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A Frequency Domain Analysis of Common Cycles in Property and Related Sectors

Author

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  • Peijie Wang

    (City University Business School, London EC2Y 8HB, UK)

Abstract

This paper examines cycles and common cycles in property and related sectors in the frequency domain. The frequency domain approach is empirically more effective in revealing cycle and common cycle features. It describes the closeness of two time series using coherence and phase as against correlation and leads/lags in the time domain. The study has found that property shares common cycles with a number of economic sectors and, in particular, with those sectors that are the user markets of property, and lags behind in business cycle phases. Property has large coherence at most frequencies with most economic sectors and the economy as a whole and is in the same phase at these frequencies with the latter. But, property seems to have large discrepancy with almost all the other sectors in the cycles at the annual frequency. The property market swings more severely than the economy as a whole. However, fluctuations are considered moderate in the property market relative to those in the housing market.

Suggested Citation

  • Peijie Wang, 2003. "A Frequency Domain Analysis of Common Cycles in Property and Related Sectors," Journal of Real Estate Research, American Real Estate Society, vol. 25(3), pages 325-346.
    • Handle: RePEc:jre:issued:v:25:n:3:2003:p:325-346
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    Citations

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    Cited by:

    1. Gutierrez, Carlos Enrique Carrasco & Gomes, Fábio Augusto Reis, 2009. "Evidence on Common Features and Business Cycle Synchronization in Mercosur," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
    2. Rehman, Saira & Moutinho, Nuno & Alves, Jorge, 2020. "The Relationship Between Portuguese Economy Indicators And Housing Prices," Journal of Tourism, Sustainability and Well-being, Cinturs - Research Centre for Tourism, Sustainability and Well-being, University of Algarve, vol. 8(4), pages 270-286.
    3. Kim Hiang Liow & Shao Yue Angela, 2017. "Return and co-movement of major public real estate markets during global financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(5), pages 489-508, August.
    4. David Gray, 2015. "Hidden Properties of Irish House Price Vintages," Housing Studies, Taylor & Francis Journals, vol. 30(8), pages 1317-1353, November.
    5. Kim Hiang Liow, 2007. "Cycles and common cycles in real estate markets," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 3(3), pages 287-305, July.
    6. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
    7. Maurizio d¡¦Amato & Paola Amoruso, 2018. "Application of a Cyclical Capitalization Model to the London Office Market," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 113-143.
    8. Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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