Listed Real Estate as an Inflation Hedge across Regimes
Jan Muckenhaupt,
Martin Hoesli and
Bing Zhu
ERES from European Real Estate Society (ERES)
Abstract:
This paper investigates the inflation hedging capability of listed real estate (LRE) companies from 1990 to 2021 in four economies: the US, the UK, Australia, and Japan. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves towards being negative or zero during crisis periods. In non-crisis periods, LRE provides good protection against inflation. In the long term, LRE provides a good hedge against expected inflation, and shows a superior inflation hedging ability than stocks. Additionally, we propose inflation-hedging portfolios by minimizing the expected shortfall. This inflation-hedging portfolio allocation methodology suggests that listed real estate stocks should play a significant role in investor portfolios.
Keywords: Inflation Hedging; Inflation-Hedging Portfolio; Listed Real Estate Companies; Markov-switching (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2023-01-01
New Economics Papers: this item is included in nep-mon, nep-rmg and nep-ure
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Citations: View citations in EconPapers (1)
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2023_56
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