This study supplies empirical evidence on the dynamic interactions between the property markets in Germany and the United Kingdom and their country‐specific macroeconomic environment. Using a VECM framework, the findings contribute to improving the evaluation of the properties’ behaviour by...

The term structure of return volatility is estimated for both UK and US direct and securitised commercial real estate, using vector autoregressions. In a similar manner to the general stock market, returns of UK direct real estate and property shares, as well as US real estate investment trust...