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|Title:||Inflation hedging characteristics of the Chinese real estate market||Authors:||Chu, Y.
|Issue Date:||2004||Citation:||Chu, Y.,Sing, T.F. (2004). Inflation hedging characteristics of the Chinese real estate market. Journal of Real Estate Portfolio Management 10 (2) : 145-154. ScholarBank@NUS Repository.||Abstract:||The Chinese real estate market has been experiencing rapid growth and transformation over the last few years. This paper tested the short-term inflation hedging characteristics of real estate markets in four major cities in China: Beijing, Chengdu, Shanghai and Shenzhen, using Autoregressive Integrated Moving Average models. The model restriction was relaxed by adding two macroeconomic factors: real GDP growth and real stock market return. The long-term relationship and causality between the real estate returns and inflation were also tested using country-level aggregate data. The results show no evidence of long-term hedging ability. However, the causality test shows that there is a significant unidirectional causality from the inflation to the real estate return.||Source Title:||Journal of Real Estate Portfolio Management||URI:||http://scholarbank.nus.edu.sg/handle/10635/46165||ISSN:||10835547|
|Appears in Collections:||Staff Publications|
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