Following the approach of Fama and Schwert (1977), we investigate the inflation hedging ability of stocks, gold and real estate for Vietnam and Thailand. We estimate the relationship between their returns and various inflation measures (actual inflation, expected inflation as well as unexpected inflation) on both monthly and quarterly data.
We do not find statistical support for the Fisher effect, due to the large standard errors. Still, from a short term qualitative point of view, both gold and real estate qualify more as a potential inflation hedge than stocks.