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Can Investors Hedge Residential Price Dynamics?

Economics

Can Investors Hedge Residential Price Dynamics?

L. Ma and C. Liu

This insightful research by Le Ma and Chunlu Liu explores the intriguing dynamics between house price indices and consumer price indices in Australia's capital cities over a decade. While short-run correlations remain elusive, intriguing long-run relationships could offer valuable insights for investors considering inflation hedging strategies.... show more
Abstract
The study described in this paper focuses on testing the short-run and long-run relationships between house price and consumer price indices in Australia's capital cities from 1998 to 2008. The autoregressive distributed lag model is adopted to obtain the estimates of the short-run relationships, while the error correction model is used to investigate the long-run relationships. The t-statistic is used to compute the significance of these relationships. The research results give no evidence that house price indices are correlated with consumer price indices in the short run. However, the long-run relationships between house and consumer price indices exist in most of the cities.
Publisher
International Real Estate Review
Published On
Jan 01, 2010
Authors
Le Ma, Chunlu Liu
Tags
house price indices
consumer price indices
Australia
capital cities
inflation risk
investment
long-run relationships

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