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

U sing 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 ۰.۶۳. 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 ۰.۴۴. In another model, the influence of negative components of oil price on banking stock index was estimated to be ۰.۳۸. 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 short-term equation (ECM), the ECT value was significant and equivalent to -۰.۱۲ 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 ۸۳ periods.

Keywords:

Keywords: Oil Price , Banking Stock Index , Asymmetric Pass-Through , Hidden Co-Integration , ARDL-CECM Model. JEL Classification: C۳۲ , C۵۲ , P۲۸ , E۵۹ , Q۴۳