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Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach

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Author Info
Patrick Wilson ()
Simon Stevenson
Ralf Zurbruegg

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Abstract

As the globalization of world financial markets continues unabated the issue of benefits arising from international diversification becomes increasingly important. Due to the fixed geographical nature of the underlying product, securitized property might be considered immune from the effects of globalization, and to this extent researchers have considered the issue of international property market interdependence using a variety of statistical procedures. In this paper the question of interdependence across securitized property markets is examined by combining the Inoue (1999) cointegration methodology with the structural time series procedure of Harvey (1989). In the event of commonality of movement across property markets, this approach permits the researcher to isolate and visualize common movement, an operation that may be helpful to a portfolio manager trying to understand cross market activity. The results indicate that there is some unifying force across international property markets and that this unifying force may stem from the United States. The results also suggest that, at least to some extent, shocks to securitized property markets produce a similar response to stock market shocks. Copyright Springer Science+Business Media, LLC 2007

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File URL: http://hdl.handle.net/10.1007/s11146-007-9013-2
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Publisher Info
Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 34 (2007)
Issue (Month): 3 (April)
Pages: 407-424
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Handle: RePEc:kap:jrefec:v:34:y:2007:i:3:p:407-424

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Web page: http://www.springerlink.com/link.asp?id=102945

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Related research
Keywords: Structural time series models; Cointegration; Unobserved components; Property market shocks;

References listed on IDEAS
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  1. Harvey, Andrew, 2001. "Testing in Unobserved Components Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(1), pages 1-19, January.
  2. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-80, October.
    Other versions:
  3. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec.. [Downloadable!] (restricted)
    Other versions:
  4. Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February. [Downloadable!] (restricted)
  5. Simon Stevenson, 2000. "International Real Estate Diversification: Empirical Tests using Hedged Indices," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 105-131. [Downloadable!]
  6. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
  7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  8. Muscatelli, V Anton & Tirelli, Patrizio, 2001. "Unemployment and Growth: Some Empirical Evidence from Structural Time Series Models," Applied Economics, Taylor and Francis Journals, vol. 33(8), pages 1083-88, June. [Downloadable!] (restricted)
  9. Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June. [Downloadable!] (restricted)
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