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Property company performance and real interest rates: a regime-switching approach

Lizieri, C. and Satchell, S., (1996) Property company performance and real interest rates: a regime-switching approach. Working Papers in Land Management & Development. 45/96. Working Paper. University of Reading, Reading. pp16.

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Linear models of property market performance may be misspecified if there exist distinct states where the market drivers behave in different ways. This paper examines the applicability of non-linear regime-based models. A Self Exciting Threshold Autoregressive (SETAR) model is applied to property company share data, using the real rate of interest to define regimes. Distinct regimes appear exhibiting markedly different market behaviour. The model both casts doubt on the specification of conventional linear models and offers the possibility of developing effective trading rules for real estate equities.

Item Type:Report (Working Paper)
Divisions:Henley Business School > Real Estate and Planning
ID Code:27298
Publisher:University of Reading
Publisher Statement:The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.

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