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Real estate returns, money and fiscal deficits: Is the real estate market efficient?

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Abstract

This research examines the causal relationship between several financial variables and a portfolio of real estate returns using monthly data from January 1965 to December 1986. The empirical analysis is based on multivariate Granger-causality tests in conjunction with Akaike's final prediction error criterion. The results indicate that measures approximating monetary policy and market returns play an important role in causing changes in real estate returns. In particular, our findings suggest that base money and market returns have had significant lagged effects on current real estate returns.

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Authors and Affiliations

  1. Department of Economics & Finance, Louisiana Tech University, 71272, Ruston, LA, USA

    Ali F. Darrat

  2. The Real Estate Research Institute, Louisiana State University, Baton Rouge, USA

    John L. Glascock

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  1. Ali F. Darrat
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  2. John L. Glascock
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Darrat, A.F., Glascock, J.L. Real estate returns, money and fiscal deficits: Is the real estate market efficient?. J Real Estate Finan Econ 2, 197–208 (1989). https://doi.org/10.1007/BF00152348

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