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Inflation Hedging Characteristics of the Chinese Real Estate Market

Executive Summary. The Chinese real estate market has been experiencing rapid growth and transformation over the last few years. This paper tested the short-term inflation hedging characteristics of real estate markets in four major cities in China: Beijing, Chengdu, Shanghai and Shenzhen, using... Full description

1st Person: Chu, Yongqiang
Additional Persons: Sing, Tien F. verfasserin
Source: in The journal of real estate portfolio management : a publication of the American Real Estate Society Vol. 10, No. 2 (2004), p. 145-154
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Type of Publication: Article
Language: English
Published: 2004
Keywords: research-article
Online: Volltext
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520 |a Executive Summary. The Chinese real estate market has been experiencing rapid growth and transformation over the last few years. This paper tested the short-term inflation hedging characteristics of real estate markets in four major cities in China: Beijing, Chengdu, Shanghai and Shenzhen, using Autoregressive Integrated Moving Average models. The model restriction was relaxed by adding two macroeconomic factors: real GDP growth and real stock market return. The long-term relationship and causality between the real estate returns and inflation were also tested using country-level aggregate data. The results show no evidence of long-term hedging ability. However, the causality test shows that there is a significant unidirectional causality from the inflation to the real estate return. 
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