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Paper eres2008_154:
VARIANCE DECOMPOSITION OF REAL ESTATE RETURNS

id eres2008_154
authors Goorah, Anish; Suzhen Huang; Fotis Mouzakis; Jin Shi
year 2008
title VARIANCE DECOMPOSITION OF REAL ESTATE RETURNS
source Book of Abstracts: 15th Annual European Real Estate Society Conference in Kraków, Poland
summary Nominal property returns can be broken down into two components: real property returns and inflation. A structural VAR model is proposed to estimate the relationships between nominal property return, real property returns and inflation. Bayesian Methods (Markov Chain Monte Carlo) are used to estimate the system. Non Information Normal Wishart priors and the Gibbs sampling algorithm are used to carry out the posterior simulations. Economic theory is used to impose restrictions on the system. The results are helpful in distinguishing which factors account for higher variance in property returns.
series ERES:conference
email a.goorah@millengroup.com
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session I1
last changed 2008/11/26 14:05
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