Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Yunus, Nafeesa

doi:10.1007/s11146-017-9639-7

Cited by 11 publications

(8 citation statements)

References 80 publications

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“…Researchers have also utilized cointegration technique to understand the short- and long-run relationship between these markets. See Tse and Webb (2000), Liow (2010), Yunus (2013, 2019), Gallimore et al. (2014), among others.…”

Section: Related Literaturementioning

confidence: 99%

Comovements and spillovers in international commercial and residential real estate markets

Kishor

2022

JERER

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PurposeThis study aims to know to what extent do the commercial and residential estate markets move together in different economies? Do the shocks originating in one of these markets spillover to the other markets?Design/methodology/approachThe authors apply a modified version of the dynamic factor model to commercial and residential real estate prices in the Euro area, Hong Kong, Singapore and the USA. This modified dynamic factor model decomposes price growth in these two real estate markets into common, spillover and idiosyncratic components.FindingsThe results show significant heterogeneity in the relative importance of different components in the evolution of commercial and residential price growth across different economies. The findings suggest that the spillover from the residential to commercial real estate market dominates the spillover from the commercial to real estate market for all the economies in our sample. The authors also find that the common component accounts for a large fraction of the price movements in the residential markets in the European Union (EU) area and the USA, whereas spillover and common components together explain more than two-thirds of the variations in Hong Kong and Singapore. The results suggest that the role of spillover from one market to another increased significantly during the financial crisis of 2008–2009.Originality/valueThis paper contributes to the existing literature on how the transmission of shocks takes place across commercial and residential real estate markets. The transmission of shocks can take place in two directions in the proposed framework. There may be a direct spillover from a shock from one market to another. This corresponds to a shock to the idiosyncratic component affecting the other idiosyncratic component. In this paper, the authors are mainly interested in indirect spillover where the shock would transmit from the idiosyncratic factor to the common factor, and then from the common factor to the other idiosyncratic factor.

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Section: Related Literaturementioning

confidence: 99%

Comovements and spillovers in international commercial and residential real estate markets

Kishor

2022

JERER

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“…In addition to different measurable risks, the investor's strategy can be strongly affected by the possible cyclical recurring crises in the real estate market, like the housing crisis, which affected many economies in 2007-2008 [50]. In times of global financial crisis, the decision to invest at a certain point in time and the correct assessment of risks are key issues: investors need to know how to measure risks and identify the relationship between risks appearance and risks incentives demanded, according to their attitude towards risks [51].…”

Section: The Background Of the Researchmentioning

confidence: 99%

Decision Tree and AHP Methods Application for Projects Assessment: A Case Study

et al. 2021

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This research is dedicated to the modelling of decision process occurring during the implementation of construction projects. Recent studies generally do not assess the robustness of the decisions regarding the possible changes during the construction project implementation. However, such an assessment might increase the reliability of the decision-making process. We addressed this gap through a new model that combines the decision-making process modelling with the AHP method and includes the analysis of model stability concerning stakeholders’ behaviour. We used the Analytic Hierarchy Process (AHP) and Decision tree methods to model the decision-making process. The proposed model was validated on a case study of multiple construction projects. The assessment was performed from individual investor’s and independent expert’s perspectives. The criteria for the assessment were selected according to the principles of sustainability. We performed the sensitivity analysis, making it possible to assess the possible changes of the decisions depending on the potential patterns of the decision-makers’ behaviour. The results of the study show that, sometimes, small fluctuations in the project factors affect the project selection indicating the possible lack of the robustness of the project decisions.

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“…O mercado imobiliário difere substancialmente dos mercados de outros bens (YUNUS, 2017). Essas divergências acontecem porque imóveis e real estate possuem características especiais, existindo fontes de divergências e desigualdades entre os imóveis.…”

Section: Introductionunclassified

O Potencial Do Selo Casa Azul Na Produção De Habitação De Interesse Social Sustentável

Perbeils¹,

Santos²

2019

Melhores Práticas Em Planejamento Urbano E Regional

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Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Cited by 11 publications

References 80 publications

Comovements and spillovers in international commercial and residential real estate markets

Comovements and spillovers in international commercial and residential real estate markets

Decision Tree and AHP Methods Application for Projects Assessment: A Case Study

O Potencial Do Selo Casa Azul Na Produção De Habitação De Interesse Social Sustentável

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