Common trends and spectral response: a case study on the US

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dc.contributor.authorWilson, P.
dc.contributor.authorZurbrugg, R.
dc.date.issued2003
dc.description© Informa plc
dc.description.abstractThis paper sets out to consider whether changes in economic fundamentals in the United States can impact on international real estate markets. To this end a two-step approach is pursued. In the first step cointegration techniques are used to determine whether common trends exist in international property markets. Once common trends are identified amongst securitized property markets, a potential common driver is isolated by substituting US Gross Domestic Product for US property. The paper then uses a spectral response technique to examine the impulse response between shocks in the US economy and reactions in foreign real estate markets. The results support a linkage between the economic growth of an important member of the international economic community and international real estate performance.
dc.description.statementofresponsibilityPatrick Wilson and Ralf Zurbruegg
dc.identifier.citationJournal of Property Research, 2003; 20(1):1-22
dc.identifier.doi10.1080/0959991032000051971
dc.identifier.issn0959-9916
dc.identifier.issn1466-4453
dc.identifier.urihttp://hdl.handle.net/2440/1250
dc.language.isoen
dc.publisherE. & F.N. Spon
dc.source.urihttps://doi.org/10.1080/0959991032000051971
dc.subjectInternational Real Estate Markets
dc.subjectSecuritized Property
dc.subjectCointegration
dc.subjectSpectral Analysis
dc.subjectImpulse Response
dc.titleCommon trends and spectral response: a case study on the US
dc.typeJournal article
pubs.publication-statusPublished

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