Inflation Protection from Homeownership: Long-Run Evidence: 1814-2004

30 Pages Posted: 7 May 2007

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)

Marcel A.J. Theebe

ING Real Estate Investment

Date Written: May 2007

Abstract

This paper examines the inflation hedging capacity of the private home. We employ a unique set of long-term data for house prices, rents, and inflation for Amsterdam dating back to 1814. We analyze inflation protection using various methodologies, time periods, and investment horizons. Our results show that homeownership offers protection against expected inflation for investment horizons of ten years and longer; this is especially the case in periods when inflation is persistent. The hedging capacity of housing to unexpected inflation is weak. Hedge ratios increase with extending investment horizons.

Keywords: Inflation hedging, House Prices, Investment Horizons

JEL Classification: E31, E44, G12

Suggested Citation

Brounen, Dirk and Eichholtz, Piet M. A. and Theebe, Marcel A.J., Inflation Protection from Homeownership: Long-Run Evidence: 1814-2004 (May 2007). Available at SSRN: https://ssrn.com/abstract=984454 or http://dx.doi.org/10.2139/ssrn.984454

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 )

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3000 DR Rotterdam
Netherlands
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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)

Marcel A.J. Theebe

ING Real Estate Investment ( email )

P.O. Box 90463
2509 LL The Hague
Netherlands

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