Options
A Regime-Switching Approach to Modeling Rental Prices of U.K. Real Estate Sectors
Journal
Real Estate Economics
ISSN
1080-8620
ISSN-Digital
1540-6229
Type
journal article
Date Issued
2012-03-01
Author(s)
Abstract
This article uses regime-switching models of the threshold type to analyze the adjustment process of rental prices for three U.K. commercial real estate sectors over the period 1974-2008. The nonlinear models outperform their linear counterparts in in-sample fit. Their out-of-sample forecasting ability is better whenever the corresponding linear models contain a significant amount of neglected nonlinearity. Regime switches are triggered when the growth rates of rental price exceed certain threshold levels. For the industrial and retail sectors such regime switches occur in situations of strong excess demand, for the office sector they occur when there is strong excess supply.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Wiley-Blackwell
Publisher place
Dallas/USA
Volume
40
Number
2
Start page
317
End page
350
Pages
34
Subject(s)
Division(s)
Eprints ID
216287