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Property company performance and real interest rates: a regime-switching approach

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  • Colin Lizieri
  • Stephen Satchell

Abstract

Quantitative analysis of property performance has tended to rely on linear models. This paper explores the possible insights of using non-linear, regime based models. It is argued that there may exist different regimes depending on the level of real interest rates. This is tested empirically using a Threshold Autoregressive (TAR) model on property company data. It is found that behaviour differs in high interest rate and low interest rate regimes.

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File URL: http://hdl.handle.net/10.1080/095999197368654
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Journal of Property Research.

Volume (Year): 14 (1997)
Issue (Month): 2 (January)
Pages: 85-97

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Handle: RePEc:taf:jpropr:v:14:y:1997:i:2:p:85-97

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Cited by:
  1. Shaukat, Mughees, 2010. "The Benefits and Importance of Commercial Real Estate," MPRA Paper 28268, University Library of Munich, Germany.
  2. Chris Brooks & Sotiris Tsolacos, 2001. "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance icma-dp2001-08, Henley Business School, Reading University.
  3. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
  4. Colin Lizieri & Charles Ward, 2000. "Commercial Real Estate Return Distributions: A Review Of Literature And Empirical Evidence," Real Estate & Planning Working Papers rep-wp2000-01, Henley Business School, Reading University.
  5. Graham Partington & Max Stevenson, 2001. "The probability and timing of price reversals in the property market," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 22(7), pages 389-398.

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