加拿大房地产与通货膨胀 （工程管理毕业论文外文翻译范文）

国际上有关于房地产回报和通货膨胀之间关系的研究很多，但是结果大都产生了分歧。难道加拿大的房地产成为了减少通货膨胀风险的保护手段了吗?

经过十年的价格稳定以后，持久不断的价格上涨和近期的生产率增长放缓已经引起了人们对通货膨胀的再次担忧。如果你对养老金特别关注,就会发现这种担忧的迹象，因为像养老金负债这样的生活指数是经常与通货膨胀率挂钩的。许多加拿大养老保险基金已经习惯于把房地产业作为一种通货膨胀的保护手段。现在的通货膨胀时期是一个来重新评估这些关于把房地产作为一种通货膨胀保护手段的理论是否正确的很好时机。各种各样的国际组织研究了房地产回报和通货膨胀率之间的关系。在美国,哈策尔、赫克曼、迈尔斯(1987),乌策贝茨、米勒、马基(1991),马里奥、迈尔斯 (1997)都发现许多证据表明商业地产可以在通货膨胀期间保值。邦德和塞勒(1998)同时也发现,美国的房地产业是一种对于预期的和不可预期的通货膨胀有对冲作用的产业。然而,并不是所有人都支持房地产具有通货膨胀保护伞功能的观点。史蒂文森和穆雷(1999)发现,没有证据表明爱尔兰房地产活动是一种有效的通胀对冲。侯赛里，马特斯卡和麦格雷戈(1997)得到的结论是,英国房地产的短期保值功能比股票的要差一些,但是比债券的保值功能要好。房地产业一直以来在加拿大都是作为一种通胀对冲工具的，但是现在已经很少受到大家的关注了,所以我们希望这片文章可以开始填补这缺口。2022-2023

想要从根本上了解加拿大房地产对防范通货膨胀风险所起的作用，我们将在一个混合投资组合的环境当中，通过拉塞尔加拿大资产指数（在1985年以前被称为莫卡格资产指数）来衡量每年的房地产回报率，这个指数也是加拿大衡量房地产业发展的通用指数。 而我们对于通货膨胀程度的衡量主要依靠消费者价格指数。对于另类资产回报的衡量，我们通过对TSE300综合指数和政府长期债券价格的分析来解决。2022-2023

1 房地产和通货膨胀的关系2022-2023

1974年到1999年间相关统计数据显示，相对于加拿大的股票和债券，加拿大房地产是一种更好的短期通胀对冲工具,特别是在高通货膨胀的环境中。我们可以把过去26年划分为高、低通胀两个环境阶段,通过对这两个阶段的研究我们发现，在高通货膨胀时期，房地产产业与通货膨胀有强烈的正相关关系，而在低通货膨胀时期，房地产与通货膨胀呈现弱正相关的关系。相对来说，通过研究发现，股票和债券要么与通货膨胀有一个微不足道的相关性、要么与通货膨胀呈现较强的负相关关系，虽然股票收益率在大部分的时期内已经超过了通货膨胀率,但我们同意博迪、凯恩和马卡斯(1989)的观点,这并不能成为支持股票作为短期通胀对冲工具的强力证据。2022-2023

2 两种宏观经济推动器2022-2023

为什么在生产率不断提高的低通货膨胀时期，房地产业与通货膨胀的正相关性是如此的小?我们可以通过回归分析得出,对于简单的通货膨胀与房地产业相关性研究忽略了房地产的另一个角色，就是他的回报率是GDP实际增长率的附加决定因素。在长期不停变化的房地产企业行为中，通货膨胀和GDP增长率有40%到60%的相关性。在高通货膨胀时期,通货膨胀具有引导房地产行为的能力，可是, 在低通货膨胀时期，加拿大的经济增长成为了主导力量, 这样经济增长就把房地产业与通货膨胀的真正关系隐藏了起来。我们同样发现，对于美国的房地产业，这种现象也是普遍存在的。2022-2023

3 可预期和不可预期的通货膨胀2022-2023

实际通货膨胀可以被视为是可以预期的通胀预期加上不可预期的通货膨胀。可以预期的通胀膨胀代表着投资者已经意识到通胀将会在一段时间内产生。不可预期的通货膨胀实际是区别于实际通货膨胀和可预期的通货膨胀的。

不可预期的通货膨胀=实际通货膨胀—可预期的通货膨胀。

真正的通货膨胀风险是在于意想不到的那一部分风险。因此,它可能对于研究房地产在可预期和不可预期的通货膨胀当中是否具有套期保值功能有很大的好处。通货膨胀预期都是不能直接观测来度量的,人们通常通过社会调查或者直接通过对美国国债实际收益率的研究取得一些相关的数据，而对于这两种资源索取方法，我们在加拿大没有足够长的时间序列, 所以我们就采用法马和斯切威特(1977)的研究方法,这种方法使用加拿大政府的3个月短期债券数量来代表加拿大可以预期的通货膨胀。无风险的短期债券的情况可以被看作实际收益再加上预期的通货膨胀。假设这个真实回报率是不变,或者没有人可以预测真实回报率的变化,那么，短期债券的数量的变化就相当于可预期的通胀率变化。2022-2023

短期债券收益=实际回报率+预期通货膨胀率。2022-2023

同实际国内生产总值增长率一样，我们把加拿大房地产收益率当作冲销预期通货膨胀率 (用短期债券收益来衡量)和不可预期通货膨胀率 (实际通胀率减去短期债券收益率)的工具，在每一个时期房地产可以充当对冲不可预期通货膨胀以及可预期通货膨胀的保护手段。此外,房地产和预期通货膨胀的关系已超过一对一对应的效用关系，可以涉及到更多的房地产相关领域。当预期通货膨胀提高1%,房地产回报平均增加1.4%。这意味着,在一个混合资产组合当中,加拿大的房地产可以帮助其优化投资组合，对冲通胀预期风险。2022-2023

4 通胀保护

为了确认在一个混合资产组合中房地产对于通货膨胀风险保护所作出的贡献,我们创造了两个有效的对比领域:一个是利用加拿大股票和债券建立投资组合,另一个是用加拿大房地产作为投资补充。观察研究发现,通过增加房地产进入投资组合,一个人可以达到同样的总回报，而且其波动性也较低。通过房地产补充建立的投资组合显得更加有效。例如有两种投资组合,一组投资组合包括29%的股票和71%的债券,而另一种投资组合包含了32%的股票, 24%的债券,和44%的房地产资产。在过去26年中,前一种投资组合取得的年收益率 (10.8%)与后一种投资组合相同，但是作为后一种组合组合,其收益波动性变动（没有房地产加入的投资组合收益变动为10.0%，有购买房地产作为投资的投资组合收益变动为6.2%）更加小而且更加稳定。这个多元化利益在于房地产回报来源不完全与股票和债券的回报来源相同。我们进一步计算了历史上这两种资产混合投资组合的收益率。然后,我们发现这两种投资组合的投资收益对预期的和意想不到的通货膨胀都有冲销作用。我们发现,前一种投资组合的作用是消极的,但统计上并没有显示这种投资组合与两种类型的通货膨胀的显著关系,而后一种投资组合显示出了与两种通货膨胀类型都有非常明显的正相关关系。通过添加房地产投资来丰富投资组合，投资组合与通货膨胀的关系经历了从负相关到和正相关的转变，而且意义相当重大。对于一个强大的、积极的正相关关系而言,投资组合对通货膨胀风险的抵消作用是有效的,但对于一个负相关的关系来说，通胀保护的效果就很弱了，甚至没有。此外,我们统计了一系列数据也表明，后一种投资组合对于可预期的和不可预期的通货膨胀风险防范能力要明显强于前一投资组合。这说明,对于一个混合投资组合来说，加入充分的房地产资产可以提高通货膨胀敏感性。通货膨胀的敏感性越强，资产组合对于通货膨胀风险的保护就越好。2022-2023

5 总结2022-2023

我们进行的相关性分析和回归分析的所有证据表明，加拿大房地产是一种有效的通胀对冲手段。与加拿大的股票和债券相比,每一年加拿大的商业地产在根本上为投资者提供了更加优越的通胀保护。更重要的是,在投资组合中加入足够的房地产资产,不仅可以带来投资多样化收益，而且可以提高混合资产投资组合的通货膨胀保护能力。2022-2023

Canadian Real Estate and Inflation （工程管理毕业论文外文翻译范文原文）2022-2023

International studies of the relationship between real estate returns and inflation have produced divergent results. How well does Canadian real estate act as an inflation hedge?2022-2023

Persistently high energy prices and the likelihood of slower near-term productivity growth have raised inflation fears once again, after a decade of stable prices. This is of particular concern to pension funds,as their liabilities are often indexed to inflation. Many Canadian pension funds have traditionally held real estate as an inflation hedge. In light of the current inflation risk,it is a good time to re-assess the historical evidence for holding real estate as an inflation hedge.Various international studies have tested the relationship between real estate returns and inflation. In the U.S.,Hartzell, Hekman and Miles (1987), Wurtzebach,Mueller and Machi (1991), Miles and Mahoney (1997)all found evidence that commercial real estate can hedge against inflation. Bond and Seiler (1998) also show that American residential real estate is a significant hedge against both expected and unexpected inflation.However, support for the inflation-hedging ability of real estate is not unanimous. Stevenson and Murray (1999) found no evidence that Irish real estate acts as an effective inflation hedge. Hoesli, MacGregor, Matysiak and Nanthakumaran (1997) concluded that U.K. real estate has poorer short-term hedging characteristics than stocks, but better characteristics than bonds.Real estate as a Canadian inflation hedge has received little attention, so we hope that this note will start to fill that gap.2022-2023

To see how well Canadian real estate hedges against inflation risk on a stand-alone basis, and within the context of a mixed-asset portfolio, we looked at annual real estate return data from the Russell Canadian Property Index (Morguard Property Index prior to 1985), a widely used benchmark for Canadian real estate. Our inflation gauge is the Canadian Consumer Price Index. For returns on alternative assets we used the TSE300 Composite Index and Government of Canada long-term bonds.2022-2023

REAL ESTATE AND INFLATION2022-2023

Simple correlation statistics for 1974-1999 show that Canadian real estate is a much better short-term inflation hedge than Canadian stocks and bonds,especially in a high-inflation environment. Dividing the last 26 years into high and low inflation environments, we find real estate had a strong positive correlation with inflation in the high-inflation period and a weak positive correlation in the low-inflation period.Stocks and bonds had either an insignificant relationship or a strong negative relationship with inflation. The return on stocks has exceeded inflation over most historical periods, but we agree with Bodie, Kane, and Marcus (1989, 1993) that this does not support a role for stocks as a short-term inflation hedge.2022-2023

TWO MACROECONOMIC DRIVERS2022-2023

Why was real estate’s correlation with inflation so weak in the low-inflation environment?Regression analysis reveals that simple correlation with inflation ignores the role of real GDP growth as an additional determinant of real estate returns.Inflation and GDP growth together explain 40% to 60% of the variability in long-term Canadian real estate performance. During a high-inflation period,inflation drives real estate performance.However, economic growth becomes the dominant force during a low-inflation period, shadowing real estate’s relationship with inflation. We found the same to be true for U.S. real estate.2022-2023

EXPECTED AND UNEXPECTED INFLATION2022-2023

Actual inflation can be viewed as expected inflation plus unexpected inflation. Expected inflation represents what investors think inflation will be over a certain period. Unexpected inflation is simply the difference between actual inflation and expected inflation.2022-2023

UNEXPECTED INFLATION = ACTUAL INFLATION - EXPECTED INFLATION2022-2023

True inflation risk is the unexpected component.Therefore, it would be useful to examine the hedging ability of real estate against unexpected and expected inflation.Inflation expectations are not directly observable,and are therefore usually gauged from consensus surveys, or derived from real-return bond yields.Since we don’t have long enough Canadian time series from these two types of sources, we adopted Fama and Schwert’s (1977) approach, using the Government of Canada three-month T-bill yield as a proxy for expected Canadian inflation. The yield on risk-free T-bills can be viewed as real return plus expected inflation. Assuming that the real return is constant, or that no one can predict changes in the real return, then changes in the T-bill yield correspond to the changes in the expected inflation.2022-2023

T-BILL YIELD = REAL RETURN + EXPECTED INFLATION2022-2023

We regressed Canadian real estate returns against expected inflation (measured by the T-bill yield),unexpected inflation (actual inflation minus the T-bill yield), as well as real GDP growth. As shown, all the explanatory variables are statistically significant. This suggests that real estate can hedge against both expected and unexpected inflation over annual holding periods. Moreover, the responses of real estate to expected inflation are more than one-to-one. For a 1% increase in expected inflation, real estate returns increase by 1.4% on average. This implies that, in a mixed-asset portfolio, Canadian real estate can help the rest of the portfolio hedge against expected inflation.2022-2023

INFLATION PROTECTION2022-2023

To confirm the contribution of real estate to inflation protection in a mixed-asset portfolio, we constructed two efficient frontiers: one with Canadian stocks and bonds, the other one with Canadian real estateadded.It2022-2023shows that by adding real estate, one can achieve the same total return with lower volatility.The portfolios on the new frontier are more efficient than those on the old frontier . For example, Portfolio 1 is composed of 29% stocks and 71% bonds, while Portfolio 2 comprises 32% stocks, 24% bonds, and 45% real estate. Over the last 26 years, Portfolio 1 would have achieved the same annual return (10.8%) as Portfolio 2, but with less volatility (6.2% vs. 10.0%). This diversification benefit lies in the fact that real estate returns imperfectly correlate with stock and bond returns.We further calculated the historical returns of these two portfolios according to their asset mixes. Then, we regressed the portfolio returns against expected and unexpected inflation, and economic growth. We found that Portfolio 1 has a negative but statistically insignificant relationship with both types of inflation, while Portfolio 2 shows a positive and statistically significant relationship with both types ofinflation.By2022-2023adding real estate, the relationship with inflation changed from negative and insignificant to positive and significant. A strong, positive relationship with inflation is desirable in terms of inflation protection, but a negative or weak one is not. Moreover, our statistical confirmed that the coefficients of expected and unexpected inflation for Portfolio 2 are significantly greater than those for Portfolio 1. This suggests that adding a sufficient amount of real estate can raise the inflation sensitivity of a mixed-asset portfolio. The greater the inflation sensitivity, the better the inflation protection.

CONCLUSION2022-2023

Our correlation analysis and regression results all lend evidence that Canadian real estate is an effective inflation hedge. Compared to Canadian stocks and bonds,Canadian commercial real estate provides investors with superior inflation protection on an annual basis. More importantly, adding a sufficient amount of real estate can improve the inflation protection ability of a mixedasset portfolio, in addition to its diversification benefit.Since real estate returns are also very sensitive to economic growth, pension funds should take economic cycles into account when increasing real estate holdings to hedge against rising inflation risk.2022-2023

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