Government and Sport: The Public Policy Issues
In: Journal of policy analysis and management: the journal of the Association for Public Policy Analysis and Management, Volume 6, Issue 2, p. 284-286
ISSN: 0276-8739
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In: Journal of policy analysis and management: the journal of the Association for Public Policy Analysis and Management, Volume 6, Issue 2, p. 284-286
ISSN: 0276-8739
In: Journal of political economy, Volume 90, Issue 3, p. 443-469
ISSN: 1537-534X
In: Journal of political economy, Volume 86, Issue 3, p. 535-538
ISSN: 1537-534X
In: Explorations in economic history: EEH, Volume 15, Issue 2, p. 221-228
ISSN: 0014-4983
In: Journal of Property Investment & Finance, Volume 40, Issue 2, p. 119-169
PurposeEstablishing the strength of a novel variable–mortgage debt as a fraction of US gross domestic product (GDP)–on forecasting capitalisation rates in both the US office and multifamily sectors.Design/methodology/approachThe authors specify a vector error correction model (VECM) to the data. VECM are used to address the nonstationarity issues of financial variables while maintaining the information embedded in the levels of the data, as opposed to their differences. The cap rate series used are from Green Street Advisors and represent transaction cap rates which avoids the problem of artificial smoothness found in appraisal-based cap rates.FindingsUsing a VECM specified with the novel variable, unemployment and past cap rates contains enough information to produce more robust forecasts than the traditional variables (return expectations and risk premiums). The method is robust both in and out of sample.Practical implicationsThis has direct implications for governmental policy, offering a path to real estate price stability and growth through mortgage access–functions largely influenced by the Fed and the quasi-federal agencies Fannie Mae and Freddie Mac. It also offers a timely alternative to interest rate-based forecasting models, which are likely to be less useful as interest rates are to be held low for the foreseeable future.Originality/valueThis study offers a new and highly explanatory variable to the literature while being among the only to model either (1) transactional cap rates (versus appraisal) (2) out-of-sample data (versus in-sample) (3) without the use of the traditional variables thought to be integral to cap rate modelling (return expectations and risk premiums).
In: Growth and change: a journal of urban and regional policy, Volume 21, Issue 1, p. 59-72
ISSN: 1468-2257
ABSTRACTIn this paper we estimate alternative models of the growth rate of real housing investment for Japan, Korea, Taiwan, and the U.S. Pure time series models generally provide superior fit to these growth rate data both within and out of the sample period. These time series models are then used to forecast investment growth rates in other countries. The results indicate that such time series models can be used to provide reasonable accurate forecasts for other countries.
In: Journal of Housing Economics, Volume 8
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In: Journal of policy analysis and management: the journal of the Association for Public Policy Analysis and Management, Volume 6, Issue 2, p. 284
ISSN: 1520-6688