Stationarity and Co-Integration in Systems with Three National Real Estate Indices
This study examines the stochastic properties of the commercial real estate wealth indices for three countries (the U.S., Canada, and the U.K.) and for several property types (aggregate, office, retail, and industrial). Each of the indices is tested for a unit root and all series are found to be nonstationary. Furthermore, all indices also indicate the presence of both drift and trend. The results are strongest when the indices are tested in real estate and exchange rate-adjusted form. Application of Johansen's model indicates that the system for the three countries shows evidence of co-integration for the aggregate, retail, office, and industrial properties. Again, the evidence is the strongest when the indices are tested in real and exchange rate-adjusted form. Hence, it is conceivable that inflationary expectations may be the factor that provides the common linkage between commercial real estate across national boundaries.
Volume (Year): 13 (1997)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323|
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
References listed on IDEAS
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.:
- Eichengreen, Barry, 1992.
"Three Perspectives on the Bretton Woods System,"
Department of Economics, Working Paper Series
qt8rg1h520, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Bruce Kasman & Charles Pigott, 1988. "Interest rate divergences among the major industrial nations," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 28-44.
- Ross, Stephen A & Zisler, Randall C, 1991. "Risk and Return in Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 4(2), pages 175-90, June.
- Lawrence J. Radecki & Vincent Reinhart, 1988. "The globalization of financial markets and the effectiveness of monetary policy instruments," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 18-27.
- Muscatelli, Vito Antonio & Hurn, A Stan, 1992. " Cointegration and Dynamic Time Series Models," Journal of Economic Surveys, Wiley Blackwell, vol. 6(1), pages 1-43.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:13:n:3:1997:p:369-381. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.