Publicação
The role of U.S. Real Estate as an inflation hedge
| Resumo: | This study evaluates the ability of the U.S. real estate sector to mitigate inflation using NPCRE, FNRE, and DWRTF indices from 1998 to 2023. By applying Fama and Schwert models, cointegration tests, and causality tests, detailed insights into the potential of real assets as an inflation hedge are revealed. The findings challenge existing assumptions by showing varying effectiveness across different segments of real estate in protecting against inflation. Additionally, the inclusion of macro variables highlights their influence on inflation and how it impacts the hedging abilities of real estate segments differently. Cointegration tests demonstrates persistent connections between real estate returns and inflation emphasizing long term associations. |
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| Autores principais: | Filipe, Ana Rita de Sousa Mateus |
| Assunto: | Real Estate returns Inflation hedge U.S. economy Investment strategies |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This study evaluates the ability of the U.S. real estate sector to mitigate inflation using NPCRE, FNRE, and DWRTF indices from 1998 to 2023. By applying Fama and Schwert models, cointegration tests, and causality tests, detailed insights into the potential of real assets as an inflation hedge are revealed. The findings challenge existing assumptions by showing varying effectiveness across different segments of real estate in protecting against inflation. Additionally, the inclusion of macro variables highlights their influence on inflation and how it impacts the hedging abilities of real estate segments differently. Cointegration tests demonstrates persistent connections between real estate returns and inflation emphasizing long term associations. |
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