Swiss real estate as a hedge against inflation: New evidence using hedonic and autoregressive models

Abstract

Tests the inflation‐hedging effectiveness of Swiss real estate. Four proxies for expected inflation are used, two of them being based on autoregressive conditional heteroscedasticity models (ARCH‐M and QTARCH). The series used to proxy for real estate returns is a transactions‐based series adjusted for quality of the buildings by means of a hedonic model. Swiss stocks, bonds, real estate and real estate mutual funds are usually positively related to expected inflation and negatively related to unexpected inflation. Many of these coefficients, however, do not exhibit statistical significance.

Citation

Hamelink, F. and Hoesli, M. (1996), "Swiss real estate as a hedge against inflation: New evidence using hedonic and autoregressive models", Journal of Property Finance, Vol. 7 No. 1, pp. 33-49. https://doi.org/10.1108/09588689610111601