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Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach

Author

Listed:
  • Christina Christou

    (School of Economics and Management, Open University of Cyprus, Cyprus)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, South Africa)

  • Wendy Nyakabawo

    (Department of Economics, University of Pretoria, South Africa)

  • Mark E. Wohar

    (College of Business Administration, University of Nebraska at Omaha, USA and School of Business and Economics, Loughborough University, Leicestershire, UK)

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 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.

Suggested Citation

  • Christina Christou & Rangan Gupta & Wendy Nyakabawo & Mark E. Wohar, 2017. "Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach," Working Papers 201707, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201707
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    Cited by:

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    3. Kontana Dimitra & Fountas Stilianos, 2022. "Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 417-435, June.
    4. Daniel Fehrle, 2021. "Hedging Against Inflation: Housing vs. Equity," Discussion Paper Series 342, Universitaet Augsburg, Institute for Economics.
    5. 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).
    6. 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).
    7. Benjamin Kwakye & Chan Tze Haw, 2020. "Interplay of the Macroeconomy and Real Estate: Systematic Review of Literature," International Journal of Economics and Financial Issues, Econjournals, vol. 10(5), pages 262-271.
    8. 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.
    9. 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.
    10. 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.
    11. Salisu, Afees A. & Akinsomi, Omokolade & Ametefe, Frank Kwakutse & Hammed, Yinka S., 2024. "Gold market volatility and REITs' returns during tranquil and turbulent episodes," International Review of Financial Analysis, Elsevier, vol. 95(PA).

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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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