Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets
Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behavior. Price movements in the United States real estate investment trusts and United Kingdom property companies markets are explored using a threshold autoregressive (TAR) model with regimes defined by the real rate of interest. In both U.S. and U.K. markets, distinctive behavior emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behavior across regimes.
Volume (Year): 16 (1998)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: |
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.:
- Donald Robertson & James Symons, 1993.
"Real Interest Rates and Index Linked Gilts,"
CEP Discussion Papers
dp0181, Centre for Economic Performance, LSE.
- Robertson, Donald & Symons, James, 1997. "Real Interest Rates and Index-Linked Gilts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(1), pages 25-43, January.
- Simon M. Potter, 1993.
"A Nonlinear Approach to U.S. GNP,"
UCLA Economics Working Papers
693, UCLA Department of Economics.
- Pesaran, H.M. & Potter, S.M., 1995.
"A Floor and Ceiling Model of U.S. Output,"
Cambridge Working Papers in Economics
9407, Faculty of Economics, University of Cambridge.
- Charles Engel, 1991.
"Can the Markov switching model forecast exchange rates?,"
Research Working Paper
91-04, Federal Reserve Bank of Kansas City.
- Engel, Charles, 1994. "Can the Markov switching model forecast exchange rates?," Journal of International Economics, Elsevier, vol. 36(1-2), pages 151-165, February.
- Charles Engel, 1992. "Can the Markov Switching Model Forecast Exchange Rates?," NBER Working Papers 4210, National Bureau of Economic Research, Inc.
- Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
- Geltner, David Michael, 1991. "Smoothing in Appraisal-Based Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 4(3), pages 327-45, September.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Joseph Gyourko & Donald B. Keim, 1992. "What Does the Stock Market Tell Us About Real Estate Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 457-485.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- C. Lizieri & S. Satchell, 1994. "Property shares and the equity market: exploring the linkages," ERES eres1994_132, European Real Estate Society (ERES).
- Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44.
- West, Kenneth D, 1988. "Asymptotic Normality, When Regressors Have a Unit Root," Econometrica, Econometric Society, vol. 56(6), pages 1397-1417, November.
- Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. " Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-28, September.
- James M. Poterba & Lawrence H. Summers, 1984.
"The Persistence of Volatility and Stock Market Fluctuations,"
NBER Working Papers
1462, National Bureau of Economic Research, Inc.
- Poterba, James M & Summers, Lawrence H, 1986. "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, American Economic Association, vol. 76(5), pages 1142-51, December.
- James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations," Working papers 353, Massachusetts Institute of Technology (MIT), Department of Economics.
- Pradeep K. Yadav & Peter F. Pope & Krishna Paudyal, 1994. "Threshold Autoregressive Modeling In Finance: The Price Differences Of Equivalent Assets," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 205-221.
- Glenn R. Mueller & Keith R. Pauley, 1995. "The Effect of Interest-Rate Movements on Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 319-326.
- Joseph L. Pagliari, Jr. & James R. Webb, 1995. "A Fundamental Examination of Securitized and Unsecuritized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 381-426.
- Joseph Gyourko & Donald B. Keim, . "What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)," Rodney L. White Center for Financial Research Working Papers 11-92, Wharton School Rodney L. White Center for Financial Research.
- David Geltner, 1993. "Temporal Aggregation in Real Estate Return Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(2), pages 141-166.
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:16:n:3:1998:p:339-356. 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.