West, T and Worthington, A C (2006) Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns. Journal of Financial Management of Property and Construction, 11(2), pp. 105-116. ISSN 1366-4387
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | construction activity; industrial production; interest rate risk; listed property trust; market risk; property returns; property stocks |
| Index terms: | construction activity, property return, interest rate, commercial property, commercial real estate, risk factor, accuracy, employment, inflation, office property, property investment, markets |
| Subjects: | construction type, environmental hazards, professional development, economic analysis, management, real estate economics, construction operations |
| Topics: | Procurement, Business Strategy, Urban Studies, Site Management, Sustainability, Information Management, Human Resources, Construction Technology |
| Descriptive scope: | 3 PCA |
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