International Real Estate Review

Abstract

This paper examines the inflation-hedging behavior of the Hong Kong securitized real estate market between April 1986 and April 2007. The monthly series of the Hang Seng Property Index (HSPI) is selected as the proxy of the Hong Kong securitized real estate market due to its comprehensive coverage and availability of rich data. We find that the vector autoregressive forecast error method, which is introduced by Den Haan (2000), outperforms the traditional linear vector autoregressive model and vector error correction model techniques in depicting the comovement between the HSPI and inflation rate. The comovement estimates show a positive correlation between the HSPI and inflation rate in the short-term and a negative correlation in the long term which indicates that the Hong Kong securitized real estate market can serve as an inflation hedge in the short term, but becomes a perverse inflation hedge in the long run. This inflation-hedging pattern differs from those of its neighboring major East Asian markets. This study demonstrates that the inflation-hedging capability of securitized real estate is not a static issue, but rather, depends on the length of the forecast horizon.

The Inflation-Hedging Performance and Risk-Return Characteristics of Residential Property Investments in Gombe, Nigeria

“…Voigtlander & Demary [21] studied the inflation hedging performance of real estate in Canada, USA, Finland, France, Germany, Ireland, the Netherlands, Sweden and the UK, the authors found that investment in real estate equities did not protect the investors against inflation. Similar tests had been conducted in other developed economies such as: Hong Kong [16, 20,23], Switzerland [24], China [8], Sweden [17] and Korea [9]. All these studies, showed divergent findings with respect to real estates' performance as an inflation-hedge.…”

“…Payton [4] and Arnasosn & Persson [17] asserted that intuitively, real estate has been perceived to be a good hedge against inflation all over the world. To justify or refute this notion, different studies have been carried out in both developed and developing economies, these studies included: Fama & Schwert [6]; Sing & Low [18]; Bello [7]; Quingping [19]; Liu & Zhou [20]; Voigtlander, & Demary [21]; Ma & Liu [22]; Zhe [16]; Payton [4]; Arnasosn & Persson [17]; Fraundorf [2]; Akinsola [3]; Ogunba, et al [12]; etc. The results obtained from studies conducted in developed economies were observed to be far from having consensus.…”

Dynamics of the Inflation-Hedging Capabilities of Real Estate Investment Portfolios in the Nigerian Property Market

“…This study suggests that further research study can be carried out in comparison with REITs such as that of US REITs [93][94][95]. Another suggestion involves the consideration of different components and characteristics of inflation [49,[96][97][98][99], and then comparing in different countries. This can also involve the inflation hedging portfolio within real estate, such as the Real Estate Securities and Real Estate Investment Funds [100][101][102][103][104][105][106].…”