Response speeds of direct and securitized real estate to shocks in the fundamentals



Table 1

Mean

Standard

Jarque-Bera test

Ljung-box test for

Variable

(annualised %)

deviation

for normality

auto-correlation

(annualised %)

(p-value)

(p-value, 4 lags)

apt_tbi

7.5

8.9

.02

.00

apt_reit

2.6

8.4

.00

.05

ind_tbi

6.6

10.9

.00

.03

ind_reit

3.0

12.5

.00

.07

of_tbi

6.2

9.0

.07

.00

of_reit

4.1

9.2

.00

.07

re_tbi

7.0

8.9

.00

.01

re_reit

2.4

9.3

.00

.07

Table 2 Contemporaneous quarterly correlations between the returns over 1994Q1-
2009Q4

apt_tbi

apt_reit

ind_tbi

ind_reit

of_tbi

of_reit

re_tbi

re_reit

apt_tbi

1.00

apt_reit

.23

1.00

ind_tbi

.27*

.45**

1.00

ind_reit

.36**

.74**

.24

1.00

of_tbi

.46**

.19

.37**

.29*

1.00

of_reit

.26*

.88**

.32**

.80**

.25*

1.00

re_tbi

.20

.07

.43**

.14

.42**

.10

1.00

re reit

.23

.84**

.37**

.85**

.22

.83**

.19

1.00

* and ** denote statistical significance at the 5% and 1% level, respectively.

Table 3 Granger causality test results for apartments

Explanatory variable

Δ tbi

Δ reit

INF

ΔIR

Δ S

Δ SE

ΔD

Δ GDP

Adj
R
P2P

O Æ

ð S
ω 'Й

Q S»
Q

Pairwise model

Δ apt_tbi

Δ apt_reit

.52

.98

.02

.03

.19

.36

Multiple variable model

Δ apt_tbi

.64

.04

.11

.58

.09

.68

.05

.74

.30

Δ apt_reit

.80

.20

.97

.98

.43

.38

.03

.29

.42

Descriptive statistics of sector level real estate returns over 1994Q1-2009Q4


The table shows the p-values in the tests. The null hypothesis is that of no Granger causality between the
variables. The models include one lag and one dummy variable that take the value one in a single period
(2008Q4) and is zero otherwise.

27



More intriguing information

1. Initial Public Offerings and Venture Capital in Germany
2. ‘I’m so much more myself now, coming back to work’ - working class mothers, paid work and childcare.
3. Housing Market in Malaga: An Application of the Hedonic Methodology
4. The name is absent
5. Why unwinding preferences is not the same as liberalisation: the case of sugar
6. Transgression et Contestation Dans Ie conte diderotien. Pierre Hartmann Strasbourg
7. Innovation Policy and the Economy, Volume 11
8. Picture recognition in animals and humans
9. Linkages between research, scholarship and teaching in universities in China
10. The name is absent