Isolating important driving forces in indirect real estate markets

Journal of Real Estate Portfolio Management

Volumn 9, Issue 3, 2003, Pages 205-218

  Wilson, Patrick J ^a   Zurbruegg, Ralf ^b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b UNIVERSITY OF ADELAIDE   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3543029814     PISSN: 10835547     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (48)

1. Ambrose, B. W., An Analysis of the Factors Affecting Light Industrial Property Valuation, Journal of Real Estate Research, 1990, 5:3, 355-69.
2. Arestis, P. and P. Demetriades, Financial Liberalisation: The Experience of Developing Countries, Eastern Economic Journal, 1999, 25, 441-57.
3. Benjamin, J. D., G. D. Jud and D. T. Winkler, A Simultaneous Model and Empirical Test of the Demand and Supply of Retail Space, Journal of Real Estate Research, 1998, 16:1, 1-14.
4. Buttimer, R. J. Jr., R. C. Rutherford and R. Witten, Industrial Warehouse Rent Determinants in the Dallas/Fort Worth Area, Journal of Real Estate Research, 1997, 13:1, 47-56.
5. Case, B., W. Goetzmann and K. G. Rouenhorst, Global Real Estate Markets - Cycles and Fundamentals, NBER Working Paper Series, Paper No.7566, February, 2000.
6. Clapp, J. M., Dynamics of Office Markets, Journal of the American Real Estate and Urban Economics Association, 1993, Monograph Series, 1.
7. Clayton, J., Market Fundamentals, Risk and the Canadian Property Cycle: Implications for Property Valuation and Investment Decisions, Journal of Real Estate Research, 1996, 12: 3, 347-68.
8. Dehesh, A., D. Egan and C. Pugh, Property Cycles, Financial Markets and the Global Economy, First International Real Estate Society Conference, Stockholm, Sweden, June 28-July 1, 1995.
9. Edelstein, R. H. and J.-M. Paul, Japanese Land Prices: Explaining the Boom-Bust Cycle, In K. Mera and B. Renaud (Eds.), Asia's Financial Crisis and the Role of Real Estate, M.E. Sharpe, London, 2000.
10. Eichholtz, P. M. A., Does International Diversification Work Better for Real Estate than for Stock and Bonds?, Financial Analysts Journal, 1996, 52:1, 56-62.
11. Enders, W., Applied Econometric Time Series, New York, NY: Wiley, 1995.
12. Engle, R. F. and C. W. J. Granger, Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, 1987, 55, 251-76.
13. Engle, R. F. and J. V. Issler, Estimating Common Sectoral Cycles, Journal of Monetary Economics, 1995, 35, 83-113.
14. Engle, R. F. and S. Kozicki, Testing for Common Features, Journal of Business and Economic Studies, 1993, 11, 83-113.
15. Engle, R. F. and F. Vahid, Common Trends and Common Cycles, Journal of Applied Econometrics, 1993, 8:4, 341-81.
16. Fehribach, F. A., R. C. Rutherford and M. Eakin, An Analysis of the Determinants of Industrial Property Valuation, Journal of Real Estate Research, 1993, 8:3, 365-76.
17. Ferson, W. E., S. Sarkissian and T. T. Simin, Spurious Regressions in Financial Economics?, Journal of Finance, 2003, 57:4, 1393-413.
18. Glascock, J. L., M. Kim and C. F. Sirmans, An Analysis of Office Market Rents: Parameter Constancy and Unobservable Variables, Journal of Real Estate Research, 1993. 8:4, 625-38.
19. Glascock, J. L., S. Jahanian and C. F. Sirmans, An Analysis of Office Market Rents: Some Empirical Evidence, Journal of the American Real Estate and Urban Economics Association, 1990, 18:1, 105-19.
20. Gonzalo, J. and C. Granger, Estimation of Common Long-memory Components in Cointegrated Systems, Journal of Business and Economic Statistics, 1995, 13, 27-35.
21. Gregory, A. W. and B. E. Hansen, Residual-based Tests for Cointegration in Models with Regime Shifts, Journal of Econometrics, 1996, 70, 99-126.
22. Grissom, T. and J. R. DeLisle, The Analysis of Real Estate Cycles, Regime Segmentation and Structural Change using Multiple Indices, Journal of Real Estate Research, 1999, 18:1, 97-130.
23. Gyourko, J. and D. B. Keim, What Does The Stock Market Tell Us About Real Estate Returns?, Journal of the American Real Estate and Urban Economics Association, 1992, 20:3, 457-85.
24. Hendry, D. F. and K. Juselius, Explaining Cointegration Analysis: Part II, Energy Journal, 2000, 21, 1-42.
25. Hendershott, P., C. Lizieri and G. A. Matysiak, The Workings of the London Office Market, Real Estate Economics, 1999, 27: 2, 365-87.
26. Hetherington, J. T., Forecasting of Rents, In A. R. MacLeary and N. Nanthakumaran (Eds.), Property Investment Theory, London, 1988.
27. Inoue, A., Tests of Cointegrating Rank with a Trend-break, Journal of Econometrics, 1999, 90, 215-37.
28. Johansen, S., Statistical Analysis of Co-Integration Vectors, Journal of Economic Dynamics and Control, 1988, 12, 231-54.
29. Johansen, S., Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 1991, 59, 1551-80.
30. Johansen, S., Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press, 1995.
31. Johansen, S., R. Mosconi and B. Nielsen, Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend, Econometrics Journal, 2000, 3, 216-49.
32. Key, T., B. MacGregor, N. Nanthakumaran and F. Zarkesh, Models of Retail Rents, In RICS Cutting Edge 1994 Conference Proceedings, London: Royal Institution of Chartered Surveyors, 1994.
33. Ling, D. C. and A. Naranjo, Economic Risk Factors and Commercial Real Estate Returns, Journal of Real Estate Finance and Economics, 1997, 14:3, 283-308.
34. McGough, T. and S. Tsolacos, Predicting Commercial Rental Values using ARIMA Models, Journal of Property Valuation and Investment, 1995. 13:5, 6-22.
35. Mera, K., The Linkage of the Economy with Land Price Fluctuations: The Case of Japan in the 1990s, In K. Mera and B. Renaud (Eds.), Asia's Financial Crisis and the Role of Real Estate, M.E. Sharpe, London, 2000.
36. Meyer, F. C. N. and J. R. Webb, Return Properties of Equity REITs, Common Stocks and Commercial Real Estate, Journal of Real Estate Research, 1993, 8:1, 87-106.
37. Mills, E. S., Office Rent Determinants in the Chicago Area, Journal of the American Real Estate and Urban Economics Association, 1992, 20:2, 273-87.
38. Morely, B. and E. J. Pentecost, Common Trends and Cycles in G-7 Countries Exchange Rates and Stock Prices, Applied Economics Letters, 2000, 7, 7-10.
39. Perron, P., The Great Crash, the Oil Price Shock and the Unit Root Hypothesis, Econometrica, 1989, 57, 1361-1401.
40. Quan, D. C. and S. Titman, Do Real Estate Prices and Stock Prices Move Together? An International Analysis, Real Estate Economics, 1999, 27:2, 183-208.
41. Renaud, B., The 1985 to 1994 Global Real Estate Cycle: An Overview, Journal of Real Estate Literature, 1997, 5:1, 13-44.
42. Stock, J. H. and M. W. Watson, Variable Trends in Economic Time Series, Journal of Economic Perspectives, 1988; 2:3, 147-74.
43. Tsolacos, S., An Econometric Model of Retail Rents in the United Kingdom, Journal of Real Estate Research, 1995, 10:5, 519-30.
44. Viezer, T. W., Econometric Integration of Real Estate's Space and Capital Markets, Journal of Real Estate Research, 1999, 18:3, 503-19.
45. Wheaton, W., Real Estate Cycles: Some Fundamentals, Real Estate Economics, 1999, 27:2, 209-30.
46. Wilson, P. J. and R. Zurbruegg, Impulse Response and the International Interrelatedness of Real Estate Markets - Can the U.S. Economy Drive International Real Estate Markets?, World Congress of the International Real Estate Society, Anchorage, Alaska, July, 2001.
47. Witkiewicz, W., The Use of the HP-filter in Constructing Real Estate Cycle Indicators, Journal of Real Estate Research, 2002, 23: 1/2, 66-88.
48. Zivot, E. and D. W. K. Andrews, Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit Root Hypothesis, Journal of Business and Economic Statistics, 1992, 10:3, 251-70.