EconPapers    
Economics at your fingertips  
 

Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach

Patrick Wilson (), Simon Stevenson and Ralf Zurbruegg

The Journal of Real Estate Finance and Economics, 2007, vol. 34, issue 3, 407-424

Abstract: As the globalization of world financial markets continues unabated the issue of benefits arising from international diversification becomes increasingly important. Due to the fixed geographical nature of the underlying product, securitized property might be considered immune from the effects of globalization, and to this extent researchers have considered the issue of international property market interdependence using a variety of statistical procedures. In this paper the question of interdependence across securitized property markets is examined by combining the Inoue ( 1999 ) cointegration methodology with the structural time series procedure of Harvey ( 1989 ). In the event of commonality of movement across property markets, this approach permits the researcher to isolate and visualize common movement, an operation that may be helpful to a portfolio manager trying to understand cross market activity. The results indicate that there is some unifying force across international property markets and that this unifying force may stem from the United States. The results also suggest that, at least to some extent, shocks to securitized property markets produce a similar response to stock market shocks. Copyright Springer Science+Business Media, LLC 2007

Keywords: Structural time series models; Cointegration; Unobserved components; Property market shocks (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11146-007-9013-2 (text/html)
Access to full text is restricted to subscribers.

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:kap:jrefec:v:34:y:2007:i:3:p:407-424

Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2

DOI: 10.1007/s11146-007-9013-2

Access Statistics for this article

The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-31
Handle: RePEc:kap:jrefec:v:34:y:2007:i:3:p:407-424