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European public real estate market integration

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  • Jian Yang
  • James Kolari
  • Guozhong Zhu

Abstract

This study examines dynamic linkages among nine European public real estate markets, with particular attention to the impact of the recent establishment of the European Economic and Monetary Union (EMU). Forecast error variance decomposition results show that the real estate markets of larger EMU economies (Germany, France, Netherlands) became more integrated with other European markets after the establishment of the EMU in 1999. By contrast, increased real estate market integration is not found for some smaller EMU economies (Belgium and Spain). Also, the real estate markets of non-EMU economies (United Kingdom, Switzerland, and Denmark) exhibited either little change or less integration. The EMU has been beneficial in terms of increasing real estate market integration among EMU member countries with more advanced industrial structures.

Suggested Citation

  • Jian Yang & James Kolari & Guozhong Zhu, 2005. "European public real estate market integration," Applied Financial Economics, Taylor & Francis Journals, vol. 15(13), pages 895-905.
    • Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:895-905
    DOI: 10.1080/09603100500187877
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    Cited by:

    1. Kim Hiang Liow, 2015. "Risk-return convergence in international public property markets," Journal of Property Research, Taylor & Francis Journals, vol. 32(1), pages 1-32, March.
    2. Stephen Lee, 2008. "Is The Uk Real Estate Market Converging With The Rest Of Europe?," ERES eres2008_192, European Real Estate Society (ERES).
    3. Yunus, Nafeesa & Swanson, Peggy E., 2012. "Changing integration of EMU public property markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 194-208.
    4. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Leibniz Centre for European Economic Research.
    5. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    6. Kim Hiang Liow, 2012. "Volatility interdependence in European securitised real estate markets: who is the most influential?," ERES eres2012_020, European Real Estate Society (ERES).
    7. Ramzi Tarazi & Mohammad Zahid Hasan, 2019. "The Effect of Economic and Fundamental Factors on the Australian Property Performance," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 15(2), pages 155-184.
    8. Li, Jie & Li, Guangzhong & Zhou, Yinggang, 2015. "Do securitized real estate markets jump? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 13-35.
    9. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411, September.
    10. Kim Liow & Wei Chen, 2013. "Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 370-390, August.
    11. Vijay Kumar Vishwakarma, 2021. "Long-run drivers and integration in interprovincial Canadian housing price relations," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(1), pages 22-40, November.
    12. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1021-1040, November.

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