REITs’ dynamics under structural change with unknown break points

This paper considers dynamic behaviors of returns on real estate, equity markets, and related macroeconomic variables. Using monthly data measured over the period 1971–2004, we find a single structural break in a multivariate time series model of returns on REITs, returns on equities, industrial pro...

Full description

Saved in:
Bibliographic Details
Published in:Journal of housing economics 2007-03, Vol.16 (1), p.37-58
Main Authors: Kim, J.W., Leatham, D.J., Bessler, D.A.
Format: Article
Language:English
Subjects:
Directed acyclic graphs
Interest rates
Investment
Longitudinal studies
Real estate investment trusts
Real estate market
S&P 500
Structural change
Structural change with unknown break point
Time series
Time series innovations
U.S.A
Vector autoregression
Vector-autoregressive models
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper considers dynamic behaviors of returns on real estate, equity markets, and related macroeconomic variables. Using monthly data measured over the period 1971–2004, we find a single structural break in a multivariate time series model of returns on REITs, returns on equities, industrial production, aggregate price inflation, default risk, the term spread, and short term interest rates. The break date is October 1980. A distinct difference in the contemporaneous causal structure generating these variables before and after the break is found. The paper shows that REITs play a more important role in the US economy after the 1980 break than before.
ISSN:1051-1377
1096-0791
DOI:10.1016/j.jhe.2007.04.001