Inflation hedging characteristics of housing markets in Thailand
Inflation hedging characteristics of housing markets in Thailand
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2006
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Assumption University
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eng
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application/pdf
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Assumption University. Martin de Tours School of Management and Economics
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AU Journal of Management 4, 2 (July-December 2006), 9-19
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Abstract
Property has been traditionally perceived as a good hedge against inflation. Extensive empiri-
cal researches have been undertaken to prove whether properties hedge against inflation in different
countries. This paper explores the relationship between inflation and returns in the housing markets in
Thailand. Only the appreciation component, not income, of housing market returns is taken into
account due to the limitations of data. Inflation is decomposed into expected and unexpected inflation.
As expected inflation is not directly observable, a proxy of expected inflation is required. This paper
uses Treasury Bill rates and regression-generated time series, Autoregressive (AR) and Autoregressive
Integrated Moving Average (ARIMA) modelling, to estimate expected inflation.
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In English ; only abstract in English.
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Thailand
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