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Swiss real estate as a hedge against inflation New evidence using hedonic and autoregressive models

Swiss real estate as a hedge against inflation New evidence using hedonic and autoregressive models Tests the inflation‐hedging effectiveness of Swiss real estate. Four proxies for expected inflation are used, two of them being based on autoregressive conditional heteroscedasticity models (ARCH‐M and QTARCH). The series used to proxy for real estate returns is a transactions‐based series adjusted for quality of the buildings by means of a hedonic model. Swiss stocks, bonds, real estate and real estate mutual funds are usually positively related to expected inflation and negatively related to unexpected inflation. Many of these coefficients, however, do not exhibit statistical significance. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Property Finance Emerald Publishing

Swiss real estate as a hedge against inflation New evidence using hedonic and autoregressive models

Journal of Property Finance , Volume 7 (1): 17 – Mar 1, 1996

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Publisher
Emerald Publishing
Copyright
Copyright © 1996 MCB UP Ltd. All rights reserved.
ISSN
0958-868X
DOI
10.1108/09588689610111601
Publisher site
See Article on Publisher Site

Abstract

Tests the inflation‐hedging effectiveness of Swiss real estate. Four proxies for expected inflation are used, two of them being based on autoregressive conditional heteroscedasticity models (ARCH‐M and QTARCH). The series used to proxy for real estate returns is a transactions‐based series adjusted for quality of the buildings by means of a hedonic model. Swiss stocks, bonds, real estate and real estate mutual funds are usually positively related to expected inflation and negatively related to unexpected inflation. Many of these coefficients, however, do not exhibit statistical significance.

Journal

Journal of Property FinanceEmerald Publishing

Published: Mar 1, 1996

Keywords: Financial modelling; Hedging; Inflation; Real estate; Switzerland

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