This study examines whether Thai real estate can hedge against ex post and ex ante inflation during the 1987-2011 period. Using the Fama and Schwert framework, we find that real estate returns have a positive (albeit not strongly significant) relation with both ex post and unexpected inflation over the period. However, by focusing on various sub-periods in order to control for possible structural changes in the economy, we find that the relationship between inflation and real estate returns depends on the state of the economy. Real estate provided a super hedge against inflation, especially, in the recent financial crisis.
ISSN: 1792-7552 (Online)