجربی از مدل‌های FMOLS و DOLS 409 448 28548 10.48311/ecor.2025.116621.1006 FA سروش رحمتیان دانشجوی دکتری اقتصاد، گروه برنامه‌ریزی و توسعه، دانشکده اقتصاد و مدیریت، دانشگاه تربیت مدرس، تهران 0009-0009-1483-7059 ویدا ورهرامی دانشیار گروه اقتصاد، گروه اقتصاد، دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی، تهران، ایران 0000-0002-1869-8852 Journal Article 2025 09 27 Abstract This study evaluates, within a comparative framework, how differences in institutional design and financing structures of health insurance systems influence out-of-pocket (OOP) expenditure in Iran, Oman, the United Arab Emirates (UAE), and Saudi Arabia. Using annual panel data for the period 2000–2022, long-run relationships are estimated through Fully Modified Ordinary Least Squares (FMOLS) and Dynamic Ordinary Least Squares (DOLS) models with country and year fixed effects, addressing nonstationary and ensuring robustness. The results show that increases in gross domestic product (GDP) per capita and in the public share of health expenditure are associated with statistically significant reductions in OOP spending. Likewise, the expansion of public insurance schemes lowers OOP expenditure, whereas a higher share of the population aged 65 years and older increases OOP spending. By integrating econometric evidence with institutional comparison, the study concludes that reliance on public prepayment mechanisms and effective insurance coverage constitutes a necessary condition for strengthening households’ financial protection. For Iran, policy implications include gradually increasing the public share of health expenditure, expanding insurance coverage toward universal health coverage (UHC), and introducing elderly-oriented benefit packages to achieve durable reductions in OOP expenditure Purpose/Aims: The main aim of this study is to conduct a comparative analysis of health insurance systems in Iran, the UAE, Oman, and Saudi Arabia in order to understand how institutional design and financing mechanisms influence households’ financial protection. By reviewing the historical reforms and policy frameworks in these countries, the study addresses a central research question: to what extent can public investment and insurance expansion reduce the burden of OOP expenditure? Beyond descriptive comparison, the study introduces an empirical dimension by examining the relationships among GDP per capita, public health expenditure, demographic changes, and OOP payments. By integrating institutional analysis with econometric modelling, the study provides insights into how Middle Eastern countries have pursued UHC under different institutional and economic settings. Methodology & Framework This research adopts a mixed-method approach. First, a qualitative and descriptive review examines the evolution of health insurance systems in the four countries, identifying institutional features, reform trajectories, and policy outcomes. This comparative institutional analysis establishes the contextual foundation for the empirical investigation. Second, panel econometric models are estimated using annual data from 2000 to 2022. The models incorporate GDP per capita, government health expenditure, implementation of public insurance schemes, and the share of the elderly population aged 65 years and older as explanatory variables. FMOLS and DOLS estimation techniques are applied to account for cointegration and to obtain consistent long-run parameter estimates in the presence of nonstationary series. The inclusion of country and year fixed effects further controls for unobserved heterogeneity and common time shocks. This integrated methodological framework ensures both contextual depth and statistical robustness. Findings The comparative review reveals substantial diversity across the selected countries. Despite the enactment of a universal health insurance law, Iran continues to struggle with fragmented institutions and persistently high OOP expenditure. The UAE, through a mixed public–private model, has expanded insurance coverage and improved service quality but remains partially reliant on private contributions. Oman, benefiting from oil revenues, has historically provided free public health services and is gradually formalizing insurance coverage mechanisms. Saudi Arabia, while traditionally offering publicly funded services, has expanded cooperative health insurance to reduce pressure on the public sector. The econometric findings confirm the proposed hypotheses. Higher GDP per capita and greater public health expenditure significantly reduce OOP expenditure in the long run. Similarly, the expansion of public insurance schemes lowers OOP expenditure. In contrast, population aging exerts a positive and statistically significant effect on OOP spending. These findings demonstrate that economic growth and sustained public financing are critical drivers of financial protection, whereas demographic transition introduces structural pressures that require proactive policy adaptation. Discussion The comparative evidence highlights marked cross-country differences in financial protection and insurance design. Iran exhibits persistently high OOP expenditure, averaging approximately 49.5% of total health expenditure. In contrast, Oman records substantially lower OOP levels (approximately 8.78%), while Saudi Arabia and the UAE occupy intermediate positions at approximately 15.3% and 19.2%, respectively. These patterns are consistent with institutional characteristics: stronger and more stable public financing and comprehensive risk pooling correspond to better household financial protection, whereas fragmented insurance arrangements and heavier reliance on private payments sustain higher OOP burdens. Econometrically, FMOLS and DOLS estimates reinforce this interpretation. The expansion of public insurance schemes is associated with a statistically significant reduction in OOP expenditure. Similarly, higher income levels and a greater public share of health expenditure correspond to lower OOP spending. Conversely, demographic aging increases financial pressure, as a higher proportion of individuals aged 65 years and older is associated with increased OOP expenditure in the long run. In practical terms, the estimated marginal effects indicate that GDP growth and expanded public financing reduce OOP expenditure, public insurance implementation lowers OOP by several percentage points on average, and aging exerts upward pressure on household health spending. Overall, the results suggest that progress toward UHC in the region depends less on adopting a single institutional model and more on aligning fiscal capacity, risk-pooling architecture, and demographic realities. Conclusion & Implications This study concludes that durable reductions in OOP expenditure require sustained public prepayment mechanisms and effective insurance coverage embedded within coherent institutional arrangements rather than fragmented schemes. The combined comparative and econometric evidence demonstrate that increasing GDP per capita, raising the public share of health expenditure, and expanding public insurance coverage significantly reduce OOP expenditure, while population aging exerts upward pressure and should therefore be treated as a structural constraint in future reforms. For Iran, the policy implications are clear. Gradually increasing the public share of health expenditure, expanding insurance coverage toward UHC, and introducing elderly-oriented benefit packages are necessary to mitigate aging-related cost pressures and strengthen financial protection. Beyond fiscal expansion, reforms should prioritize consolidation of fragmented insurance funds, implementation of risk-equalization mechanisms, and stronger regulatory oversight to limit cost shifting to households, particularly through co-payments and private billing practices. More broadly, the regional experience suggests that UHC should be conceptualized as a strategic investment in social welfare and economic development, requiring stable public financing, institutional coherence, credible governance, and evidence-based implementation to achieve lasting financial protection. این پژوهش، با هدف ارزیابی تطبیقی تأثیر تفاوت‌های نهادی و مالی نظام‌های بیمه سلامت بر پرداخت مستقیم از جیب در چهار کشور ایران، عمان، امارات متحده عربی و عربستان سعودی انجام شده است. از داده‌های تابلویی سالانه 2002-۲۰22 استفاده و برای برآورد رابطۀ بلندمدت و رفع چالش‌های ناپایی و بررسی استحکام نتایج، از دو روش FMOL و DOLS با اثرات ثابت مقطعی و زمانی بهره گرفته شده است. نتایج نشان می‌دهد، افزایش تولید ناخالص داخلی و نیز افزایش سهم مخارج دولت از سلامت، با کاهش معنادار پرداخت‌های مستقیم از جیب همراه است؛ گسترش طرح‌های عمومی بیمه نیز کاهش معنادار پرداخت‌های مستقیم را توضیح می‌دهد، درحالی‌که رشد سهم جمعیت سالمند، اثر افزایشی بر پرداخت‌های مستقیم از جیب دارد. برآیند شواهد کمی و مقایسۀ نهادی، دلالت می‌کند که اتکا به ‌پرداخت‌های عمومی و پوشش بیمه‌ایِ کارآمد، شرط لازم برای تقویت حفاظت مالی خانوارها است. پیام سیاستی مشخص برای ایران، آن است که با افزایش تدریجی سهم مخارج عمومی سلامت و تعمیق پوشش بیمه‌ای و حرکت به سمت بیمه سلامت همگانی با تأکید و طراحی بسته‌های ویژۀ سالمندی، می‌توان بار پرداخت‌های مستقیم از جیب را به‌طور پایدار کاهش داد.

https://ecor.modares.ac.ir/article_28548_d1d6e4e428da3798f5d662cb3c8cd74f.pdf