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

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• 作者：Kuang-Liang Chang ^{klchang@mail.ncyu.edu.tw}
• 关键词：C32 ; C51 ; E31 ; G15
• 刊名：The North American Journal of Economics and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：39
• 期：Complete
• 页码：56-67
• 全文大小：473 K
• 卷排序：39

文摘

This paper investigates the inflation-hedging ability of REIT index. The positive and negative co-movements coexist. In the negative co-movement state, the REIT cannot hedge inflation risk. In the positive co-movement state, the REIT has a partially hedging ability.