Abstract
Presents results of an investigation of the inflation‐hedging characteristics of UK property. Evaluates the various methods of decomposing inflation into its “expected” and “unexpected” components, using new time series data on inflation expectations produced by a questionnaire survey of informed market participants. Utilizes the power and suitability of causality and cointegration analysis to examine the relationship between inflation and property returns. Analyses the sensitivity of the results about the hedging capabilities of property to the removal valuation induced “smoothing” from property returns. Concludes that property is best seen as offering hedging characteristics that are only revealed in the long run.
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