Inflation Hedging Characteristics of the Chinese Real Estate Market

Yongqiang Chu and Tien Foo Sing

Journal of Real Estate Portfolio Management, 2004, vol. 10, issue 2, 145-154

Abstract: Executive Summary. The Chinese real estate market has been experiencing rapid growth and transformation over the last few years. This paper tested the short-term inflation hedging characteristics of real estate markets in four major cities in China: Beijing, Chengdu, Shanghai and Shenzhen, using Autoregressive Integrated Moving Average models. The model restriction was relaxed by adding two macroeconomic factors: real GDP growth and real stock market return. The long-term relationship and causality between the real estate returns and inflation were also tested using country-level aggregate data. The results show no evidence of long-term hedging ability. However, the causality test shows that there is a significant unidirectional causality from the inflation to the real estate return.

Date: 2004
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DOI: 10.1080/10835547.2004.12089697

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