《国际房地产评论》

IF 0.4 Q4 ECONOMICS
H. Lee
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引用次数: 2

摘要

采用基于Fama和Schwert(1977)的传统方法、Johansen(1988)的协整方法以及Pesaran等人(2001)和Granger等人(2000)的自回归分布滞后(ARDL)协整技术的非因果关系方法,本研究检验了三个最大的新兴市场经济体(中国、印度和俄罗斯)住宅房地产的通胀对冲效果。虽然Fama和Schwert(1977)的回归结果表明,中国和俄罗斯的住宅物业提供了对预期通胀的短期对冲,但对于印度的住宅物业而言,这并非针对预期通胀和意外通胀的情况。与发达经济体的结果一致,Johansen和ARDL协整结果提供了强有力的证据来支持三个最大的新兴市场经济体的通货膨胀和住宅房地产协整的假设。这意味着这三个国家的住宅物业为通货膨胀提供了长期对冲。此外,因果关系结果表明,从长期来看,通货膨胀对印度住宅房地产价格具有主导作用。协整检验的实证结果证实,从长期来看,住宅物业可以被视为新兴市场抵御通胀的可靠对冲工具,并建议投资者在新兴市场持续通胀期间应增持住宅物业资产。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
International Real Estate Review
Using a non-causality approach based on the conventional approach of Fama and Schwert (1977), cointegration method in Johansen (1988), and autoregressive distributed lag (ARDL) cointegration technique in Pesaran et al. (2001) and Granger et al. (2000), this study examines the inflation hedging effectiveness of residential property in three of the largest emerging market (EM) economies: China, India and Russia. While the results of the Fama and Schwert (1977) regression indicate that residential properties in China and Russia provide a short-term hedge against expected inflation, this is not the case for those in India against both expected and unexpected inflation. Consistent with the results of the developed economies, the Johansen and ARDL cointegration results provide strong evidence to support the hypothesis that inflation and the residential properties in the three largest EM economies are cointegrated. This implies that the residential properties in these three countries provide a long-term hedge for inflation. In addition, the causality results show evidence that inflation has a lead effect on residential property prices in India over the long run. The empirical results of the cointegration tests confirm that residential properties could be considered as a reliable hedge against inflation for EMs in the long run and suggest that investors should overweigh their investment in residential property assets during periods of persistent inflation in EMs.
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来源期刊
CiteScore
0.80
自引率
14.30%
发文量
10
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