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The Journal of Real Estate Finance and Economics

Erschienen in:

01.11.2012

Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence

verfasst von: Nafeesa Yunus, J. Andrew Hansz, Paul J. Kennedy

Erschienen in: The Journal of Real Estate Finance and Economics | Ausgabe 4/2012

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Abstract

This study evaluates long-run relationships and short-run linkages between the private (unsecuritized) and the public (securitized) real estate markets of Australia, Netherlands, United Kingdom and the United States. Results indicate the existence of long-run relationships between the public and private real estate markets of each of the countries under consideration. This implies that for all countries, investors would not have realized long-term portfolio diversification benefits from allocating funds in both the private and public real estate markets since these assets are substitutable over the long run. Short-run analyses also reveal significant causal relationships between private and public markets of all countries under consideration. As expected, it was found that price discovery occurred in the public real estate market in that it leads but is not led by its private real estate market counterpart.

Vorheriger Artikel The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model

Nächster Artikel Efficiency and Incentives in Residential Brokerage

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These markets were examined because they have both well-developed private and public real estate markets.

It would be optimal to analyze the interrelationships between the private and public markets of several additional countries across the globe. However, data limitation of the private sector in particular limits our scope.

For additional information on the NCREIF indices, please see the User’s Guide to NPI. http://www.ncreif.com/public_files/Users_Guide_to_NPI.pdf

For additional information on the IPD indices, please see the IPD Index Guide. http://www.ipd.com/OurProducts/Indices/IPDIndexGuide/DownloadIPDIndexGuide/tabid/1737/Default.aspx

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We acknowledge that there are inherent differences between the private and public real estate indices namely in terms of leverage and appraisal smoothing. However, following Tuluca et al. (2000) we have not degeared the REIT indices nor removed the effects of smoothing from the appraisal based indices since cointegration and subsequent causality test results should remain consistent regardless of these adjustments.

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Let T=the number of usable observations, c=number of parameters estimated in each equation of the unrestricted system and let \( \sum u \) and \( \sum r \) be the variance/covariance matrices of the unrestricted and the restricted model respectively. Then the test statistic: \( \left( {T - c} \right)\left( {\log |\sum {r| - \log |\sum {u|} } } \right) \) can be compared to a χ ² distribution with degrees of freedom equal to the number of restrictions in a system.

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Detailed descriptions of each of the model can be found in Johansen (1994).

The calculations are available upon request but are not reported for brevity.

The results of the λ _Max tests are similar but are not reported for brevity purposes.

To ensure that the frequency is indeed and undoubtedly playing a minor role, the analysis for the US and UK are conducted using quarterly frequency data. The results mirror those using annual frequency data. These results are not included for brevity purposes but are available upon request.

As discussed earlier, the optimum lag length is computed by means of the likelihood ratio tests and then ensuring that the residuals are free from serial correlation as measured by the L-B-Q statistics.

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Titel: Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence
verfasst von: Nafeesa Yunus
J. Andrew Hansz
Paul J. Kennedy
Publikationsdatum: 01.11.2012
Verlag: Springer US
Erschienen in: The Journal of Real Estate Finance and Economics / Ausgabe 4/2012
Print ISSN: 0895-5638
Elektronische ISSN: 1573-045X
DOI: https://doi.org/10.1007/s11146-010-9297-5

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