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Type: Journal article
Title: Isolating important driving forces in indirect real estate markets
Author: Wilson, P.
Zurbrugg, R.
Citation: The Journal of Real Estate Portfolio Management, 2003; 9(3):205-218
Publisher: American Real Estate Society
Issue Date: 2003
ISSN: 1083-5547
Statement of
Patrick J. Wilson, Ralf Zurbruegg
Abstract: Isolating the important driving factors in property markets is of continuing interest to both property analysts and fund managers. Ascertaining permanent driving factors may be of interest to strategic asset allocation while transitory factors may be of interest in the development of tactical asset allocation models. This study uses established methodologies to decompose driving factors affecting indirect property markets in Australia into their permanent and transitory components, paying attention to the impact of structural breaks. Various restrictions on the long-run cointegration matrix are also applied to identify those variables that may be considered drivers of property markets.
Rights: © American Real Estate Society
RMID: 0020031818
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Appears in Collections:Business School publications

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