Interdependence of Securitized Real Estate in Frontier Markets
Sulaiman T. Al-Abduljader ()
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Sulaiman T. Al-Abduljader: Gulf University for Science and Technology
International Real Estate Review, 2019, vol. 22, issue 1, 83-108
Regional interdependence among the real estate markets in the Gulf Cooperation Council (GCC) is tested by using a variety of techniques. Econometric tests that involve error correction, symmetric/asymmetric autoregressive distributed lag (ARDL) and structural time series models are utilized. The results reveal the absence of long-run relationships, thus indicating cross-sectional efficiency. However, strong evidence is found for both short and long-run dynamic interdependence when the model allows for asymmetric responses. Finally, the results from the structural time series modeling show that a weak form of interdependence is present, which partly shows that other factors of significant impact explain for the real estate fluctuation other than the corresponding prices of the neighboring countries. Plausible fiscal and monetary policy recommendations are presented.
Keywords: Interdependence; Real Estate; Emerging Markets; GCC; Asymmetric Responses (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ire:issued:v:22:n:01:2019:p:83-108
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