Testing the inflation hedging properties of real estate, stocks, precious metals and oil: Evidence using wavelet quantile correlation

Aya Nasreddine and Yasmine Essafi Zouari

ERES from European Real Estate Society (ERES)

Abstract: Using the wavelet quantile correlation (WQC) methodology, we measure the suitability of gold, silver, oil, stocks as well as the French and the G7 countries indirect real estate to hedge against global and energy inflation. The WQC allows us to deal with time-varying characteristics of time series and to capture tail dependence. Besides, it has the advantage of dissolving the correlation structure between asset returns and inflation across different timescales, enabling us to consider different investment horizons. Recorded results over the 2000-2023 period show that the response to inflationary pressures varies according to the asset class, the holding period as well as the type of inflation considered. Whereas precious metals seem to be suitable over short term maturities, French listed real estate displays interesting inflation hedging features as the investment horizon lengthens. Oil emerges as an equivocal hedge against both global and energy inflation.

Keywords: Indirect real estate; Inflation Hedging; Investment horizon; Wavelet quantile correlation (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2024-01-01
New Economics Papers: this item is included in nep-ene, nep-mon and nep-rmg
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