ABSTRACT

This paper provides a modelling framework to examine the very low correlation at short horizons and high correlation at long horizons between private and public commercial real estate returns. For this purpose, we use a correlated, unobserved component model with a common trend and Markov-switching heteroskedasticity. This model decomposes the public and private commercial real estate prices into a common trend and interdependent cycles. The proposed model is able to endogenously capture low and high volatility regimes in real estate markets. More importantly, our model shows that the low correlation observed at short horizons between the public and private real estate markets is mainly due to the absence of any correlation in low-volatility regimes. On the other hand, the cycles, or short-run movements, in these two markets are highly correlated in high-volatility regimes.

摘要

本文提供了一个建模框架，用于检验私人和公共商业房地产收益之间的短期内极低相关性和长期内高相关性。为此，我们使用具有共同趋势和马尔可夫切换异方差性的相关，未观察到的组件模型。该模型将公共和私人商业房地产价格分解为共同趋势和相互依存的周期。所提出的模型能够内生地捕获房地产市场中的低波动率制度和高波动率制度。更重要的是，我们的模型表明，在短期内公共和私人房地产市场之间观察到的低相关性主要是由于在低波动性制度中没有任何相关性。另一方面，周期或短期运动