Real estate as capital security in periods of low and high inflation. Cointegration analysis

Rafal Wolski and Piotr Karp

ERES from European Real Estate Society (ERES)

Abstract: In the face of uncertainty in global markets and fluctuating levels of inflation, a variety of financial tools are becoming increasingly important to protect capital from loss of value. In this context, questions arise not only about what to invest in in order to achieve the highest investment returns, but also how to verify which investment can be the best hedge in a high or low inflation environment. This leads to questions not only about which instrument may be the best, but in particular how real estate investments compare to this. The empirical analysis on quarterly data for 2006 - 2023 was carried out taking into account the non-stationarity of the processes generating the integrated data in the first degree (I1) and the asymmetric nature of the relationship. The study, which is a continuation, extension and supplement to the analyses published so far, was carried out for selected countries in the European Union.

Keywords: Cointegration; Inflation; Investments; real estate (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2024-01-01
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