Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313676 
Year of Publication: 
2023
Citation: 
[Journal:] The Journal of Real Estate Finance and Economics [ISSN:] 1573-045X [Publisher:] Springer US [Place:] New York, NY [Year:] 2023 [Pages:] 1-51
Publisher: 
Springer US, New York, NY
Abstract: 
This paper examines the inflation-hedging capability of listed real estate (LRE) companies in the US from 1975 to 2023, and in three other economies—the UK, Japan, and Australia—from 1990 to 2023. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves towards being negative or zero during turbulent periods. In stable periods, LRE provides good protection against inflation. In the long term, LRE offers a good hedge against expected inflation and shows a superior inflation hedging ability than stocks. Additionally, we identify inflation-hedging portfolios by minimizing the expected shortfall. This inflation-hedging portfolio allocation methodology suggests that listed real estate stocks should play a significant role in investor portfolios.
Subjects: 
Inflation Hedging
Listed Real Estate Companies
Markov-Switching
VECM
Inflation-Hedging Portfolio
JEL: 
G11
G15
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.