Hedging inflation in Sweden- An analysis of gold, stocks, and real estates inflation hedging capability.

Abstract

The recent increase in inflation has made the discussion of inflation hedging a top priority for academics, portfolio managers and investors. In this study, we analyse which asset class out of gold, stocks, and real estate has been the best hedge against inflation in Sweden since 1986. By following the most commonly used methodology (OLS estimator) grounded on the Fisher hypothesis, we found that neither gold nor stocks turned out to be a hedge against inflation. At the same time, real estate was a statistically significant partial hedge against inflation. We show that the hedging ability of the different assets is heavily time-dependent.