Cycles and Common Cycles in Property and Related Sectors

Article OPEN
Peijie Wang;
  • Journal: International Real Estate Review, volume 6, issue 1, pages 22-42
  • Subject: Common cycle, common trend, phase, property
    • jel: jel:L85

This paper examines cycles and common cycles in the property market and the economy. While focusing on common cycles, the study also incorporates common trends in the meantime, so it covers the whole spectrum of dynamic analysis. It has been found that property shares c... View more
  • References (24)
    24 references, page 1 of 3

    Dolado, J.J. and Lopez Salido, J.D. (1996), Hysteresis and economic fluctuations (Spain, 1970-94), CEPR Discussion Paper No 1334.

    Engle, R.F, and Granger, C.W.J. (1987), Co-integration and error correction Representation, estimation, and testing, Econometrica, 55, 251-267.

    Engle, R.F, Granger, C.W.J. and Issler, J.V. (1995), Estimating common sectoral cycles, Journal of Monetary Economics, 35, 83-113.

    Engle, R.F, Granger, C.W.J. and Kozicki, S. (1993), Testing for common features, Journal of Business and Economic Statistics, 11, 369-395.

    Forni, M. and Reichlin, L. (1995), Dynamic common factors in large crosssections, CEPR Discussion Paper No 1285.

    Gallo, G.M. and Kempf, H. (1995), Cointegration, codependence and economic fluctuations, European University Institute Working Paper ECO No 95/27.

    Gil Alana, L.A. and Robinson, P.M. (1997), Testing of unit root and other nonstationary hypotheses in macroeconomic time series, Journal of Econometrics, 80, 241-68.

    Johansen, S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-254.

    Johansen, S. and Juselius, K. (1990), Maximum likelihood estimation and inference on cointegration - with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210.

    Johansen, S. and Juselius, K. (1992), Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, 211-244.

  • Metrics
Share - Bookmark