打印

作者

来源

HABITAT INTERNATIONAL,Vol.62,P.11-21

语言

英文

关键字

House price; Energy price; Inflation; Hedging; Nonlinear ARDL; Malaysia; PRICE DYNAMICS; COINTEGRATION; RETURNS; MARKETS; TAIWAN; GOLD

作者单位

[Yeap, Geok Peng; Lean, Hooi Hooi] Univ Sains Malaysia, Sch Social Sci, Econ Program, George Town 11800, Malaysia. Lean, HH (reprint author), Univ Sains Malaysia, Sch Social Sci, Econ Program, George Town 11800, Malaysia. E-Mail: hooilean@usm.my

摘要

This paper examines the asymmetric inflation hedging properties of housing in Malaysia. We decompose both consumer inflation and energy inflation into positive and negative changes. We analyze the short run and long-run hedge against inflation of housing by using Nonlinear Autoregressive Distributed Lags (NADRL) approach. Based on the aggregate and four major types of houses, we find that house prices respond to both consumer and energy prices symmetrically in the long-run. However, only investment in terraced house hedge against consumer inflation in the long-run and the investment in all types of houses do not hedge against energy inflation. Nevertheless, house prices react to both consumer and energy inflation asymmetrically in the short-run. But housing asset investment cannot hedge against consumer inflation as well as the energy inflation in the short-run. (C) 2017 Elsevier Ltd. All rights reserved.