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European public real estate market integration

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Author Info
Jian Yang
James W. Kolari
Guozhong Zhu

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Abstract

This study examines dynamic linkages among nine European public real estate markets, with particular attention to the impact of the recent establishment of the European Economic and Monetary Union (EMU). Forecast error variance decomposition results show that the real estate markets of larger EMU economies (Germany, France, Netherlands) became more integrated with other European markets after the establishment of the EMU in 1999. By contrast, increased real estate market integration is not found for some smaller EMU economies (Belgium and Spain). Also, the real estate markets of non-EMU economies (United Kingdom, Switzerland, and Denmark) exhibited either little change or less integration. The EMU has been beneficial in terms of increasing real estate market integration among EMU member countries with more advanced industrial structures.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 15 (2005)
Issue (Month): 13 (September)
Pages: 895-905
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Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:895-905

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  4. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  5. Giannetti, Mariassunta, 2002. "The effects of integration on regional disparities: Convergence, divergence or both?," European Economic Review, Elsevier, vol. 46(3), pages 539-567, March. [Downloadable!] (restricted)
  6. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April. [Downloadable!] (restricted)
  7. Bradford Case & William N. Goetzmann & K. Geert Rouwenhorst, 2000. "Global Real Estate Markets - Cycles and Fundamentals," NBER Working Papers 7566, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January. [Downloadable!] (restricted)
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  9. Barry Eichengreen & Tamim Bayoumi, 1996. "Ever Closer to Heaven? An Optimum-Currency-Area Index for European Countries," Center for International and Development Economics Research, Working Paper Series 1036, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
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