Interdependence of Securitized Real Estate in Frontier Markets

Sulaiman T. Al-Abduljader ()
Additional contact information
Sulaiman T. Al-Abduljader: Gulf University for Science and Technology

International Real Estate Review, 2019, vol. 22, issue 1, 83-108

Abstract: 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)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.gssinst.org/irer/wp-content/uploads/20 ... frontier-markets.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ire:issued:v:22:n:01:2019:p:83-108

Ordering information: This journal article can be ordered from
Global Social Science Institute, 9200 Corporate Blvd., Suite 420 Rockville, MD 20850
https://www.gssinst.org/gssinst/index.html

Access Statistics for this article

International Real Estate Review is currently edited by Professor Sing Tien Foo and Professor Ko Wang

More articles in International Real Estate Review from Global Social Science Institute Global Social Science Institute, 9200 Corporate Blvd., Suite 420 Rockville, MD 20850.
Bibliographic data for series maintained by IRER Graduate Assistant/Webmaster ().