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Paper eres2005_170:
Modelling Regime Shifts in the City of London Office Rental Cycle

id eres2005_170
authors Farrelly, Kieran and Ben Sanderson
year 2005
title Modelling Regime Shifts in the City of London Office Rental Cycle
source Book of Abstracts: 2005 European Real Estate Society conference in association with the International Real Estate Society
summary 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 adequately account for. This paper 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 then explicitly modelled using the smooth-transition regression technique. The nonlinear model describes the in-sample movements of rents better than the equivalent linear model, particularly in the late 1980s and early 1990s.
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
ratings
session Session F6
last changed 2008/11/01 09:47
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