Dynamics of Private and Public Real Estate Markets

被引:0
|
作者
Sorin A. Tuluca
F. C. Neil Myer
James R. Webb
机构
[1] Fairleigh Dickinson University,Department of Finance, Samuel J. Silberman College of Business
[2] Cleveland State University,Department of Finance, James J. Nance College of Business
[3] Cleveland State University,Department of Finance, James J. Nance College of Business
关键词
real estate markets; cointegration; causality; predictability;
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摘要
Using five assets (T-bills, bonds, stocks, and both public and private real estate), this study investigates how cointegration of capital markets affects the dynamics of public and private real estate markets. The results show that the price indices of the five assets are nonstationary and cointegrated. Some implications for the long-term equilibrium relationship for portfolio diversification, price discovery and prediction are discussed. In a Granger causality framework, error-correction augmented VAR models (VECM) and unrestricted VAR models are compared with respect to the conclusion regarding the interaction between public and private real estate returns. VECM is also shown to improve the prediction of private real estate returns relative to an unrestricted VAR model. These results raise questions about previous research studies regarding the dynamics between public and private real estate returns. It is shown that the long-term equilibrium relationship establishes a feedback between the two real estate markets, but the private market seems to informationally lead the public one. Possible explanations are also explored.
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页码:279 / 296
页数:17
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