EconPapers    
Economics at your fingertips  
 

The inflation hedging properties of gold, stocks and real estate: A comparative analysis

Afees Salisu (), Ibrahim Raheem () and Umar Ndako

Resources Policy, 2020, vol. 66, issue C

Abstract: This study is a comparative analysis of inflation hedging properties of stocks, gold and real estates for the US. It is hypothesised that the assets have varying market characteristics and thus should respond differently to high inflation. The Fisher's hypothesis for asset-inflation hedging is constructed both within the bivariate and multivariate modelling frameworks. Thereafter, some salient features typical of predictive models such as asymmetry, time-variation and structural breaks are incorporated in the estimation process for completeness. The results show that inflation hedging tendencies of assets are heterogeneous across the considered assets. The real estates and stocks prove to be good hedges against inflation, while gold investment defies Fisher's hypothesis. Also, the results are sensitive to the decomposition of data for pre- and post-GFC periods, indicating that asset-inflation hedging relationship for the US is time-varying. The results are robust to alternative data frequencies.

Keywords: Inflation hedging; Gold; Stocks; Real estate; United States (search for similar items in EconPapers)
JEL-codes: E44 G11 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420719302697
Full text for ScienceDirect subscribers only

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:eee:jrpoli:v:66:y:2020:i:c:s0301420719302697

DOI: 10.1016/j.resourpol.2020.101605

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-11-26
Handle: RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719302697