Accessibility navigation


The cyclical relations between traded property stock prices and aggregate time-series

Brooks, C., Tsolacos, S. and Lee, S. (2000) The cyclical relations between traded property stock prices and aggregate time-series. Journal of Property Investment & Finance, 18 (6). pp. 540-564. ISSN 1463-578X

[img]
Preview
Text - Accepted Version
· Please see our End User Agreement before downloading.

281kB

To link to this item DOI: 10.1108/14635780010357532

Abstract/Summary

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long-term trend to the raw data, and to derive the short-term cycles of each series. It is found that the cycles of consumer expenditure, total consumption per capita, the dividend yield and the long-term bond yield are moderately correlated, and mainly coincident, with the property price cycle. There is also evidence that the nominal and real Treasury Bill rates and the interest rate spread lead this cycle by one or two quarters, and therefore that these series can be considered leading indicators of property stock prices. This study recommends that macroeconomic and financial variables can provide useful information to explain and potentially to forecast movements of property-backed stock returns in the UK.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35972
Publisher:Emerald Group Publishing Limited

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation