Property Company Performance and Real Interest Rates: A Regime-Switching Approach

J. OF PROPERTY RESEARCH, Vol. 14 No. 2

Posted: 24 Oct 1997

See all articles by Colin Lizieri

Colin Lizieri

University of Cambridge - Department of Land Economy

Stephen E. Satchell

University of Cambridge - Faculty of Economics and Politics

Abstract

Quantitative analysis of property performance has tended to rely on linear models. This paper explores the possible insights of using non-linear, regime based models. It is argued that there may exist different regimes depending onthe level of real interest rates. This is tested empirically using a Threshold Autoregressive (TAR) model on property company data. It is found that behaviour differs in high interest rate and low interest rate regimes.

JEL Classification: R0

Suggested Citation

Lizieri, Colin M. and Satchell, Stephen E., Property Company Performance and Real Interest Rates: A Regime-Switching Approach. J. OF PROPERTY RESEARCH, Vol. 14 No. 2. Available at SSRN: https://ssrn.com/abstract=11286

Colin M. Lizieri (Contact Author)

University of Cambridge - Department of Land Economy ( email )

19 Silver Street
Cambridge, CB3 9EP
United Kingdom

HOME PAGE: http://www.landecon.cam.ac.uk/staff/profiles/clizieri.htm

Stephen E. Satchell

University of Cambridge - Faculty of Economics and Politics ( email )

Austin Robinson Building
Sidgwick Avenue
Cambridge, CB3 9DD
United Kingdom
44 (0)1223 335213 (Phone)
44 (0)1223 335475 (Fax)

HOME PAGE: http://www.econ.cam.ac.uk/faculty/satchell/index.h

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