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Paper Information

Journal:   IRANIAN JOURNAL OF APPLIED ECONOMICS   winter 2018 , Volume 7 , Number 23 #r00451; Page(s) 27 To 38.

Equities, Dollar and Gold Hedges against Inflation in Iran Using a Multy Scale Wavelet Analysis

Author(s):  PAHLEVANI MOSAYEB, ROSHAN REZA*, Leshani mojtaba
* University of Persian Golf Boshehr
Under inflation condition, the investors are always looking for investing in assets which are maintaining the real value of money and also have appropriate returns. Fisher brought up for the first time that nominal returns are equal to the sum of real returns and inflation. In this study, the Fisher hypothesis for the assets such as stocks, gold and foreign currencies (US dollars) is examined for Iran’ s economy over the period of 2000 to 2014. Unlike previous studies established based on the short and long-term, the present study has examined the mentioned hypothesis by using wavelet analysis for eight different periods. First, the time series of inflation, the growth rate of stock returns, the growth rate of gold prices, and the growth rate of dollar have been decomposed by using the wavelet method, which its result are eight new time series for each variable, so that each time series is the representative of a time period. Then, the Fisher hypothesis has been examined for the same time period of inflation and the asset by using the ordinary regression function analysis. The results indicate that investing in the stock and dollar in the very short-term and very long-term and investing in gold in medium-term are appropriate hedges against inflation.
Keyword(s): Hedging Inflation,Wavelet Analysis,Equities,Gold,Dollar
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