Dynamics on real estate and emerging markets [Elektronische Ressource] / vorgelegt von: Alexander Schätz

Dynamics on Real Estate and Emerging Markets




Von der Wirtschaftswissenschaftlichen Fakultät
der Universität Regensburg
genehmigte

DISSERTATION

zur Erlangung des akademischen Grades
Doctor rerum politicarum
Dr. rer. pol.



vorgelegt
von: Dipl.-Volkswirt (Univ.) Alexander Schätz
geboren am: 13. Mai 1981
Tag der Disputation: 6. Juli 2009
Gutachter: Prof. Dr. Steffen Sebastian
Prof. Dr. Joachim Möller

I
Summary of Contents
1 Introduction .................................................................................................1
2 Macroeconomic Effects on Emerging Market Sector Indices .................8
Abstract .........................................................................................................9
2.1 Introduction ..........................................................................................10
2.2 Review of Literature .............................................................................12
2.3 Data Selection, Methodology and Hypotheses ....................................14
2.4 Empirical Results .................................................................................21
2.5 Conclusion ...........................................................................................35
2.6 Appendix..............................................................................................38
3 The Link between Property and Economy ..............................................49
Abstract .......................................................................................................50
3.1 Introduction ..........................................................................................51
3.2 Review of Literature: Real Estate and Macroeconomics......................53
3.3 Data Selection and Methodology .........................................................58
3.4 Empirical Results .................................................................................67
3.5 Conclusion ...........................................................................................75
3.6 Appendix..............................................................................................78
4 Real Estate Equities – Real Estate or Equities? .....................................80
Abstract .......................................................................................................81
4.1 Introduction ..........................................................................................82
4.2 Literature Review.................................................................................86
4.3 Data Selection......................................................................................91
4.4 Methodology ........................................................................................99
4.5 Empirical Results ...............................................................................103
II
4.6 Conclusion .........................................................................................113
4.7 Appendix............................................................................................116
References ....................................................................................................123
Eidesstattliche Versicherung.......................................................................135

III
Table of Contents

List of Figures ................................................................................................. VI
List of Tables.................................................................................................. VII
List of Abbreviations ...................................................................................... IX
List of Symbols ............................................................................................. XIII

1 Introduction .................................................................................................1
2 Macroeconomic Effects on Emerging Market Sector Indices .................8
Abstract .........................................................................................................9
2.1 Introduction ..........................................................................................10
2.2 Review of Literature .............................................................................12
2.3 Data Selection, Methodology and Hypotheses ....................................14
2.3.1 Data ....................................................................................14
2.3.2 Cointegration and VECM...........................................................17
2.3.3 Hypotheses ...............................................................................19
2.4 Empirical Results .................................................................................21
2.4.1 Cointegration Analysis...............................................................21
2.4.1.1 Structural Change .......................................................21
2.4.1.2 Unit Root Tests............................................................23
2.4.1.3 Cointegration Tests .....................................................24
2.4.2 VECM Results...........................................................................25
2.4.2.1 Evaluation Principles...................................................25
2.4.2.2 Consumer Prices.........................................................28
2.4.2.3 Federal Funds Rate.....................................................29
2.4.2.4 Commodity Prices .......................................................30
2.4.2.5 Adjustment Process ....................................................31
IV
2.4.3 Impulse Response Analysis and Variance Decomposition........33
2.5 Conclusion ...........................................................................................35
2.6 Appendix..............................................................................................38
2.6.1 Sector Indices´ Progress (01/1995 – 03/2007)..........................38
2.6.2 Cointegration Tests ...................................................................40
2.6.3 Adjustment Processes...............................................................42
2.6.4 Impulse Response Analyses .....................................................44
2.6.5 Variance Decompositions..........................................................46
3 The Link between Property and Economy ..............................................49
Abstract .......................................................................................................50
3.1 Introduction ..........................................................................................51
3.2 Review of Literature: Real Estate and Macroeconomics......................53
3.3 Data Selection and Methodology .........................................................58
3.3.1 Real Estate Data .......................................................................58
3.3.2 Macroeconomic Data ................................................................59
3.3.3 Hypotheses ...............................................................................60
3.3.4 Preliminary Tests.......................................................................62
3.3.5 Descriptive Statistics .................................................................62
3.3.6 Methodology..............................................................................65
3.4 Empirical Results .................................................................................67
3.4.1 Cointegration Analysis...............................................................67
3.4.2 Evaluation Principles.................................................................69
3.4.3 VECM Results...........................................................................70
3.5 Conclusion ...........................................................................................75
3.6 Appendix..............................................................................................78
4 Real Estate Equities – Real Estate or Equities? .....................................80
Abstract .......................................................................................................81
4.1 Introduction ..........................................................................................82
4.1.1 Macroeconomic System............................................................84
V
4.1.2 Cointegration and VECM...........................................................85
4.2 Literature Review.................................................................................86
4.2.1 Nature of Real Estate Assets ....................................................86
4.2.2 Real Estate and Macroeconomics.............................................89
4.3 Data Selection......................................................................................91
4.3.1 Real Estate and Stock Market Data ..........................................91
4.3.2 Macroeconomic Data ................................................................93
4.3.3 Different Nature of Selected Time Se