This study examines the stochastic properties of the commercial real estate wealth indices for three countries (the U.S., Canada, and the U.K.) and for several property types (aggregate, office, retail, and industrial). Each of the indices is tested for a unit root and all series are found to be...

Notes increasing investment by US pension funds in foreign currency denominated assets and briefly outlines previous research on the links between various types of assets/currencies. Uses cointegration methodologies on 1978‐1996 futures data for commodities and four currencies (Swiss, German,...