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| Real Interest Regimes and Real Estate
Performance: A Comparison of UK and US Markets Author: Conlin Lizieri, Steven Satchell, Elaine Worzala, and Roberto Dacco' Start Page: 339 Abstract: Linear models of
market performance may be misspecified if the market is subdivided into distinct regimes
exhibiting different behavior. Price movements in the United States real estate investment
trusts and United Kingdom property companies markets are explored using a threshold
autoregressive (TAR) model with regimes defined by the real rate of interest. In both U.S.
and U.K. markets, distinctive behavior emerges, with the TAR model offering better
predictive power than a more conventional linear autoregressive model. The research points
to the possibility of developing trading rules to exploit the systematically different
behavior across regimes. |
