A frequency domain analysis of common cycles in property and related sectors

Journal of Real Estate Research

Volumn 25, Issue 3, 2003, Pages 325-346

  Wang, Peijie ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3543023280     PISSN: 08965803     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (29)

1. Barkham, R. D. and D. Geltner, Price Discovery in American and British Property Markets, Journal of the American Real Estate and Urban Economics Association, 1995, 23, 21-44.
2. Bjorklund, K. and B. Soderberg, Property Cycles, Speculative Bubbles and the Gross Income Multiplier, Journal of Real Estate Research, 1999, 18, 151-74.
3. Blundell, G. F. and C. W. R. Ward, Property Portfolio Allocation: A Multi-Factor Model, Land Development Studies, 1987, 4, 145-56.
4. Clayton, J., Market Fundamentals, Risk and the Canadian Property Cycle: Implications for Property Valuation and Investment Decisions, Journal of Real Estate Research, 1996, 12, 347-67.
5. Dokko, Y., R. H. Edelstein, A. J. Lacayo and D. C. Lee, Real Estate Income and Value Cycles: A Model of Market Dynamics, Journal of Real Estate Research, 1999, 18, 69-95.
6. Engle, R. F. and C. W. J. Granger, Co-integration and Error Correction Representation, Estimation, and Testing, Econometrica, 1987, 55, 251-67.
7. Engle, R. F. and J. V. Issler, Estimating Common Sectoral Cycles, Journal of Monetary Economics, 1995, 35, 83-113.
8. Engle, R. F. and S. Kozicki, Testing for Common Features, Journal of Business and Economic Statistics, 11, 1993, 369-95.
9. Firstenberg, P. M., S. A. Ross and R. C. Zisler, Real estate: The whole story, Journal of Portfolio Management, 1988, Spring, 22-34.
10. Forni, M. and L. Reichlin, Dynamic Common Factors in Large Cross-Sections, CEPR Discussion Paper No 1285, 1995.
11. Gallo, G. M. and H. Kempf, Cointegration, Codependence and Economic Fluctuations, European University Institute, Working paper, ECO No 95/27, 1995.
12. Geltner, D. M., Temporal Aggregation in Real Estate Return Indices, Journal of the American Real Estate and Urban Economics Association, 1993, 21, 141-66.
13. Giaccotto, C. and J. Clapp, Appraisal-based Real Estate Returns under Alternative Market Regimes, Journal of the American Real Estate and Urban Economics Association, 1992, 20, 1-24.
14. Grenadier, S. R., The Persistence in Real Estate Cycles, Journal of Real Estate Finance and Economics, 1995, 10, 95-119.
15. Grissom, T. and J. R. DeLisle, A Multiple Index Analysis of Real Estate Cycles and Structural Change, Journal of Real Estate Research, 1999, 18, 97-129.
16. Jones Lang Wootton, The JLW Index - Explanatory Notes, Jones Lang Wootton Consulting and Research, London, 1991.
17. Lippi, M. and L. Reichlin, Common and Uncommon Trends and Cycles, European Economic Review, 1994, 38, 624-35.
18. Lizieri, C. and S. Satchell, Interaction between Property and Equity Markets: An Investigation of Linkages in the U.K. 1972-1992, Journal of Real Estate Finance and Economics, 1997, 15, 11-26.
19. Pyhrr, S. A., S. E. Roulac and W. L. Born, Real Estate Cycles and Their Strategic Implications for Investors and Portfolio Managers in the Global Economy, Journal of Real Estate Research, 1999, 18, 7-68.
20. Renaud, B., The 1985 to 1994 Global Real Estate Cycle: An Overview, Journal of Real Estate Literature, 1997, 5, 13-44.
21. Ross, S. A. and R. C. Zisler, Risk and Return in Real Estate, Journal of Real Estate Finance and Economics, 1991, 4, 175-90.
22. Shilling, J. D., Measurement Error in FRC/NCREIF Returns on Real Estate, Southern Economic Journal, 1993, 60, 210-19.
23. Vahid, F. and R. F. Engle, Common Trends and Common Cycles, Journal of Applied Econometrics, 1993a, 8, 341-60.
24. Vahid, F. and R. F. Engle., Non-synchronous Common Cycles, UCSD Economics Discussion Paper, No. 93-55, 1993b.
25. Wang, P., Unsmoothing Property Returns with the Implied Cointegration Relationship, Journal of Property Valuation and Investment, 1998, 16, 358-68.
26. Wang, P., Phase-Shifting Common Cycles and Common Trends, Communications in Statistics Theory and Methods, 1999, 28, 1311-29.
27. Wang, P., Market Efficiency and Rationality in Property Investment, Journal of Real Estate Finance and Economics, 2000, 21, 185-202.
28. Wang, P., C. Lizieri and G. Matysiak, Information Asymmetry, Long-run Relationship and Price Discovery in Property Investment Markets, European Journal of Finance, 1997, 3, 262-75.
29. Wheaton, W. C., Real Estate "Cycles" Some Fundamentals, Real Estate Economics, 1999, 27, 209-30.