The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach

Hoesli, Martin; Lizieri, Colin; Macgregor, Bryan D.

doi:10.1007/s11146-007-9062-6

Cited by 106 publications

(96 citation statements)

References 56 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Employing a multi-factor error correction approach, Hoesli et al (2008) examined the inflation characteristics of US and UK property investments, and concluded that in US, inflation has a positive coefficient, but there exists little evidence of short term adjustments of property prices to changes in inflation. The results for UK were similar to that of the US, and was in line of those obtained earlier by Stevenson (2000) who used OLS models, cointegration and causality techniques to conclude that house prices and inflation share a common long-run trend and are indeed cointegrated.…”

Section: Related Literaturementioning

confidence: 99%

“…Results may vary across time periods, market conditions, characteristics of the countries in question and different components of returns, as well as, the various variables that are included in the modelling exercises (Hoesli et al 2008). …”

Section: Related Literaturementioning

confidence: 99%

“…Additionally, Barber et al, (1997) concluded that commercial property tends to be a weak inflation hedge in UK for the period 1967 to 1994. Hoesli et al (2008) also argues that different segments of property prices should be examined separately, such as private and public assets. In line with this, we decided to examine the long-run house price and inflation relationship, not only for the overall housing sector, but also for various housing segments that relates to different income categories in the economy.…”

Section: Related Literaturementioning

confidence: 99%

See 2 more Smart Citations

The Long-Run Relationship Between House Prices and Inflation in South Africa: An Ardl Approach

Inglesi‐Lotz

Gupta

2013

International Journal of Strategic Property Management

View full text Add to dashboard Cite

This paper investigates whether house prices provide a suitable hedge against inflation in South Africa by analysing the long-run relationship between house prices and the prices of non-housing goods and services. Quarterly data series are collected for the luxury, large middle-segment, medium middle-segment, small middle-segment and the entire middle segment of house prices, as well as, the consumer price index excluding housing costs for the period 1970:Q1-2011:Q1. Based on autoregressive distributed lag (ARDL) models, the empirical results indicate long-run cointegration between the house prices of all the segments and the consumer price index excluding housing costs. Moreover, the long-run elasticity of house prices with respect to prices of nonhousing goods and services, i.e., the Fisher coefficient is greater than one for the luxury segment, virtually equal to one for the small middle-segment, and less than one for the large and medium middle-segments, as well as the affordable segments. More importantly though, the estimated Fisher coefficients are not statistically different from unity -a result consistent with the proposed theoretical framework relating housing prices and consumer prices excluding housing expenditure. In general, we infer that house prices in South Africa provide a stableinflation hedge in the long-run.

show abstract

Section: Related Literaturementioning

confidence: 99%

Section: Related Literaturementioning

confidence: 99%

Section: Related Literaturementioning

confidence: 99%

See 1 more Smart Citation

The Long-Run Relationship Between House Prices and Inflation in South Africa: An Ardl Approach

Inglesi‐Lotz

Gupta

2013

International Journal of Strategic Property Management

View full text Add to dashboard Cite

show abstract

“…The efficacy of real estate inflation-hedging properties has been widely documented in many countries (see for example, Barkham, 1996;Tarbert, 1996;Ganesan, 1998;Stevenson, 2000;Hoesli, 2008,). In…”

Section: Introductionmentioning

confidence: 99%

Inflation-hedging properties of regional Chinese real estate market: evidence from 35 cities in China

Tidwell

2015

Applied Economics

View full text Add to dashboard Cite

show abstract

“…A comparison with REITs shows same signs for those variables. Using data for the U.S. and the U.K., Hoesli, Lizieri & MacGregor (2008) also document positive linkages with GDP and emphasize the role of direct real estate as an inflation hedge contrasting with the so-called perverse inflation hedge of listed real estate.…”

Section: Literature Reviewmentioning

confidence: 77%

Risk Factors of U.S. Real Estate Investments

Hoesli¹,

Delfim²

2017

24th Annual European Real Estate Society Conference

Self Cite

View full text Add to dashboard Cite

This research focuses on macroeconomic risk factors pertaining to the various types of real estate exposure, i.e. direct, listed and non-listed investments. We apply panel model techniques which make it possible to take advantage of both the cross-sectional and time series dimensions of our data. Much emphasis is placed on comparing sensitivities to risk factors across the types of real estate exposure. This is important in order to assess whether indirect (listed and non-listed) exposures react in the same way as direct investments to the macroeconomy and how well such investments replicate direct real estate behavior. The empirical analyses are conducted using U.S. data from 1984Q1 to 2016Q2. Allocations both by sector and geography are considered. For indirect exposures, we also control among other things for size and leverage. The various types of real estate exposure generally respond similarly to risk factors with GDP, money supply, construction costs, expected inflation, and expected economic activity positively impact returns, while the term and credit spreads, unemployment, and unexpected inflation negatively affect returns.

show abstract

The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach

Abstract: Investment returns, Real estate, Inflation hedging, Error correction model,

Cited by 106 publications

References 56 publications

The Long-Run Relationship Between House Prices and Inflation in South Africa: An Ardl Approach

The Long-Run Relationship Between House Prices and Inflation in South Africa: An Ardl Approach

Inflation-hedging properties of regional Chinese real estate market: evidence from 35 cities in China

Risk Factors of U.S. Real Estate Investments

Contact Info

Product

Resources

About