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

Document Type : Research Paper

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Abstract

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.

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References

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Journal of Economic Research (Tahghighat- E- Eghtesadi)
Volume 51, Issue 4 - Serial Number 117
November 2016
Pages 929-950

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History

  • Receive Date: 05 October 2015
  • Revise Date: 16 June 2016
  • Accept Date: 29 October 2016

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