The Ups and Downs of European Real Estate Markets’ Integration

Autor: Christelle Sapata, Jean-François Carpantier
Přispěvatelé: Centre d'Études et de Recherche en Gestion d'Aix-Marseille (CERGAM), Aix Marseille Université (AMU)-Université de Toulon (UTLN)
Jazyk: angličtina
Rok vydání: 2019
Předmět:
Marketing
[QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN]
Economics and Econometrics
JEL: F - International Economics/F.F3 - International Finance/F.F3.F36 - Financial Aspects of Economic Integration
Diversification (finance)
Equity (finance)
Real estate
Monetary economics
Single market
JEL: R - Urban
Rural
Regional
Real Estate
and Transportation Economics/R.R3 - Real Estate Markets
Spatial Production Analysis
and Firm Location/R.R3.R32 - Other Spatial Production and Pricing Analysis
[QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]
Accounting
8. Economic growth
Financial crisis
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions
Bond market
Business
Explanatory power
Finance
JEL: C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C38 - Classification Methods • Cluster Analysis • Principal Components • Factor Models
Popis: National real estate markets are usually considered to be segmented from each other. The benefits of international diversification in real estate markets have been shown to be greater than those in equity or bond markets. New developments in Europe (the single market, monetary union and post-crisis coordination of macroprudential policies) are expected to increase integration and reduce these benefits. We study the time-varying degree of integration of European real estate markets over the period 1971-2017 by estimating the explanatory power of a multi-factor linear model. We find that the integration has been relatively stable over time, with a temporary rise during the 2008 financial crisis. We also note that the integration dynamics within Europe have not become stronger than with non-European countries. The data do not detect stable regional clusters of integration. The international diversification of real estate investments still matters.
Databáze: OpenAIRE
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