... applies the Granger causality test within a vector error correction model framework, based on the autoregressive distributed lag model, to examine both the short- and long-run relationships between the EU-REIT Index and an extended set of macroeconomic drivers. Furthermore, the robustness...

... efficiency in the spot market. Pierre-Arnaud Henri Drouhin can be contacted at: Pierre-Arnaud.Drouhin@Dauphine.fr © Emerald Group Publishing Limited 2014 Granger causality Appraisal-based index Forward curve Real estate swap Theoretical and practical reasons for the existence...

... performance. Granger causality testing and co‐integration procedures are further applied to investigate causality and establish whether there is a degree of integration between listed and direct real estate. To analyse whether the indices are co‐integrated, the Johansen (1988) procedure is applied...