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The impact of economic and financial factors on UK property performance

Author

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  • Chris Brooks
  • Sotiris Tsolacos

Abstract

This paper employs a vector autoregressive model to investigate the impact of macroeconomic and financial variables on a UK real estate return series. The results indicate that unexpected inflation, and the interest rate term spread have explanatory powers for the property market. However, the most significant influence on the real estate series are the lagged values of the real estate series themselves. We conclude that identifying the factors that have determined UK property returns over the past twelve years remains a difficult task.

Suggested Citation

  • Chris Brooks & Sotiris Tsolacos, 1999. "The impact of economic and financial factors on UK property performance," Journal of Property Research, Taylor & Francis Journals, vol. 16(2), pages 139-152, January.
    • Handle: RePEc:taf:jpropr:v:16:y:1999:i:2:p:139-152
    DOI: 10.1080/095999199368193
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    References listed on IDEAS

    as
    1. Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, vol. 44(2), pages 169-203, May.
    2. Lawrence, Colin & Siow, Aloysius, 1985. "Interest Rates and Investment Spending: Some Empirical Evidence for Postwar U.S. Producer Equipment, 1947-1980," The Journal of Business, University of Chicago Press, vol. 58(4), pages 359-375, October.
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