IS THE UK REAL ESTATE MARKET CONVERGING WITH THE REST OF EUROPE?
||IS THE UK REAL ESTATE MARKET CONVERGING WITH THE REST OF EUROPE?
||Book of Abstracts: 15th Annual European Real Estate Society Conference in Kraków, Poland
||This paper assesses whether the returns of the UK securitised real estate market are converging with those of the other countries in Europe relative to the returns in the US. Using time-varying parameter modelling techniques with monthly data over the period 1990 to 2007 we show that from 1998 the returns of the UK securitised real estate market became increasingly sensitive to perturbations in the European market relative to those in the US. However, since 2004 the returns in the UK real estate market have started to diverge from those of most countries in Europe. In other words, to all intents and purposes the UK real estate market has not converged with Europe and so diversification across Europe is still a viable investment strategy.
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