Property Company Performance and Real Interest Rates: A Regime-Switching Approach
J. OF PROPERTY RESEARCH, Vol. 14 No. 2
Posted: 24 Oct 1997
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: Suggested Citation