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A Frequency Domain Analysis of Common Cycles in Property and Related Sectors

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  • Peijie Wang

    ()
    (City University Business School, London EC2Y 8HB, UK)

Abstract

This paper examines cycles and common cycles in property and related sectors in the frequency domain. The frequency domain approach is empirically more effective in revealing cycle and common cycle features. It describes the closeness of two time series using coherence and phase as against correlation and leads/lags in the time domain. The study has found that property shares common cycles with a number of economic sectors and, in particular, with those sectors that are the user markets of property, and lags behind in business cycle phases. Property has large coherence at most frequencies with most economic sectors and the economy as a whole and is in the same phase at these frequencies with the latter. But, property seems to have large discrepancy with almost all the other sectors in the cycles at the annual frequency. The property market swings more severely than the economy as a whole. However, fluctuations are considered moderate in the property market relative to those in the housing market.

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Bibliographic Info

Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 25 (2003)
Issue (Month): 3 ()
Pages: 325-346

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Handle: RePEc:jre:issued:v:25:n:3:2003:p:325-346

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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Cited by:
  1. Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].

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