TURNING POINTS OF FINANCIAL AND REAL ESTATE MARKET

Ranoua Bouchouicha

ERES from European Real Estate Society (ERES)

Abstract: In the literature, we always associate banking crises to currency crises, but the latest crisis brought specific attention to the real estate market and its movements. This study looks at the real estate and financial market turning points in the UK and USA. To achieve this, we conducted a study on their commercial, residential and financial markets. We applied both a parametric and a non parametric approach, deciding to use the Markov switching model and the Bry-Boschan algorithm. This study gives us conclusions as to which of the above approaches will present more accurate results when dating financial and real estate crises. The study also examines the effectiveness of the aforementioned methods when analysing residential and commercial real estate indices during a real estate crisis, and establishing which of these indices presents a more precise prediction. The results of this study may give some indication involving the dependence between the real estate market and the financial market, which is an important factor to consider to reduce risk in portfolio management.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2010-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2010_416

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