Ulster University Logo

Ulster Institutional Repository

Regime shifts in ex post UK commercial property risk premiums

Biomedical Sciences Research Institute Computer Science Research Institute Environmental Sciences Research Institute Nanotechnology & Advanced Materials Research Institute

Hutchison, N, Fraser, P, Adair, AS and Rahul, Srivatsa (2012) Regime shifts in ex post UK commercial property risk premiums. Journal of Property Research, 29 (3). pp. 247-269. [Journal article]

[img]PDF
432Kb

DOI: 10.1080/09599916.2012.686516

Abstract

Using a Markov Switching Model, the hypothesis that ex post commercial sectorrisk premiums have stable mean values within a time-varying framework isinvestigated. The probabilities of shifting expected values and the transitionalprobabilities of remaining in a high (low)-risk state at each point in time wereestimated. Results suggest that industrial and retail sectors exhibit regime shiftingbehaviour although the probability of shifting between high- and low-riskstates, while significant, was low compared to them remaining the same. Investigationof the transitional probabilities suggested the propensity to shift regimesdiffers between sectors, but is generally more prevalent in periods of relativeuncertainty.

Item Type:Journal article
Faculties and Schools:Faculty of Art, Design and the Built Environment > School of the Built Environment
Research Institutes and Groups:Built Environment Research Institute > Centre for Research on Property and Planning (RPP)
ID Code:23145
Deposited By:Professor Alastair Adair
Deposited On:24 Sep 2012 16:56
Last Modified:24 Sep 2012 16:56

Repository Staff Only: item control page