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Trends and Spectral Response: An Examination of the US Realty Market

Author

Listed:
  • Patrick Wilson

    (School of Finance and Economics, University of Technology, Sydney Australia)

  • Ralf Zurbruegg

    (School of Commerce, University of Adelaide, Australia)

Abstract

This 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.

Suggested Citation

  • Patrick Wilson & Ralf Zurbruegg, 2003. "Trends and Spectral Response: An Examination of the US Realty Market," Centre for International Economic Studies Working Papers 2003-15, University of Adelaide, Centre for International Economic Studies.
    • Handle: RePEc:adl:cieswp:2003-15
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    File URL: http://www.adelaide.edu.au/cies/papers/0315.pdf
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    References listed on IDEAS

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    Cited by:

    1. Pao-Peng Hsu & Chen-Hui Yen & Ya-Hui Chang & Li-Ling Chou, 2011. "Cycle and performance of mutual funds - an application of spectral analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 18(1), pages 75-79.

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    More about this item

    Keywords

    International Real Estate Markets; Securitised Property; Cointegration; Spectral Analysis; Impulse Response;
    All these keywords.

    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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