Inflation Uncertainty and Real Interest Rate of Bank Trust Funds in Iran

Document Type : Research Paper



Interest as investment opportunity cost or in other words cost of obtaining the credit requirement in the production Process, have a key role in the good's cost price and hence it's necessary to control this kind of variables that have harmful effects on the interest rate's trends. Among this, the unexpected changes in some variables that can have destructive effects on interest rates process and hence cause good's cost price to face with uncertainty, can be more critical. In this regard, this study examines the relationship between inflation uncertainty and real interest rate of bank trust funds in Iran using monthly data for period 1383:1 – 1393:12.   For this purpose, the multivariate generalized autoregressive conditional heteroscedasticity model with corrected dynamic conditional correlation approach is applied. The results showed a positive and significant impact of inflation uncertainty on real interest rate of bank trust fundsin Iran.


اسماعیل‌زاده مقری، علی (1388). بررسی تأثیر پذیری تورم از سرمایه‌گذاری کل در اقتصاد ایران. فصلنامه‌ی پژوهشنامه اقتصادی، سال نهم، شماره‌ی 2، پیاپی33.
حیدری، حسن و بشیری، سحر (1391). بررسی رابطه‌ی بین نااطمینانی نرخ واقعی ارز و شاخص قیمت سهام در بورس اوراق بهادار تهران: مشاهداتی بر پایه‌ی مدل VAR- GARCH. فصلنامه‌ی تحقیقات مدل سازی اقتصادی، شماره‌ی 9.
صفدری، مهدی و پورشهابی، فرشید (1388). اثر نااطمینانی تورم بر رشد اقتصادی ایران. دانش و توسعه، سال شانزدهم، شماره‌ی 29.
کشاورز حداد، غلامرضا و صمدی، باقر (1388). برآورد و پیش­بینی تلاطم بازدهی در بازار سهام تهران و مقایسه دقت روش‌ها در تخمین ارزش در معرض خطر: کاربردی از مدل‌های خانواده‌ی FIGARCH. مجله‌ی تحقیقات اقتصادی، شماره‌ی 86، صص 236-193.
مهرگان، نادر؛ عزتی، مرتضی و اصغرپور، حسین (1385). بررسی رابطه‌ی علّی بین نرخ بهره و تورم: با استفاده از داده­های تابلویی. فصلنامه‌ی پژوهش‌های اقتصادی، سال ششم، شماره‌ی سوم.
Aielli, G. P. (2013). Dynamic Conditional Correlation: on Properties and Estimation.  Journal of Business and Economic Statistics, 31:282-299.
Baba, Y., Engle, R. F., Kraft, D. F., & Kroner, K. F. (1991). ''Multivariate simultaneous generalized ARCH. University of California and San Diego: Department of Economics, Discussion Paper.
Berument, H. (1999). The Impact of Inflation Uncertainty on Interest Rates in the UK. Scottish Journal of Political Economy, 4(2), pp. 207-218.
Berument, H., Kilinc, Z., & Umit O. (2005). The Missing Link between Inflation Uncertainty and Interest Rates. Scottish Journal of Political Economy,  52(2).
Bhar, R., & Mallik, G. (2012). Components of Inflation Uncertainty and Interest Rates: Evidence from Australia and New Zealand. Economic Analysis & Policy, 42(1).
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307-327.
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariance. The Journal of Political Economy, 96,116-131.
Bomberger, W., A., & Frazer, W., J. (1981). Interest Rates, Uncertainty and the Livingston Data. Journal of Finance 36, 661-675.
Cheong, C. Kim, G., & Podivinsky, J. M. (2010). The Impact of inflation on Interest Rates. Australasia Macroeconomic Workshop.
Fama, E. (1975). Short term interest rates as predictor of inflation. American Economic Review, 65(3), 269–82.
Fischer, S. (1975). The demand for index bonds. Journal of Political Economy, 83, 509–34.
Fisher, I. (1930). The Theory of Interest. New York: A, M, Kelly.
Hahn, F, H. (1970). Savings and uncertainty. Review of Economic Studies, 37, 21–4.
Hartman, R., & Makin, J. H. (1982). Inflation Uncertainty and Interest Rates: Theory and Empirical Tests. NBER Working Paper 906.
Juster, F., T., & Taylor, D. (1975). Towards a theory of saving behavior. American Economic Review, 65,  203–9.
Kwame, D., S. (2012). The relationship between Inflation, Inflation Uncertainty and Interest Rate in Ghana. A dissertation submitted to the Department of Economics, Faculty of Social Sciences, in partial fulfillment of the Requirements for the award of the degree of MASTER OF ARTS in Economics.
Levi, M, D., & Makin J., H. (1979). Fisher, Phillips, Friedman and the Measured Impact of Inflation on Interest. Journal of Finance 34, 35-52.
Malliaris, A. G., & Malliaris, M. E. (1991). Inflation rates and inflation: a continuous time stochastic approach.  Economic Letters, 37, 351–6.
McKinnon, R. I. (1973). Money and Capital in Economic Development. the Brookings Institution, Washington DC.
Merton, R. (1975). Theory of finance from the perspective of continuous time. Journal of Financial and Quantitative Analysis, 10, pp. 659–74.
Shaw, E. S. (1973). Financial Deepening in Economic Development. Oxford University Press, New York.