Abstract
This paper examines the inflation hedging capacity of Korea’s housing return from January 1987 to December 2022. The exponential generalized autoregressive conditiuonal heteroskedasticity(EGARCH) model and a dynamic ordinary least squares (DOLS) regression were employed to study the hedging capacity of Korea’s housing return against expected and unexpected inflation over the short run and long run. The results that could be obtained through this paper is as follows. First, The empirical results show a hedge effect on expected inflation only in housing return excluding gold over the short term, but not in unexpected inflation. Second, Over the long run, housing and gold returns provide a positive inflation hedge against expected inflation only. Third, it is found that the price volatility of housing and gold have both a positive asymmetric effect on news shocks. Over the long run, an increase in wages is found to increase housing prices by promoting housing demand, While no similar evidence is found in money supply.Therefore, there is a need to implement a stable wage policy to stabilize the housing market.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
