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 |
| _version_ | 1797369396661846016 |
|---|---|
| author | Gholamreza Keshavarz Haddad MohamadReza Satari |
| author_facet | Gholamreza Keshavarz Haddad MohamadReza Satari |
| author_sort | Gholamreza Keshavarz Haddad |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-08T17:46:08Z |
| format | Article |
| id | doaj.art-9639e527b45e4ea0acfb39d231f39a50 |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:46:08Z |
| publishDate | 2010-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-9639e527b45e4ea0acfb39d231f39a502024-01-02T10:28:46ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452010-09-0115441351713398The Inflation-hedging Effectiveness of Land, Gold and Stock in IranGholamreza Keshavarz Haddad0MohamadReza Satari1h.D, Associated Professor, Sharif University of Technology, Department of EconomicsGraduated Student, Sharif University of TechnologyFollowing 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.https://ijer.atu.ac.ir/article_3398_676093ab1e476fe23d8a0bbbaa905adb.pdfasset returnsinflation- hedgingseasonal unit root testseasonal filteriran |
| spellingShingle | Gholamreza Keshavarz Haddad MohamadReza Satari The Inflation-hedging Effectiveness of Land, Gold and Stock in Iran فصلنامه پژوهشهای اقتصادی ایران asset returns inflation- hedging seasonal unit root test seasonal filter iran |
| title | The Inflation-hedging Effectiveness of Land, Gold and Stock in Iran |
| title_full | The Inflation-hedging Effectiveness of Land, Gold and Stock in Iran |
| title_fullStr | The Inflation-hedging Effectiveness of Land, Gold and Stock in Iran |
| title_full_unstemmed | The Inflation-hedging Effectiveness of Land, Gold and Stock in Iran |
| title_short | The Inflation-hedging Effectiveness of Land, Gold and Stock in Iran |
| title_sort | inflation hedging effectiveness of land gold and stock in iran |
| topic | asset returns inflation- hedging seasonal unit root test seasonal filter iran |
| url | https://ijer.atu.ac.ir/article_3398_676093ab1e476fe23d8a0bbbaa905adb.pdf |
| work_keys_str_mv | AT gholamrezakeshavarzhaddad theinflationhedgingeffectivenessoflandgoldandstockiniran AT mohamadrezasatari theinflationhedgingeffectivenessoflandgoldandstockiniran AT gholamrezakeshavarzhaddad inflationhedgingeffectivenessoflandgoldandstockiniran AT mohamadrezasatari inflationhedgingeffectivenessoflandgoldandstockiniran |