Alternative Links zum Volltext:DOI
| Dokumentenart: | Artikel | ||||
|---|---|---|---|---|---|
| Titel eines Journals oder einer Zeitschrift: | Journal of Property Investment and Finance | ||||
| Verlag: | MCB University Press | ||||
| Band: | 33 | ||||
| Nummer des Zeitschriftenheftes oder des Kapitels: | 1 | ||||
| Seitenbereich: | S. 19-44 | ||||
| Datum: | 2015 | ||||
| Institutionen: | Wirtschaftswissenschaften > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienmanagement (Prof. Dr. Wolfgang Schäfers) | ||||
| Identifikationsnummer: |
| ||||
| Stichwörter / Keywords: | Real estate, Co-integration, Inflation hedge, Inflation protection, Infrastructure investments, Shortfall risk | ||||
| Dewey-Dezimal-Klassifikation: | 300 Sozialwissenschaften > 330 Wirtschaft | ||||
| Status: | Veröffentlicht | ||||
| Begutachtet: | Ja, diese Version wurde begutachtet | ||||
| An der Universität Regensburg entstanden: | Ja | ||||
| Dokumenten-ID: | 31314 |
Zusammenfassung
Purpose – Similar to real estate, infrastructure investments are regarded as providing a good inflation hedge and inflation protection. However, the empirical literature on infrastructure and inflation is scarce. Therefore, the purpose of this paper is to investigate the short- and long-term inflation-hedging characteristics, as well as the inflation protection associated with infrastructure ...
Zusammenfassung
Purpose
– Similar to real estate, infrastructure investments are regarded as providing a good inflation hedge and inflation protection. However, the empirical literature on infrastructure and inflation is scarce. Therefore, the purpose of this paper is to investigate the short- and long-term inflation-hedging characteristics, as well as the inflation protection associated with infrastructure and real estate assets.
Design/methodology/approach
– Based on a unique data set for direct infrastructure performance, a listed infrastructure index, common direct and listed real estate indices, the authors test for short- and long-term inflation-hedging characteristics of these assets in the USA from 1991-2013. The authors employ the traditional Fama and Schwert (1977) framework, as well as Engle and Granger (1987) co-integration tests. Granger causality tests are further conducted, so as to gain insight into the short-run dynamics. Finally, shortfall risk measures are applied to investigate the inflation protection characteristics of the different assets over increasingly long investment horizons.
Findings
– The empirical results indicate that in the short run, only direct infrastructure provides a partial hedge against inflation. However, co-integration tests suggest that all series have a long-run co-movement with inflation, implying a long-term hedge. The causality tests reveal reverse unidirectional causality – while real estate asset returns are Granger-caused by inflation, infrastructure asset returns seem to cause inflation. These findings further confirm that both assets represent a distinct asset class. Ultimately, direct infrastructure investments exhibit the most desirable inflation protection characteristics among the set of assets.
Research limitations/implications
– This study only presents results based on a composite direct infrastructure index, as no sub-indices for sub-sectors are available yet.
Practical implications
– Investors seeking assets that are sensitive to inflation and mitigate inflation risk should consider direct infrastructure investments in their asset allocation strategy.
Originality/value
– This is the first study to examine the ability of direct infrastructure to assess inflation risk.
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