Explanation of changes in real estate stock market

Söderberg, Bo and Samartín, Avelino and Andersson, Roland (1992). Explanation of changes in real estate stock market. In: "Joint International Conference of the American Real Estate and Urban Economics and the Asian Real Estate Society", 5-7 de Mayo, 1999, Maui, Hawaii (Estados Unidos). pp. 2-11.

Description

Title: Explanation of changes in real estate stock market
Author/s:
  • Söderberg, Bo
  • Samartín, Avelino
  • Andersson, Roland
Item Type: Presentation at Congress or Conference (Article)
Event Title: Joint International Conference of the American Real Estate and Urban Economics and the Asian Real Estate Society
Event Dates: 5-7 de Mayo, 1999
Event Location: Maui, Hawaii (Estados Unidos)
Title of Book: Joint International Conference of the American Real Estate and Urban Economics and the Asian Real Estate Society
Date: 1992
Subjects:
Freetext Keywords: real estate, stock market prices, macro-economic variables, leads and lags, regression analysis, Sweden
Faculty: E.T.S.I. Caminos, Canales y Puertos (UPM)
Department: Mecánica de Medios Continuos y Teoría de Estructuras
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

The aim of this study is to explain the changes in the real estate prices as well as in the real estate stock market prices, using some macro-economic explanatory variables, such as the gross domestic product (GDP), the real interest rate and the unemployment rate. Several regressions have been carried out in order to express some types of incremental and absolute deflated real estate lock market indexes in terms of the macro-economic variables. The analyses are applied to the Swedish economy. The period under study is 1984-1994. Time series on monthly data are used. i.e. the number of data-points is 132. If time leads/lags are introduced in the e regressions, significant improvements in the already high correlations are achieved. The signs of the coefficients for IR, UE and GDP are all what one would expect to see from an economic point of view: those for GDP are all positive, those for both IR and UE are negative. All the regressions have high R2 values. Both markets anticipate change in the unemployment rate by 6 to 9 months, which seems reasonable because such change can be forecast quite reliably. But, on the contrary, there is no reason why they should anticipate by 3-6 months changes in the interest rate that can hardly be reliably forecast so far in advance.

More information

Item ID: 41657
DC Identifier: http://oa.upm.es/41657/
OAI Identifier: oai:oa.upm.es:41657
Deposited by: Biblioteca ETSI Caminos
Deposited on: 23 Jun 2016 05:32
Last Modified: 23 Jun 2016 05:32
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