Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311259 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] Empirical Economics [ISSN:] 1435-8921 [Volume:] 65 [Issue:] 6 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2023 [Pages:] 2583-2626
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
To which extent do equity and housing hedge against inflation? Despite the extensive literature, there is only little consensus. This paper presents evidence on this question from the Jordà–Schularick–Taylor Macrohistory Database covering 16 countries from 1870 to 2020. The results depend on the time horizon and period considered. Within a 1-, 5-, and 10-year horizon, housing at least partially hedges against inflation. The nominal return–inflation relation is higher in the post-war period. In the long run, housing hedges excessively in the whole sample and perfectly in the post-war period. Equity provides no hedge within 1 year in the entire 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.
Subjects: 
Hedge
Inflation
Stocks
Real estate
Classical dichotomy
JEL: 
C22
C23
E31
E44
G11
N10
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.