Linkages between property asset returns and interest rates: Evidence for the UK

Applied Economics

Volumn 33, Issue 6, 2001, Pages 711-719

  Brooks, Chris ^a   Tsolacos, Sotiris ^b  

^a UNIVERSITY OF READING   (United Kingdom)

^b JONES LANG LASALLE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

INTEREST RATE; INVESTMENT; PROPERTY MARKET; VECTOR AUTOREGRESSION;

EID: 0035003829     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840122812     Document Type: Article

References (27)

1. Akaike, H. (1974) A new look at the statistical model identification, IEEE Transactions on Automatic Control, AC-19(6), 716-23.
2. Bekaert, G., Hodrick, R. J. and Marshall, D. A. (1997) On biases in tests of the expectations hypothesis of the term structure of interest rates, Journal of Financial Economics, 44, 309-48.
3. Breen, W., Glosten, L. R. and Jagannathan, R. (1989) Economic significance of predictable variations in stock index returns, Journal of Finance, 44(5), 1177-89.
4. Campbell, J. Y. (1987) Stock returns and the term structure, Journal of Financial Economics, 18(2), 373-99.
5. Campbell, J. Y. and Shiller, R. J. (1991) Yield spreads and interest rate movements: a bird's eye view, Review of Economic Studies, 58, 495-514.
6. Chan, K. C., Hendershott, P. H. and Sanders, A. B. (1990) Risk and return on real estate: evidence from equity REITs, American Real Estate and Urban Economics Association Journal, 18, 431-52.
7. Chen, N.-F. (1991) Financial investment opportunities and the macroeconomy, Journal of Finance, 46(2), 529-54.
8. Chen, N.-F., Roll, R. and Ross, S. A. (1986) Economic forces and the stock market, Journal of Business, 59(3), 383-403.
9. Davis, E. P. and Fagan, G. (1997) Are financial spreads useful indicators of future inflation and output growth in EU countries? Journal of Applied Econometrics, 12, 701-14.
10. Dimelis, S. A. (1997) Cyclical and causal relations between real wages and employment in the EU, Applied Economics, 29, 311-24.
11. Engle, R. F. and Granger, C. W. J. (1987) Cointegration and error correction: representation, estimation and testing, Econometrica, 55, 251-76.
12. Estrella, A. and Hardouvelis, G. A. (1991) The term structure as a preditor of real economic activity, Journal of Finance, 46(2), 555-76.
13. Fama, E. and French, K. (1989) Business conditions and expected returns on stocks and bonds, Journal of Financial Economics, 25, 23-49.
14. Person, W. E. (1989) Changes in expected security returns, risk, and level of interest rates, Journal of Finance, 44, 1191-217.
15. Person, W. E. and Harvey, C. R. (1991) The variation of economic risk premiums, Journal of Political Economy, 99(2), 385-415.
16. Gonzalo, L. (1994) Five alternative methods of estimating longrun equilibrium relationships, Journal of Econometrics, 60, 203-33.
17. Granger, C. W. J. (1969) Investigating causal relations by econometrics models and cross-sectional methods, Econometrica, 37, 424-38.
18. Hardouvelis, G. A. (1994) The term structure spread and future changes in long and short rates in the G7 countries, Journal of Monetary Economics, 33, 255-83.
19. Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551-80.
20. Johnansen, S. (1988) Statistical analysis of cointegrating vectors, Journal of Economic Dynamics and Control, 12, 231-54.
21. Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration - with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210.
22. Laurent, R. D. (1988) An interest-based indicator of monetary policy, Economic Perspective, Federal Reserve Bank of Chicago, January/February, 3-14.
23. Ling, D. and Naranjo, A. (1997) Economic risk factors and commerical real estate returns, Journal of Real Estate Finance and Economics, 14(3), 283-307.
24. Liu, C. H. and Mei, J. (1992) The predictability of returns on equity REITs and their co-movement with other assets, Journal of Real Estate Finance and Economics, 5, 401-18.
25. Lizieri, C. and Satchell, S. (1997) Property company performance and real interest rates: a regime switching approach, Journal of Property Research, 14, 85-97.
26. Mueller, G. and Pauley, K. (1995) The effect of interest-rate movements on real estate investment trusts, Journal of Real Estate Research, 10(5), 319-25.
27. McCue, T. E. and Kling, J. L. (1994) Real estate returns and the macroeconomy: some empirical evidence from real estate investment trust data, 1972-1991 Journal of Real Estate Research, 9(3), 277-87.