Asset Returns and Inflation Hedging in Iran

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Sattari, Mohammad Reza | 2008

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 39022 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Keshavarz Haddad, Gholamreza
Abstract:
After the fisher hypothesis about the relationship between asset returns and inflation, numerous studies tried to examine the accuracy of the hypothesis. Contradicted results continued to the proxy hypothesis by Fama (1981). In this thesis, after a thorough survey of the literature, both theoretically and empirically, in order to find the inflation hedging ability of the land, gold and stock in Iran, we try to find the hedging ability of the assets in Iran. Considering the seasonal characteristic of the data, we employed HEGY (1990) unit root test. Finally, by using vector error correction models we show that in the long run, stock and land hedge the wealth against inflation. In the short run, we see that money reserve plays an important role in the land return
Keywords:
Asset Returns ; Inflation Hedging ; Seasonal Unti Root Test ; Seasonal Filtering

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