 |
| REITs and Inflation: A Long-Run
Perspective Author: Arjun Chatrath and Youguo Liang Start Page: 311 Abstract: We examine whether
REITs provide an inflation hedge in the long run. We also investigate whether the apparent
lack of a positive relationship between general prices and REIT returns in prior studies
arises from the impact that stock market movements have on REITs. As in most prior
research, regression analysis provides no evidence that REIT returns are positively
related to temporary or permanent components of inflation measures. We rule out the
possibility that a stock market-induced proxy effect is the cause for the apparent lack of
relationship between REITs and inflation. On the other hand, we find some evidence that
REITs provide a long-run inflation hedge. Johansen (1988) tests for cointegration isolate
cointegrating vectors between alternate REIT indices and the CPI over the 1972?95
interval. However, the more standard residual-based cointegration techniques failed to
provide similar evidence. |
