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

Granger causality test results for industrial property

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 two dummy variables that take the value one in a single period
(1995Q2, 2008Q4) and are zero otherwise.

Table 5 Granger causality test results for offices

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 takes the value one in a single period
(2008Q4) and is zero otherwise.

Table 6 Granger causality test results for retail property

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 two dummy variables that take the value one in a single period
(1995Q2, 2008Q4) and are zero otherwise. Due to heteroscedasticity of the residuals in the model for Δrereit,
the p-values for Δ rereit in the multiple variable model are based on a covariance matrix that is computed
allowing for heteroscedasticity as in White (1980).

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