The objective of this research is to analyze residential, unsecuritized and securitized real estates’ ability to hedge inflation in Sweden and compare it to stocks’, bonds’ and gold’s ability to hedge inflation.This research is based on both descriptive statistical and econometric analysis methodology with use of both quarterly and annual data series. First are the correlations between assets and actual, expected and unexpected inflation analyzed. Inflation betas are then estimated for all assets based on an ordinary least square model. The results indicate that, during the researched period 1993-2011, none of the studied exposures of real estate are a hedge against actual, expected nor unexpected inflation. As expected the results also indicate that both stocks and bonds have a negative relation to inflation, while gold seems to be a partial hedge against inflation. However, all inflation betas have a low R square and low statistical significance in general. Real estate in Sweden is not a hedge against inflation as it traditionally is perceived to be and real estate returns might be driven by business cycles, accessibility to financing and expectations of interest rates rather than inflation.

The objective of this research is to analyze residential, unsecuritized and securitized real estates’ ability to hedge inflation in Sweden and compare it to stocks’, bonds’ and gold’s ability to hedge inflation. This research is based on both descriptive statistical and econometric analysis methodology with use of both quarterly and annual data series. First are the correlations between assets and actual, expected and unexpected inflation analyzed. Inflation betas are then estimated for all assets based on an ordinary least square model. The results indicate that, during the researched period 1993-2011, none of the studied exposures of real estate are a hedge against actual, expected nor unexpected inflation. As expected the results also indicate that both stocks and bonds have a negative relation to inflation, while gold seems to be a partial hedge against inflation. However, all inflation betas have a low R square and low statistical significance in general. Real estate in Sweden is not a hedge against inflation as it traditionally is perceived to be and real estate returns might be driven by business cycles, accessibility to financing and expectations of interest rates rather than inflation.

Submitted by Angelo Orru (angelo-orru@itau-unibanco.com.br) on 2015-03-04T17:42:04Z No. of bitstreams: 1 Tese FII Angelo Orru Neto URL Revisado.pdf: 788252 bytes, checksum: 85f5756cf9d26c8a4f4bc61b63298f49 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-03-04T17:43:45Z (GMT) No. of bitstreams: 1 Tese FII Angelo Orru Neto URL Revisado.pdf: 788252 bytes, checksum: 85f5756cf9d26c8a4f4bc61b63298f49 (MD5) / Made available in DSpace on 2015-03-04T18:27:13Z (GMT). No. of bitstreams: 1 Tese FII Angelo Orru Neto URL Revisado.pdf: 788252 bytes, checksum: 85f5756cf9d26c8a4f4bc61b63298f49 (MD5) Previous issue date: 2015-02-05 / This study investigates the relationship between the Brazilian real estate investment funds and the inflation, once there is a wide belief that real estate prices go up with inflation rates. The study uses IFIX, FIPEZAP and IVG-R as real estate indexes and tests the correlation of these indicators with variables like inflation and foreign exchange rate. It‟s also analyzed the relationship of the real estate prices with risk-term proxies and Ibovespa. Results reveal that REITs and the other real estate indexes are less correlated with inflation and more correlated with the other variables in the model. / Este trabalho tem por objetivo verificar a relação entre a inflação e o retorno dos fundos de investimento imobiliário no Brasil, uma vez que é amplamente difundida a crença de que imóveis tem seu valor corrigido pela inflação ao longo do tempo. Os indicadores de preços imobiliários utilizados foram IFIX, FIPEZAP e o IVG-R, testados contra as variáveis macroeconômicas de diferença entre as expectativas dos indicadores de inflação, representado pelo IPCA, e câmbio, e também contra as variáveis de risco de prazo, representada pela diferença entre o retorno aos títulos do tesouro com vencimento em 1 mês e em 30 anos, e a volatilidade dos mercados financeiros, representada pelo índice Ibovespa. Os resultados revelam que o retorno dos fundos de investimentos imobiliários e a variação dos índices de preço de imóveis utilizados têm pouca correlação com os índices de inflação e mais relação com as outras variáveis do modelo.

La loi monétaire de septembre 1939 interdit la détention, le commerce, l’importation et l’exportation de l’or enFrance. Un marché clandestin s’est alors créé en 1941 et fonctionne jusqu’en janvier 1948. La loi du 2 février1948 a rendu la liberté au commerce de l’or en France. Ainsi, un marché officiel de ce métal précieux est-ilouvert à la Bourse de Paris. Après 56 ans d’existence, il est fermé en juillet 2004. Depuis cette date, le marché del’or en France est un marché de gré à gré où le prix d’équilibre est déterminé par la Compagnie Parisienne deRéescompte. Malgré cette riche histoire, le marché de l’or à Paris depuis 1941 n’a jamais été étudiéscientifiquement jusqu’à maintenant. Afin de l’explorer, cette thèse est divisée en deux parties distinctes. Lapremière l’étudie sous l’angle historique. Nous analysons son évolution en le rattachant aux événements del’histoire le qualifiant de plusieurs statuts différents : un marché clandestin de 1941 à 1948 (chapitre 1), unmarché réglementé de 1948 à 2004 (chapitres 2 et 3) et un marché de gré à gré de 2004 à 2009 (chapitre 4). Ladeuxième partie de la thèse étudie le marché de l’or à Paris sous l’angle financier. Les résultats du chapitre 5montrent que l’hypothèse de l’efficience informationnelle du marché parisien de l’or ne semble pas être validée.Dans le chapitre 6, nous trouvons que l’or coté à Paris (le lingot et la pièce napoléon) est moins rentable à longtermeque les actions. Cependant, il est aussi risqué que ces dernières et quatre fois plus risqué que lesobligations. Contrairement à la littérature anglo-saxonne, nous trouvons, dans le chapitre 7, que l’or n’est pas unbon moyen de protection contre l’inflation en France. De même, l’or coté à Paris n’est favorable dans ladiversification des portefeuilles français que durant les périodes où son prix a une tendance haussière. / The monetary law of September 1939 forbids possession, trade, import and export of gold in France. Aclandestine market was then created in 1941 and operates until January 1948. The law of February 2nd, 1948turned back the liberty to the gold trade in France. Thus, an official market was opened at the Paris StockExchange. After 56 years of existence, it was closed in July 2004. Since then, the gold market in France is anover the counter market where price is fixed by the Compagnie Parisienne de Réescompte. In spite of this veryrich history, the Paris Gold Market from 1941 has never been studied scientifically before. In order to explorethis market, our thesis is divided in two distinct parts. The first one concerns the historical analysis. We presentthe evolution of the market in parallel with the historical events which describe it by different natures: aclandestine market from 1941 to 1948 (chapter 1), an official market from 1948 to 2004 (chapters 2 and 3) andan over the counter market from 2004 until now (chapter 4). The second part of the thesis analyzes the financialaspects of the Paris gold market. The results of the chapter 5 show that the efficient market hypothesis seems notto be validated. In the chapter 6, we find that gold quoted at Paris (ingot and napoleon coin) are less profitablethan stocks in the long-term. Nevertheless, they have the same level of risk than these latters and are four timesmore risky than bonds. Contrarily to the Anglo-Saxon literature, we find, in the chapter 7, that gold is not a goodhedge against inflation in France. At the same time, gold quoted at Paris is favorable in the diversification ofFrench portfolios only in the periods when its price has an upward trend.

本研究針對七個國家包括：美國、加拿大、英國、法國、日本、香港、與澳洲。檢驗各國主成分為REITs商品在內的不動產證券指數，對於該國的消費者物價指數與國際原油價格是否具有正向的通貨膨脹避險效果。並比較各國的普通股價指數對該國的消費者物價指數與國際原油價格的通貨膨脹避險效果。本研究首先檢驗各國不動產證券指數/普通股價指數之月增率與消費者物價指數/原油價格之月增率之間是否具有正相關性。並將消費者物價指數/國際原油價格之月增率以HP濾波分解成永久性部分與暫時性部分，以迴歸估計消費者物價指數/國際原油價格之月增率的永久性與暫時性部分對於不動產證券指數/普通股價指數之月增率是否有正向的解釋能力。並以Granger因果關係檢定通貨膨脹像消費者物價指數或原油價格的月增率是否會Granger影響不動產價格的月增率。最後在進行單根檢定確認各數列皆為I(1)數列之後，檢驗不動產證券指數/普通股價指數與消費者物價指數/國際原油價格是否存在共整合關係，亦即代表是否具有長期的均衡狀態。 結果發現，幾乎所有國家不動產證券指數的月增率不管是對物價指數的月增率或原油價格的月增率的相關係數大多為無相關，在美國、加拿大、與澳洲甚至有些微的負相關，沒有支持通貨膨脹避險的證據。而在迴歸分析的結果，在加拿大、英國、法國，與日本，物價指數月增率的永久性部分對不動產證券指數月增率有負向影響；在美國與香港則是物價指數月增率的暫時性部分對不動產證券指數月增率有負向影響。至於原油價格月增率的暫時性部分則在美國、法國、與澳洲找到對不動產證券指數存在負向影響的證據。其他國家則無法找到支持物價指數月增率或原油價格月增率的永久性或暫時性部分對不動產證券指數月增率具有正向影響。此外Grnager因果關係檢定中，只有美國的消費者物價指數月增率Granger影響不動產證券指數月增率。 而在假設無時間趨勢的共整合檢定之中，所有國家皆有顯著證據支持不動產證券指數與該國物價指數存在共整合關係，但若假設具有時間趨勢，只有加拿大，英國，日本與香港具顯著證據支持共整合關係的存在。而不動產證券指數與原油價格的共整合關係，不論有無時間趨勢，只有在加拿大、日本與澳洲這三個國家找到共整合關係存在的證據。 而普通股股價指數與消費者物價指數或原油價格實證結果顯示，相關係數檢定與不動產證券指數檢定結果相似，大多為無相關；只有美國、法國、與澳洲有些微負相關存在。迴歸分析中，物價指數月增率的永久性部分在加拿大、法國、與日本對普通股價指數月增率有負向影響；暫時性部分則在美國與澳洲對普通股價指數月增率有負向影響。原油價格月增率的暫時性部分在美國與法國對普通股股價指數存在負向影響的證據。而Grnager因果關係檢定中，在較多國家找到顯著證據支持原油價格月增率Granger影響不動產證券指數月增率。共整合檢定中，若不考慮時間趨勢，所有國家的股價指數均對物價指數存在共整合關係，但若考慮時間趨勢，則只有日本與香港有共整合現象；至於股價指數與原油價格的共整合檢定，不論有無時間趨勢，只有在日本、香港與澳洲找到些微共整合關係存在的證據。 整體而言，並無顯著證據存在支持不動產證券指數的報酬會隨著通貨膨脹的增加而增加；或是通貨膨脹的增加可以解釋不動產證券指數的報酬。然而不動產證券指數與消費者物價指數之間的確存在共整合關係，代表長期之下，兩者會往均衡方向調整，具有部分通貨膨脹避險能力。而普通股價指數與不動產證券指數的結果相同，但在檢設具有時間趨勢的共整合檢定上，不動產證券指數在四個國家存在共整合關係，普通股價指數則只有在兩個國家找到共整合存在的證據。不動產證券指數長期而言較普通股價指數具有較好的通貨膨脹避險效果。

This paper is in large parts an update to a paper by Bekaert and Wang from 2010 called Inflation risk and the inflation risk premium. Its purpose is to find insights into the inflation hedging properties of the major asset classes. The analysis includes stocks, bonds, treasury bills, foreign bonds, real estate, gold, and gold futures for 43 countries and covers investment horizons up to five years. For developed countries it is found that gold, gold futures and bonds are the besthedge against inflation, both in the short and long run. Treasury bills have a relatively modest performance in the short term but improve with horizons to a great hedge. For emerging countries all asset classes provide a decent hedge, with a slight favor for treasury bills and a slightdisadvantage for real estate in the short and long run. All asset classes are poor hedges to unexpected inflation with an exception for real estate in longer investment horizons. The best hedge against unexpected inflation shocks is inflation-linked bonds. / Den här uppsatsen är i stort en uppdatering av en artikel av Bekaert och Wang från 2010 kallad Inflation risk and the inflation risk premium. Syftet är att hitta insikter i inflationsskyddande egenskaperna för de stora tillgångsklasserna. Analysen inkluderar aktier, obligationer, statsskuldväxlar, utländska obligationer, fastigheter, guld och guldterminer för 43 länder och täcker investeringshorisonter upp till fem år. För utvecklade länder finner vi att guld, guldterminer och obligationer är bästa skyddet mot inflation, både på kort och lång sikt. Statsskuldväxlar är ett relativt dåligt inflationsskydd på kort sikt, men blir ett bra skydd över längre horisonter. För tillväxtländer ger alla tillgångsslag en skapligt skydd, med en liten fördel för statsskuldväxlar och en liten nackdel för fastigheter i kort och långt perspektiv. Alla tillgångsklasser är dåliga skydd mot oväntad inflation, med ett undantag för fastigheter i längre investeringshorisonter. Det bästa skyddet emot oväntade inflationschocker är inflationskopplade obligationer.