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A Tale Of Two Shocks: The Dynamics of Internal and External Shock Vulnerability in Real Estate Markets
Linköping University, Department of Management and Engineering, Economics.
Linköping University, Department of Management and Engineering, Economics.
2016 (English)Independent thesis Advanced level (degree of Master (Two Years)), 240 HE creditsStudent thesisAlternative title
En berättelse om två shocker : Internationella bostadsmarkadens känslighet för interna och externa chocker (Swedish)
Abstract [en]

This paper examines the major potential drivers of five international real estate markets with a focus on pushing versus pulling effects. Using a quantile regression approach for the period 2000-2015 we examine the coefficients during three different market conditions: downward (bearish), normal (median) and upward (bullish). Using monthly data we look at five of the larger securitized property markets, namely, the US, UK, Australia, Singapore and Hong Kong. We find inconclusively that stock market volatility, as measured by the pushing factor VIXS&P500, best informs property market returns during bearish market environment. We also find that our pulling factors, money supply, treasury yields and unemployment presents theoretically grounded results in most cases with the expected signage. However, compared to the volatility index, pulling factors are not as uniformly suited for informing property market returns during bearish markets. We also find a range of insignificant results, which might be indicative of a suboptimal model specification and/or choice of estimation method.

Place, publisher, year, edition, pages
2016. , 47 p.
Keyword [en]
REIT, Internal Shocks, External Shocks, Push- and Pull, Quantile Regression, Economics
Keyword [sv]
Interna chocker, Externa chocker, kvantilregression, nationalekonomi
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-129709ISRN: LIU-IEI-FIL-A--16/02319--SEOAI: oai:DiVA.org:liu-129709DiVA: diva2:942462
Subject / course
Master Thesis in Business and Economics Programme (Economics)
Supervisors
Available from: 2016-06-30 Created: 2016-06-23 Last updated: 2016-06-30Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • de-DE
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  • nn-NB
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  • Other locale
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Output format
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