Title
The inflation-hedging ability of real estate evidence in Thailand : 1987-2011
Author
Faculty/Department
Faculty of Applied Economics
Publication type
conferenceObject
Publication
Subject
Economics
Source (journal)
Procedia Economics and Finance
Volume/pages
5(2013) , p. 40-49
ISSN
2212-5671
ISI
000343803500004
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
This study examines whether real estate in Thailand can hedge against ex post and ex ante inflation during the 1987-2011. To achieve this, we follow the Fama and Schwert (1977)s framework. The study finds that real estate returns have positive relation with both ex post and unexpected inflation over the period, even though the statistical evidence does not strongly support this. Furthermore, after separating the time series into sub-periods to control for the possible structural changes in the economy, we find that the relationship between inflation and real estate returns change under various economic environments.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/43a402/e7232fa7.pdf
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