Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102252 | The North American Journal of Economics and Finance | 2017 | 12 Pages |
Abstract
This paper explores tail quantile dependences between the inflation rate and the real estate investment trust (REIT) return by utilizing the Markov-switching GRG copula. Empirical results show that the dependence between inflation rate and REIT return is mixed, implying that the inflation-hedging ability of REIT index is not fixed. The REIT index is not a hedge against inflation risk during the period of negative dependence; on the contrary, the REIT index has a partially inflation hedging ability during the period of positive dependence. Furthermore, the intensity for the dependence in non-extreme cases is different from that in very extreme cases.
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Authors
Kuang-Liang Chang,