Hedging Against Inflation: Housing vs. Equity

Daniel Fehrle

No 342, Discussion Paper Series from Universitaet Augsburg, Institute for Economics

Abstract: To which extent do equity and housing hedge against inflation? Despite an extensive literature, there is only little consensus. This paper presents new evidence from the Jordà -Schularick-Taylor Macrohistory Database, which covers return rates on housing and equity as well as consumer price indices of 16 developed countries from 1870 - 2015. The results depend on the time horizon and period considered. Within one, five, and ten years housing hedges, at least partly, against inflation and the hedge has been better in the post-war period. In the long run housing provides an excessive hedge in the whole sample and a perfect hedge in the post-war period. Equity provides nohedge within one-year in the whole sample period and the returns tend to decrease with inflation in the post-war period. The hedge improves slightly with a longer time horizon and is perfect in the long run in the post-war period. Thus, housing is, at least weakly, superior in hedging against inflation. The results are robust to a non-housing consumption price index and an asset price appreciation approach.

Keywords: hedge; inflation; stocks; real estate; panel cointegration (search for similar items in EconPapers)
JEL-codes: C22 C23 E31 E44 G11 N10 (search for similar items in EconPapers)
Date: 2021-06
New Economics Papers: this item is included in nep-cwa, nep-his, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://opus.bibliothek.uni-augsburg.de/opus4/files/88732/HAI_VWLDS.pdf (application/pdf)

Related works:
Working Paper: Hedging Against Inflation: Housing vs. Equity (2022)
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:aug:augsbe:0342

Access Statistics for this paper

More papers in Discussion Paper Series from Universitaet Augsburg, Institute for Economics Universitaetsstrasse 16, D-86159 Augsburg, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Dr. Simone Raab-Kratzmeier ().