... Vector autoregression Granger causality Impulse response analysis Appraisal smoothing Commercial real estate Prime and secondary returns A-REIT Public and private real estate Piyush Tiwari is the corresponding author and can be contacted at: piyush.tiwari@unimelb.edu.au 13 08...

... 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...