Inflation Protection from Homeownership: Long‐Run Evidence, 1814–2008

28 Pages Posted: 28 Aug 2014

See all articles by Dirk Brounen

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

Maastricht University ; University of Antwerp - Faculty of Applied Economics

M.A.J. Theebe

University of Amsterdam

Multiple version iconThere are 2 versions of this paper

Date Written: Fall 2014

Abstract

This article 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, allowing us to study total housing returns in different inflation regimes and for varying investment horizons. Our Amsterdam data show that homeownership's protection against actual and expected inflation increases with the investment horizon. This increase is especially strong for horizons up to 10 years. Inflation protection from housing is stronger when inflation is persistent, and the hedging capacities of housing regarding unexpected inflation are weak.

Suggested Citation

Brounen, Dirk and Eichholtz, Piet M. A. and Straetmans, Stefan and Theebe, M.A.J., Inflation Protection from Homeownership: Long‐Run Evidence, 1814–2008 (Fall 2014). Real Estate Economics, Vol. 42, Issue 3, pp. 662-689, 2014, Available at SSRN: https://ssrn.com/abstract=2488244 or http://dx.doi.org/10.1111/1540-6229.12023

Dirk Brounen (Contact Author)

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

P.O. Box 1738
Room T09-53
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Erasmus Research Institute of Management (ERIM) ( email )

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

Tinbergen Institute ( email )

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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

Maastricht University ( email )

Tongersestraat 53
Maastricht, 6200 MD
Netherlands

HOME PAGE: http://www.stefanstraetmans.com

University of Antwerp - Faculty of Applied Economics ( email )

Prinsstraat 13
Antwerp, B-2000
Belgium

M.A.J. Theebe

University of Amsterdam

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