Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula

被引：12
|
作者：
Chang, Kuang-Liang [1 ]
机构：
[1] Natl Chiayi Univ, Dept Appl Econ, 580 Sinmin Rd, Chiayi 60054, Taiwan
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2017年 / 39卷
关键词：
Inflation rate; REIT return; Tail dependence; Inflation hedge ability; Markov-switching copula; STOCK RETURNS;
D O I：
10.1016/j.najef.2016.11.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码：56 / 67
页数：12
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