Public real estate returns and inflation shocks: The central role of inflation nonneutrality

Robert A. Connolly and Chris Stivers

Real Estate Economics, 2025, vol. 53, issue 5, 906-948

Abstract: We study the comovement of public real estate returns and inflation shocks over 1981–2022, using both survey‐based expected inflation and the Consumer Price Index (CPI). We find a complex relation that is: strongly negative during weaker‐economic (WE) times over the 1980s and 1990s, when stagflation was more a concern; strongly positive during WE times over roughly 2000–2022, when low growth with low inflation tended to be more a concern; and marginally negative otherwise. Linking inflation to both macroeconomic fundamentals and real estate operational data, we show that inflation shocks comove with changing beliefs about the underlying economic‐growth state and/or the risk premium. Thus, we argue that inflation nonneutrality has a central role in understanding our findings.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/1540-6229.12495

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:53:y:2025:i:5:p:906-948

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620

Access Statistics for this article

Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

More articles in Real Estate Economics from American Real Estate and Urban Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().