The Impact of Economic and Financial Factors on UK Property Performance
Journal of Property Research, Vol. 16, No. 2, pp. 139-152, 1999
Posted: 5 Dec 2004
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 most significant influence on the real estate series are the lagged values of the real estate series themselves. We conclude that identifying the factors that have determined UK property returns over the past twelve years remains a difficult task.
Keywords: Property returns, macroeconomy, vector autoregressions
JEL Classification: C32, C52
Suggested Citation: Suggested Citation