The Inflation-hedging Ability of Real Estate Evidence in Thailand: 1987-2011

This study examines whether real estate in Thailand can hedge against ex post and ex ante inflation during the 1987-2011. To achieve this, we follow the Fama and Schwert (1977)’s framework. The study finds that real estate returns have positive relation with both ex post and unexpected inflation over the period, even though the statistical evidence does not strongly support this. Furthermore, after separating the time series into sub-periods to control for the possible structural changes in the economy, we find that the relationship between inflation and real estate returns change under various economic environments.