Real Interest Regimes and Real Estate Performance: A Comparison of UK and Us Markets

Posted: 11 Nov 1998

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

Elaine M. Worzala

Independent

Roberto Dacco

affiliation not provided to SSRN

Abstract

Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behavior. Price movements in the United States real estate investment trusts and United Kingdom property companies markets are explored using a threshold autoregressive (TAR) model with regimes defined by the real rate of interest. In both U.S. and U.K. markets, distinctive behavior emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behavior across regimes.

JEL Classification: L85

Suggested Citation

Lizieri, Colin M. and Satchell, Stephen E. and Worzala, Elaine M. and Dacco, Roberto, Real Interest Regimes and Real Estate Performance: A Comparison of UK and Us Markets. Journal of Real Estate Research. Available at SSRN: https://ssrn.com/abstract=137832

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

Elaine M. Worzala

Independent

No Address Available

Roberto Dacco

affiliation not provided to SSRN

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