The Inflation-hedging Effectiveness of Land, Gold and Stock in Iran
Following the fisher’s hypothesis about the relationship between asset returns and inflation, numerous studies have tried to test the hypothesis with various data sets. Contradiction in the findings resulted to the proxy hypothesis of Fama (1981). In present article, survey the theoretical and empir...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2010-09-01
|
| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_3398_676093ab1e476fe23d8a0bbbaa905adb.pdf |
| Summary: | Following the fisher’s hypothesis about the relationship between asset returns and inflation, numerous studies have tried to test the hypothesis with various data sets. Contradiction in the findings resulted to the proxy hypothesis of Fama (1981). In present article, survey the theoretical and empirical literature, and conduct a test for inflation hedging ability of land, gold and stock in Iran. Considering the seasonal characteristics of the data (1385-1355), we use the HEGY (1990) unit root test, and VECM methodology to estimate long and short run relationships. Our findings show that in the long run, all three types of assets hedge against inflation. However, in the short run, we observe that money reserve, oil prices and real GDP are significant determinants of the assets returns. |
|---|---|
| ISSN: | 1726-0728 2476-6445 |