Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets

Colin Lizieri, Steven Satchell (), Elaine Worzala () and Roberto Dacco' ()
Additional contact information
Steven Satchell: Trinity College and Faculty of Economics University of Cambridge Cambridge CB3 9DE UK, http://www.econ.cam.ac.uk/
Roberto Dacco': Department of Applied Economics University of Cambridge Cambridge CB3 9DE UK, http://www.econ.cam.ac.uk/dae/index.htm

Journal of Real Estate Research, 1998, vol. 16, issue 3, 339-356

Abstract: Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behavior. Price movements in the United States real estate investment trusts and United Kingdom property companies markets are explored using a threshold autoregressive (TAR) model with regimes defined by the real rate of interest. In both U.S. and U.K. markets, distinctive behavior emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behavior across regimes.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://pages.jh.edu/jrer/papers/pdf/past/vol16n03/v16p339.pdf Full text (application/pdf)

Related works:
Journal Article: Real Interest Regimes and Real Estate Performance: A Comparison of U.K. and U.S. Markets (1998)
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:jre:issued:v:16:n:3:1998:p:339-356

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://pages.jh.edu/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is currently edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323.
Bibliographic data for series maintained by JRER Graduate Assistant/Webmaster ().