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Chinese Real Estate Market Yields And Inflation Relationship Empirical Research

Posted on:2009-01-23Degree:MasterType:Thesis
Country:ChinaCandidate:X Y PengFull Text:PDF
GTID:2199360272460120Subject:Western economics
Abstract/Summary:PDF Full Text Request
Historic analysis of the inflation hedging properties of stocks has produced anomalous results. It has been argued that real estate should provide a better hedge, however, empirical results have been mixed. After the reformation of housing regulation, the Chinese real estate market has been experiencing rapid growth and transformation over the last ten years. After years of rapid development, real estate industry in China has been one of the most important supportive industry. This paper explores the relationship between commercial real estate returns and inflation for Chinese markets and tested the inflation hedging characteristics of real estate markets, with a closely linked macroeconomic factor-money supply. Inflation is divided into expected and unexpected components. The analyses are undertaken using the vector error correction approach. The result shows that in a long run, real estate asset returns are positively linked to inflation and in a short run, but in short run, the volatility of real estate returns are negatively related to the real inflation. The volatility of real estate returns are positively correlated with the expected inflation and money supply in a short run.
Keywords/Search Tags:Real Estate Return, Inflation, Asset Inflation Hedging, Money Supply, Vector Error Correction Model
PDF Full Text Request
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