Modelling Regime Shifts in the City of London Office Rental Cycle

Autor:	Kieran Farrelly, Ben Sanderson
Rok vydání:	2005
Předmět:	Finance business.industry media_common.quotation_subject Geography Planning and Development Economic rent Linear model Univariate Real estate Urban Studies Renting Work (electrical) Market analysis Business cycle Economics Econometrics business media_common
Zdroj:	Journal of Property Research. 22:325-344
ISSN:	1466-4453 0959-9916
DOI:	10.1080/09599910600558553
Popis:	Real estate rental adjustment models have taken on numerous forms and specifications, but have typically been estimated in both a linear and univariate fashion. However, it is clear that real estate actors, both developers and occupiers, can behave differently at various points of the business cycle, in ways that linear‐models may not be able to account for adequately. This article extends previous work on market analysis and forecasting by using regime switching modelling techniques, which have been popularised in contemporary empirical macroeconomic research. Evidence of non‐linearity in the rental adjustment process is found in the City of London office market and it is then modelled using the smooth‐transition regression technique. The non‐linear model describes the in‐sample movements of rents better than the equivalent linear model, particularly in the late 1980s and early 1990s.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::3fa8207d89d141caa348f5ce3bb98e7c https://doi.org/10.1080/09599910600558553 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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