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Is The Uk Real Estate Market Converging With The Rest Of Europe?

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  • Stephen Lee

Abstract

This paper assesses whether the returns of the UK securitised real estate market are converging with those of the other countries in Europe relative to the returns in the US. Using time-varying parameter modelling techniques with monthly data over the period 1990 to 2007 we show that from 1998 the returns of the UK securitised real estate market became increasingly sensitive to perturbations in the European market relative to those in the US. However, since 2004 the returns in the UK real estate market have started to diverge from those of most countries in Europe. In other words, to all intents and purposes the UK real estate market has not converged with Europe and so diversification across Europe is still a viable investment strategy.

Suggested Citation

  • Stephen Lee, 2008. "Is The Uk Real Estate Market Converging With The Rest Of Europe?," ERES eres2008_192, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2008_192
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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