University of Tehran Iranian Economic Review 1026-6542 23 3 2019 07 01 Does Oil Price Asymmetrically Pass-Through Banking Stock Index in Iran? 659 674 71786 10.22059/ier.2019.71786 EN 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 Hojhabr Kiani Department of Economics, Islamic Azad University, Science and Research Branch, Economic Group, Tehran, Iran Journal Article 2018 01 29 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 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 short-term 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.   https://ier.ut.ac.ir/article_71786_843280d8710f849985126dc212370b87.pdf