Trends and Spectral Response: An Examination of the US Realty Market
AbstractThis paper sets out to consider whether changes in economic fundamentals in the United States can impact on international real estate markets. To this end a two-step approach is pursued. In the first step cointegration techniques are used to determine whether common trends exist in international property markets. Once common trends are identified amongst securitised property markets, a potential common driver is isolated by substituting US Gross Domestic Product for US property. The paper then uses a spectral response technique to examine the impulse response between shocks in the US economy and reactions in foreign real estate markets. The results support a linkage between the economic growth of an important member of the international economic community and international real estate performance.
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Bibliographic InfoPaper provided by University of Adelaide, Centre for International Economic Studies in its series Centre for International Economic Studies Working Papers with number 2003-15.
Length: 43 pages
Date of creation: May 2003
Date of revision:
International Real Estate Markets; Securitised Property; Cointegration; Spectral Analysis; Impulse Response;
Find related papers by JEL classification:
- R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets
- R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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"Global Real Estate Markets: Cycles And Fundamentals,"
Yale School of Management Working Papers
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