IDEAS home Printed from https://ideas.repec.org/a/jre/issued/v36n42014p541-574.html
   My bibliography  Save this article

On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets

Author

Listed:
  • Sotiris Tsolacos

    (University of Reading)

  • Chris Brooks

    (University of Reading)

  • Ogonna Nneji

    (University of Reading)

Abstract

This paper employs a probit and a Markov switching model using information from the Conference Board Leading Indicator and other predictor variables to forecast the signs of future rental growth in four key U.S. commercial rent series. We find that both approaches have considerable power to predict changes in the direction of commercial rents up to two years ahead, exhibiting strong improvements over a naïve model, especially for the warehouse and apartment sectors. We find that while the Markov switching model appears to be more successful, it lags behind actual turnarounds in market outcomes whereas the probit is able to detect whether rental growth will be positive or negative several quarters ahead.

Suggested Citation

  • Sotiris Tsolacos & Chris Brooks & Ogonna Nneji, 2014. "On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 36(4), pages 541-574.
    • Handle: RePEc:jre:issued:v:36:n:4:2014:p:541-574
    as

    Download full text from publisher

    File URL: http://pages.jh.edu/jrer/papers/pdf/new_current/vol36n04/9833-05.541_574.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:36:n:4:2014:p:541-574. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: JRER Graduate Assistant/Webmaster (email available below). General contact details of provider: http://www.aresnet.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.