This paper employs a vector autoregressive model to investigate the impact of macroeconomic and financial variables on a UK real estate return series. Our results indicate that unexpected inflation, and the interest rate term spread have explanatory power for the property market. However the...

This study models retail rents in the UK using a vector autoregressive and time series models. Two retail rent series are used, compiled by LaSalle Investment Management and CB Hillier Parker, and the emphasis is on forecasting. The results suggest that the use of the vector autoregression and...

This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short...

This paper investigates whether the prices of UK equity-traded property stocks over the past fifteen years contain evidence of a speculative bubble. Speculative bubbles are generated when investors include the expectation of the future price in their information set. In the presence of...

This paper examines the performance of various statistical models and commonly used financial indicators for forecasting securitised real estate returns for five European countries: the UK, Belgium, the Netherlands, France and Italy. Within a VAR framework, it is demonstrated that the...

This paper considers the effect of short- and long-term interest rates, and interest rate spreads upon real estate index returns in the UK. Using Johansen's vector autoregressive framework, it is found that the real estate index cointegrates with the term spread, but not with the short or long...

Determining the behaviour of yields remains a significant area of research in the real estate field. The last cycle reminded investors of the impact on values from the sudden and largely unpredictable yield changes. Initially, capital values took a major hit from yield rises but subsequently...

ERES:conference

This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in US REIT prices. A long history of data is employed for the All, Mortgage and Equity REIT categories. This approach is more powerful than existing tests and is based on the formulation of a...