Iranian Journal of Economic Research

The Inflation-hedging Effectiveness of Land, Gold and Stock in Iran

Authors

Gholamreza Keshavarz Haddad 1
MohamadReza Satari 2

1 h.D, Associated Professor, Sharif University of Technology, Department of Economics

2 Graduated Student, Sharif University of Technology

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.

Keywords

asset returns
inflation- hedging
seasonal unit root test
seasonal filter
Iran

  • Receive Date 27 April 2016
  • First Publish Date 27 April 2016

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