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Inflation Protection from Homeownership: Long-Run Evidence: 1814-2008

45 Pages Posted: 9 Oct 2012  

Dirk Brounen

Erasmus University Rotterdam (EUR) - Department of Financial Management; Erasmus Research Institute of Management (ERIM); Tinbergen Institute

Piet M. A. Eichholtz

University of Maastricht - Limburg Institute of Financial Economics (LIFE)

Stefan Straetmans

University of Maastricht - Limburg Institute of Financial Economics (LIFE)

Marcel A.J. Theebe

ING Real Estate Investment

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Date Written: October 8, 2012

Abstract

This paper examines the inflation hedging capacity of the private home. We employ unique long-term data for inflation, house price dynamics and rents for Amsterdam dating back to 1814. We analyze inflation protection using various methodological approaches, periods, and investment horizons. Our Amsterdam data show that homeownership offers protection against expected inflation for relatively long investment horizons, especially in periods when inflation is persistent. The hedging capacities of housing regarding unexpected inflation are weak.

Keywords: Inflation hedging, House Prices, Investment Horizons

JEL Classification: E31, E44, G12

Suggested Citation

Brounen, Dirk and Eichholtz, Piet M. A. and Straetmans, Stefan and Theebe, Marcel A.J., Inflation Protection from Homeownership: Long-Run Evidence: 1814-2008 (October 8, 2012). Available at SSRN: https://ssrn.com/abstract=2158633 or http://dx.doi.org/10.2139/ssrn.2158633

Dirk Brounen (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

P.O. Box 1738
Room T09-53
3000 DR Rotterdam
Netherlands

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 1 0408 2371 (Phone)
+31 1 0408 9017 (Fax)

HOME PAGE: http://web.eur.nl/fbk/dep/dep5/faculty/dbrounen

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands
120-551-3535 (Phone)

Piet M. A. Eichholtz

University of Maastricht - Limburg Institute of Financial Economics (LIFE) ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 3883648 (Phone)
+31 43 3258530 (Fax)

Stefan Straetmans

University of Maastricht - Limburg Institute of Financial Economics (LIFE) ( email )

Tongersestraat 53
Maastricht, 6200 MD
Netherlands

Marcel A.J. Theebe

ING Real Estate Investment ( email )

P.O. Box 90463
2509 LL The Hague
Netherlands

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