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Trends and Spectral Response: An Examination of the US Realty Market

Author

Listed:
  • Patrick Wilson

    (School of Finance and Economics, University of Technology, Sydney Australia)

  • Ralf Zurbruegg

    () (School of Commerce, University of Adelaide, Australia)

Abstract

This paper sets out to consider whether changes in economic fundamentals in the United States can impact on international real estate markets. To this end a two-step approach is pursued. In the first step cointegration techniques are used to determine whether common trends exist in international property markets. Once common trends are identified amongst securitised property markets, a potential common driver is isolated by substituting US Gross Domestic Product for US property. The paper then uses a spectral response technique to examine the impulse response between shocks in the US economy and reactions in foreign real estate markets. The results support a linkage between the economic growth of an important member of the international economic community and international real estate performance.

Suggested Citation

  • Patrick Wilson & Ralf Zurbruegg, 2003. "Trends and Spectral Response: An Examination of the US Realty Market," Centre for International Economic Studies Working Papers 2003-15, University of Adelaide, Centre for International Economic Studies.
  • Handle: RePEc:adl:cieswp:2003-15
    as

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    File URL: http://www.adelaide.edu.au/cies/papers/0315.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Aggarwal, Raj & Mougoue, Mbodja, 1998. "Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers," Review of Quantitative Finance and Accounting, Springer, vol. 10(2), pages 193-206, March.
    3. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
    4. Glascock, John L & Lu, Chiuling & So, Raymond W, 2000. "Further Evidence on the Integration of REIT, Bond, and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 177-194, March.
    5. Juselius, Katarina, 1995. "Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model," Journal of Econometrics, Elsevier, vol. 69(1), pages 211-240, September.
    6. Bruce Morley & Eric Pentecost, 2000. "Common trends and cycles in G-7 countries exchange rates and stock prices," Applied Economics Letters, Taylor & Francis Journals, vol. 7(1), pages 7-10.
    7. Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    International Real Estate Markets; Securitised Property; Cointegration; Spectral Analysis; Impulse Response;

    JEL classification:

    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets
    • R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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