This study examines the efficiency of housing real estate investments in Poland as an inflation hedge, with a particular focus on the influence of exchange rate and inflation measured by the HICP index on housing property prices. Aim: to determine whether housing real estate investment can be inflation hedge in both low and high inflation environments. Methodology: The analysis applies threshold cointegration techniques to identify regimes of high and low inflation and assess the long-term and short-term relationships between the variables. Findings: The results suggest that the variables used in the study can be effectively analyzed using threshold cointegration analysis. The findings indicate that investment in housing real estate can serve as a strong capital hedge, particularly during periods of low inflation. Implications: The study provides important insights for examining the relationship between housing real estate investments, inflation, and exchange rates. The analysis allows for the identification of distinct regimes of high and low inflation, which can have significant implications for understanding the dynamic relationships between the inflation, exchange rate and real estate prices. The results suggest that real estate can be a valuable asset in a diversified portfolio, particularly during periods of low inflation, as it can serve as a hedge against loss of value. Originality/value: The research delves into the nuances of the relationship between inflation and housing real estate, examining the potential for housing real estate to serve as an effective hedge against inflation and the exchange rate as a factor that may influence its performance in low and high inflationary contexts.