Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns

Macroeconomic risk factors in Australian commercial real estate, listed property trust and... This paper employs a Generalised Autoregressive Conditional Heteroske‐dasticity in Mean (GARCH‐M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed property trust and property stock) returns are included in the analysis, along with market returns, short, medium and long‐term interest rates, expected and unexpected inflation, construction activity and industrial employment and production. In general, macroeconomic factors are found to be significant risk factors in Australian commercial property returns. However, the results also indicate that forecast accuracy in these models is higher for direct office, listed property trust and property stock returns and that the persistence of volatility shocks varies across the different markets, with volatility half lives of between five and seven months for direct retail and industrial property, two and three months for direct office property and less than two months with both forms of indirect property investment. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Financial Management of Property and Construction Emerald Publishing

Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns

Loading next page...
 
/lp/emerald-publishing/macroeconomic-risk-factors-in-australian-commercial-real-estate-listed-epB6jYeyAP
Publisher
Emerald Publishing
Copyright
Copyright © 2006 Emerald Group Publishing Limited. All rights reserved.
ISSN
1366-4387
DOI
10.1108/13664380680001083
Publisher site
See Article on Publisher Site

Abstract

This paper employs a Generalised Autoregressive Conditional Heteroske‐dasticity in Mean (GARCH‐M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed property trust and property stock) returns are included in the analysis, along with market returns, short, medium and long‐term interest rates, expected and unexpected inflation, construction activity and industrial employment and production. In general, macroeconomic factors are found to be significant risk factors in Australian commercial property returns. However, the results also indicate that forecast accuracy in these models is higher for direct office, listed property trust and property stock returns and that the persistence of volatility shocks varies across the different markets, with volatility half lives of between five and seven months for direct retail and industrial property, two and three months for direct office property and less than two months with both forms of indirect property investment.

Journal

Journal of Financial Management of Property and ConstructionEmerald Publishing

Published: Aug 1, 2006

Keywords: Property returns; Listed property trust; Property stocks; Market risk; Interest rate risk; industrial production; construction activity

There are no references for this article.