... of house prices and rents and examines the temporal interactions of the P-t-R ratio and economic and financial determinants. Design/methodology/approach The authors examine the lead–lag relationships between the P-t-R ratios and a spectrum of macroeconomic variables using cointegration and causality...

.... The cointegration and causality analysis indicate that cross-border real estate investment flows in these markets (and financial centres) show both long- and short-run relationships and suggest that the London office market remains more distinct and the most reliant on international capital flows with a wider...

... test and the Chow test. Finally the authors tested for cointegration with the Augmented Dickey Fuller and the Engle Granger tests. Findings The authors found that after the GFC the Beta-risk related to the stock market has witnessed a sharp increase, but with differences among country. While...

... to de-smooth a valuation-based direct property index. The authors establish directional lead-lag relationships between markets using bi-variate Granger causality tests. Johansen cointegration tests are carried out to examine how direct and indirect property markets adjust to an equilibrium long-term...

... at: satyanarain@nus.edu.sg © Emerald Group Publishing Limited 2014 Cointegration Macroeconomic variables Prime office sector Singapore Central Area Vector error correction model Serial error correction Real estate forecasts of rent are of great importance for market level and individual...

...Nafeesa Yunus Purpose The aim of the study is to utilize cointegration techniques and analyze the degree of linkages among four key property types (retail, office, industrial, and residential) of eight major countries throughout North America and Europe. Additionally, the study evaluates whether...

.../methodology/approach Traditional approaches as well as cointegration and causality tests are applied to monthly and quarterly index data from 1992:04 to 2009:12 for the subject investment vehicles. Findings There is strong evidence that real estate returns are almost independent from inflation...

... that property provides diversification benefits to a mixed asset portfolio dominated by equities and gilts. However, there is some debate as to the reliability of these correlations and property’s diversification benefits. In this paper we use Granger causality tests and cointegration techniques to demonstrate...

... to local policy decision makers and developers in ensuring the ready availability of industrial space without incurring unnecessary excess vacancy. This article hopes to build upon existing research by applying cointegration analysis and error‐correction modelling to examine the supply dynamics...

... are tested using the bivariate and the Johansen’s multivariate cointegration methodologies. The empirical evidence does not reject the hypothesis that prediction of the price variation of one stock based on the change in the price of another comparable stock is possible in the long term. Also, the price...

...David Ho Kim Hin; Javier Calero Cuervo This paper looks into the dynamics of private housing prices in Singapore from the first quarter of 1985 to the fourth quarter of 1995. Employing the cointegration analysis, the paper shows that overall private housing price is cointegrated with real gross...

...Peijie Wang The paper proposes a multivariate approach to unsmoothing the valuation‐based property return indices, utilising information embedded in other variables implied by their underlying economic relationship and cointegration relationship. The approach is then applied to the UK property...