Trends and Spectral Response: An Examination of the US Realty Market
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.
|Date of creation:||May 2003|
|Date of revision:|
|Contact details of provider:|| Postal: Adelaide SA 5005|
Phone: (+ 61 8) 8303 5672
Fax: (+ 61 8) 8223 1460
Web page: http://www.adelaide.edu.au/cies/
More information through EDIRC
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.:
- 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.
- William N. Goetzmann & Bradford Case & K. Geert Rouwenhorst, 1999. "Global Real Estate Markets: Cycles And Fundamentals," Yale School of Management Working Papers ysm116, Yale School of Management.
- Bradford Case & William N. Goetzmann & K. Geert Rouwenhorst, 2000. "Global Real Estate Markets - Cycles and Fundamentals," NBER Working Papers 7566, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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 177-94, March.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:adl:cieswp:2003-15. 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: (Dmitriy Kvasov)
If references are entirely missing, you can add them using this form.