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Analysing the property-gilts yield differential

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  • Chris Gardiner
  • John Henneberry

Abstract

Forecast rather than actual values of variables are used in an analysis of the property-gilts yield gap to mimic more closely the investor's decision-making environment. The estimated equations combine parsimony with a high level of explanatory power. The yield gap is found to vary simultaneously in all regions. This is attributed to the dominance of an aspatial influence: inflation.

Suggested Citation

  • Chris Gardiner & John Henneberry, 1995. "Analysing the property-gilts yield differential," Applied Economics Letters, Taylor & Francis Journals, vol. 2(1), pages 12-15.
    • Handle: RePEc:taf:apeclt:v:2:y:1995:i:1:p:12-15
    DOI: 10.1080/135048595357726
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    References listed on IDEAS

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    1. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, April.
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