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European public real estate market integration

  • Jian Yang
  • James Kolari
  • Guozhong Zhu

This study examines dynamic linkages among nine European public real estate markets, with particular attention to the impact of the recent establishment of the European Economic and Monetary Union (EMU). Forecast error variance decomposition results show that the real estate markets of larger EMU economies (Germany, France, Netherlands) became more integrated with other European markets after the establishment of the EMU in 1999. By contrast, increased real estate market integration is not found for some smaller EMU economies (Belgium and Spain). Also, the real estate markets of non-EMU economies (United Kingdom, Switzerland, and Denmark) exhibited either little change or less integration. The EMU has been beneficial in terms of increasing real estate market integration among EMU member countries with more advanced industrial structures.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500187877
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Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 15 (2005)
Issue (Month): 13 ()
Pages: 895-905

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Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:895-905
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  1. Giannetti, Mariassunta, 2002. "The effects of integration on regional disparities: Convergence, divergence or both?," European Economic Review, Elsevier, vol. 46(3), pages 539-567, March.
  2. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
  3. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
  4. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
  5. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  6. Bradford Case & William Goetzmann & K. Rouwenhorst, 1999. "Global Real Estate Markets: Cycles And Fundamentals," Yale School of Management Working Papers ysm20, Yale School of Management, revised 01 Jan 2001.
  7. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
  8. Bradley Ewing, 2002. "The transmission of shocks among S&P indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 285-290.
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