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Do house prices hedge inflation in the US? A quantile cointegration approach

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  • Christou, Christina
  • Gupta, Rangan
  • Nyakabawo, Wendy
  • Wohar, Mark E.

Abstract

This study analyses the long-run relationship between U.S house prices and non-housing Consumer Price Index (CPI) over the monthly period 1953 to 2016 using a quantile cointegration analysis. Our findings show evidence of instability in standard cointegration models, suggesting the possibility of structural breaks and nonlinearity in the relationship between house prices and non-housing CPI. This motivates the use of a time-varying approach, namely, a quantile cointegration analysis, which allows the cointegrating coefficient to vary over the conditional distribution of house prices and simultaneously test for the existence of cointegration at each quantile. Our results suggest that the U.S non-housing CPI and house price index series are cointegrated at lower quantiles only, with house prices over-hedging inflation at these quantiles. In addition, we also show that this result holds for higher price levels only. Using these two sets of results, we conclude that house prices act as an inflation hedge when the latter is relatively higher and the former is lower.

Suggested Citation

  • Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018. "Do house prices hedge inflation in the US? A quantile cointegration approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
    • Handle: RePEc:eee:reveco:v:54:y:2018:i:c:p:15-26
    DOI: 10.1016/j.iref.2017.12.012
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    Cited by:

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    3. Daniel Fehrle, 2021. "Hedging Against Inflation: Housing vs. Equity," Discussion Paper Series 342, Universitaet Augsburg, Institute for Economics.
    4. Gupta, Rangan & Sheng, Xin & van Eyden, Reneé & Wohar, Mark E., 2021. "The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence," Finance Research Letters, Elsevier, vol. 43(C).
    5. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Olubiyi, Ebenezer A. & Adedeji, Adedayo O., 2023. "The inflation-hedging performance of industrial metals in the world's most industrialized countries," Resources Policy, Elsevier, vol. 81(C).
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    7. Fennee Chong & Venus Khim-Shen Liew, 2020. "New Zealand's Residential Price Dynamics: Do capability to consume and government policies matter?," Economics Bulletin, AccessEcon, vol. 40(3), pages 2262-2274.
    8. Aqsha, Nur Suhairah & Masih, Mansur, 2018. "Is residential property the ultimate hedge against inflation ? new evidence from Malaysia based on ARDL and nonlinear ARDL," MPRA Paper 91508, University Library of Munich, Germany.
    9. Tsai, I-Chun, 2020. "Alternative explanation of the money illusion: The effect of unexpected low inflation," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 110-123.

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    More about this item

    Keywords

    House prices; Inflation; Hedging; Quantile cointegration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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