La lecture à portée de main
Description
Informations
Publié par | universitat_regensburg |
Publié le | 01 janvier 2009 |
Nombre de lectures | 25 |
Langue | Deutsch |
Extrait
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