Inflation hedging characteristics of housing markets in Thailand

Published date
2006
Resource type
Publisher
Assumption University
ISBN
ISSN
DOI
Call no.
Other identifier(s)
Edition
Copyrighted date
Language
eng
File type
application/pdf
Extent
Other title(s)
Advisor
Other Contributor(s)
Assumption University. Martin de Tours School of Management and Economics
Citation
AU Journal of Management 4, 2 (July-December 2006), 9-19
Degree name
Degree level
Degree discipline
Degree department
Degree grantor
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.
Table of contents
Description
In English ; only abstract in English.
punsarn.dc.description.sponsorship
Spatial Coverage
Thailand
Rights
This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.
Access rights
Rights holder(s)
Location
View External Resources