Property company performance and real interest rates: a regime-switching approach

Quantitative analysis of property performance has tended to rely on linear models. This paper explores the possible insights of using non-linear, regime based models. It is argued that there may exist different regimes depending on the level of real interest rates. This is tested empirically using a Threshold Autoregressive (TAR) model on property company data. It is found that behaviour differs in high interest rate and low interest rate regimes.

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Year of publication:	1997
Authors:	Lizieri, Colin ; Satchell, Stephen
Published in:	Journal of Property Research. - Taylor & Francis Journals, ISSN 0959-9916. - Vol. 14.1997, 2, p. 85-97
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010623731