This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Global Real Estate Markets - Cycles and Fundamentals

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Bradford Case
William N. Goetzmann
K. Geert Rouwenhorst

Additional information is available for the following registered author(s):

Abstract

The correlations among international real estate markets are surprisingly high, given the degree to which they are segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because of locational specificity. In addition, the broad securitization of real estate property companies has, until recently, lagged that of other types of companies. Never-the-less, international property returns move together in dramatic fashion. In this paper, we use eleven years of global property returns to explore the factors influencing this co-movement. We attribute a substantial amount of the correlation across world property markets to the effects of changes in GNP, suggesting that real estate is a bet on fundamental economic variables which are correlated across countries. A decomposition shows that a local production factor is more important in some countries than in others.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.nber.org/papers/w7566.pdf
File Format: application/pdf
File Function:
Download Restriction: Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 7566.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Feb 2000
Date of revision:
Handle: RePEc:nbr:nberwo:7566

Note: AP
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Phone: 617-868-3900
Email:
Web page: http://www.nber.org
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords:

Other versions of this item:

This paper has been announced in the following NEP Reports: Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The ImpactThe Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series 121, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  2. Neal Maroney & Atsuyuki Naka, 2006. "Diversification Benefits of Japanese Real Estate Over the Last Four Decades," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 259-274, November. [Downloadable!] (restricted)
  3. Fabio C. Bagliano & Claudio Morana, 2008. "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," Working Papers 2, University of Torino, Department of Economics and Public Finance "G. Prato". [Downloadable!]
    Other versions:
  4. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research. [Downloadable!]
  5. Jian Yang & James W. Kolari & Guozhong Zhu, 2005. "European public real estate market integration," Applied Financial Economics, Taylor and Francis Journals, vol. 15(13), pages 895-905, September. [Downloadable!] (restricted)
  6. Haibin Zhu, 2005. "The importance of property markets for monetary policy and financial stability," BIS Papers chapters, in: Bank for International Settlements (ed.), Real estate indicators and financial stability, volume 21, pages 9-29 Bank for International Settlements. [Downloadable!]
  7. Elias Oikarinen, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy. [Downloadable!]
  8. Robert T. Kleiman & James E. Payne & Anandi P. Sahu, 2002. "Random Walks and Market Efficiency: Evidence from International Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 279-298. [Downloadable!]
  9. Maroney, Neal C. & Naka, Atsuyuki, 2003. "Diversification benefit of Japanese real estate over the last four decades," Working Papers 2003-01, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  10. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? There is a FAQ (frequently asked questions).

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.