Real Interest Rates, Expected Inflation, and Real Estate Returns: A Comparison of the U.S. and Canada

2008 ◽  
Author(s):  
Kuntara Pukthuanthong ◽  
Richard Roll
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Real Interest Rates ◽  
Expected Inflation ◽  
Real Estate Returns ◽  
The U.S

scholarly journals A New Approach to Gauging Inflation Expectations

2009 ◽  
pp. 1-4
Author(s):  
Joseph G. Haubrich
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
New Method ◽  
Inflation Expectations ◽  
Real Interest Rates ◽  
Inflation Risk ◽  
New Approach ◽  
Expected Inflation ◽  
Inflation Risk Premium

This Economic Commentary explains a relatively new method of uncovering inflation expectations, real interest rates, and an inflation-risk premium. It provides estimates of expected inflation from one month to 30 years, an estimate of the inflation-risk premium, and a measure of real interest rates, particularly a short (one-month) rate, which is not readily available from the TIPS market. Calculations using the method suggest that longer-term inflation expectations remain near historic lows. Furthermore, the inflation-risk premium is also low, which in the model means that inflation is not expected to deviate far from expectations.

scholarly journals Real estate as a portfolio risk diversifier

2016 ◽  
Vol 13 (2) ◽  
pp. 45-52
Author(s):  
Ahmad Etebari
Keyword(s):  
Real Estate ◽  
Portfolio Risk ◽  
Optimal Portfolios ◽  
Investment Performance ◽  
Optimization Framework ◽  
Expected Inflation ◽  
Common Stocks ◽  
Asset Class ◽  
The U.S ◽  
Return Data

This study provides evidence on the investment performance of real estate relative to bonds and common stocks in the U.S. Using quarterly total return data over the years 1978-2012, the analyses show that, over this period, on a risk-adjusted basis real estate was the top performing asset class, outperformed both bonds and stocks. Real estate, in the Eastern U.S., was the top performer, outperforming both bonds and stocks. The results also show that real estate provided a partial hedge against actual and expected inflation, and that, in combinations with bonds and stocks, it made up a major share of optimal portfolios constructed for various target returns within the Markowitz optimization framework

Treasury Bills, Bonds And Sector Inflation Indices: A Spectral Analysis

2011 ◽  
Vol 19 (2) ◽  
Author(s):  
Maurice Larrain
Keyword(s):  
Interest Rates ◽  
Raw Materials ◽  
Consumer Price Index ◽  
Real Interest Rates ◽  
Financial Model ◽  
Treasury Bills ◽  
Taylor Rules ◽  
Expected Inflation ◽  
Nominal Interest Rates ◽  
Long Time

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">This paper uses spectral and correlation techniques to analyze the relationship between several inflation indicators and nominal interest rates. Empirical definitions of real interest rates reduce to stating real rates are equal to nominal interest rates minus expected inflation. To represent a number for inflation, economy-wide measures such as the GDP deflator or the Consumer Price Index are employed. This uncritical usage results more often than not in implausible values for real interest rates. In particular, volatile negative real rates are encountered for prolonged periods ranging from six months to up to three years. Such long time intervals for negative real rates amounts to accepting the unrealistic proposition that profit maximizing lenders, such as commercial bank officers, pay hefty fees to borrowers to have them use their institution's loanable funds. This paper questions the effectiveness of GDP or CPI inflation measures in surrogating for expected inflation. We find instead that narrower sector (industry) inflation indices such as fuels or raw materials prices appear to be improved measures. The issue matters since accurate real interest rate estimates are necessary for policy (Taylor rules), financial model evaluation, and discounting.<strong style="mso-bidi-font-weight: normal;"></strong></span></span></p>

scholarly journals Impact of oil prices, the U.S interest rates on Turkey’s real estate market. New evidence from combined co-integration and bootstrap ARDL tests

PLoS ONE ◽  
2021 ◽  
Vol 16 (1) ◽  
pp. e0242672
Author(s):  
Ahmed Alhodiry ◽  
Husam Rjoub ◽  
Ahmed Samour
Keyword(s):  
Interest Rate ◽  
Real Estate ◽  
Interest Rates ◽  
Oil Prices ◽  
Real Estate Market ◽  
External Shocks ◽  
Integration Test ◽  
Testing Approach ◽  
The Impact ◽  
The U.S

The research aims to provide new empirical evidence by testing the impact of the external shocks namely: oil prices and the U.S interest rate on Turkey’s real estate market by using three techniques of co-integration tests namely: the newly developed bootstrap autoregressive distributed lag (ARDL) testing approach as proposed by (McNown et al. 2018), the new approach involving the Bayer-Hanck (2013) combined co-integration test, Hatemi-J (2008) co-integration testing approach. The ARDL model is utilized to explore the relationship between the variables. The findings show that the oil prices have a positive impact on Turkey’s real estate market, the results confirm that there is a significant impact of oil prices on Turkey’s real estate market through the domestic interest rate. Furthermore, the results demonstrated that there is a significant spillover influence of the U.S. interest rates on Turkey’s real estate market through oil prices and domestic interest rates. This study suggests that the following factors led to increasing the sensitivity and volatility of the Turkish real estate market to oil prices and the U.S. interest rate fluctuations: the presence of economic interdependence between the USA and Turkey, and the majority of the external debts and the reserve currency in Turkey are composed in the USD, and Turkey’s oil imports hit record high in last years. Finally, this article suggests that policymakers in Turkey should pay close attention to the effects of external shocks namely the oil prices and U.S. interest rates on Turkish markets to maintain economic and financial stability.

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