Institute for Management and Planning studies 3115-7092 3115-7106 30 3 2025 12 1 The Implications of Financial Market Frictions and Tax Code Convexity for Dynamic Risk Budgeting 3 35 FA Mohammad Feghhi Assistant Professor, Department of Economics, Allameh Tabatabaee University, Tehran, Iran feghhi@ir.ac.atu Y Risk management is central to the operations of economic enterprises—particularly financial institutions—and is critical for long-term viability and for maintaining dynamic consistency with constraints imposed by available economic capital. These considerations have intensified scholarly and managerial interest in risk budgeting frameworks. This study focuses on dynamic risk budgeting within a parsimonious analytical setting that explicitly incorporates key real-world characteristics and structural determinants. To this end, a time-consistent continuous-time dynamic stochastic partial equilibrium model of agents’ decision-making is developed to examine how financial market frictions and tax code convexity affect dynamic risk budget adjustments and optimal hedging strategies. The analysis demonstrates that, under certain conditions, market frictions and distortionary policy interventions generate distributional effects on hedged returns, thereby influencing dynamic risk budgeting outcomes. The interaction between market frictions and tax convexity is further explored, along with its implications for policy design and financial regulation. Quantitative simulations are used to assess the role of transaction costs in each setting, highlighting their impact on risk budgeting dynamics. Risk Budgeting, Financial Market Frictions, Tax Code Convexity, Conditional Value at Risk, Hedging Costs, Transaction Costs http://eprj.ir/article-1-2393-en.html http://eprj.ir/article-1-2393-en.pdf

Institute for Management and Planning studies 3115-7092 3115-7106 30 3 2025 12 1 Optimal Groundwater Policy in the Presence of Farmers’ Productivity Investment: A Dynamic Game Approach 37 57 FA Mehdi Fadaee Associate Professor, Department of Socio-Economics Systems, Institute for Management and Planning Studies, Tehran, Iran, m.fadaee@imps.ac.ir Y Maryam Asghari M.S in Socio-Economic Systems, Institute for Management and Planning Studies, Tehran, Iran, N In many arid and semi-arid regions, shared groundwater aquifers play a crucial role in sustaining agricultural production, while the absence of effective institutions has exacerbated over-extraction and groundwater depletion. This paper develops a theoretical framework to analyze the interaction between local policy-making, investment in efficiency, and informal water trading. The model is formulated as a dynamic, sequential game with complete information among three players: a local planner, a high-productivity farmer, and a low-productivity farmer. The local planner determines groundwater extraction quotas to maximize discounted social welfare; the low-productivity farmer sells part of his quota in an informal market; and the high-productivity farmer dynamically decides on the level of investment in productivity-enhancing technologies. The dynamics of capital accumulation and groundwater levels are modeled through differential equations, and the game equilibrium is derived using Pontryagin’s Maximum Principle and backward induction. The results indicate that investment in productivity not only increases private profits but also contributes to aquifer sustainability by reducing water demand. Moreover, institutional and environmental parameters—such as the discount rate, aquifer recharge (or permeability) coefficient, and the valuation of environmental externalities—play a decisive role in determining optimal water allocation policies. The findings underscore the necessity of coordinating water allocation policies with investment incentives for water-efficient technologies. Groundwater, Dynamic Game, Optimal Control, Productivity Investment, Water Market, Local Planner. http://eprj.ir/article-1-2396-en.html http://eprj.ir/article-1-2396-en.pdf

Institute for Management and Planning studies 3115-7092 3115-7106 30 3 2025 12 1 Investigating the Effects of Asymmetric Exchange Rate Fluctuations on the Added Value of Different Sectors of Iran\'s Economy 59 91 FA Fatemeh Naghibzadeh Ph.D. of Student, Department of Economics, Zanjan Branch, Islamic Azad University, Zanjan, Iran f.naghibzadeh777@gmail.com N Kambiz Hojabr Kiani Professor, Department of Economics, Faculty of Economics and Financial Sciences, Islamic Azad University, Science and Research Branch, Tehran, Iran. Kianikh@yahoo.com Y Yadolah Rajaei Associate Professor, Department of Economics, Zanjan Branch, Islamic Azad University, Zanjan, Iran. N Ashkan Rahimzadeh Assistant Professor, Zanjan Branch, Islamic Azad University, Zanjan, Iran. N This study investigates and evaluates the effects of exchange rate fluctuations on the value added of the industry, services, and agriculture sectors using the NARDL method. The findings indicate that exchange rate changes have an asymmetric effect on the value added of different sectors. In all sectors, a negative shock affects the value added of the sectors more strongly than a positive shock. However, according to the results, this asymmetric effect is not uniform across different sectors. Overall, the findings show that the effect of real exchange rate fluctuations on all sectors is nonlinear and asymmetric. In the industry sector, the coefficient of positive real exchange rate shocks in the long run changes the growth of value added by 0.3 percent, and the coefficient of negative real exchange rate shocks in the long run changes it by 0.47 percent. Furthermore, in the short run, positive real exchange rate shocks had a negative and significant effect on the value added of the industry sector during the period under review. In the agriculture sector, in the long run, only the negative values of real exchange rate shocks change the growth of value added in this sector by a coefficient of 2.84 percent, while the positive values of real exchange rate shocks have no significant effect on the value added of this sector.   Asymmetric Fluctuations, Added Value of the Industry Sector, Added Value of the Service Sector, Added Value of the Agricultural Sector, Non-linear Approach, Exchange Rate Fluctuations. http://eprj.ir/article-1-2334-en.html http://eprj.ir/article-1-2334-en.pdf

Institute for Management and Planning studies 3115-7092 3115-7106 30 3 2025 12 1 Multiple Exchange Rate Regimes and Import Distortions: Micro Evidence from Iran 93 126 FA Mobina Shojaei M.A. in Economics, Faculty of Management and Economics, Sharif University of Technology, Tehran, Iran mobina_shojaei@gsme.sharif.edu N Mahdi Ansari Assistant Professor, Faculty of Management and Economics, Sharif University of Technology, Tehran, Iran. mahdi.ansari@sharif.edu Y Multiple exchange rate regimes, still in place in dozens of emerging markets, distort imports and resource allocation by creating a gap between the official and market exchange rates. This paper uses Iran’s Customs data at the HS8 product level and monthly frequency from 2011 to 2023 to examine the effects of this policy structure. A detailed timeline of products eligible for subsidized exchange rates is constructed. The average effects of the policy are estimated using OLS regressions with product and time fixed effects, while heterogeneous effects across product groups are identified using a parallel generalized synthetic control approach. The findings show that a widening exchange rate gap, typically driven by an increase in the market rate, significantly raises imports of goods eligible for subsidized rates. This elasticity is larger for goods receiving greater subsidies and for intermediate products. However, the synthetic control results indicate that these effects are statistically significant only for a limited number of product categories. This paper provides the first micro-level evidence on how multiple exchange rate regimes shape the quantity and composition of imports.   Iran, Multiple Exchange Rate, Exchange Rate Gap, Preferred Currency, Fixed-Effects Regression, Import Composition, Generalized Synthetic Control, http://eprj.ir/article-1-2390-en.html http://eprj.ir/article-1-2390-en.pdf

Institute for Management and Planning studies 3115-7092 3115-7106 30 3 2025 12 1 Macroeconomic Instability, Autoregressive Distributed Lag Model, Gelzakas Index, Economic Welfare, Iran. 137 157 FA Mohammad Abdi Seyyedkolaee Associate Professor in Economics, University of Mazandaran, Mazandaran, Iran. m.abdi.sk@umz.ac.ir Y Shahryar Zaroki Associate Professor in Economics, University of Mazandaran, Mazandaran, Iran. sh.zaroki@umz.ac.ir N Fatemeh Azhari M.Sc. in Economics, University of Mazandaran, Mazandaran, Iran. N Macroeconomic instability refers to fluctuations in the economy that can be caused by factors such as inflation, recession, and exchange rate fluctuations. The most important goals of any country are to create stability in all dimensions. The issue of welfare is also one of the most important issues of different societies. In recent years, we have witnessed a decline in Iran's position in various welfare rankings. Therefore, given such importance, the main goal of the present study is to examine the effect of macroeconomic instability on economic welfare in Iran in the period from 1978 to 2022. For this purpose, according to two macroeconomic instability indices (ARCH-GARCH, Gelzakas), an autoregressive approach with distributional lags was used in estimating the two models of the research model. The results of the data description show that the average economic welfare in Iran was 40.3 (out of 100) and its highest value was related to the Fifth Development Plan. Also, the highest average among the instability indices was related to Gelzakas with a figure of 0.46 percent. The results of the study show that instability based on both indices (ARCH-GARCH and Gelzakas) has a negative effect on economic welfare in the short and long term. Also, the results show that economic growth and per capita income have a positive effect on economic welfare in the short and long term, as expected. According to other results, inflation and unemployment rate have an adverse effect on economic welfare. In this study, it is suggested that economic policymakers, to increase the level of economic welfare in Iran, government policies should be aimed at reducing fluctuations in instability variables as much as possible.   Macroeconomic Instability, Autoregressive Distributed Lag Model, Gelzakas index, Economic Welfare, Iran http://eprj.ir/article-1-2305-en.html http://eprj.ir/article-1-2305-en.pdf

Institute for Management and Planning studies 3115-7092 3115-7106 30 3 2025 12 1 The Nonlinear Relationship between Capital Structure and Performance of Islamic banks 159 182 FA Saeid Mohammadbeigi Ph.D.in Philosophy of Islamic Economics, Institute Research and Education Khomeini Imam, Ghom, Iran. beigi.1992@gmail.com Y This paper examines the nonlinear relationship between capital structure and financial performance of Islamic banks in selected member countries of the Organization of Islamic Cooperation over the period 2010–2020. Using a balanced panel of 125 banks comprising 1,375 annual observations, the study first estimates fixed-effects and dynamic panel linear models to assess the direct impact of the equity-to-assets ratio on return on assets and return on equity. It then applies a dynamic threshold panel regression model to capture potential nonlinearities. The results identify two capital ratio thresholds at 12 percent and 18 percent. Capital adequacy exerts a positive and statistically significant effect on performance up to the first threshold, followed by a modest decline at intermediate levels and a pronounced slowdown beyond the upper threshold. Structural stability tests, random resampling with 1,000 iterations, and alternative performance measures based on net interest margin and the Z-score confirm the robustness of these findings. Regional analysis indicates that the impact of capital on performance is stronger in the Gulf region than in other regions, reflecting differences in regulatory frameworks and market depth, which in turn influence optimal capital thresholds. The findings suggest that, when determining target capital ratios, Islamic banks must balance the benefits of tax shields and reduced agency costs at moderate capital levels against higher bankruptcy costs and increased operational complexity at elevated levels. From both theoretical and practical perspectives, the results inform the design of flexible, region-specific regulatory policies and provide empirical support for the efficiency risk hypothesis and the charter value hypothesis in the context of Islamic banking. Capital Structure, Islamic Banks, Optimal Capital Structure, Islamic Economy. http://eprj.ir/article-1-2321-en.html http://eprj.ir/article-1-2321-en.pdf