IDEAS home Printed from https://ideas.repec.org/a/vrs/remava/v33y2025i2p23-38n1003.html
   My bibliography  Save this article

Housing Investment in Poland as Inflation Hedge in Low and High Inflation. Threshold Cointegration Analysis

Author

Listed:
  • Karp Piotr

    (University of Lodz, ul. POW 3/5. 90-255 Łódź, Poland)

  • Wolski Rafał

    (University of Lodz, ul. POW 3/5. 90-255 Łódź, Poland)

Abstract

This study examines the efficiency of housing real estate investments in Poland as an inflation hedge, with a particular focus on the influence of exchange rate and inflation measured by the HICP index on housing property prices. Aim: to determine whether housing real estate investment can be inflation hedge in both low and high inflation environments. Methodology: The analysis applies threshold cointegration techniques to identify regimes of high and low inflation and assess the long-term and short-term relationships between the variables. Findings: The results suggest that the variables used in the study can be effectively analyzed using threshold cointegration analysis. The findings indicate that investment in housing real estate can serve as a strong capital hedge, particularly during periods of low inflation. Implications: The study provides important insights for examining the relationship between housing real estate investments, inflation, and exchange rates. The analysis allows for the identification of distinct regimes of high and low inflation, which can have significant implications for understanding the dynamic relationships between the inflation, exchange rate and real estate prices. The results suggest that real estate can be a valuable asset in a diversified portfolio, particularly during periods of low inflation, as it can serve as a hedge against loss of value. Originality/value: The research delves into the nuances of the relationship between inflation and housing real estate, examining the potential for housing real estate to serve as an effective hedge against inflation and the exchange rate as a factor that may influence its performance in low and high inflationary contexts.

Suggested Citation

  • Karp Piotr & Wolski Rafał, 2025. "Housing Investment in Poland as Inflation Hedge in Low and High Inflation. Threshold Cointegration Analysis," Real Estate Management and Valuation, Sciendo, vol. 33(2), pages 23-38.
    • Handle: RePEc:vrs:remava:v:33:y:2025:i:2:p:23-38:n:1003
    DOI: 10.2478/remav-2025-0013
    as

    Download full text from publisher

    File URL: https://doi.org/10.2478/remav-2025-0013
    Download Restriction: no
    File URL: https://libkey.io/10.2478/remav-2025-0013?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Zhenguo Lin & Kerry D. Vandell, 2007. "Illiquidity and Pricing Biases in the Real Estate Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(3), pages 291-330, September.
    2. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February.
    3. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2004. "REIT Investments and Hedging Against Inflation," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 10(2), pages 97-112, January.
    4. Hill, Robert J. & Trojanek, Radoslaw, 2022. "An evaluation of competing methods for constructing house price indexes: The case of Warsaw," Land Use Policy, Elsevier, vol. 120(C).
    5. Michal Gluszak & Jaroslaw Czerski & Robert Zygmunt, 2018. "Estimating repeat sales residential price indices for Krakow," Oeconomia Copernicana, Institute of Economic Research, vol. 9(1), pages 55-69, March.
    6. Kuan-Min, Wang & Yuan-Ming, Lee & T.T.Binh, Nguyen, 2008. "Asymmetric Inflation Hedge of Housing Return: A Non-linear Vector Error Correction Approach," International Real Estate Review, Global Social Science Institute, vol. 11(1), pages 65-82.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
    2. Goodness C. Aye & Rangan Gupta, 2019. "Macroeconomic Uncertainty And The Comovement In Buying Versus Renting In The Usa," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(3), pages 93-121, September.
    3. Trojanek, Radoslaw & Gluszak, Michal, 2022. "Short-run impact of the Ukrainian refugee crisis on the housing market in Poland," Finance Research Letters, Elsevier, vol. 50(C).
    4. Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," GRU Working Paper Series GRU_2018_016, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    5. Chien-Chiang Lee & Chin-Yu Wang & Jhih-Hong Zeng, 2017. "Housing price–volume correlations and boom–bust cycles," Empirical Economics, Springer, vol. 52(4), pages 1423-1450, June.
    6. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
    7. Muhammad Kashif Imran & Arifa Saeed & Safia Nosheen & Sumaira Rasheed, 2024. "Determining Performance of REIT (REIT): The Case of G-7 Economies," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(1), pages 307-318.
    8. 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.
    9. Zhu Bing, 2018. "The Time-Varying Nature of Reits," Real Estate Management and Valuation, Sciendo, vol. 26(1), pages 26-38, March.
    10. Carrillo, Paul E. & Williams, Benjamin, 2019. "The repeat time-on-the-market index," Journal of Urban Economics, Elsevier, vol. 112(C), pages 33-49.
    11. Eli Beracha & Julia Freybote & Zhenguo Lin & Michael J. Seiler, 2024. "Time on Market and the Cash Discount for Condos," The Journal of Real Estate Finance and Economics, Springer, vol. 68(2), pages 188-217, February.
    12. Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.
    13. Zhenguo Lin & Yingchun Liu & Kerry Vandell, 2009. "Marketing Period Risk in a Portfolio Context: Comment and Extension," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 183-191, February.
    14. Mérő, Bence & Borsos, András & Hosszú, Zsuzsanna & Oláh, Zsolt & Vágó, Nikolett, 2023. "A high-resolution, data-driven agent-based model of the housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
    15. Zhenguo Lin & Yingchun Liu, 2008. "Real Estate Returns and Risk with Heterogeneous Investors," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(4), pages 753-776, December.
    16. Bond, Shaun A. & Chang, Qingqing, 2012. "Liquidity dynamics across public and private markets," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1890-1910.
    17. Jan Muckenhaupt & Martin Hoesli & Bing Zhu, 2025. "Listed Real Estate as an Inflation Hedge Across Regimes," The Journal of Real Estate Finance and Economics, Springer, vol. 70(2), pages 189-239, February.
    18. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle," NBER Working Papers 25653, National Bureau of Economic Research, Inc.
    19. Gwangheon Hong & Bong Lee, 2013. "Does Inflation Illusion Explain the Relation between REITs and Inflation?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 123-151, July.
    20. Shizhen Wang & David Hartzell, 2021. "Real Estate Return in Hong Kong and its Determinants: A Dynamic Gordon Growth Model Analysis," International Real Estate Review, Global Social Science Institute, vol. 24(1), pages 113-138.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
    • R39 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:remava:v:33:y:2025:i:2:p:23-38:n:1003. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.