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Does Oil Price Asymmetrically Pass-Through Banking Stock Index in Iran?

Author

Listed:
  • Shima Haj Ghanbar Viliani

    (Department of Economics, Islamic Azad University, Science and Research Branch, Tehran, Iran.)

  • Farhad Ghaffari

    (Department of Economics, Islamic Azad University, Science and Research Branch, Economic Group, Tehran, Iran.)

  • Kambiz Hozhabr Kiani

    (Department of Economics, Islamic Azad University, Science and Research Branch, Economic Group, Tehran, Iran.)

Abstract

Using daily data, this study examined asymmetric pass-through of Iran’s oil price to banking stock index in Tehran Stock Exchange at different time horizons. Based on the results, the coefficient of long-run pass-through of oil price to banking stock index was estimated to be 0.63. Furthermore, based on the short-term ARDL-CECM models, the relationship between the positive components of the banking stock index and those of oil price was estimated, which was significant and equivalent to 0.44. In another model, the influence of negative components of oil price on banking stock index was estimated to be 0.38. Accordingly, by comparing the coefficients of the analyzed components of the oil variables with the corresponding components of the banking stock index, it was found that the value of these two coefficients was different, which is an evidence for an asymmetric relationship between banking stock index and oil price. In the shortterm equation (ECM), the ECT value was significant and equivalent to 0.12 confirming the fact that if a shock upsets the long-term balance of the model variables in the short term, the effect of this index will wear off after about 83 periods.

Suggested Citation

  • Shima Haj Ghanbar Viliani & Farhad Ghaffari & Kambiz Hozhabr Kiani, 2019. "Does Oil Price Asymmetrically Pass-Through Banking Stock Index in Iran?," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 23(3), pages 659-674, Summer.
    • Handle: RePEc:eut:journl:v:23:y:2019:i:3:p:659
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    Cited by:

    1. Zarei, Samira, 2020. "Analyzing the Asymmetric Effects of Inflation and Exchange Rate Misalignments on the Petrochemical Stock index: The Case of Iran," MPRA Paper 99101, University Library of Munich, Germany.

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