THE INFLATION-HEDGING EFFECTIVENESS OF LAND, GOLD AND STOCK IN IRAN

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KESHAVARZ HADDAD GHOLAMREZA; SATARI MOHAMADREZA

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Paper Information

Journal: Iranian Journal of Economic Research Year:2010 | Volume:15 | Issue:44 Page(s): 135-171

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Title

THE INFLATION-HEDGING EFFECTIVENESS OF LAND, GOLD AND STOCK IN IRAN

Author(s)

KESHAVARZ HADDAD GHOLAMREZA | SATARI MOHAMADREZA | Issue Writer Certificate

Keywords

ASSET RETURNSQ2

INFLATION- HEDGINGQ3

SEASONAL UNIT ROOT TESTQ3

SEASONAL FILTERQ3

IRANQ3

Abstract

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.

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APA: Copy

KESHAVARZ HADDAD, GHOLAMREZA, & SATARI, MOHAMADREZA. (2010). THE INFLATION-HEDGING EFFECTIVENESS OF LAND, GOLD AND STOCK IN IRAN. IRANIAN ECONOMIC RESEARCH, 15(44), 135-171. SID. https://sid.ir/paper/2579/en

Vancouver: Copy

KESHAVARZ HADDAD GHOLAMREZA, SATARI MOHAMADREZA. THE INFLATION-HEDGING EFFECTIVENESS OF LAND, GOLD AND STOCK IN IRAN. IRANIAN ECONOMIC RESEARCH[Internet]. 2010;15(44):135-171. Available from: https://sid.ir/paper/2579/en

IEEE: Copy

GHOLAMREZA KESHAVARZ HADDAD, and MOHAMADREZA SATARI, “THE INFLATION-HEDGING EFFECTIVENESS OF LAND, GOLD AND STOCK IN IRAN,” IRANIAN ECONOMIC RESEARCH, vol. 15, no. 44, pp. 135–171, 2010, [Online]. Available: https://sid.ir/paper/2579/en

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