Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/43739
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Type: Journal article
Title: Foreign property shocks and the impact on domestic securitized real estate markets: An unobserved components approach
Author: Wilson, P.
Stevenson, S.
Zurbrugg, R.
Citation: Journal of Real Estate Finance and Economics, 2007; 34(3):407-424
Part of: Special Issue, Vol. 34, no. 3, NUS-HKU Symposium on Real Estate Research / Guest Editors: S. E. Ong and K. W. Chau
Publisher: Kluwer Academic Publ
Issue Date: 2007
ISSN: 0895-5638
1573-045X
Statement of
Responsibility: 
Patrick J. Wilson, Simon Stevenson and Ralf Zurbruegg
Abstract: As the globalization of world financial markets continues unabated the issue of benefits arising from international diversification becomes increasingly important. Due to the fixed geographical nature of the underlying product, securitized property might be considered immune from the effects of globalization, and to this extent researchers have considered the issue of international property market interdependence using a variety of statistical procedures. In this paper the question of interdependence across securitized property markets is examined by combining the Inoue (1999) cointegration methodology with the structural time series procedure of Harvey (1989). In the event of commonality of movement across property markets, this approach permits the researcher to isolate and visualize common movement, an operation that may be helpful to a portfolio manager trying to understand cross market activity. The results indicate that there is some unifying force across international property markets and that this unifying force may stem from the United States. The results also suggest that, at least to some extent, shocks to securitized property markets produce a similar response to stock market shocks.
Keywords: structural time series models; cointegration; unobserved components; property market shocks
Description: The original publication is available at www.springerlink.com
RMID: 0020070814
DOI: 10.1007/s11146-007-9013-2
Appears in Collections:Business School publications

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