Inflation protection from your home: Long-run evidence: 1814 – 2004

This paper examines the inflation hedging capacity of the privatehome. We employ a unique set of long-term data for house prices,rents, and inflation for Amsterdam dating back to 1814. We analyzeinflation protection using various methodologies, time periods, andinvestment horizons. Our results show that homeownership offersprotection against expected inflation for investment horizons of tenyears and longer; this is especially the case in periods when inflation is persistent. The hedging capacity of housing to unexpectedinflation is weak. Hedge ratios increase with extending investmenthorizons.

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