Abstract
This study investigate the inflation hedging ability of Commercial Real Estate (CRE) in South Africa. The Vector Error Correction (VEC) model for cointegrated time series was used to investigate the long run relationship between property returns and inflation and to determine whether inflation drives property returns, and if so, to what degree it drives returns. This study finds that in the short run, CRE investments are generally a pervasive hedge against inflation. In the long run, retail and industrial property hedge against inflation, with retail property being the better inflation hedge of the two property types.
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