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



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