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Paper: eres2006_159
| Paper title: | PERMANENT AND TRANSITORY DRIVERS OF SECURITISED REAL ESTATE |
| Authors: | Cheong, Chee; Richard Gerlach; Simon Stevenson; Patrick Wilson; Ralf Zurbrugg |
| Summary: | This paper re-examines the sensitivity and importance of interest rates and stock market price behaviour on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved within a framework that accounts for endogenously determined structural breaks within the data. The paper uses a unique combination of the procedures used by Gonzalo and Granger (1995) and those of Inoue (1999). The results provide a different perspective on the relationship that securitised property has with these markets and sheds new light on their long-run interaction. Once structural breaks are accounted for the results show that securitised property is sensitive to both interest rate and stock market changes, regardless of the type of securitised property being examined. Evidence also points to companies with increased debt-to-asset ratios and companies that are REITs tax-exempt are still all influenced by both the equity and fixed income markets. |
| Type: | normal paper |
| Year of publication: | 2006 |
| Keywords: | permanent; transitory; structural break; securitised real estate |
| Series: | ERES:conference |
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| Citation: | Cheong, Chee; Richard Gerlach; Simon Stevenson; Patrick Wilson; Ralf Zurbrugg (2006). PERMANENT AND TRANSITORY DRIVERS OF SECURITISED REAL ESTATE . Book of Abstracts: 13th Annual European Real Estate Society Conference in Weimar, Germany, http://itc.scix.net/paper/eres2006_159 |
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