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| Long-Term Structural Price Relationships
in Real Estate Markets Author: Mukesh K. Chaudhry, Rohan A. Christie-David. and William H. Sackley Start Page: 335 Abstract: This study
investigates the long-run stochastic properties of real estate assets by geographical
breakdown. We also study their linkages with financial assets. The initial tests find that
almost all property types exhibit the presence of nonstationarity. Thus, cointegrated
methodologies are used. Structural breakpoints identified in the literature are used as a
guide to divide the data into two windows, 1983–1989 and 1990–1996. The results
show that real estate in the different regions exhibit a closer relationship with each
other in the second period, compared with the first. Also, strong linkages between real
estate regions and financial assets are noted in the second period. The South is the only
region to exhibit segmentation in both periods. Overall, the information derived from our
analysis sheds light on linkages among real estate assets and between real estate and
financial assets and also provides a framework for creating diversified portfolios. |
