Purpose: The main purpose of this study is to investigate the effect of macroeconomic variables, economic sanctions and global commodity price index on the price index of banks and credit institutions in Iran's capital market.
Method: This study is using time series data with monthly frequency during the period of 1387-1400 and using the auto-regression approach with distribution breaks (ARDL) of the estimated model. Also, the edge test was used to test the convergence of the model.
Findings: The results of the model estimation indicate that in the dynamic model, the price index of the banks and credit institutions group is significantly affected by the examined variables, and based on the collocation test, the existence of a long-term relationship was also confirmed; That is, in the long term, the price index of the group of banks and credit institutions is significantly affected by the macroeconomic variables and the global price index of commodities. The results of the error correction model have shown that any imbalance in the model moves towards balance in the long term and it takes less than two years for the short-term balance error to be corrected and the model to return to its long-term balance.
Innovation: Previous studies to examine external factors have generally considered macroeconomic variables, while Iran's capital market is a commodity-oriented market, and on the other hand, Iran's economy is affected by economic sanctions, so in the current research, in addition to the impact of macroeconomic variables, the impact of economic sanctions And the global price index of commodities has been checked on the price index of the group of banks and credit institutions.