Document Type : Research Paper
Authors
1 daneshgah allame tabatabai
2 Associate Professor in Economics at Allameh Tabataba'i University
Abstract
Effect of Oil Shocks on Stock Returns in Iran: Sing Restriction Approach
Considering that the price of oil has changed a lot over the past decades and these changes can have a great impact on the financial markets of a country like Iran, the effect of oil shocks on the return of the Iranian stock market has been emphasized in this study. To measure the impact of oil shocks on financial market returns (in this study, stock market returns) in Iran, the sign-restricted VAR model has been used. The data of the study includes stock returns as a representative of Iran's financial market, Texas oil prices, and exchange rate uncertainty, and the period of the study covers the spring of 2017 to the spring of 2014. The results of the research show that the impact of the oil price shock on stock returns is significant and increasing, and then decreasing and lasting. The impact of exchange rate uncertainty on stock returns is also significant and increases and then decreases.
Keywords: Oil Prcice, Exchange Rate Volatility, Stocke Return, Impuls Respons
JEL Classification: H54,G14,G21,R32
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