Forecasting UK Real Estate Cycle Phases With Leading Indicators: A Probit Approach
George Matysiak and
Additional contact information
Sotiris Tsolacos: Jones Lang LaSalle
Real Estate & Planning Working Papers from Henley Business School, Reading University
This paper examines the significance of widely used leading indicators of the UK economy for predicting the cyclical pattern of commercial real estate performance. The analysis uses monthly capital value data for UK industrials, offices and retail from the Investment Property Databank (IPD). Prospective economic indicators are drawn from three sources namely, the series used by the US Conference Board to construct their UK leading indicator and the series deployed by two private organisations, Lombard Street Research and NTC Research, to predict UK economic activity. We first identify turning points in the capital value series adopting techniques employed in the classical business cycle literature. We then estimate probit models using the leading economic indicators as independent variables and forecast the probability of different phases of capital values, that is, periods of declining and rising capital values. The forecast performance of the models is tested and found to be satisfactory. The predictability of lasting directional changes in property performance represents a useful tool for real estate investment decision-making.
Keywords: commercial real estate; turning points; leading indicators; probit models (search for similar items in EconPapers)
Pages: 20 pages
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rdg:repxwp:rep-wp2004-15
Access Statistics for this paper
More papers in Real Estate & Planning Working Papers from Henley Business School, Reading University Contact information at EDIRC.
Bibliographic data for series maintained by Marie Pearson ().