|
Article:
Asymmetric Inflation Hedge of Housing Return: A Non-linear Vector Error Correction Approach Authors: Kuan-Min, Wang, Yuan-Ming, Lee and T.T.Binh, Nguyen Start Page: 65 Abstract:
Conclusions of past works on the
inflation hedging ability of real estate investment are not consistent. The
reason for this perplexity might be the neglect of separation between high
and low state of inflation, which has a great influence on empirical
results. In order to examine the inflation hedging effectiveness of real
estate with Taiwanese monthly housing returns and inflation, this paper uses
the inflation as the threshold variable to create the nonlinear vector
correction model that divides the inflation rates into high and low regime.
We find robust evidence that when inflation rates are higher than 0.83%
threshold value, housing returns are able to hedge against inflation, and,
otherwise, they are unable. Using new methodology to discover new
implications is main contribution of this study. |
|