公共房地产回报与通胀冲击：通胀非中性的核心作用

IF 2 3区经济学 Q2 BUSINESS, FINANCE

Real Estate Economics Pub Date : 2024-06-09 DOI:10.1111/1540-6229.12495

Robert A. Connolly, Chris Stivers

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引用次数: 0

摘要

我们利用基于调查的预期通胀率和消费者价格指数（CPI），研究了 1981-2022 年间公共房地产回报与通胀冲击的相关性。我们发现了一种复杂的关系：在 20 世纪 80 年代和 90 年代经济疲软（WE）时期，滞胀更令人担忧；在 2000-2022 年左右经济疲软（WE）时期，低增长和低通胀更令人担忧；在其他时期，通胀略显消极。通过将通胀与宏观经济基本面和房地产运营数据联系起来，我们发现通胀冲击与对基本经济增长状况和/或风险溢价的看法变化有关。因此，我们认为通货膨胀的非中性在理解我们的研究结果中起着核心作用。

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Public real estate returns and inflation shocks: The central role of inflation nonneutrality

We study the comovement of public real estate returns and inflation shocks over 1981–2022, using both survey‐based expected inflation and the Consumer Price Index (CPI). We find a complex relation that is: strongly negative during weaker‐economic (WE) times over the 1980s and 1990s, when stagflation was more a concern; strongly positive during WE times over roughly 2000–2022, when low growth with low inflation tended to be more a concern; and marginally negative otherwise. Linking inflation to both macroeconomic fundamentals and real estate operational data, we show that inflation shocks comove with changing beliefs about the underlying economic‐growth state and/or the risk premium. Thus, we argue that inflation nonneutrality has a central role in understanding our findings.

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来源期刊

Real Estate Economics Multiple-

CiteScore

4.00

自引率

13.60%

发文量

期刊介绍： As the official journal of the American Real Estate and Urban Economics Association, Real Estate Economics is the premier journal on real estate topics. Since 1973, Real Estate Economics has been facilitating communication among academic researchers and industry professionals and improving the analysis of real estate decisions. Articles span a wide range of issues, from tax rules to brokers" commissions to corporate real estate including housing and urban economics, and the financial economics of real estate development and investment.