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

Colin Lizieri (), Steven Satchell (), Elaine Worzala () and Roberto Dacco' ()
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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
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