Nonlinear adjustment of short-term deviations impacts on the US real estate market

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Title:	Nonlinear adjustment of short-term deviations impacts on the US real estate market
Authors:	Lee, Yen-Hsien;Chiu, Chien-Liang
Contributors:	淡江大學財務金融學系
Date:	1900-01-01
Issue Date:	2011-10-24 10:32:27 (UTC+8)
Publisher:	Abingdon: Routledge
Abstract:	This study examines whether nonlinear adjustment of short-term deviations impacts US real estate market returns by applying an exponential smooth transition threshold error-correction model with Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) (ESTECM-GARCH). Empirical results demonstrate that the ESTECM-GARCH captures the dynamics of returns more effectively than the Error-Correction Model (ECM) and Exponential Smooth Transition Error-Correction Model (ESTECM). Consequently, the nonlinear behaviour of returns is driven by momentum noise traders and heterogeneous arbitrageurs in Real Estate Investment Trust (REIT) markets.
Relation:	Applied Economic Letter 17(6), pp.597-603
DOI:	10.1080/13504850802167165
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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